arm · factorXsTwoFactorStrategy

Two-factor · momentum + z-score

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe -0.14. Across the 5-seed sweep its mean Sharpe was -0.28 (stdev 0.68, range -1.14 → 0.37).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

-0.14

sharpe

cumulative pnl

-$8.2k

max drawdown

-$66.9k

Δsharpe vs baseline

-1.39

Δpnl vs baseline

-75.4k

Cumulative pnl · 200 bars

two_factorbaseline

day 0ends: -$8.2k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean -0.28 · stdev 0.68

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 -0.14
negative draw
-0.14
seed 8
sharpe -1.14
negative draw
-1.14
seed 9
sharpe 0.33
positive draw
0.33
seed 10
sharpe 0.37
positive draw
0.37
seed 11
sharpe -0.82
negative draw
-0.82

min -1.14max 0.37vs baseline mean -1.28

Per-symbol contribution · seed 7

10 symbols · 4 winners · 6 losers

Where the arm's PnL actually came from. Each universe symbol's contribution to the -$8.2k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

JJJ52d long · 55d short · 92d flat
+$38.3k
JJJ · 26% long, 28% short, 46% flat
+$38.3k
CCC62d long · 27d short · 110d flat
+$21.9k
CCC · 31% long, 14% short, 55% flat
+$21.9k
BBB74d long · 20d short · 105d flat
+$17.4k
BBB · 37% long, 10% short, 53% flat
+$17.4k
GGG27d long · 77d short · 95d flat
+$13.1k
GGG · 14% long, 39% short, 48% flat
+$13.1k
AAA44d long · 56d short · 99d flat
-$8.7k
AAA · 22% long, 28% short, 50% flat
-$8.7k
DDD56d long · 54d short · 89d flat
-$13.1k
DDD · 28% long, 27% short, 45% flat
-$13.1k
HHH54d long · 59d short · 86d flat
-$15.8k
HHH · 27% long, 30% short, 43% flat
-$15.8k
III66d long · 49d short · 84d flat
-$19.7k
III · 33% long, 25% short, 42% flat
-$19.7k
FFF49d long · 66d short · 84d flat
-$20.2k
FFF · 25% long, 33% short, 42% flat
-$20.2k
EEE53d long · 74d short · 72d flat
-$21.6k
EEE · 27% long, 37% short, 36% flat
-$21.6k

Contributions sum to the arm's final cumulative PnL (-$8.2k). Bars share a symmetric axis around zero so a winner and a loser of the same magnitude render at the same visual length.

Family · factor

all 15 arms →

Strategy details

class: XsTwoFactorStrategy
family: factor
arm key: two_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.