Reference replication on ConvexPi
An open, verified replication of this strategy is maintained at convexpi/replications. It recomputes the strategy from underlying building blocks and scores it out of sample (the McLean & Pontiff test):
| Period | Annualized Sharpe |
|---|---|
| In-sample (pre-2008) | +0.45 |
| Out-of-sample (≥ 2008) | +0.03 |
| Last 10 years | +0.03 |
Verdict: decayed. Run it on live data in Colab · view the code