Objective
Port + verify US Cross-Asset Momentum vs AS metrics.
Notes: US Cross-Asset Momentum replicated 2015+: corr 0.9997 CAGRΔ +0.05%. Spec/backtest/cam.py + runner. Findings: us-cross-asset-momentum-scale-batch.md.
Approach
Reuses existing report research/findings/us-cross-asset-momentum-scale-batch.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.
Files / code / data changed
Associated commits (inferred from log grep t36):
0e4b4c56research: t36 US Cross-Asset Momentum replicated vs AS (#34)0e4b4c56research: t36 US Cross-Asset Momentum replicated vs AS (#34)- Source report:
research/findings/us-cross-asset-momentum-scale-batch.md - Task-history entry:
research/findings/task-history.json#t36
Results
Key table from source report (preserved):
| id | monthly corr | overlap CAGRΔ | status |
|---|---|---|---|
| us-cross-asset-momentum | 0.9997 | +0.05% | replicated |
Conclusions and metrics are in research/findings/us-cross-asset-momentum-scale-batch.md; see detail page for preserved tables/metrics.
Conclusions
US Cross-Asset Momentum replicated 2015+: corr 0.9997 CAGRΔ +0.05%. Spec/backtest/cam.py + runner. Findings: us-cross-asset-momentum-scale-batch.md.
Problems / follow-ups
- See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.
Links
- Task-history:
research/findings/task-history.jsonidt36 - Findings:
research/findings/us-cross-asset-momentum-scale-batch.md - Commits:
0e4b4c56,0e4b4c56