arm · event-gateXsMomentumWithEventDampingStrategy

Event damping · continuous risk-off near FOMC

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe 1.11. Across the 5-seed sweep its mean Sharpe was 1.01 (stdev 0.49, range 0.34 → 1.62).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

1.11

sharpe

cumulative pnl

+$58.2k

max drawdown

-$33.1k

Δsharpe vs baseline

-0.14

Δpnl vs baseline

-8.9k

Cumulative pnl · 200 bars

dampingbaseline

day 0ends: +$58.2k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean 1.01 · stdev 0.49

The single-seed lead can be a fluke. Each row below is one seed's draw at the same config — the spread across the five tells you whether the seed-7 number is signal or sample-of-one luck.

seed 7
sharpe 1.11
positive draw
1.11
seed 8
sharpe 1.62
positive draw
1.62
seed 9
sharpe 0.34
positive draw
0.34
seed 10
sharpe 0.76
positive draw
0.76
seed 11
sharpe 1.25
positive draw
1.25

min 0.34max 1.62vs baseline mean +0.01

Per-symbol contribution · seed 7

10 symbols · 7 winners · 3 losers

Where the arm's PnL actually came from. Each universe symbol's contribution to the +$58.2k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

EEE69d long · 49d short · 81d flat
+$30.7k
EEE · 35% long, 25% short, 41% flat
+$30.7k
FFF86d long · 32d short · 81d flat
+$27.5k
FFF · 43% long, 16% short, 41% flat
+$27.5k
GGG89d long · 13d short · 97d flat
+$22.0k
GGG · 45% long, 7% short, 49% flat
+$22.0k
DDD43d long · 54d short · 102d flat
+$19.5k
DDD · 22% long, 27% short, 51% flat
+$19.5k
III42d long · 74d short · 83d flat
+$9.6k
III · 21% long, 37% short, 42% flat
+$9.6k
BBB7d long · 103d short · 89d flat
+$7.4k
BBB · 4% long, 52% short, 45% flat
+$7.4k
AAA67d long · 50d short · 82d flat
+$3.6k
AAA · 34% long, 25% short, 41% flat
+$3.6k
HHH45d long · 54d short · 100d flat
-$12.4k
HHH · 23% long, 27% short, 50% flat
-$12.4k
CCC33d long · 48d short · 118d flat
-$18.2k
CCC · 17% long, 24% short, 59% flat
-$18.2k
JJJ38d long · 42d short · 119d flat
-$31.4k
JJJ · 19% long, 21% short, 60% flat
-$31.4k

Contributions sum to the arm's final cumulative PnL (+$58.2k). Bars share a symmetric axis around zero so a winner and a loser of the same magnitude render at the same visual length.

Family · event-gate

all 15 arms →

FOMC blackout · flatten 24h pre-event1.13
XsMomentumWithFomcBlackoutStrategy

Strategy details

class: XsMomentumWithEventDampingStrategy
family: event-gate
arm key: damping
lookback: 20 bars (panel default)
long quantile: 0.3
gross leverage: 1.0

Reproduce this arm

$ uv run python scripts/build_compare_fixture.py
wrote examples/fomc_blackout_compare/results.json (15 arms)
wrote examples/fomc_blackout_compare/results_multi_seed.json (15 arms × 5 seeds)

The fixture builder holds the pinned config (seed 7, 200 bars, FOMC vol multiplier 3.0000, FOMC drift 50.0000 bps) and re-walks every arm. The Python drift test asserts bytewise equality on every CI run, so the numbers on this page match what a reader gets when they regen.