verified results 15 arms synthetic FOMC shocks seed 7 · 200 bars

Does the event gate earn its cost?

15 cross-sectional momentum variants run against the same synthetic universe, same FOMC vol shocks, same 200-bar window. Every arm consumes the identical price stream — the only difference is the rule the strategy applies. Bars below sort Sharpe-descending; deltas anchor to the XsMomentumLiveStrategy baseline.

Synthetic data — no claim of an edge that transfers to real markets. The point is to show every arm under the same conditions so an operator can read the *relative* shape, not the absolute number.

-1.00 2.00

All arms · Sharpe on one axis

sorted high → low

Sharpe domain -1.00 → 2.00. Pnl values in synthetic dollars (the universe starts at $100 base). Max drawdown is peak-to-trough over the 200-bar window.

Across 5 seeds · mean ± stdev

seeds 7..11

The single-seed leaderboard above can be a fluke. This table re-runs the same 15 arms across 5 consecutive seeds and sorts by *mean* Sharpe — what's consistent across the sweep, not what happened to lead on one seed. The bar shows the mean; the numbers beside it show the 5-seed stdev and min/max range.

mean leader Time-series momentum · absolute-threshold

stdev 0.78 · range 0.63 → 2.14

time-series · mean 1.27 · +0.27 vs baseline

1.27
Vol-weighted momentum

stdev 0.74 · range 0.26 → 2.15

weighted · mean 1.05 · +0.05 vs baseline

1.05
FOMC blackout · flatten 24h pre-event

stdev 0.48 · range 0.36 → 1.61

event-gate · mean 1.03 · +0.03 vs baseline

1.03
Spread filter · tuned threshold

stdev 1.00 · range -0.26 → 2.10

regime-gate · mean 1.02 · +0.02 vs baseline

1.02
Event damping · continuous risk-off near FOMC

stdev 0.49 · range 0.34 → 1.62

event-gate · mean 1.01 · +0.01 vs baseline

1.01
baseline Baseline · long-short cross-sectional momentum

stdev 0.58 · range 0.17 → 1.66

baseline · mean 1.00 · +0.00 vs baseline

1.00
Spread filter · gate on cross-sectional dispersion

stdev 0.58 · range 0.17 → 1.66

regime-gate · mean 1.00 · +0.00 vs baseline

1.00
Long-only · top-quantile momentum

stdev 1.49 · range -0.93 → 2.45

constrained · mean 0.81 · -0.20 vs baseline

0.81
Equal-risk long-only

stdev 1.49 · range -0.93 → 2.45

constrained · mean 0.81 · -0.20 vs baseline

0.81
Post-FOMC reversal · sign-flipped drift

stdev 0.77 · range -0.64 → 1.14

event-capture · mean 0.12 · -0.88 vs baseline

0.12
Four-factor · adds skew

stdev 1.03 · range -1.29 → 1.51

factor · mean -0.05 · -1.06 vs baseline

-0.05
Post-FOMC drift · capture 4h after release

stdev 0.77 · range -1.14 → 0.64

event-capture · mean -0.12 · -1.12 vs baseline

-0.12
Three-factor · momentum + z-score + vol

stdev 0.57 · range -0.88 → 0.39

factor · mean -0.22 · -1.22 vs baseline

-0.22
Two-factor · momentum + z-score

stdev 0.68 · range -1.14 → 0.37

factor · mean -0.28 · -1.28 vs baseline

-0.28
Four-factor · tuned weights

stdev 0.39 · range -0.59 → 0.35

factor · mean -0.29 · -1.29 vs baseline

-0.29

What this reading changes: an arm that led on seed 7 but has stdev >1.0 across the sweep is high-variance, not actually better — the wide min/max range tells you which seed got which luck. An arm near the top with stdev under 0.58 (baseline's noise floor on this sweep) is the consistent leader.

regenerate this snapshot

$ uv run python scripts/build_compare_fixture.py
wrote examples/fomc_blackout_compare/results.json (15 arms)

These results are a committed synthetic comparison snapshot. The script uses the pinned config (seed = 7, days = 200, fomc_vol_multiplier = 3.0000, fomc_drift_bps = 50.0000) and rewrites both result files. Changes to the harness or config can change the regenerated numbers; review the diff before updating this snapshot. For other seeds or configurations, run examples/fomc_blackout_compare.py --help.