- full sample 2006-2026 : Sharpe252 1.14 (365 1.38), maxDD -6.6%, ann 3.7%
- in-sample 2006-2015 : Sharpe252 1.10, maxDD -4.3%
- out-of-sample 2016-2026: Sharpe252 1.19, maxDD -6.6%
Success gate (Sharpe>=1 & DD<10% & profitable on full/IS/OOS): PASS
"New edge: dual-momentum + VIX term-structure switch + low-vol blend"
2026-10-07
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