FOMC blackout · flatten 24h pre-event

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe 1.13. Across the 5-seed sweep its mean Sharpe was 1.03 (stdev 0.48, range 0.36 → 1.61).

-1.00 2.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

1.13

sharpe

cumulative pnl

+$59.8k

max drawdown

-$33.1k

Δsharpe vs baseline

-0.11

Δpnl vs baseline

-7.4k

Cumulative pnl · 200 bars

blackout baseline

day 0 ends: +$59.8k · baseline +$67.2k day 200

Per-seed sharpe · seeds 7..11

mean 1.03 · stdev 0.48

The single-seed lead can be a fluke. Each row below is one seed's draw at the same config — the spread across the five tells you whether the seed-7 number is signal or sample-of-one luck.

seed 7

sharpe 1.13

positive draw

1.13
seed 8

sharpe 1.61

positive draw

1.61
seed 9

sharpe 0.36

positive draw

0.36
seed 10

sharpe 0.78

positive draw

0.78
seed 11

sharpe 1.26

positive draw

1.26

min 0.36 max 1.61 vs baseline mean +0.03

Per-symbol contribution · seed 7

10 symbols · 7 winners · 3 losers

Where the arm's PnL actually came from. Each universe symbol's contribution to the +$59.8k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

EEE 69d long · 49d short · 81d flat
+$30.9k

EEE · 35% long, 25% short, 41% flat

+$30.9k
FFF 86d long · 32d short · 81d flat
+$27.4k

FFF · 43% long, 16% short, 41% flat

+$27.4k
GGG 89d long · 13d short · 97d flat
+$22.5k

GGG · 45% long, 7% short, 49% flat

+$22.5k
DDD 43d long · 54d short · 102d flat
+$21.4k

DDD · 22% long, 27% short, 51% flat

+$21.4k
III 42d long · 74d short · 83d flat
+$9.7k

III · 21% long, 37% short, 42% flat

+$9.7k
BBB 7d long · 103d short · 89d flat
+$7.5k

BBB · 4% long, 52% short, 45% flat

+$7.5k
AAA 67d long · 50d short · 82d flat
+$3.5k

AAA · 34% long, 25% short, 41% flat

+$3.5k
HHH 45d long · 54d short · 100d flat
-$12.5k

HHH · 23% long, 27% short, 50% flat

-$12.5k
CCC 33d long · 48d short · 118d flat
-$18.4k

CCC · 17% long, 24% short, 59% flat

-$18.4k
JJJ 38d long · 42d short · 119d flat
-$32.2k

JJJ · 19% long, 21% short, 60% flat

-$32.2k

Contributions sum to the arm's final cumulative PnL (+$59.8k). Bars share a symmetric axis around zero so a winner and a loser of the same magnitude render at the same visual length.

Family · event-gate

all 15 arms →

Event damping · continuous risk-off near FOMC 1.11

XsMomentumWithEventDampingStrategy

Strategy details

class: XsMomentumWithFomcBlackoutStrategy
family: event-gate
arm key: blackout
lookback: 20 bars (panel default)
long quantile: 0.3
gross leverage: 1.0

Reproduce this arm

$ uv run python scripts/build_compare_fixture.py
wrote examples/fomc_blackout_compare/results.json (15 arms)
wrote examples/fomc_blackout_compare/results_multi_seed.json (15 arms × 5 seeds)

The fixture builder holds the pinned config (seed 7, 200 bars, FOMC vol multiplier 3.0000, FOMC drift 50.0000 bps) and re-walks every arm. The Python drift test asserts bytewise equality on every CI run, so the numbers on this page match what a reader gets when they regen.