Before revision:  Using a portfolio of 50, liquid, continuous futures contracts over the period 1990-2020, the addition of the CPD module leads to an improvement in Sharpe ratio of 33 %DIF < . Even more notably, this module is especially beneficial in periods of significant nonstationarity, and in particular, over the most recent years tested (2015-2020) the performance boost is approximately 400\\%.
After revision:  Using a portfolio of 50, liquid, continuous futures contracts over the period 1990-2020, the addition of the CPD module leads to an improvement in Sharpe ratio of  %DIF < . Even more notably, this module is especially beneficial in periods of significant nonstationarity, and in particular, over the most recent years tested (2015-2020) the performance boost is approximately 400\\%.