Per-instrument time-series momentum + diversified trend portfolio + lead-lag,
honest IS(2024)/OOS(2025) Sharpe on non-overlapping daily P&L.
Verdict on 2y/4-instrument data: diversified trend portfolio IS Sharpe +1.98
(L10) -> OOS -0.50; per-instrument TSMOM sign-flips IS<->OOS; lead-lag ICs <0.11.
No robust edge. Conclusion: 4 instruments x 2y is underpowered by 1-2 orders of
magnitude for systematic edge discovery -- the bottleneck is data/universe, not
model. Real progress needs a broad futures universe + decades, or a less-efficient
order-book market (crypto).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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