Transformer regime allocator

Correlation, liquidity and dispersion · three strategy sleeves plus cash · no neutrality

Period	Held-out rows	Return	Sharpe	Alpha	Max drawdown	Passed
1	760–1020	13.37%	1.58	0.12	-8.20%	Yes
2	1020–1280	48.20%	2.03	0.40	-18.35%	Yes
3	1280–1540	2.38%	0.23	0.02	-11.00%	Yes
4	1540–1800	34.57%	2.14	0.30	-7.26%	Yes
5	1800–2060	4.01%	0.45	0.05	-6.97%	Yes
Five-period average		20.51%	1.28	0.18	-10.36%	5/5

Period 1: 760–1020

Transformer and allocation parameters: {'d_model': 16, 'encoder_layers': 2, 'dropout': 0.20, 'smoothing_half_life': 1.40, 'max_sleeve_weight': 0.47, 'rebalance_every_bars': 20, 'median_inner_sharpe': 1.73}

cross_asset_mv: GDDY, ERIE, WMB, AES; parameters {'z_threshold': 2.00}
momentum_trending: MCK, GPC, NRG, MOH, INCY; parameters {'z_threshold': 1.50, 'roll': 20}
cross_asset_momentum_trending: APTV, REGN, MCK, UHS, TGT; parameters {'z_threshold': 2.00, 'roll': 20}

Period 2: 1020–1280

Transformer and allocation parameters: {'d_model': 16, 'encoder_layers': 2, 'dropout': 0.20, 'smoothing_half_life': 1.36, 'max_sleeve_weight': 0.41, 'rebalance_every_bars': 5, 'median_inner_sharpe': 1.89}

cross_asset_mv: ADBE, CPT, ORLY, NDSN, DOC, SW; parameters {'z_threshold': 1.50}
momentum_trending: SLB, TDY, EQT, AXON; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: EFX, APO, UHS, MCK; parameters {'z_threshold': 1.50, 'roll': 20}

Period 3: 1280–1540

Transformer and allocation parameters: {'d_model': 8, 'encoder_layers': 1, 'dropout': 0.10, 'smoothing_half_life': 19.56, 'max_sleeve_weight': 0.75, 'rebalance_every_bars': 20, 'median_inner_sharpe': 1.54}

cross_asset_mv: SW, GILD, KDP, DHI, AMAT, TTWO; parameters {'z_threshold': 2.00}
momentum_trending: TRMB, HAS, CPB, CZR; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: BX, CZR, EMN, WAB; parameters {'z_threshold': 2.00, 'roll': 20}

Period 4: 1540–1800

Transformer and allocation parameters: {'d_model': 8, 'encoder_layers': 1, 'dropout': 0.10, 'smoothing_half_life': 17.84, 'max_sleeve_weight': 0.26, 'rebalance_every_bars': 20, 'median_inner_sharpe': 1.12}

cross_asset_mv: SW, LRCX, LEN, EXPE; parameters {'z_threshold': 2.50}
momentum_trending: APA, RCL, EBAY, DXCM, WYNN; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: CZR, LULU, MHK, NEM; parameters {'z_threshold': 2.00, 'roll': 20}

Period 5: 1800–2060

Transformer and allocation parameters: {'d_model': 8, 'encoder_layers': 1, 'dropout': 0.10, 'smoothing_half_life': 4.07, 'max_sleeve_weight': 0.95, 'rebalance_every_bars': 20, 'median_inner_sharpe': 0.53}

cross_asset_mv: IVZ, XOM, ISRG, CNC; parameters {'z_threshold': 2.00}
momentum_trending: AMT, ZBRA, ENPH, VZ; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: PODD, TECH, BX, FSLR; parameters {'z_threshold': 2.50, 'roll': 20}