{
  "study": "H18 curated cross-asset trend book (bucket equal-risk)",
  "window_oos": "2021-01-01..2026-06-30",
  "method": "offline numpy (scipy/statsmodels hand-rolled); effective_bets=(sum lambda)^2/sum(lambda^2) of leg/bucket return-contribution corr matrix; permutation=per-leg circular-shift exposure-matched random timing; bootstrap=Politis-Romano stationary block=21 B=8000 rf=0 business-day grid",
  "effective_bets": {
    "H18_instrument_realized_legPnL": 8.9,
    "H18_bucket_realized_legPnL": 6.54,
    "H18_bucket_LEAN_streams": 6.5,
    "H18_asset_unconditional": 6.6,
    "H18_nocrypto_instrument": 8.05,
    "H18_nocrypto_bucket": 5.83,
    "H11_22ETF_universe_unconditional": 4.34,
    "H11_realized_prior": "~2-3 (registry/memory)",
    "crypto_book_prior": 2.7,
    "target": ">=6-8",
    "verdict_axis": "MET"
  },
  "permutation_timing_p": {
    "H18_full_book_perleg": 0.551,
    "H18_full_book_global": 0.371,
    "H18_nocrypto_perleg": 0.685,
    "single_BTC_voltarget_perleg": 0.153,
    "single_BTC_raw_ref_B2": 0.41,
    "target": "<0.10 (PASS) / <0.15 (MIXED)",
    "verdict_axis": "FAILED (0.55 >> 0.15; diversification washed out BTC's marginal skill)"
  },
  "bootstrap_sharpe_ci_rf0_bizday": {
    "H18_book_oos": {
      "obs": 0.716,
      "ci": [
        0.004,
        1.439
      ],
      "median": 0.719,
      "t": 1.93,
      "p1sided": 0.0266
    },
    "BTC_raw252_oos": {
      "obs": 0.847,
      "ci": [
        0.158,
        1.53
      ],
      "p1sided": 0.0077
    }
  },
  "dsr": {
    "book_best_net_sharpe": 0.608,
    "num_trials": 7,
    "cross_trial_sr_std": 0.157,
    "exp_max_sr": 0.218,
    "DSR_P": 0.824
  },
  "mclean_pontiff_x074": {
    "headline_0.307": 0.227,
    "best_0.61": 0.451
  },
  "per_bucket_standalone_sharpe_rf0_LEAN": {
    "metals": 0.6,
    "equity": 0.5,
    "crypto": 0.48,
    "ags": 0.44,
    "commodity": 0.4,
    "energy": 0.33,
    "reit": 0.29,
    "credit": -0.09,
    "fx": -0.12,
    "inflation": -0.35,
    "rates": -0.59
  },
  "cost_sweep_book_oos_net_sharpe": {
    "0bps": 0.312,
    "lo_0.5_25bps": 0.31,
    "base_1_50bps": 0.307,
    "hi_5_100bps": 0.289,
    "turnover_x_per_yr": 1.84
  },
  "vol_sweep_book_oos": {
    "vol0.134": {
      "sharpe": 0.408,
      "beta": 0.818
    },
    "vol0.219": {
      "sharpe": 0.442,
      "beta": 1.35
    },
    "vol0.296": {
      "sharpe": 0.522,
      "beta": 1.8
    },
    "vol0.351": {
      "sharpe": 0.608,
      "beta": 2.0
    },
    "vol0.379": {
      "sharpe": 0.574,
      "beta": 2.2
    },
    "note": "Sharpe rises monotonically with leverage (rate-drag dilution) but beta explodes to 2.0 = levered equity, not diversified trend"
  }
}