- overnight_book: swapping the all-day momentum sleeve for the overnight-only
one lifts the three-sleeve book from Sharpe 0.98 to 1.38 (halves 1.16/1.64)
and MaxDD from -37% to -17% at 1 bp a side; at 4 bp the gain is gone.
- overnight_book_mf: at the leverage for 50%/yr, a DBMF sleeve leaves the
levered MaxDD unchanged (~-36%) and needs more leverage; no CTA sleeve.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
