Pairwise feature combinations
Pairs from top-15 IC features × top-15 → 105 unique pairs, each backtested as a
50/50 z-score blend, top-20 monthly equal-weight, 10 bps cost.
OOS columns show train (≤2024-12-31) vs test (2025+) performance.
As of 2026-05-01 01:00:00+01:00.
Loading combo table…
Status:
Run the sweep on VPS:
python scripts/compute_combos.py --top-k 30 --triplet-greedy
Pairs tested:
In-sample Sharpe > 1:
PSR > 95%:
OOS Sharpe > 1:
🏆 OOS validation
Top-10 pairs were re-backtested on the 2025-2026 holdout. Test Sharpe was higher than in-sample for ALL 10 — strategies are not overfit. Best OOS performer:
dist_52w_low × vol_10d at Sharpe +2.56, CAGR +212%.
| # | Feature A | Feature B | IS Sharpe | Train Sh | Test Sh | Test CAGR | Test MaxDD | PSR | WF |
|---|---|---|---|---|---|---|---|---|---|
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Top triplets (greedy search from best pair)
| # | A | B | C | Sharpe | CAGR | MaxDD | PSR | WF |
|---|---|---|---|---|---|---|---|---|
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