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      "title": "Strategy report",
      "href": "../strategies/schwoerer-semis-signal.html",
      "status": "ok",
      "note": "Equity, allocations, and replication metrics."
    },
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    }
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    "verdict": "Semis Signal (Schwoerer) receives a research grade of C (composite 69 / 100) on Paper-to-Profit robustness tests run against published monthly ours versus SPY. Some robustness tests pass, but edge, costs, or regimes are mixed enough that this is not a standalone standout.",
    "edge": "The path makes money vs zero (p=0.000) but is not a significant edge versus SPY (p=0.393, excess 0.19% per month). Same failure mode as a strategy that only rides beta.",
    "bootstrap": "Block bootstrap of consecutive months (400 paths): P(beat SPY) over 6.0 months is 51%; over 24.0 months is 64%. This is the Paper-to-Profit 'realistic path' test, not a reshuffled iid sample.",
    "persistence": "36% of 12-month OLS windows have a significantly positive slope and 25% are significantly negative. Terminal strategy/SPY wealth ratio is 1.84. A steadily rising log-relative-wealth line is the decay test from the tutorial; a late collapse is a warning.",
    "stability": "70/30 OOS/IS Sharpe ratio is 1.44; second/first-half Sharpe ratio is 1.70. Walk-forward parameter search is not estimable on a frozen catalog snapshot; this split is the overfit proxy. Return-space noise did not halve Sharpe on the tested grid.",
    "cost": "Average daily turnover is 0.662%. Additional one-way costs through 24 bps did not cut Sharpe in half. That is the tutorial's cost-robust case.",
    "regimes": "The path beats SPY in 58% of classified months (4.0/6.0 regimes). In bear/strong-bear/vol-down months it beats SPY 100% of the time. Crisis windows: Dot-com bust: strategy -22.4% vs SPY -27.7%; Global Financial Crisis: strategy 9.5% vs SPY -46.0%; COVID crash: strategy -12.9% vs SPY -19.4%; 2022 inflation shock: strategy -12.4% vs SPY -23.9%.",
    "headline": "Published CAGR 12.61% / Sharpe 0.98 / max DD -22.9% over 295 months. Those headline stats are context only; the grade is the robustness tests above.",
    "limitations": "Tests use published monthly ours, already lagged one bar in the engine, versus SPY. t-tests assume roughly comparable monthly means; Wilcoxon is shown as a non-normal check. Bootstrap paths are overlapping consecutive months (not iid reshuffles). Noise is added to monthly returns, not to OHLC, because this producer does not rerun backtests. Walk-forward parameter optimization, SPA, and PBO are not estimable without a trial ledger. Fee drag is extra one-way bps on catalog average daily turnover, on top of the published costed path."
  },
  "ranks": {
    "cagr": 79.70297029702971,
    "sharpe": 36.13861386138614,
    "score": 92.57425742574257
  },
  "generated_at": "2026-09-22T18:23:05Z"
}