dates: 70 trials logged K=121
head-to-head
H0 forecast level: IC -0.0248 (t=-1.28, p=0.9012, n=70, CI[-0.062,+0.015]) H1 forecast revision: IC -0.0463 (t=-2.29, p=0.9900, n=69, CI[-0.087,-0.007]) H2 forecast resid vs mom: IC -0.0264 (t=-1.41, p=0.9256, n=70, CI[-0.058,+0.007]) H3 acceleration: IC -0.0438 (t=-2.06, p=0.9824, n=68, CI[-0.090,+0.001]) H6 revision resid vs mom: IC -0.0417 (t=-2.10, p=0.9812, n=69, CI[-0.081,-0.002]) ctrl momentum126: IC -0.0272 (t=-0.82, p=0.7946, n=70, CI[-0.073,+0.018])
H4 dispersion regime
forecast-top-decile fwd, dispersion low: -1.084% (n=24) forecast-top-decile fwd, dispersion mid: -0.058% (n=23) forecast-top-decile fwd, dispersion high: -1.349% (n=23) high-minus-low means -0.265% (bootstrap p=0.5546) spearman(dispersion, top-decile fwd) = -0.008
H5 width sizing (forecast top-8/quartile)
equal-weight mean -0.314% Sharpe~-0.56 | inverse-width mean -0.229% Sharpe~-0.44 paired D +0.100% CI[+0.019%,+0.177%] p=0.0092 (n=69)
H7 market timing (mean forecast vs SPY fwd 21d)
spearman(mean forecast, SPY fwd) = +0.160 (n=68, boot CI [-0.080,+0.392]) timing rule (long if mean fc>0) minus always: D -0.424% CI[-1.109%,+0.238%] Sharpe 1.09 vs 1.17 (n=68)