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-2006) | -0.05 |
| Out-of-sample (≥ 2006) | +0.05 |
| Last 10 years | -0.14 |
Verdict: dormant. Run it on live data in Colab · view the code