The knowledge file: ledger, results, meta-findings, lessons, open assumptions. PROJECT_STATE.md = what runs now; this = why and what we know.
| # | Hypothesis | Verdict | Key numbers |
|---|---|---|---|
| 01 | TSMOM 1h | REJECTED | median DSR 0.39 (9y: 0.95 but 3/8 vs B&H, -90% MDDs) |
| 02 | TSMOM daily | positive, superseded | 9y per-symbol median DSR 0.911 |
| 03 | Vol-gated momentum | REJECTED | filter cuts returns more than DD |
| 04 | Mean reversion 1h | REJECTED decisively | 0/8, DSR 0.036 on 9y |
| 05 | Carry (funding) | premium CONFIRMED, infra deferred | 5.8-7.9%/yr gross, SOL negative; needs 2 legs -> own-capital, post-eval |
| 06 | Vol-target sizing | SURVIVED -> deployed (V1) | the cure for MDD; prop-fit maker |
| 07 | Donchian breakout | strong but superseded | per-symbol median DSR 0.947; loses to vol-target under 3% daily-loss rules |
| V2 | BTC dominance rotation | KILLED at info stage | 0/3 lookbacks; quadrants contradict own logic |
| 08 | Funding extremes contrarian | KILLED — backwards | high funding -> HIGHER fwd returns |
| 09 | Calendar (ToM/weekend/funding-hrs) | 1/3 marginal | ToM +0.39%/d CI grazes 0 (low-priority); others dead |
| 10 | Spot-perp basis contrarian | KILLED — significantly backwards | premium -> +14.8% vs +6.1% fwd30 |
| 11 | Cross-sectional rotation | VALIDATED (wide) | kill +0.8-1.0%/wk spread; sized 8-coin Sharpe 0.90; WIDE: Sharpe 1.10, prop 62.9%@0.5x, DSR 0.990 > 0.95 bar — first absolute validation |
| 12 | 50/50 combined book | NOT eligible | true sleeve corr 0.77 (0.35 was an alignment bug — corrected); blend averages, doesn't insure |
| 13 | Shock persistence | extreme UP continues (+3.54% fwd7 CI+) | later shown redundant with momentum (23a) |
| 14 | Vol-expansion breakout | KILLED | compression adds nothing (increment negative) |
| 15 | Weekly crash bounce | KILLED | CI straddles 0; vol-conditioning nothing |
| 16 | Momentum acceleration | 7d ranking info-SIGNAL; accel KILLED | follow-up: grid{7,30,90} DEGRADES rotation (0.83 vs 1.10) — champion unchanged |
| 17 | Fallen-angel recovery | KILLED | -1.9%, wide CI |
| 18 | Trend overextension | SIGNAL — OPPOSITE | stretched coins earn MORE (+10.5% fwd30) |
| 19 | BTC->alt lead-lag | down-day SIGNAL (+0.82% next day) | up-days nothing; -> H22 |
| 20 | Sessions | US hours carry the drift | not tradable vs costs; execution note |
| 21 | Volume-conviction | KILLED (near-miss) | +2.44%, CI [-0.23,+4.65] |
| 22 | Crash-bounce strategy | ELIGIBLE -> paper #3 | +0.441%/held-day net (CI clear), +32%/yr, Sharpe 0.89, MDD -48%; overlay shape, zero params |
| 23 | Incremental features | BOTH KILLED | shocks redundant w/ momentum; funding-confirm misses |
| 24-32 | Ranking batch (risk-adj, 52wh, residual, low-vol, MAX, illiq, vol-shock, FIP, skip-week) | ALL 9 KILLED | no institutional factor ranking beats raw momentum; references themselves noise at daily-spread level |
| 33 | Multi-horizon blend | info SIGNAL; FU-B1 KILLED | monotone in score, +2.41% CI+; blend-V1 Sharpe 0.60>0.53 but prop 28%<50% bar |
| 34 | Basis momentum | KILLED | like 23b: positioning change adds nothing to price momentum |
| 35 | Pairs ratio stat-arb | KILLED | reversion refuted; near-miss on MOMENTUM side (6th continuation confirmation) |
| 36 | Short-leg viability | KILLED | bottom-2 does NOT keep falling; long/flat stands |
| 37 | Breadth dial | KILLED | terciles monotone but CI wide |
| 38 | Dispersion dial | KILLED | terciles monotone but CI wide |
| 39 | Pick-correlation | KILLED | diversified picks buy no return |
| 40 | Trailing stop info test | SIGNAL (stops help) | post-stop-fire fwd30 -8.77% vs uptrend baseline, CI clear -> H42 |
| 41 | Rotation+crash-bounce book | NOT eligible (prop bar) | corr 0.188 (first low-corr sleeve!), Sharpe 1.36, CAGR +66%, DSR 0.995 — but prop 45.3%<62.8%: bounce variance trips 3% daily rule. Archived as OWN-CAPITAL book |
| 42a | V1 + chandelier stop | CANDIDATE | Sharpe 0.84 vs 0.53, MDD -13.3% vs -25.1%, prop 31.1%>27.9% |
| 42b | Rotation + chandelier stop | CANDIDATE — beats champion on all metrics | Sharpe 1.47 vs 1.10, MDD -29% vs -58%, prop 73.0%>62.8% @0.5x, DSR 0.992 > 0.95 bar (104 trials); paper account #4 since 2026-07-12 |
