1.3 KiB
1.3 KiB
GTL strength-confirmation sensitivity
Status: complete
Holdout split: 2024-07-01
Completed arms: 9/9
| Arm | Qualified | Full Sharpe | CAGR | Max DD | Trades | Train Sharpe | Test Sharpe | Ex-top-5% R | Screen |
|---|---|---|---|---|---|---|---|---|---|
| control | 1086 | 2.03 | 50.0 | 21.4 | 321 | 1.28 | 2.78 | 0.049 | 0/0 |
| strength_625_intersection | 1070 | 1.96 | 47.6 | 21.4 | 318 | 1.22 | 2.71 | 0.047 | 3/6 |
| strength_750_intersection | 1061 | 2.03 | 50.0 | 21.2 | 316 | 1.36 | 2.71 | 0.050 | 5/6 |
| strength_875_intersection | 1044 | 2.04 | 49.7 | 21.2 | 316 | 1.31 | 2.77 | 0.051 | 5/6 |
| strength_1000_intersection | 1037 | 2.06 | 50.7 | 21.7 | 316 | 1.30 | 2.82 | 0.054 | 5/6 |
| strength_1125_intersection | 1026 | 2.00 | 48.4 | 21.5 | 316 | 1.20 | 2.82 | 0.047 | 3/6 |
| strength_1250_intersection | 1025 | 2.01 | 49.0 | 21.5 | 316 | 1.20 | 2.82 | 0.046 | 3/6 |
| strength_1500_intersection | 1010 | 2.03 | 48.8 | 20.9 | 313 | 1.28 | 2.79 | 0.034 | 6/6 |
| strength_2000_intersection | 990 | 1.95 | 46.3 | 18.0 | 313 | 1.23 | 2.68 | 0.020 | 3/6 |
Pre-registered interpretation
The six original guardrails remain unchanged. A stable candidate requires at least two adjacent non-control scales to pass all six; an isolated passing scale is rejected as sensitivity, not promoted.