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-1994) | +0.58 |
| Out-of-sample (≥ 1994) | -0.06 |
| Last 10 years | -0.33 |
Verdict: dormant. Run it on live data in Colab · view the code