Sleeve fraction 100%. Turnover = abs(dW)/day. OOS >= 2016-01-01.
| thr | cost | OOS Sharpe | OOS Ret | OOS MaxDD | turnover/d | p_self |
|---|---|---|---|---|---|---|
| 1.1 | 1bps | +0.71 | +4.24% | -0.48% | 0.0061 | 0.0058 |
| 1.1 | 2bps | +0.68 | +4.07% | -0.52% | 0.0061 | 0.0076 |
| 1.1 | 5bps | +0.60 | +3.56% | -0.64% | 0.0061 | 0.0168 |
| 1.1 | 10bps | +0.46 | +2.73% | -0.88% | 0.0061 | 0.0528 |
| 1.2 | 1bps | +0.73 | +4.34% | -0.47% | 0.0050 | 0.0040 |
| 1.2 | 2bps | +0.71 | +4.20% | -0.47% | 0.0050 | 0.0054 |
| 1.2 | 5bps | +0.64 | +3.78% | -0.48% | 0.0050 | 0.0108 |
| 1.2 | 10bps | +0.53 | +3.10% | -0.66% | 0.0050 | 0.0314 |
| 1.3 | 1bps | +0.72 | +4.28% | -0.47% | 0.0042 | 0.0046 |
| 1.3 | 2bps | +0.70 | +4.16% | -0.47% | 0.0042 | 0.0062 |
| 1.3 | 5bps | +0.65 | +3.81% | -0.47% | 0.0042 | 0.0106 |
| 1.3 | 10bps | +0.55 | +3.22% | -0.48% | 0.0042 | 0.0236 |
Verdict @ thr=1.2/2bps: Sharpe +0.71, ret +4.20%, maxDD -0.47%, p=0.0054. VIABLE as observe-only sleeve (SPY spread ~1bp; 2bps is conservative).