Adam preset AC/correlation/volatility

Fixed 500/260/260 rolling windows · cross-asset MV, time-series momentum and cross-asset momentum · cash allowed · no neutrality

Period	Held-out rows	Return	Sharpe	Alpha	Max drawdown	Passed
1	760–1020	5.61%	1.30	0.06	-2.25%	Yes
2	1020–1280	19.59%	3.08	0.17	-1.88%	Yes
3	1280–1540	27.93%	2.22	0.23	-8.37%	Yes
4	1540–1800	47.01%	2.42	0.39	-4.53%	Yes
5	1800–2060	-1.33%	-0.41	-0.01	-3.13%	No
Five-period average		19.76%	1.72	0.17	-4.03%	4/5

Allocation parameters: {'smoothing_half_life': 18.32, 'rebalance_every_bars': 20, 'cmv_scale': 0.54, 'mt_scale': 0.82, 'cmt_scale': 0.78, 'cash_scale': 1.53}

cross_asset_mv: MDLZ, LII, GDDY, PNC, ADBE; parameters {'z_threshold': 1.50}
momentum_trending: AXON, NRG, MOH, HAL; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: TGT, BX, GILD, EG; parameters {'z_threshold': 2.00, 'roll': 20}

Allocation parameters: {'smoothing_half_life': 16.74, 'rebalance_every_bars': 20, 'cmv_scale': 0.82, 'mt_scale': 0.51, 'cmt_scale': 1.07, 'cash_scale': 2.27}

cross_asset_mv: ADBE, SW, FFIV, MDLZ; parameters {'z_threshold': 1.50}
momentum_trending: MCK, EQT, GPC, ABBV, CAG; parameters {'z_threshold': 2.00, 'roll': 30}
cross_asset_momentum_trending: ABBV, GM, HCA, APO, MCK; parameters {'z_threshold': 2.50, 'roll': 20}

Allocation parameters: {'smoothing_half_life': 14.10, 'rebalance_every_bars': 20, 'cmv_scale': 3.10, 'mt_scale': 0.40, 'cmt_scale': 0.38, 'cash_scale': 1.89}

cross_asset_mv: SW, ADBE, NDSN, PG; parameters {'z_threshold': 1.50}
momentum_trending: CHRW, MPC, DXCM, NCLH; parameters {'z_threshold': 2.50, 'roll': 30}
cross_asset_momentum_trending: BX, CZR, HCA, UHS; parameters {'z_threshold': 2.00, 'roll': 20}

Allocation parameters: {'smoothing_half_life': 7.08, 'rebalance_every_bars': 5, 'cmv_scale': 2.33, 'mt_scale': 0.85, 'cmt_scale': 0.83, 'cash_scale': 0.56}

cross_asset_mv: SW, KMI, LMT, KEYS; parameters {'z_threshold': 1.50}
momentum_trending: RCL, PHM, HAS, DAL, LULU; parameters {'z_threshold': 1.50, 'roll': 60}
cross_asset_momentum_trending: BX, TXT, EA, HLT; parameters {'z_threshold': 2.00, 'roll': 20}

Allocation parameters: {'smoothing_half_life': 16.90, 'rebalance_every_bars': 20, 'cmv_scale': 0.52, 'mt_scale': 3.34, 'cmt_scale': 0.30, 'cash_scale': 2.00}

cross_asset_mv: SW, FFIV, SYF, VRTX; parameters {'z_threshold': 2.50}
momentum_trending: T, APD, CMG, HRL; parameters {'z_threshold': 2.50, 'roll': 60}
cross_asset_momentum_trending: TEL, AMT, CB, CZR; parameters {'z_threshold': 1.50, 'roll': 20}