arm · event-captureXsMomentumPostFomcDriftStrategy

Post-FOMC drift · capture 4h after release

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe 0.64. Across the 5-seed sweep its mean Sharpe was -0.12 (stdev 0.77, range -1.14 → 0.64).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

0.64

sharpe

cumulative pnl

+$7.4k

max drawdown

-$5.0k

Δsharpe vs baseline

-0.60

Δpnl vs baseline

-59.8k

Cumulative pnl · 200 bars

driftbaseline

day 0ends: +$7.4k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean -0.12 · stdev 0.77

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 0.64
positive draw
0.64
seed 8
sharpe 0.50
positive draw
0.50
seed 9
sharpe -1.14
negative draw
-1.14
seed 10
sharpe -0.69
negative draw
-0.69
seed 11
sharpe 0.11
positive draw
0.11

min -1.14max 0.64vs baseline mean -1.12

Per-symbol contribution · seed 7

10 symbols · 5 winners · 5 losers

Where the arm's PnL actually came from. Each universe symbol's contribution to the +$7.4k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

FFF2d long · 1d short · 196d flat
+$8.8k
FFF · 1% long, 1% short, 98% flat
+$8.8k
AAA1d long · 2d short · 196d flat
+$2.8k
AAA · 1% long, 1% short, 98% flat
+$2.8k
BBB4d short · 195d flat
+$1.7k
BBB · 0% long, 2% short, 98% flat
+$1.7k
DDD3d long · 2d short · 194d flat
+$1.1k
DDD · 2% long, 1% short, 97% flat
+$1.1k
CCC2d long · 1d short · 196d flat
+$1.1k
CCC · 1% long, 1% short, 98% flat
+$1.1k
JJJ2d long · 2d short · 195d flat
-$0.6k
JJJ · 1% long, 1% short, 98% flat
-$0.6k
GGG2d long · 1d short · 196d flat
-$1.1k
GGG · 1% long, 1% short, 98% flat
-$1.1k
HHH2d long · 1d short · 196d flat
-$1.8k
HHH · 1% long, 1% short, 98% flat
-$1.8k
EEE2d long · 1d short · 196d flat
-$1.9k
EEE · 1% long, 1% short, 98% flat
-$1.9k
III2d long · 3d short · 194d flat
-$2.7k
III · 1% long, 2% short, 97% flat
-$2.7k

Contributions sum to the arm's final cumulative PnL (+$7.4k). 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-capture

all 15 arms →

Post-FOMC reversal · sign-flipped drift-0.64
XsMomentumPostEventReversalStrategy

Strategy details

class: XsMomentumPostFomcDriftStrategy
family: event-capture
arm key: drift
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.