dates: 335 trials K=128
O1 momentum top-decile fwd by TimesFM dispersion tercile
low: +3.301% CI[+1.084%,+5.571%] n=112 mid: +1.748% CI[+0.020%,+3.235%] n=111 high: +4.665% CI[+1.594%,+7.893%] n=112 high - low: +1.364% (iid p=0.1566) [IS] high-disp mom_top +5.036% vs all-weeks +3.589% (n 75/181) [OOS] high-disp mom_top +3.912% vs all-weeks +2.835% (n 37/154)
O2 mean-forecast timing
spearman(mean fc, SPY fwd) = +0.139 (n=335) [IS] SPY long/flat-on-mean-fc: rule mean +1.090% vs always +1.269% (Sharpe 0.90 vs 0.73, n=181) [OOS] SPY long/flat-on-mean-fc: rule mean +1.093% vs always +1.623% (Sharpe 1.13 vs 1.47, n=154) momentum book scaled by fc>0 minus unscaled: -1.136% CI[-2.187%,-0.081%] (n=335)
O3 within momentum top-decile: high vs low TimesFM residual
high-resid +2.468% | low-resid +2.702% | all +2.585% paired high-low -0.234% CI[-1.301%,+0.719%] p=0.7164 hit 51% (n=335) [IS] high-low +0.045% (n=181) [OOS] high-low -0.562% (n=154)
Caveat: overlapping 21-session windows at weekly cadence; treat as directional.