Strategy · Does the score actually make money?

Equity-curve backtest of four strategies vs buy-and-hold SPY. Rebalanced on the backtest cadence, transaction costs applied to every position change. No look-ahead — positions on day t use scores from t−1.

rebalance every 14d · 1 bp = 0.01%

Long threshold (directional ≥ X)

Cash threshold (contrarian long when ≤ X)

Transaction cost (bps per trade)

Running 10Y backtest, simulating four strategies with 5 bps cost… first load takes 30–90 s.