dates: 42 trials logged K=124
head-to-head
H0 forecast level: IC -0.0385 (t=-0.64, p=0.7328, n=42, CI[-0.152,+0.064]) H1 forecast revision: IC -0.0505 (t=-0.88, p=0.8128, n=41, CI[-0.164,+0.066]) H2 forecast resid vs mom: IC -0.0625 (t=-1.05, p=0.8596, n=40, CI[-0.160,+0.024]) H3 acceleration: IC +0.0006 (t=+0.01, p=0.5112, n=40, CI[-0.096,+0.090]) H6 revision resid vs mom: IC -0.0857 (t=-1.48, p=0.9326, n=40, CI[-0.194,+0.027]) ctrl momentum126: IC +0.0464 (t=+0.67, p=0.2502, n=40, CI[-0.070,+0.152])
H4 dispersion regime
forecast-top-decile fwd, dispersion low: +4.958% (n=14) forecast-top-decile fwd, dispersion mid: -3.897% (n=14) forecast-top-decile fwd, dispersion high: +20.375% (n=14) high-minus-low means +15.417% (bootstrap p=0.1198) spearman(dispersion, top-decile fwd) = +0.168
H7 market timing (mean forecast vs SPY fwd 21d)
spearman(mean forecast, SPY fwd) = -0.076 (n=41, boot CI [-0.429,+0.272]) timing rule (long if mean fc>0) minus always: D -0.916% CI[-1.503%,-0.330%] Sharpe 0.94 vs 1.62 (n=41)