sweep v2 verdict: PASS (DSR 0.998, PBO 0.26) + era analysis

README.md

@@ -7,7 +7,8 @@ tags: [ml-intern, crypto, finance, backtesting, evaluation]
 [![Built with ML Intern](https://huggingface.co/datasets/huggingface/badges/resolve/main/built-with-ml-intern-sm.svg)](https://hf.co/chat?mode=ml-intern)
 
 Institutional-grade evaluation harness for crypto quant trading strategies,
-plus a systematic strategy sweep. The companion dataset lives at
+plus systematic strategy sweeps (hourly single-asset and daily multi-asset).
+The companion dataset lives at
 [Avi-L/crypto-quant-eval-data](https://huggingface.co/datasets/Avi-L/crypto-quant-eval-data).
 
 ## What this eval measures
@@ -44,7 +45,37 @@ Strategies are functions `(bars, funding) -> positions`; add yours to
 structurally: a bar starting at `t` closes at `t+freq`, so signals use
 `shift_bars` (last closed bar at `t-1`); the engine and audit catch peeking.
 
-## Strategy sweep verdict (2026-10-25, corrected cost model)
+## Strategy sweep v2 — daily multi-asset panel (2026-10-25): **PASS**
+
+66 configurations (panel TSMOM/Donchian × 24+8, XS momentum ± trend filter
+× 18, single-asset BTC/ETH long-only trend × 16) through the full gates on
+**daily data 2014-01 → 2026-10, 4,526 days × 8 majors** (coinmetrics VWAP
+index, 5bps/2bps fees, per-asset ADV impact, 0.1095 APR funding drag).
+
+**Winner: Donchian 20d long-only on ETH — the first config to clear every gate:**
+
+| Gate | Value | Required | |
+|---|---|---|---|
+| Deflated Sharpe (66 trials) | **0.9981** | > 0.95 | ✅ |
+| PBO (CSCV, 8 splits) | **0.257** | ≤ 0.5 | ✅ |
+| Leakage audit (15 CPCV combos) | OK | no leakage | ✅ |
+| OOS mean SR (CPCV, purge+embargo 5d) | **1.48** | — | 15/15 combos positive |
+| Full-sample SR / MDD | 1.56 / −61% | — | skew +1.28, kurt 18 |
+
+**Era analysis (mandatory honesty check):** the ETH winner's edge
+concentrates pre-2022 (2023-26 era SR **0.50**). The **era-stable** picks are
+BTC long-only trend: Donchian 200d (recent-era SR **0.92**, full 0.93),
+TSMOM 50d (recent 0.89), Donchian 20d (recent 0.87) — lower full-sample SR
+(~0.9) but no era decay. Engine fix found during this sweep: the portfolio
+divisor previously granted implicit early-era leverage; corrected (unlisted
+capital = cash), which *lowered* all panel numbers — the PASS survived the fix.
+
+Read: long-only trend following on daily crypto is a statistically
+significant, era-stable (BTC) edge after full institutional costs — with
+−60/−80% drawdowns inherent to the unlevered profile and an edge magnitude
+that decays as the market matures.
+
+## Strategy sweep v1 — hourly single-asset (2026-10-25): **FAIL**
 
 Run on real curated data: BTCUSDT 1h, 59,654 bars (2020-01 → 2026-10),
 5,295 funding ticks, $1M initial capital, CPCV N=6/K=2, horizon=embargo=8h.