- combination study: PORT LF4h (BTC+ETH) Sharpe 1.32 DD 12.3% remains best
- RV ETH/BTC market-neutral sleeve is genuinely uncorrelated (~0.05) but too weak
(Sharpe 0.27) to raise portfolio Sharpe; combining the two TF configs is redundant
(same-asset cross-config corr 0.80)
- trackD_timing.py: same TSMOM 1-3-6m blend config sampled at 15m/1h/4h/1d
- robust plateau across all TFs; 4h marginally best (LF Sharpe 1.36, DD 13.8%)
- per-year PnL and per-year max drawdown tables
- trackA trend, trackB ML, trackC mean-rev, trackD trend-portfolio, trackE xsec/ensemble
- VERDICT: Track D vol-targeted BTC+ETH trend portfolio is the one robust deployable
earner (Sharpe 1.0-1.32, DD 13-19%, positive every year 2019-2026)
- mean-reversion confirmed dead on clean data; weak-but-real ML/trend residuals
- honest: EUR50/day on 2000 in 1-2y is not reachable (needs ~137k capital or ruinous DD)
Adriano