arm · factorXsFourFactorStrategy

Four-factor · adds skew

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe -0.23. Across the 5-seed sweep its mean Sharpe was -0.05 (stdev 1.03, range -1.29 → 1.51).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

-0.23

sharpe

cumulative pnl

-$12.1k

max drawdown

-$65.3k

Δsharpe vs baseline

-1.47

Δpnl vs baseline

-79.3k

Cumulative pnl · 200 bars

four_factorbaseline

day 0ends: -$12.1k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean -0.05 · stdev 1.03

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 -0.23
negative draw
-0.23
seed 8
sharpe 0.20
positive draw
0.20
seed 9
sharpe -0.46
negative draw
-0.46
seed 10
sharpe 1.51
positive draw
1.51
seed 11
sharpe -1.29
negative draw
-1.29

min -1.29max 1.51vs baseline mean -1.06

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 -$12.1k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

JJJ54d long · 63d short · 82d flat
+$40.5k
JJJ · 27% long, 32% short, 41% flat
+$40.5k
CCC74d long · 38d short · 87d flat
+$22.6k
CCC · 37% long, 19% short, 44% flat
+$22.6k
BBB81d long · 8d short · 110d flat
+$18.7k
BBB · 41% long, 4% short, 55% flat
+$18.7k
III65d long · 21d short · 113d flat
+$3.8k
III · 33% long, 11% short, 56% flat
+$3.8k
HHH61d long · 47d short · 91d flat
+$3.8k
HHH · 31% long, 24% short, 46% flat
+$3.8k
GGG23d long · 88d short · 88d flat
-$2.5k
GGG · 12% long, 44% short, 44% flat
-$2.5k
DDD34d long · 59d short · 106d flat
-$11.0k
DDD · 17% long, 30% short, 53% flat
-$11.0k
AAA46d long · 64d short · 89d flat
-$12.7k
AAA · 23% long, 32% short, 45% flat
-$12.7k
EEE45d long · 66d short · 88d flat
-$28.8k
EEE · 23% long, 33% short, 44% flat
-$28.8k
FFF54d long · 83d short · 62d flat
-$46.4k
FFF · 27% long, 42% short, 31% flat
-$46.4k

Contributions sum to the arm's final cumulative PnL (-$12.1k). Bars share a symmetric axis around zero so a winner and a loser of the same magnitude render at the same visual length.

Family · factor

all 15 arms →

Strategy details

class: XsFourFactorStrategy
family: factor
arm key: four_factor
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.