arm · factorXsThreeFactorStrategy

Three-factor · momentum + z-score + vol

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe -0.27. Across the 5-seed sweep its mean Sharpe was -0.22 (stdev 0.57, range -0.88 → 0.39).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

-0.27

sharpe

cumulative pnl

-$16.1k

max drawdown

-$64.8k

Δsharpe vs baseline

-1.51

Δpnl vs baseline

-83.3k

Cumulative pnl · 200 bars

three_factorbaseline

day 0ends: -$16.1k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean -0.22 · stdev 0.57

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 -0.27
negative draw
-0.27
seed 8
sharpe -0.88
negative draw
-0.88
seed 9
sharpe 0.33
positive draw
0.33
seed 10
sharpe 0.39
positive draw
0.39
seed 11
sharpe -0.66
negative draw
-0.66

min -0.88max 0.39vs baseline mean -1.22

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 -$16.1k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

JJJ55d long · 58d short · 86d flat
+$51.9k
JJJ · 28% long, 29% short, 43% flat
+$51.9k
CCC70d long · 39d short · 90d flat
+$27.3k
CCC · 35% long, 20% short, 45% flat
+$27.3k
BBB86d long · 6d short · 107d flat
+$13.6k
BBB · 43% long, 3% short, 54% flat
+$13.6k
GGG23d long · 91d short · 85d flat
+$2.2k
GGG · 12% long, 46% short, 43% flat
+$2.2k
AAA41d long · 64d short · 94d flat
+$0.2k
AAA · 21% long, 32% short, 47% flat
+$0.2k
III65d long · 27d short · 107d flat
-$0.8k
III · 33% long, 14% short, 54% flat
-$0.8k
HHH53d long · 53d short · 93d flat
-$11.5k
HHH · 27% long, 27% short, 47% flat
-$11.5k
DDD52d long · 49d short · 98d flat
-$13.7k
DDD · 26% long, 25% short, 49% flat
-$13.7k
EEE42d long · 68d short · 89d flat
-$38.3k
EEE · 21% long, 34% short, 45% flat
-$38.3k
FFF50d long · 82d short · 67d flat
-$47.1k
FFF · 25% long, 41% short, 34% flat
-$47.1k

Contributions sum to the arm's final cumulative PnL (-$16.1k). 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: XsThreeFactorStrategy
family: factor
arm key: three_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.