arm · weightedXsVolWeightedMomentumStrategy

Vol-weighted momentum

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe 0.58. Across the 5-seed sweep its mean Sharpe was 1.05 (stdev 0.74, range 0.26 → 2.15).

-1.002.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

0.58

sharpe

cumulative pnl

+$30.1k

max drawdown

-$29.3k

Δsharpe vs baseline

-0.67

Δpnl vs baseline

-37.1k

Cumulative pnl · 200 bars

vol_weightedbaseline

day 0ends: +$30.1k · baseline +$67.2kday 200

Per-seed sharpe · seeds 7..11

mean 1.05 · stdev 0.74

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 0.58
positive draw
0.58
seed 8
sharpe 2.15
positive draw
2.15
seed 9
sharpe 0.26
positive draw
0.26
seed 10
sharpe 0.89
positive draw
0.89
seed 11
sharpe 1.40
positive draw
1.40

min 0.26max 2.15vs baseline mean +0.05

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 +$30.1k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

FFF91d long · 36d short · 72d flat
+$27.7k
FFF · 46% long, 18% short, 36% flat
+$27.7k
EEE73d long · 50d short · 76d flat
+$24.6k
EEE · 37% long, 25% short, 38% flat
+$24.6k
GGG89d long · 17d short · 93d flat
+$14.8k
GGG · 45% long, 9% short, 47% flat
+$14.8k
III48d long · 80d short · 71d flat
+$11.1k
III · 24% long, 40% short, 36% flat
+$11.1k
AAA68d long · 49d short · 82d flat
+$8.3k
AAA · 34% long, 25% short, 41% flat
+$8.3k
DDD41d long · 56d short · 102d flat
+$4.9k
DDD · 21% long, 28% short, 51% flat
+$4.9k
BBB8d long · 107d short · 84d flat
+$4.6k
BBB · 4% long, 54% short, 42% flat
+$4.6k
CCC31d long · 46d short · 122d flat
-$15.1k
CCC · 16% long, 23% short, 61% flat
-$15.1k
HHH53d long · 53d short · 93d flat
-$21.7k
HHH · 27% long, 27% short, 47% flat
-$21.7k
JJJ35d long · 43d short · 121d flat
-$29.2k
JJJ · 18% long, 22% short, 61% flat
-$29.2k

Contributions sum to the arm's final cumulative PnL (+$30.1k). 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: XsVolWeightedMomentumStrategy
family: weighted
arm key: vol_weighted
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.