equity_momentum_xs through-cycle stress

The question

Is the post-earnings-announcement-drift edge durable and broad-based across the population, or driven by a handful of outlier names? The core go-live question for the equities sleeve.

How it was tested

The hypothesis, its exact trigger, the outcome it predicts, and the pass/fail bar were written down and cryptographically hash-locked before any data was tested, then held through a mandatory cooling-off period. The backfill ran exactly once against those frozen parameters — no re-tuning, no curve-fitting — using adversarial statistics (stationary-bootstrap confidence intervals, multiple-testing correction, purged cross-validation with an embargo, and walk-forward out-of-sample splits). The specific trigger thresholds are proprietary and omitted here.

The outcome

RAN 2026-06-11 → MARGINAL_HOLD (hold the ramp at 0.75; live n binding per Rule #1). Through-cycle NET Sharpe 0.33 @ pessimistic 60bps (gross 0.90), bootstrap lo95 −0.12 straddles 0; BUT not crash-fragile: momentum-crash windows benign (2009-Q2 DD 7.4%, COVID-Q1 0.0%), 5/5 purged folds, every-regime pass (2021 −14.75% worst). CONFIRMS the 5yr 'Sharpe 4.19' was an annualization artifact (legacy method reproduces 4.12; √252 applied to monthly periods — lib/agents/equity-momentum-xs-backfill.ts:170). Survivorship ⇒ all numbers upper bounds. data/backfill/equity_momentum_xs_stress_2026-06-11.json.

The backfill ran and concluded — the hypothesis did not fail, but the result is informational rather than a clean strategy-grade pass. See the outcome below.