- Bandit on 15 cross-sectional features, 21d demeaned label, split 2016-01-01
| Variant | OOS Ret | OOS Sharpe | OOS MaxDD | vs base p |
|---|---|---|---|---|
| base EW | +1272% | 1.47 | -34.4% | 1.000 |
| conviction-7 | +4345% | 1.68 | -33.5% | 0.000 |
| conviction-15 | +5126% | 1.66 | -37.1% | 0.000 |
| blend 7+15 | +5055% | 1.73 | -34.4% | 0.000 |
Shuffle placebo (best=blend 7+15): mean 1.43, p(SR >= 1.73) = 0.000
corr(prob7, prob15) = nan