# baseline_momentum_live_v1 Timing Sweep

Generated: `2026-06-05T18:39:11.590992+00:00`
Data source: `Alpaca daily OHLC, feed=iex, split-adjusted`
Window: `2022-07-21` to `2026-06-05`

Best by Net Sharpe Ratio: **Wednesday / close_or_moc** (`1.05`)

| Weekday | Execution | Net Sharpe | Gross Sharpe | CAGR | MaxDD | Turnover | Avg cost bps |
|---|---|---:|---:|---:|---:|---:|---:|
| Wednesday | close_or_moc | 1.05 | 1.15 | 55.3% | -39.5% | 0.93 | 9.3 |
| Wednesday | same_day_close_next_open | 0.83 | 0.93 | 37.6% | -41.3% | 0.91 | 9.1 |
| Wednesday | next_open | 0.82 | 0.91 | 38.9% | -53.1% | 0.93 | 9.3 |
| Tuesday | same_day_close_next_open | 0.78 | 0.88 | 36.4% | -53.1% | 0.92 | 9.2 |
| Thursday | close_or_moc | 0.78 | 0.89 | 34.6% | -47.6% | 0.93 | 9.3 |
| Thursday | next_open | 0.77 | 0.87 | 34.2% | -42.1% | 0.93 | 9.3 |
| Monday | same_day_close_next_open | 0.76 | 0.85 | 36.5% | -53.7% | 0.97 | 9.7 |
| Monday | next_open | 0.72 | 0.81 | 34.3% | -52.7% | 0.95 | 9.5 |
| Monday | close_or_moc | 0.70 | 0.78 | 33.2% | -54.3% | 0.95 | 9.5 |
| Friday | next_open | 0.69 | 0.79 | 28.6% | -43.7% | 0.90 | 9.0 |
| Thursday | same_day_close_next_open | 0.66 | 0.76 | 27.2% | -45.4% | 0.92 | 9.2 |
| Tuesday | next_open | 0.65 | 0.74 | 27.8% | -53.7% | 0.94 | 9.4 |
| Friday | close_or_moc | 0.55 | 0.64 | 21.1% | -45.9% | 0.90 | 9.0 |
| Friday | same_day_close_next_open | 0.51 | 0.59 | 17.8% | -56.1% | 0.93 | 9.3 |
| Tuesday | close_or_moc | 0.42 | 0.51 | 12.6% | -62.3% | 0.94 | 9.4 |