446 names | 100,000 capital | region-A config | identical walk-forward protocol to holdout_multiseed (12mo retrain, embargo 50, top-28 features, regression h5). Cross-sectional ranks computed over the FULL pool.
Portfolio results (breaker 0.50, live setting)
- Final equity: $110,308 (+10.31%)
- Last 5y: -42.00% (CAGR -10.34%) | SPY last 5y: +83.18%
- SPY buy&hold (20y): +747.83%
- CAGR: +0.50% | MaxDD: 49.11% | Sharpe: 0.120
- Trades: 2583 | Win rate: 47.4% | PF: 1.042
- Positive months: 113/238 | Green years: 9/21
Reference points
| study | universe | CAGR | PF | MaxDD |
|---|---|---|---|---|
| flagship baseline (flagship_resurrection) | 51 stride names | +17.1% | 1.46 | 36.7% |
| multiseed range (holdout_multiseed) | 3x20 unseen names | +7.0..10.2% | 1.24..1.26 | ~40-44% |
| expansion (this run) | 446 names | +0.5% | 1.04 | 49.1% |
Year by year (0.50 breaker)
| year | return |
|---|---|
| 2006 | -0.12% |
| 2007 | -1.36% |
| 2008 | -1.36% |
| 2009 | +34.91% |
| 2010 | -0.36% |
| 2011 | -21.64% |
| 2012 | +7.63% |
| 2013 | +5.55% |
| 2014 | -6.09% |
| 2015 | -3.53% |
| 2016 | -1.09% |
| 2017 | +19.91% |
| 2018 | -11.79% |
| 2019 | +21.75% |
| 2020 | +9.02% |
| 2021 | +36.99% |
| 2022 | -33.99% |
| 2023 | +1.00% |
| 2024 | -11.00% |
| 2025 | +4.72% |
| 2026 | -11.10% |
35% lock contrast
- CAGR -1.51% | PF 1.004 | trades 432
- 2023-26: -5.20% with 0.35 lock vs -16.24% with 0.50 breaker
Verdict
MIXED / INCONCLUSIVE — 446-name portfolio returned +10.31% (CAGR +0.50%, PF 1.04) vs SPY +747.83%.
Total time: 18.7 min