EXP-000209
METRO — 70/30 split stability of the monthly profile
假设
The monthly return profile of the first 70% of the backtest (positive-month share, mean monthly return) persists in the final 30%.
受控更改
No change to the system. Deterministic analysis over the extracted monthly series; decision rule fixed before computation.
数据集与条件
Extracted monthly returns, chronological 70/30 split at month 172 of 246.
更改前 / 更改后
更改前
- 期间
- 2003-05 → 2018-09
- 月数
- 172
- 盈利月占比
- 84.3%
- 平均月收益
- 1.25%
- 最差月份
- -28.92%
更改后
- 期间
- 2018-10 → 2026-02
- 月数
- 74
- 盈利月占比
- 95.95%
- 平均月收益
- 0.35%
- 最差月份
- -7.38%
差异
验证
样本外、步进、蒙特卡洛与前向结果仅在数据存在时显示。本条目不存在这些数据。
决定
Late window kept a positive mean month (0.35%) and its positive-month share (95.95%) stayed within 10pp of the early window (84.3%).
AI 参与
- 模型
- Claude (Anthropic)
- AI 做了什么
- Authored the split-analysis tooling. The 70/30 split and the decision rule were fixed by a human before any run.
- 人工审核
- ✓ 已经人工审核并批准
AI 辅助的条目仅在人工审核后发布；未经审核的 AI 生成条目会被构建流程扣留。AI 不预测市场，也没有任何条目作此宣称。
备注
Not out-of-sample validation: the optimisation window of this system is undocumented, so the late 30% may have been seen during tuning. This is a stability check on the recorded equity path.
回测的改进不代表未来的改进。实验越多，碰巧成功的概率越高——本日志的存在部分正是为了让多重检验风险保持可见。