arm · regime-gateXsMomentumWithSpreadFilterStrategy

Spread filter · tuned threshold

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe 0.83. Across the 5-seed sweep its mean Sharpe was 1.02 (stdev 1.00, range -0.26 → 2.10).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

0.83

sharpe

cumulative pnl

+$37.2k

max drawdown

-$31.1k

Δsharpe vs baseline

-0.41

Δpnl vs baseline

-30.0k

Cumulative pnl · 200 bars

spread_filter_tunedbaseline

day 0ends: +$37.2k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean 1.02 · stdev 1.00

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 0.83
positive draw
0.83
seed 8
sharpe 1.95
positive draw
1.95
seed 9
sharpe -0.26
negative draw
-0.26
seed 10
sharpe 0.47
positive draw
0.47
seed 11
sharpe 2.10
positive draw
2.10

min -0.26max 2.10vs baseline mean +0.02

Per-symbol contribution · seed 7

10 symbols · 6 winners · 4 losers

Where the arm's PnL actually came from. Each universe symbol's contribution to the +$37.2k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

EEE50d long · 26d short · 123d flat
+$24.7k
EEE · 25% long, 13% short, 62% flat
+$24.7k
FFF68d long · 17d short · 114d flat
+$19.3k
FFF · 34% long, 9% short, 57% flat
+$19.3k
BBB3d long · 71d short · 125d flat
+$10.9k
BBB · 2% long, 36% short, 63% flat
+$10.9k
III24d long · 52d short · 123d flat
+$6.0k
III · 12% long, 26% short, 62% flat
+$6.0k
CCC19d long · 34d short · 146d flat
+$4.4k
CCC · 10% long, 17% short, 73% flat
+$4.4k
AAA46d long · 33d short · 120d flat
+$3.6k
AAA · 23% long, 17% short, 60% flat
+$3.6k
GGG49d long · 12d short · 138d flat
-$1.2k
GGG · 25% long, 6% short, 69% flat
-$1.2k
HHH34d long · 35d short · 130d flat
-$4.0k
HHH · 17% long, 18% short, 65% flat
-$4.0k
DDD22d long · 44d short · 133d flat
-$7.3k
DDD · 11% long, 22% short, 67% flat
-$7.3k
JJJ30d long · 21d short · 148d flat
-$19.1k
JJJ · 15% long, 11% short, 74% flat
-$19.1k

Contributions sum to the arm's final cumulative PnL (+$37.2k). 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 · gate on cross-sectional dispersion1.24
XsMomentumWithSpreadFilterStrategy

Strategy details

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