jgrusewski 2b36929b5f test(crypto): clean OOS for cross-venue arb (IS-pick config -> OOS-blind apply) ...

The hysteresis params were chosen by looking at the data = in-sample. Clean OOS protocol (same
that killed PEAD): pick best config on first 60% by IS Sharpe, apply EXACT config blind to last
40%. Reports IS-best -> OOS Sharpe, robustness (configs IS>2 that also OOS>1), OOS per-month.
Decisive: OOS holds -> real; OOS collapses -> in-sample fit. Monitor armed.

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

2026-06-07 19:03:30 +02:00

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