arm · event-captureXsMomentumPostEventReversalStrategy

Post-FOMC reversal · sign-flipped drift

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 -0.64 → 1.14).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

-0.64

sharpe

cumulative pnl

-$7.4k

max drawdown

-$11.7k

Δsharpe vs baseline

-1.88

Δpnl vs baseline

-74.6k

Cumulative pnl · 200 bars

reversalbaseline

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

min -0.64max 1.14vs baseline mean -0.88

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.

III3d long · 2d short · 194d flat
+$2.7k
III · 2% long, 1% short, 97% flat
+$2.7k
EEE1d long · 2d short · 196d flat
+$1.9k
EEE · 1% long, 1% short, 98% flat
+$1.9k
HHH1d long · 2d short · 196d flat
+$1.8k
HHH · 1% long, 1% short, 98% flat
+$1.8k
GGG1d long · 2d short · 196d flat
+$1.1k
GGG · 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
CCC1d long · 2d short · 196d flat
-$1.1k
CCC · 1% long, 1% short, 98% flat
-$1.1k
DDD2d long · 3d short · 194d flat
-$1.1k
DDD · 1% long, 2% short, 97% flat
-$1.1k
BBB4d long · 195d flat
-$1.7k
BBB · 2% long, 0% short, 98% flat
-$1.7k
AAA2d long · 1d short · 196d flat
-$2.8k
AAA · 1% long, 1% short, 98% flat
-$2.8k
FFF1d long · 2d short · 196d flat
-$8.8k
FFF · 1% long, 1% short, 98% flat
-$8.8k

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 drift · capture 4h after release0.64
XsMomentumPostFomcDriftStrategy

Strategy details

class: XsMomentumPostEventReversalStrategy
family: event-capture
arm key: reversal
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.