Continuous-weight Max Sharpe
Continuous-weight optimization over AS strategy returns (sealed full-history by default; monthly walk-forward when published with selection_mode=walk_forward_monthly). Distinct from the AS annual walk-forward Meta basket on meta-max-sharpe.
Continuous-weight optimization
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Evidence: -
Performance metrics
| Metric | Ours |
|---|
Cumulative returns
Composed from public constituent returns × published continuous weights (fixed or walk-forward).
Drawdown
Underwater path from composed monthly returns (peak-to-trough).
Monthly returns
Current strategy allocation
Latest continuous-weight sleeves from the published projection.
| Strategy sleeve | Weight |
|---|
Current asset allocation
| Asset | Weight |
|---|
Constituent-weight history
Published continuous weights (constant for sealed full-history; time-varying for monthly walk-forward).