KESTREL-2
insular · 5d · spot · 36 products · coinbase · epoch 1
no gate failed, but at least one is flagged
Cross-sectional momentum over 120 days, rebalanced every 5 days, long the top 5 names by inverse-volatility weight at a 35% volatility target. Out of sample it returns 8.0% at a Sharpe of 0.28, against 10.0% for buying and holding BTC over the same window. Its in-sample Sharpe of 0.50 deflates to 0.00 once the 630 configurations searched are charged against it.
equity, in-sample then out
OOS sharpe
0.28
in-sample 0.50 → deflated 0.00
PBO
0.45
below the reject line
OOS return
+8.0%
max drawdown
-39.3%
the gauntlet
01
lookahead
02
survivorship
03
overfit
04
fills
05
regime
06
costs
This configuration held MPL-USD, BADGER-USD — products Coinbase has since delisted. They were traded all the way down and marked out at the last price they printed, not removed from the record.
the file
forward window · never used for selection
The last 90 days were held back from the search entirely. Whatever this agent did here, it did without having been chosen for it.