dates: 335 (IS 181 / OOS 154), trials K=119 IC H0 forecast: IS +0.0117 (n=181) | OOS +0.0090 (n=154) IC H2 residual: IS +0.0212 (n=181) | OOS +0.0101 (n=154) IC momentum: IS +0.0157 (n=181) | OOS +0.0009 (n=154)
legs (mean 21-session fwd, weekly signal)
EW50 : mean +1.726% CI[+0.811%,+2.574%] n=335 (descr. ann.Sharpe 1.22) MOM_top : mean +3.242% CI[+1.651%,+4.866%] n=335 (descr. ann.Sharpe 1.23) RESID_top : mean +2.434% CI[+1.130%,+3.742%] n=335 (descr. ann.Sharpe 1.14) RESID_bot : mean +2.270% CI[+0.908%,+3.675%] n=335 (descr. ann.Sharpe 0.98) RESID_top_DISPhigh : mean +3.540% CI[+1.439%,+5.755%] n=112 (descr. ann.Sharpe 1.44)
paired D (block bootstrap)
RESID_top - MOM_top: -0.809% CI[-2.213%,+0.528%] p=0.9708 hit 49% (n=335) RESID_top - EW50: +0.707% CI[+0.014%,+1.416%] p=0.0028 hit 53% (n=335) MOM_top - EW50: +1.516% CI[+0.393%,+2.674%] p=0.0000 hit 58% (n=335) RESID_bot - EW50: +0.543% CI[-0.229%,+1.367%] p=0.0324 hit 51% (n=335) RESID_top-MOM_top [IS]: -0.839% CI[-2.930%,+1.227%] (n=181) RESID_top-MOM_top [OOS]: -0.773% CI[-2.418%,+0.804%] (n=154)
Caveat: 21-session windows overlap at weekly cadence; block CI absorbs some dependence, Sharpe is descriptive.