arm · regime-gateXsMomentumWithSpreadFilterStrategy

Spread filter · gate on cross-sectional dispersion

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe 1.24. Across the 5-seed sweep its mean Sharpe was 1.00 (stdev 0.58, range 0.17 → 1.66).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

1.24

sharpe

cumulative pnl

+$67.2k

max drawdown

-$33.1k

Δsharpe vs baseline

+0.00

Δpnl vs baseline

+0.0k

Cumulative pnl · 200 bars

spread_filterbaseline

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

Per-seed sharpe · seeds 7..11

mean 1.00 · stdev 0.58

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 1.24
positive draw
1.24
seed 8
sharpe 1.66
positive draw
1.66
seed 9
sharpe 0.17
positive draw
0.17
seed 10
sharpe 0.67
positive draw
0.67
seed 11
sharpe 1.26
positive draw
1.26

min 0.17max 1.66vs baseline mean +0.00

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 +$67.2k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

FFF88d long · 33d short · 78d flat
+$36.2k
FFF · 44% long, 17% short, 39% flat
+$36.2k
EEE71d long · 50d short · 78d flat
+$29.0k
EEE · 36% long, 25% short, 39% flat
+$29.0k
DDD46d long · 56d short · 97d flat
+$22.6k
DDD · 23% long, 28% short, 49% flat
+$22.6k
GGG91d long · 14d short · 94d flat
+$21.3k
GGG · 46% long, 7% short, 47% flat
+$21.3k
BBB7d long · 107d short · 85d flat
+$9.2k
BBB · 4% long, 54% short, 43% flat
+$9.2k
III44d long · 77d short · 78d flat
+$7.0k
III · 22% long, 39% short, 39% flat
+$7.0k
AAA68d long · 52d short · 79d flat
+$6.3k
AAA · 34% long, 26% short, 40% flat
+$6.3k
HHH47d long · 55d short · 97d flat
-$14.3k
HHH · 24% long, 28% short, 49% flat
-$14.3k
CCC35d long · 49d short · 115d flat
-$17.3k
CCC · 18% long, 25% short, 57% flat
-$17.3k
JJJ40d long · 44d short · 115d flat
-$32.7k
JJJ · 20% long, 22% short, 57% flat
-$32.7k

Contributions sum to the arm's final cumulative PnL (+$67.2k). Bars share a symmetric axis around zero so a winner and a loser of the same magnitude render at the same visual length.

Family · regime-gate

all 15 arms →

Spread filter · tuned threshold0.83
XsMomentumWithSpreadFilterStrategy

Strategy details

class: XsMomentumWithSpreadFilterStrategy
family: regime-gate
arm key: spread_filter
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.