jgrusewski
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0d6d58428d
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feat(surfer): momentum robustness battery — crypto XS momentum is a robust real edge
Lookback sweep smooth+positive 5-120d (peak mom_20 DSR 0.95); coin-bootstrap 200
random half-universes frac>0=1.00, 5th-pct +0.34 (survivorship-proxy passed);
vol-scaled approx raw; survives 2x cost; IS+0.89/OOS+0.88. Crypto cross-sectional
momentum (>=45-coin breadth) passes every test that killed carry. One weakness:
negative 2019/2022 (momentum-crash) -> regime overlay. Develop-grade strongly met.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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2026-06-06 15:18:59 +02:00 |
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