V14 Expanded-Cohort Bake-off (2026-05-21)
Generated: 2026-05-21T07:37:34.389Z
Scope
- Cohort: full history (no pubDate floor), BUY + SELL sign-flipped, 293,566 rows.
- OOS window: 2025-01-01 to today (32,891 rows).
- Top 10 per month, T+90, 60 bps RT, winsor +/-50%.
- Baseline for ship gate: V13.3s_sector_only (Sharpe 0.92 on this cohort).
OOS Results
| Config | T | Picks | Sharpe | CI 95 | CAGR% | MaxDD% | Win% | DSR |
|---|---|---|---|---|---|---|---|---|
| V13.3s_sector_only | 14 | 140 | 1.19 | [-0.65, 3.65] | 32.2 | -13.7 | 52.1 | 0.33 |
| V13.5_stack_baseline | 14 | 140 | 0.98 | [-0.90, 3.13] | 26.2 | -12.9 | 52.1 | 0.12 |
| V14a_symmetric | 14 | 140 | 1.06 | [-0.89, 2.90] | 27.0 | -9.7 | 52.1 | 0.20 |
| V14b_asymmetric | 14 | 140 | 1.06 | [-0.89, 2.90] | 27.0 | -9.7 | 52.1 | 0.20 |
| V14c_size_gated | 14 | 140 | 1.09 | [-0.85, 2.93] | 28.0 | -9.7 | 52.9 | 0.23 |
| V14d_proxy_only | 14 | 140 | 0.98 | [-0.90, 3.13] | 26.2 | -12.9 | 52.1 | 0.12 |
| V14e_tuned_light | 14 | 140 | 1.05 | [-0.97, 2.86] | 25.5 | -9.7 | 52.9 | 0.19 |
Ship Gate
| Check | Result |
|---|---|
| Sharpe >= 0.92 AND > V13.3s | FAIL |
| DSR drop vs V13.3s <= 0.30 | PASS |
| CI95Lo >= -2.0 | PASS |
| Verdict | KEEP V13.3s_sector_only |
Related-Insider Kind Distribution (full cohort)
| Kind | Count |
|---|---|
| controlled | 44481 |
| trust | 1701 |
| holding | 738 |
| parent | 31 |
| child | 28 |
| spouse | 20 |
Interpretation
- V14e_tuned_light scored Sharpe 1.31 on the BUY-only 60k cohort (yesterday). On the 293k expanded cohort (BUY+SELL), result above tells the truth.
- Family decls (spouse 31 + child 94 + parent 68 = 193) remain thin; multiplier may be statistically noisy.
Files
- JSON: scripts/_v13_bakeoff/stats-v14-full.json
- This doc: docs/method-review/100-v14-expanded-cohort-2026-05-21.md