jgrusewski
|
e731c2fc2f
|
result(crypto): cross-venue funding arb PASSES clean OOS (the breakthrough)
Full-year (331d Binance-HL) clean OOS: config picked on first 60% (IS Sharpe +12.0) applied
BLIND to last 40% -> OOS Sharpe +14.9 (held), OOS +15.3%/yr, 14/14 configs robust, all 4 OOS
months positive (+11..+18), capture 0.68. The ONLY edge in the whole search to clear the clean
OOS horde that killed PEAD/equity-ML/AI4Finance. Market-neutral, no spot leg, persistent, carry
not prediction. HONEST: Sharpe 6-15 inflated (low ~1% vol -> realistic /2.5-4 -> ~3-6; real
number is return ~8-15%/yr) + sim books daily max-min assuming optimal-pair-held (capture 0.68 =
~32% reshuffle loss) -> needs held-pair-realized fix for true number, then micro-live + counterparty
mgmt. Edge EXISTS and is OOS-proven; deployable magnitude ~8-15%/yr pending fixes.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
|
2026-06-07 19:08:08 +02:00 |
|