- RTH 5m bars, 131109 bars, k=20, dollar-neutral
- Split (fixed): IS < 2024-01-04, OOS >=
GROSS (bps ignored)
| Mech | Seg | Ret | Sharpe | MaxDD | Break-even bps/side |
|---|---|---|---|---|---|
| M5 momentum | IS | -99.9% | -7.28 | -99.9% | -0.34 |
| M5 momentum | OOS | -95.2% | -7.63 | -95.2% | -0.34 |
M5 momentum: mean turnover/bar 2.246 (~44,152x gross/yr); break-even -0.34 bps/side.
| R5 reversal | IS | +117369.5% | 7.42 | -22.1% | 0.35 | | R5 reversal | OOS | +2302.1% | 8.10 | -13.0% | 0.35 |
R5 reversal: mean turnover/bar 2.246 (~44,146x gross/yr); break-even 0.35 bps/side.
NET sweep (full sample, bps one-way)
| Mech | bps | Ret | Sharpe | MaxDD |
|---|---|---|---|---|
| M5 momentum | 0 | -100.0% | -7.20 | -100.0% |
| M5 momentum | 0.5 | -100.0% | -17.75 | -100.0% |
| M5 momentum | 1 | -100.0% | -28.26 | -100.0% |
| M5 momentum | 2 | -100.0% | -49.05 | -100.0% |
| R5 reversal | 0 | +2821581.3% | 7.44 | -22.1% |
| R5 reversal | 0.5 | -98.9% | -3.11 | -98.9% |
| R5 reversal | 1 | -100.0% | -13.65 | -100.0% |
| R5 reversal | 2 | -100.0% | -34.61 | -100.0% |
Verdict: gross edge (if any) is dwarfed by 5m turnover x any real spread. Do NOT wire minute into start_bots.py unless the net sweep is positive at a plausible cost.