Build and optimize an original turbulence-index strategy from t338

Objective

Build and optimize an original turbulence-index strategy from t338.

Notes: Pre-registered and implemented the original seven-asset weekly turbulence strategy with direct covariance solve, expanding rank allocation, next-close lag, SHY defense, and 10 bp costs. Added mathematical/timing/singularity tests and a pinned evaluator. Preliminary 2016+ result: 6.79% CAGR, 0.88 Sharpe, -15.55% max drawdown at 49.84% SPY exposure; t354 retains independent publish/reject gate.

Approach

[reconstructed — uncertain] No dedicated findings Markdown located for t352. Summary reconstructed from research/findings/task-history.json entry and git history. Uncertain fields: detailed approach, exact file list, and metrics beyond the task note.

Files / code / data changed

• No commit SHA confidently associated with t352 in sampled log [reconstructed — uncertain].
• Task-history entry: research/findings/task-history.json#t352

Results

Task note: Pre-registered and implemented the original seven-asset weekly turbulence strategy with direct covariance solve, expanding rank allocation, next-close lag, SHY defense, and 10 bp costs. Added mathematical/timing/singularity tests and a pinned evaluator. Preliminary 2016+ result: 6.79% CAGR, 0.88 Sharpe, -15.55% max drawdown at 49.84% SPY exposure; t354 retains independent publish/reject gate. [reconstructed — uncertain] No quantitative tables recovered for this entry; see git diff and task-history for grounds.

Conclusions

[reconstructed — uncertain] Outcome inferred from status done and task note.

Problems / follow-ups

• See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.

Links

• Task-history: research/findings/task-history.json id t352