jgrusewski 99b747ad2c feat(surfer): turnover optimization resolves capacity — deployable momentum spec ...

Weekly rebalance + 5d weight-smoothing + top-30 liquid: gross Sharpe +0.80->+0.94
(smoothing cuts whipsaw), turnover 30%->10.6%, capacity dead-by-$20M -> net +0.76/$5M,
+0.58/$20M, +0.38/$50M, viable ~$100M. top-30 = breadth/liquidity optimum. The
small-capacity verdict was a daily-rebalance artifact. DEPLOYABLE SPEC: crypto XS
momentum, top-30 liquid perps, 20d signal, weekly rebal + 5d smoothing, market-neutral,
net Sharpe ~0.6-0.8 at $5-20M, survivorship-confirmed. Single edge (no validated diversifier).

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

2026-06-06 16:20:12 +02:00

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