Signal: 12m return skipping most recent 21 trading days; monthly rebalance; next-day close-to-close fills; 10bps/side + 50bps/yr borrow (short leg).
variant total cagr sharpe maxdd cal val
LO top10% net 29.868 0.200 0.852 -0.555 1.923 9.562
LO top10% net [GROSS] 33.883 0.208 0.878 -0.552 2.111 10.213 LS 10-10 net -0.421 -0.029 -0.156 -0.634 -0.513 0.188 LS 10-10 net [GROSS] -0.345 -0.022 -0.106 -0.593 -0.481 0.262 SPY B&H 10.002 0.144 0.824 -0.337 2.126 2.520
ALL DONE