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.
1.75
Grinold information ratio — OOS 2020–2026
1.75
Grinold IR
0.19
OOS Sharpe
0.27
OOS Sortino
9.3%
Max drawdown
Significant signals — out-of-sample IC (|t| > 2)
| Pair | Horizon | OOS IC | t-stat | N obs. |
|---|---|---|---|---|
| GBP/USD | 63 d | +0.365 | 15.8 | 1,636 |
| GBP/USD | 21 d | +0.274 | 11.7 | 1,678 |
| NZD/USD | 63 d | +0.180 | 7.4 | 1,636 |
| AUD/USD | 21 d | +0.102 | 4.2 | 1,678 |
Validation protocol Anchored walk-forward positive on 80% of segments · purged 5-fold cross-validation positive on 100% · dollar-neutral long/short portfolio.
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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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