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"Stack eval — base momentum x RL direction x TimesFM sanity"

2026-09-28

·
  • Base: residual-momentum top-50 long, monthly, next-open, 10bps
  • Split (fixed): IS < 2016-01-01 (RL trained here), OOS >= (reported)
  • Jev: live-only, excluded from backtest by design
VariantSegRetSharpeMaxDDTurn/yr
base (mom long-50)IS+220.4%0.72-66.0%
base (mom long-50)OOS+1272.3%1.47-34.4%
base (mom long-50)OOS boot p+1272.3%1.47
base x RLIS+220.1%0.72-66.0%
base x RLOOS+1272.3%1.47-34.4%
base x RLOOS boot p+1272.3%1.47
base x RL x TSFMIS+220.1%0.72-66.0%
base x RL x TSFMOOS+262.2%0.91-30.0%
base x RL x TSFMOOS boot p+262.2%0.91
base x TSFMIS+220.1%0.72-66.0%
base x TSFMOOS+262.2%0.91-30.0%
base x TSFMOOS boot p+262.2%0.91

RL action fraction OOS (long days): 1.00