| 43 | Combo batch on rot-stop base | screen: only bounce admits; 43a KILLED (eval bars) | rot-stop x V1 corr 0.521, x rotation 0.821 (blends dead); rot-stop+bounce Sharpe 1.55, +79%/yr, DSR 1.000 but prop 47.5%<73%, MDD worse -> replaces H41 as own-capital archive |
| 44-50 | Retail intraday batch (maker regime, 15m Bybit) | ALL 7 claims KILLED; H44 ORB + H45 first-hour INVERTED (significant) | fade earns 0.16-0.20%/event = 4-5x maker toll; sessions/funding/levels/bursts/VWAP noise -> H51 |
| 51 | Intraday fade strategies (51a fade-ORB, 51b fade-1st-hour) | BOTH KILLED (taker floor) | 51a Sharpe 0.14; 51b 0.44 < 0.7 bar; maker-PROXY 51b 0.90 corr +0.01 (most independent stream ever measured) — true maker-fill model = possible H52, queued behind sprint |
| 59 | Live paper drawdown vs each strategy's OWN backtest distribution (ledger +0, diagnostic) | DEPLOYED SPEC INCONSISTENT — divergence hunt open | rotation-stop live −13.06%/29d sits at p=0.0081 (block bootstrap) / 0.0060 (overlapping) of its own backtest window distribution; rotation −15.90% at p=0.0060/0.0032; control vol-target CONSISTENT p=0.49, so the method is not self-flagging. Worst backtest 29d window −17.53%, so the live month is RARE, not unprecedented. Cells 1+2 correlate 0.821 — ONE event seen twice, not two confirmations. Market-context check was impossible: lake ends 2026-07-09, paper starts 07-10, zero overlap |
| 59b | H59 market context (descriptive, ledger +0) | "the whole market fell" is FALSE | BTC +2.62% over the live window while the equal-weight 40-coin universe fell −9.77% (24/40 down). Worst 5: DEXE −95.0%, SYN −58.5%, PYR −55.2%, ATM −46.3%, VANRY −44.7%. Softens but does not overturn the INCONSISTENT verdict: a 1-2 name concentrated book losing 13.06% against a −9.77% alt average is unremarkable, but the verdict is against the strategy's OWN backtest, a separate question. OPEN LEAD (not a finding): SYN and ATM were top-ranked by 90d momentum and are in the worst 5 — needs its own registration |
| 58 | Learnable weighted indicator ensemble (logit over 6 indicators, purged walk-forward) | KILLED at info stage — equal weights beat learned weights | B equal-weight acc 0.5213, fwd7 spread +2.79% CI [+0.83%,+4.90%] SIGNAL; C learned 0.5062, −0.56% noise; L1/L2/rolling-retrain all noise. Stability bar PASSED 6/6 (four at 85-92%) and ablation degraded — weights stable and reproducible, just worse. Poison test refused to report on its first run (leak detector measured against a binary target, could not have caught a perfect leak) |
| 52-57 | Intraday frontier (true maker fill, order-flow, OI, lead-lag, ratio, POC) | 5 run ALL CLOSED; H54 data-blocked | H52 killed 0.69 vs 0.70 bar (near-miss stays closed); H53 contrarian SIGNAL 1.9bp + H57 bounce SIGNAL 2.8bp both SUB-TOLL; H55/H56 noise. Intraday family CLOSED absent new data dimension |
- V1 vol-target: 1-step static best 1.5x -> 50.0% pass, median 80d, breakeven funded value $104. 2-step: 47.8%@1.5x.
- Rotation-wide: 0.5x -> 62.9% pass, median 100d. Donchian: 46.5%@0.75x (GENERIC), loses under the firm's 3% daily rule.
- Crash-bounce: overlay only (78% flat -> eval timeouts standalone).
- UNIVERSAL: sizing beyond ~1.5x ALWAYS lowers pass rates; the constraint geometry (daily-loss + max-loss), not the return stream, dictates strategy choice and size. All pass rates are UPPER bounds (EOD trailing/daily checks; intraday is stricter). Intraday guard makes them slightly conservative in our favor.
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Crypto is a continuation market — 5+ independent confirmations. Funding extremes, perp premium, dominance quadrants, single-day shocks, overextension: every crowding/strength signal predicted CONTINUATION; every contrarian folk-theory died. Only exception: next-day alt bounce after BTC crash days (H22) — a 1-day reactive effect, not positioning-based.
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Sizing beats switching. Vol-target sizing (dial) survived where every regime filter (switch) failed (03, 06, rotation-sized).
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Cross-sectional edges feed on breadth. Rotation got STRONGER on 40 coins than 8 (Sharpe 0.90 -> 1.10) — opposite of the survivorship fear.
