Generated: 2026-08-13 18:31
Pool: 500 names | split seed 20260812 (300/100/100) | 2006-08-14 -> 2026-08-12 | OVERNIGHT LABEL y=open[t+2]/close[t+1]-1, MOC entries (PANEL-N)
Per-fold results
| Fold | Years | Trades | Mean bp/day | t | p | PF | Ret |
|---|
| 2009-08-14 -> 2010-08-14 | 2009-2010 | 1262 | -11.3 | -1.70 | 8.93e-02 | 11.24 | -13.8% |
| 2010-08-14 -> 2011-08-14 | 2010-2011 | 1067 | -8.9 | -1.37 | 1.69e-01 | 0.67 | -10.7% |
| 2011-08-14 -> 2012-08-14 | 2011-2012 | 1067 | -14.6 | -2.52 | 1.16e-02 | 25.46 | -14.8% |
| 2012-08-14 -> 2013-08-14 | 2012-2013 | 839 | -12.2 | -3.12 | 1.79e-03 | 1.23 | -8.6% |
| 2013-08-14 -> 2014-08-14 | 2013-2014 | 779 | -8.8 | -2.41 | 1.61e-02 | 0.73 | -3.8% |
| 2014-08-14 -> 2015-08-14 | 2014-2015 | 836 | -6.0 | -1.48 | 1.39e-01 | 11.45 | -5.7% |
| 2015-08-14 -> 2016-08-14 | 2015-2016 | 1060 | -6.4 | -1.08 | 2.79e-01 | 3.65 | -8.3% |
| 2016-08-14 -> 2017-08-14 | 2016-2017 | 853 | -6.6 | -2.51 | 1.22e-02 | 0.84 | -2.8% |
| 2017-08-14 -> 2018-08-14 | 2017-2018 | 892 | -7.9 | -1.82 | 6.88e-02 | 0.35 | -3.6% |
| 2018-08-14 -> 2019-08-14 | 2018-2019 | 970 | -6.5 | -1.10 | 2.71e-01 | 15.42 | -8.9% |
| 2019-08-14 -> 2020-08-14 | 2019-2020 | 1180 | -11.5 | -1.04 | 2.99e-01 | 0.11 | -4.7% |
| 2020-08-14 -> 2021-08-14 | 2020-2021 | 1024 | -13.7 | -2.82 | 4.74e-03 | 0.65 | -3.9% |
| 2021-08-14 -> 2022-08-14 | 2021-2022 | 1227 | -1.3 | -0.17 | 8.67e-01 | 0.47 | -3.5% |
| 2022-08-14 -> 2023-08-14 | 2022-2023 | 1159 | -4.0 | -0.62 | 5.35e-01 | 0.70 | -3.0% |
| 2023-08-14 -> 2024-08-14 | 2023-2024 | 1026 | -9.8 | -1.95 | 5.14e-02 | 0.63 | -2.1% |
| 2024-08-14 -> 2025-08-14 | 2024-2025 | 1139 | -8.3 | -1.34 | 1.79e-01 | 0.52 | -2.1% |
| 2025-08-14 -> 2026-08-12 | 2025-2026 | 1213 | -8.9 | -1.95 | 5.13e-02 | 0.46 | -2.0% |
Per-year vs SPY (net of costs)
| Year | Panel | SPY | Excess |
|---|
| 2009 | -5.9% | +13.0% | -18.9% |
| 2010 | -9.5% | +13.7% | -23.2% |
| 2011 | +0.0% | +2.4% | -2.4% |
| 2012 | +0.0% | +13.5% | -13.5% |
| 2013 | +0.0% | +26.6% | -26.6% |
| 2014 | +0.0% | +11.3% | -11.3% |
| 2015 | +0.0% | +0.4% | -0.4% |
| 2016 | +0.0% | +10.1% | -10.1% |
| 2017 | +0.0% | +18.0% | -18.0% |
| 2018 | +0.0% | -5.1% | +5.1% |
| 2019 | +0.0% | +26.1% | -26.1% |
| 2020 | +0.0% | +20.7% | -20.7% |
| 2021 | +0.0% | +24.8% | -24.8% |
| 2022 | +0.0% | -18.7% | +18.7% |
| 2023 | +0.0% | +22.6% | -22.6% |
| 2024 | +0.0% | +21.7% | -21.7% |
| 2025 | +0.0% | +17.0% | -17.0% |
| 2026 | +0.0% | +12.8% | -12.8% |
Verdict (pre-committed gates)
- pooled t = -4.46 (need > 2.5) -> FAIL
- PF = 4.39 with 17593 trades (need > 1.2 and > 50) -> PASS
- excess years = 2/16 (need >= 11) -> FAIL
DEPLOY: NO