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EQUITY MOMENTUM BACKTEST — SUMMARY REPORT
Generated: 2026-04-10 22:01
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BIAS CONTROLS APPLIED
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1. Look-ahead bias:   Signals computed only from prices available before
                      each rebalance date (strict < as_of_date filter).
2. Survivorship bias: Universe includes delisted stocks FTR (delist 2024-04-30)
                      and ETFC (delist 2024-10-15). Both participate in signal
                      ranking and portfolios until their respective delist dates.
3. Transaction costs: $0.005/share commission (min $1.00/order) + 10 bps
                      slippage applied at every monthly rebalance.
4. Walk-forward:      Rolling 12-month IS / 3-month OOS windows, 3-month step.
                      No parameter optimization — strategy is fixed 12-1 momentum.
5. Position limits:   15% max per name, 40% max per sector.

OVERALL PERFORMANCE (Full Period)
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  CAGR                          :     -2.63%
  Sharpe                        :    -0.2781
  Max Drawdown                  :    -14.51%
  Win Rate (Monthly)            :     31.43%
  Avg Monthly Return            :     -0.20%
  Annualized Vol                :      8.09%
  Calmar                        :    -0.1815
  Total Return                  :     -7.68%
  Days                          :        781

TRAIN vs VALIDATION vs TEST
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  Metric                              Train   Validation         Test
  ----------------------------------------------------------------
  CAGR                               -0.70%        6.25%      -14.04%
  Sharpe                            -0.0806       0.5889      -1.7439
  Max Drawdown                      -11.41%       -5.43%      -14.37%
  Win Rate (Monthly)                 17.65%       66.67%       22.22%
  Annualized Vol                      6.09%       10.95%        8.22%
  Calmar                            -0.0613       1.1499      -0.9768

WALK-FORWARD ANALYSIS
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  Win |              Train Period |               Test Period |  IS Sharpe | OOS Sharpe |   OOS CAGR
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    1 |  2023-02-03 to 2024-02-02 |  2024-02-05 to 2024-05-03 |     0.0441 |     1.7134 |     16.88%
    2 |  2023-05-03 to 2024-05-02 |  2024-05-03 to 2024-08-02 |     1.2946 |    -3.8492 |    -26.93%
    3 |  2023-08-03 to 2024-08-02 |  2024-08-05 to 2024-11-01 |    -0.4138 |    -0.5603 |     -4.58%
    4 |  2023-11-03 to 2024-11-01 |  2024-11-04 to 2024-12-31 |    -1.0500 |    -1.8105 |    -17.99%

  Walk-Forward Summary:
    Avg IS Sharpe:     -0.0313
    Avg OOS Sharpe:    -1.1267
    Sharpe Decay:      -3503.1%
    OOS Sharpe > 0:    1/4 windows

TRADING SUMMARY
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  Total rebalances:    23
  Total costs:         $6,598.25
  Avg cost/rebalance:  $286.88
  Avg one-way turnover:  13.04%
  Annualized cost drag:   0.34%

CONCLUSION
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  Strategy does not demonstrate positive OOS performance.
  Test Sharpe: -1.7439 | Test CAGR: -14.04% | Test MaxDD: -14.37%
  Walk-forward avg OOS Sharpe: -1.1267 across 4 windows

  NOTE: Results based on synthetic GBM data. Validate on live
  market data before any deployment or capital allocation.
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