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.
−15.4 pts
Max drawdown reduction on STOXX (35.5% → 20.1%)
0.62
STOXX Sharpe
vs 0.49 buy & hold
20.1%
STOXX max drawdown
vs 35.5%
0.72
S&P 500 Sharpe
vs 0.74 — no edge
3
Regime states
Risk-On / Neutral / Risk-Off
Validation protocol Walk-forward · Gaussian HMM refit at each date · defensive overlay validated on non-US equities, honest about the absence of S&P 500 edge.
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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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