jgrusewski ca3877c328 feat(surfer): execution-realism stress — honest momentum magnitude ~0.4-0.6 ...

Realism layers on PIT mom_20 TOPK=50: robust to 20bp (+0.59) and liquidity floor
(top-50 already deep, no effect); death-spiral exclusion +0.60. Winsorize +/-20%/day
cuts to +0.50 and weakens 2021/22 -> edge leans partly on large moves. COMBINED
realistic stress +0.18 (CPCV~0); HARSH negative. winsor likely over-conservative ->
true deployable Sharpe ~0.4-0.6, not the 0.76 headline. Real but modest edge; recent
years strongest. Deploy needs signal-robustness refinement + diversifying 2nd edge.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-06 16:07:31 +02:00

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