- RTH 15m bars, 43706 bars, k=20, dollar-neutral
- Split (fixed): IS < 2024-01-04, OOS >=
GROSS (bps ignored)
| Mech | Seg | Ret | Sharpe | MaxDD | Break-even bps/side |
|---|---|---|---|---|---|
| M15 momentum | IS | -89.1% | -2.11 | -89.6% | -0.30 |
| M15 momentum | OOS | -62.9% | -2.33 | -65.8% | -0.30 |
M15 momentum: mean turnover/bar 2.330 (~15,266x gross/yr); break-even -0.30 bps/side.
| R15 reversal | IS | +666.9% | 2.19 | -22.1% | 0.32 | | R15 reversal | OOS | +198.8% | 2.70 | -14.0% | 0.32 |
R15 reversal: mean turnover/bar 2.330 (~15,266x gross/yr); break-even 0.32 bps/side.
NET sweep (full sample, bps one-way)
| Mech | bps | Ret | Sharpe | MaxDD |
|---|---|---|---|---|
| M15 momentum | 0 | -95.9% | -2.13 | -96.2% |
| M15 momentum | 0.5 | -100.0% | -5.70 | -100.0% |
| M15 momentum | 1 | -100.0% | -9.27 | -100.0% |
| M15 momentum | 2 | -100.0% | -16.39 | -100.0% |
| R15 reversal | 0 | +2191.6% | 2.29 | -22.1% |
| R15 reversal | 0.5 | -85.9% | -1.27 | -90.4% |
| R15 reversal | 1 | -99.9% | -4.84 | -99.9% |
| R15 reversal | 2 | -100.0% | -11.95 | -100.0% |
Verdict: gross edge (if any) is dwarfed by 15m turnover x any real spread. Do NOT wire minute into start_bots.py unless the net sweep is positive at a plausible cost.