- RTH 60m bars, 11865 bars, k=20, dollar-neutral
- Split (fixed): IS < 2024-01-18, OOS >=
GROSS (bps ignored)
| Mech | Seg | Ret | Sharpe | MaxDD | Break-even bps/side |
|---|---|---|---|---|---|
| M60 momentum | IS | -75.2% | -2.32 | -75.5% | -0.74 |
| M60 momentum | OOS | -67.3% | -2.23 | -68.4% | -0.74 |
M60 momentum: mean turnover/bar 2.782 (~4,908x gross/yr); break-even -0.74 bps/side.
| R60 reversal | IS | +317.4% | 2.52 | -11.9% | 0.75 | | R60 reversal | OOS | +163.5% | 2.10 | -14.3% | 0.75 |
R60 reversal: mean turnover/bar 2.781 (~4,905x gross/yr); break-even 0.75 bps/side.
NET sweep (full sample, bps one-way)
| Mech | bps | Ret | Sharpe | MaxDD |
|---|---|---|---|---|
| M60 momentum | 0 | -91.9% | -2.27 | -91.9% |
| M60 momentum | 0.5 | -98.4% | -3.81 | -98.4% |
| M60 momentum | 1 | -99.7% | -5.34 | -99.7% |
| M60 momentum | 2 | -100.0% | -8.41 | -100.0% |
| R60 reversal | 0 | +999.7% | 2.32 | -14.3% |
| R60 reversal | 0.5 | +111.3% | 0.78 | -32.7% |
| R60 reversal | 1 | -59.4% | -0.76 | -71.0% |
| R60 reversal | 2 | -98.5% | -3.84 | -98.5% |
Verdict: gross edge (if any) is dwarfed by 60m turnover x any real spread. Do NOT wire minute into start_bots.py unless the net sweep is positive at a plausible cost.