arm · time-seriesTimeSeriesMomentumStrategy

Time-series momentum · absolute-threshold

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe 0.63. Across the 5-seed sweep its mean Sharpe was 1.27 (stdev 0.78, range 0.63 → 2.14).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

0.63

sharpe

cumulative pnl

+$33.4k

max drawdown

-$53.0k

Δsharpe vs baseline

-0.61

Δpnl vs baseline

-33.8k

Cumulative pnl · 200 bars

ts_momentumbaseline

day 0ends: +$33.4k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean 1.27 · stdev 0.78

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 0.63
positive draw
0.63
seed 8
sharpe 2.14
positive draw
2.14
seed 9
sharpe 0.69
positive draw
0.69
seed 10
sharpe 2.10
positive draw
2.10
seed 11
sharpe 0.78
positive draw
0.78

min 0.63max 2.14vs baseline mean +0.27

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 +$33.4k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

EEE90d long · 39d short · 70d flat
+$23.5k
EEE · 45% long, 20% short, 35% flat
+$23.5k
GGG112d long · 16d short · 71d flat
+$23.1k
GGG · 56% long, 8% short, 36% flat
+$23.1k
DDD65d long · 60d short · 74d flat
+$21.9k
DDD · 33% long, 30% short, 37% flat
+$21.9k
FFF112d long · 36d short · 51d flat
+$21.4k
FFF · 56% long, 18% short, 26% flat
+$21.4k
III61d long · 85d short · 53d flat
+$13.3k
III · 31% long, 43% short, 27% flat
+$13.3k
AAA95d long · 47d short · 57d flat
+$9.7k
AAA · 48% long, 24% short, 28% flat
+$9.7k
BBB21d long · 92d short · 86d flat
-$8.2k
BBB · 11% long, 46% short, 43% flat
-$8.2k
HHH72d long · 52d short · 75d flat
-$13.0k
HHH · 36% long, 26% short, 38% flat
-$13.0k
CCC53d long · 58d short · 88d flat
-$22.0k
CCC · 27% long, 29% short, 44% flat
-$22.0k
JJJ64d long · 34d short · 101d flat
-$36.3k
JJJ · 32% long, 17% short, 51% flat
-$36.3k

Contributions sum to the arm's final cumulative PnL (+$33.4k). Bars share a symmetric axis around zero so a winner and a loser of the same magnitude render at the same visual length.

Strategy details

class: TimeSeriesMomentumStrategy
family: time-series
arm key: ts_momentum
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.