arm · factorXsFourFactorStrategy

Four-factor · tuned weights

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe -0.53. Across the 5-seed sweep its mean Sharpe was -0.29 (stdev 0.39, range -0.59 → 0.35).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

-0.53

sharpe

cumulative pnl

-$29.0k

max drawdown

-$79.8k

Δsharpe vs baseline

-1.77

Δpnl vs baseline

-96.1k

Cumulative pnl · 200 bars

four_factor_tunedbaseline

day 0ends: -$29.0k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean -0.29 · stdev 0.39

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 -0.53
negative draw
-0.53
seed 8
sharpe -0.19
negative draw
-0.19
seed 9
sharpe -0.50
negative draw
-0.50
seed 10
sharpe 0.35
positive draw
0.35
seed 11
sharpe -0.59
negative draw
-0.59

min -0.59max 0.35vs baseline mean -1.29

Per-symbol contribution · seed 7

10 symbols · 4 winners · 6 losers

Where the arm's PnL actually came from. Each universe symbol's contribution to the -$29.0k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

CCC67d long · 33d short · 99d flat
+$33.7k
CCC · 34% long, 17% short, 50% flat
+$33.7k
JJJ55d long · 68d short · 76d flat
+$29.6k
JJJ · 28% long, 34% short, 38% flat
+$29.6k
BBB83d long · 11d short · 105d flat
+$18.9k
BBB · 42% long, 6% short, 53% flat
+$18.9k
GGG23d long · 80d short · 96d flat
+$9.2k
GGG · 12% long, 40% short, 48% flat
+$9.2k
III64d long · 34d short · 101d flat
-$0.2k
III · 32% long, 17% short, 51% flat
-$0.2k
AAA46d long · 56d short · 97d flat
-$3.4k
AAA · 23% long, 28% short, 49% flat
-$3.4k
EEE50d long · 69d short · 80d flat
-$15.0k
EEE · 25% long, 35% short, 40% flat
-$15.0k
HHH61d long · 50d short · 88d flat
-$22.6k
HHH · 31% long, 25% short, 44% flat
-$22.6k
DDD39d long · 50d short · 110d flat
-$28.4k
DDD · 20% long, 25% short, 55% flat
-$28.4k
FFF49d long · 86d short · 64d flat
-$50.8k
FFF · 25% long, 43% short, 32% flat
-$50.8k

Contributions sum to the arm's final cumulative PnL (-$29.0k). 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_tuned
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.