EU-Only Sub-Strategy Bake-off (2026-05-21)

Generated: 2026-05-21T07:41:36.491Z

Motivation

V13.5_stack collapses to Sharpe 0.66 / DSR 0.05 on the 293k cohort. XNAS diagnostic (audit 101) shows the US tape inverts the picker signals: CEO buys negative, cluster negative, low-pctMcap names dominate the tails. Removing XNAS (and other unproven markets) restores conviction on the EU+adjacent subset where signs match training data.

Variants Tested

Variant	Markets	N Total	N OOS
EU_strict	XPAR/XAMS/XWBO/XBRU/XHEL/XOSL/XSTO/XETR	38,484	12,384
EU_plus_BR	EU_strict + BVMF	80,944	23,703
EU_plus_BR_minus_micro	EU_plus_BR + mcap >= 100M filter	66,236	20,305

OOS Results (2025-01-01 to today)

Variant	Scorer	T	Picks	Sharpe	CI 95	CAGR%	MaxDD%	Win%	DSR
EU_strict	V13.3s_sector_only	14	140	1.21	[-0.60, 3.71]	35.0	-10.6	55.0	0.29
EU_strict	V13.5_stack	14	140	1.18	[-0.63, 3.71]	34.1	-10.6	55.0	0.25
EU_strict	V14e_tuned_light	14	140	1.36	[-0.46, 4.20]	38.6	-10.6	55.0	0.43
EU_plus_BR	V13.3s_sector_only	14	140	1.12	[-0.72, 3.43]	30.5	-10.6	53.6	0.22
EU_plus_BR	V13.5_stack	14	140	1.16	[-0.66, 3.42]	31.3	-10.6	54.3	0.26
EU_plus_BR	V14e_tuned_light	14	140	1.27	[-0.51, 3.72]	32.6	-10.6	54.3	0.37
EU_plus_BR_minus_micro	V13.3s_sector_only	14	140	-0.65	[-2.56, 1.22]	-19.2	-38.2	48.6	-1.85
EU_plus_BR_minus_micro	V13.5_stack	14	140	-0.82	[-2.78, 0.99]	-22.6	-39.0	45.7	-2.01
EU_plus_BR_minus_micro	V14e_tuned_light	14	140	-0.90	[-3.07, 0.87]	-24.3	-42.1	47.1	-2.10

Ship Decision

Top by Sharpe: EU_strict / V14e_tuned_light -> Sharpe=1.36 DSR=0.43 CI95Lo=-0.46.

Ship candidate passing gate (Sharpe>=0.92 & DSR>=0 & CI95Lo>=-2.0): EU_strict / V14e_tuned_light.

Files

• JSON: scripts/_v13_bakeoff/stats-eu-only.json
• This doc: docs/method-review/102-eu-only-ship-2026-05-21.md