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Main _ADJ panel (500 names, 2006-2026). Observed = full-window net Sharpe at 10bps; null = within-date score permutation, N=40. Rule: REJECT if placebo p>=0.05; else SIGNAL.

CandidateObserved SRnull meanplacebo pcorr vs BASEverdict
BASE xsmom1260.880.700.000nanSIGNAL
H1 vol-confirm-mom0.900.700.0001.00SIGNAL
H2 liq-shock-rev0.530.520.3750.38REJECT
H5 vol-compression0.640.610.3250.68REJECT
H6 beta-hedged-mom0.890.690.0000.95SIGNAL
H7 overnight-mom0.880.720.0000.91SIGNAL
H8 intraday-mom0.870.710.0000.96SIGNAL
B0 st-reversal-21-0.23-0.750.000-0.04SIGNAL

Size calibration (pure-noise signals)

K=6 noise signals -> permutation p: 0.33, 0.25, 0.40, 0.93, 0.65, 0.23; fraction p<0.05 = 0% (target ~5-17% at K=6).

Reading

  • SIGNAL = the cross-sectional ranking beats random names from the same eligible set. REJECT = the ranking is noise.
  • corr vs BASE near 1 with a low placebo p means 'real but a momentum clone' (the edge is the exposure, not the selection).
  • A well-calibrated test should NOT reject noise: if the calibration fraction is far above ~5-17%, the gate is miscalibrated.