Long-only · top-quantile momentum

At the pinned config (seed 7, 200 bars, FOMC drift 50.0000 bps) this arm scored Sharpe 1.88. Across the 5-seed sweep its mean Sharpe was 0.81 (stdev 1.49, range -0.93 → 2.45).

-1.00 2.50

Single-seed result · seed 7

200 bars · fomc drift 50.0000 bps

1.88

sharpe

cumulative pnl

+$147.1k

max drawdown

-$36.0k

Δsharpe vs baseline

+0.64

Δpnl vs baseline

+79.9k

Cumulative pnl · 200 bars

long_only baseline

day 0 ends: +$147.1k · baseline +$67.2k day 200

Per-seed sharpe · seeds 7..11

mean 0.81 · stdev 1.49

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 1.88

positive draw

1.88
seed 8

sharpe 2.45

positive draw

2.45
seed 9

sharpe -0.55

negative draw

-0.55
seed 10

sharpe -0.93

negative draw

-0.93
seed 11

sharpe 1.18

positive draw

1.18

min -0.93 max 2.45 vs baseline mean -0.20

Per-symbol contribution · seed 7

10 symbols · 6 winners · 4 losers

Where the arm's PnL actually came from. Each universe symbol's contribution to the +$147.1k total, plus how many days the arm held that symbol long / short / flat over the 200-bar window.

EEE 71d long · 128d flat
+$62.0k

EEE · 36% long, 0% short, 64% flat

+$62.0k
GGG 91d long · 108d flat
+$59.8k

GGG · 46% long, 0% short, 54% flat

+$59.8k
FFF 88d long · 111d flat
+$31.8k

FFF · 44% long, 0% short, 56% flat

+$31.8k
III 44d long · 155d flat
+$21.9k

III · 22% long, 0% short, 78% flat

+$21.9k
DDD 46d long · 153d flat
+$19.6k

DDD · 23% long, 0% short, 77% flat

+$19.6k
AAA 68d long · 131d flat
+$17.4k

AAA · 34% long, 0% short, 66% flat

+$17.4k
BBB 7d long · 192d flat
-$2.3k

BBB · 4% long, 0% short, 96% flat

-$2.3k
JJJ 40d long · 159d flat
-$18.2k

JJJ · 20% long, 0% short, 80% flat

-$18.2k
CCC 35d long · 164d flat
-$20.6k

CCC · 18% long, 0% short, 82% flat

-$20.6k
HHH 47d long · 152d flat
-$24.4k

HHH · 24% long, 0% short, 76% flat

-$24.4k

Contributions sum to the arm's final cumulative PnL (+$147.1k). Bars share a symmetric axis around zero so a winner and a loser of the same magnitude render at the same visual length.

Family · constrained

all 15 arms →

Equal-risk long-only 1.88

EqualWeightLongStrategy

Strategy details

class: XsLongOnlyMomentumStrategy
family: constrained
arm key: long_only
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.