Statistical proof — Out-of-Sample
The figures below are out-of-sample (OOS), measured on data the model never saw. We also publish what does not work.
0.55
OOS Sortino — directional basket of the 6 major pairs
0.41
OOS Sharpe
0.55
OOS Sortino
6.7%
Max drawdown
8
Scored zones
Significant signals — out-of-sample IC (|t| > 2)
| Pair | Horizon | OOS IC | t-stat | N obs. |
|---|---|---|---|---|
| GBP/USD | 4 wk | +0.298 | 5.7 | 336 |
| USD/JPY | 4 wk | +0.127 | 2.3 | 336 |
Validation protocol OOS 2020–2026 · walk-forward · sign-aware surprise score (overreaction → mean reversion).
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Léo Lombardini
Trader, Economics & Quant
Passionate about market analysis and statistical modeling, Léo oversees the strategic allocation of the model portfolio and the development of Horacle Capital's quantitative frameworks, as well as writing weekly articles.
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