1-Day Momentum

ConvexPi · scored through 2026-09-16

Live Sharpe · forward-only

0.12*

over 54 sessions · ±2.2 standard error

Is the edge real?

too early

deflated Sharpe 0.38

Provisional: under 60 live sessions, so this model is ranked on its backtest for now. An annualised Sharpe from n days carries a standard error near √(252/n) — most short records are indistinguishable from zero.

Live equity curve · vol-scaled to 10%

Live daily PnL, each model rescaled to 10% annualised volatility and then compounded. Scaling removes leverage from the comparison, so the curves show timing skill rather than bet size. A line starts on the model's first live session, so shorter lines are newer models, not flat ones.

Metrics

Live · forward-only

Sharpe (net of costs): 0.12
Sharpe before costs: 0.63
Cumulative PnL: 0.2%
Given up to costs: 1.19%
Hit rate: 46%
vs buy & hold (info ratio): -0.17
Turnover: 56% of sessions
Sessions: 54

Backtest · 252-day walk-forward

Sharpe (net of costs): 0.16
Sharpe before costs: 0.52
Cumulative PnL: 1.2%
Given up to costs: 4.87%
vs buy & hold: -12.9%
vs buy & hold (info ratio): -0.64
Turnover: 47% of sessions

Forecast history

Session	Forecast	Position	Actual	PnL
2026-09-16	-0.447%	short	—	—
2026-09-15	-0.449%	short	-0.45%	0.45%
2026-09-14	-0.483%	short	-0.45%	0.45%
2026-09-11	0.860%	long	-0.48%	-0.48%
2026-09-10	-0.585%	short	0.86%	-0.86%
2026-09-09	-0.484%	short	-0.58%	0.58%
2026-09-08	-0.584%	short	-0.48%	0.48%
2026-09-04	-0.376%	short	-0.58%	0.58%
2026-09-03	1.058%	long	-0.38%	-0.38%
2026-09-02	0.460%	long	1.06%	1.06%
2026-09-01	-0.711%	short	0.46%	-0.46%
2026-08-31	-0.332%	short	-0.71%	0.71%
2026-08-28	-0.249%	short	-0.33%	0.33%
2026-08-27	0.720%	long	-0.25%	-0.25%
2026-08-26	-0.021%	short	0.72%	-0.72%
2026-08-25	0.319%	long	-0.02%	-0.02%
2026-08-24	-0.280%	short	0.32%	-0.32%
2026-08-21	0.435%	long	-0.28%	-0.28%
2026-08-20	-0.867%	short	0.43%	-0.43%
2026-08-19	0.211%	long	-0.87%	-0.87%
2026-08-18	-0.688%	short	0.21%	-0.21%
2026-08-17	-0.523%	short	-0.69%	0.69%
2026-08-14	-0.170%	short	-0.52%	0.52%
2026-08-13	0.652%	long	-0.17%	-0.17%
2026-08-12	0.263%	long	0.65%	0.65%
2026-08-11	-0.321%	short	0.26%	-0.26%
2026-08-10	-0.058%	short	-0.32%	0.32%
2026-08-07	0.618%	long	-0.06%	-0.06%
2026-08-06	-0.176%	short	0.62%	-0.62%
2026-08-05	-0.168%	short	-0.18%	0.18%
2026-08-04	1.790%	long	-0.17%	-0.17%
2026-08-03	1.479%	long	1.79%	1.79%
2026-07-31	0.700%	long	1.48%	1.48%
2026-07-30	1.660%	long	0.70%	0.70%
2026-07-29	-1.516%	short	1.66%	-1.66%
2026-07-28	0.210%	long	-1.52%	-1.52%
2026-07-27	0.016%	long	0.21%	0.21%
2026-07-24	0.050%	long	0.02%	0.02%
2026-07-23	-1.209%	short	0.05%	-0.05%
2026-07-22	-0.136%	short	-1.21%	1.21%
2026-07-21	0.886%	long	-0.14%	-0.14%
2026-07-20	-0.193%	short	0.89%	-0.89%
2026-07-17	-1.010%	short	-0.19%	0.19%
2026-07-16	-0.510%	short	-1.01%	1.01%
2026-07-15	0.382%	long	-0.51%	-0.51%
2026-07-14	0.376%	long	0.38%	0.38%
2026-07-13	-0.793%	short	0.38%	-0.38%
2026-07-10	0.421%	long	-0.79%	-0.79%
2026-07-09	0.814%	long	0.42%	0.42%
2026-07-08	-0.282%	short	0.81%	-0.81%
2026-07-07	-0.446%	short	-0.28%	0.28%
2026-07-06	0.724%	long	-0.45%	-0.45%
2026-07-02	0.000%	long	0.72%	0.72%
2026-07-01	-0.215%	short	0.00%	-0.00%
2026-06-30	0.792%	long	-0.22%	-0.22%

The most recent row is the call for the next unrealized session — actual and PnL fill in after that close. PnL here is gross; the Sharpe and cumulative figures above are net of turnover costs.