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Info-signal ≠ strategy improvement. 7d ranking was real at info level but degraded the walk-forward (selector chases noise); shock signal was real but fully absorbed by deployed momentum. Incremental bars (beat the deployed system, not zero) killed both. H58 sharpens it: fitting is not free. An equal-weighted 6-indicator composite was a clear signal (+2.79%, CI clear); learning the weights on the same features, same windows, destroyed it (−0.56%, noise). The learned weights were STABLE (6/6 signs held), so this is not ordinary overfitting — logistic regression maximises likelihood on binary DIRECTION while the payoff is the return SPREAD, and optimising the wrong objective is worse than optimising nothing. Standing consequence: an equal-weight baseline is mandatory in every future model-based hypothesis. It is not a formality; it has now won.
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Diversification claims need timestamp-joined correlation on the common window — tail-count alignment produced a false 0.35 (true: 0.77) and nearly justified a bad combined book.
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Frequency kills. Everything at 1h or faster dies after costs (01, 04, sessions). The edge lives at daily+.
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Horizon flips the sign: crypto CONTINUES at daily+ and REVERTS intraday — and the intraday reversion premium is the market maker's, not ours. Four independent confirmations (H44 ORB, H45 first-hour, H53 aggressor-flow fade, H57 POC bounce): every measurable intraday reversion premium is 2-4bp/event — real, significant, and BELOW retail execution at every accessible resolution (best strategy-grade attempt: H52 Sharpe 0.69 vs 0.70 bar). Profitable day traders are rebate-tier market makers, untestable discretion, or survivorship. Intraday family CLOSED absent a new data dimension (deep OI, order-book depth).
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The objective function picks the config. A deadline flipped BOTH standing rules (july-sprint.md): with retries and a hard date, 4x sizing beats 1.5x and the eval-killed 43a book beats the champion. Corollary doctrine: EVALS = aggressive sprint config (downside capped at the fee), FUNDED = sustainable sizing (downside is the account). Also: rule GEOMETRY is worth money — HyroTrader's $39 swing upgrade (trailing->static drawdown) restores the exact geometry all our pass rates assume; without it they are overstated (cf. V1 50.0% static vs 39.1% EOD-trailing, intraday worse).
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The ranking is not improvable; the exits were. Nine institutional factor rankings (24-32) all died against raw momentum, but the chandelier stop (40/42) — a better EXIT — beat the champion decisively. Refinement budget should go to exits/risk, not entries. Nuance to finding 2: a switch backed by a significant info-level signal can win; switches as free-floating filters still always died.
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Constraint geometry picks strategies, third confirmation (H41). A book with corr 0.188, Sharpe 1.36 and double the CAGR still FAILED the eval bars because its variance lands on post-crash days that trip the 3% daily rule. Eval-fit and own-capital-fit are different objectives; H41's book is archived for the own-capital stage.
(Numbering note: 7 and 8 each appear twice above. That is a pre-existing defect in this list. Renumbering would silently rewrite references made elsewhere, so it is flagged rather than fixed, and new findings continue from 9.)
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Linear correlation cannot see tail dependence, and the project's
|corr| < 0.30bar is therefore blind to exactly the edges most likely to hurt (H67). H67's short-variance book measured +0.0237 against rotation-stop over 1,900 days — a comfortable pass. Conditioned on rotation-stop's own worst days it returns −0.237%/day at the worst decile, −0.417% at the worst 5%, and −1.296% at the worst 1%, against an unconditional +0.004%. Joint-loss FREQUENCY was 9.8% versus 10.4% under independence: the dependence is entirely in MAGNITUDE, which is the one thing Pearson correlation on daily returns does not measure. The mechanism is general, not specific to H67 — a short-convexity payoff is driven by SQUARED returns and is direction-blind, so it will pass a correlation gate against any directional book almost automatically. This matters becausefamily-expansion-program.md§2 adds edges in quadrature (Sharpe_total = √(Σ Sharpe_i²)), and that arithmetic assumes independence the correlation bar did not establish. Standing consequence, proposed and not yet adopted: any hypothesis with an asymmetric or short-convexity payoff must clear a tail-conditional bar — mean return on the incumbent book's worst-decile days — alongside|corr| < 0.30. It needs its own decision before it becomes a rule. -
Two unrelated crypto premia died over the same two years (H62/H63/ H65 carry, H67 VRP). Funding carry earns ~0%/yr in 2025-2026 across three independent hypotheses. The variance risk premium decays monotonically over the identical window: 2021 +15.66%/yr, 2022 +9.30, 2023 +6.79, 2024 −0.53, 2025 −8.60, 2026 −17.59. The two share no mechanism — one is a perpetual-swap financing rate, the other is options pricing — which makes market-wide maturation the natural reading. Held as a hypothesis, not a finding: two premia is two data points measured on the same calendar window, and that is exactly the confound that would manufacture this pattern from nothing. The operational consequence is real regardless of cause: any edge sized on 2021-2023 history is sized on a regime that no longer exists, and a hypothesis whose returns are concentrated before 2024 should say so in its verdict.
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The select/harvest distinction is established, and it predicted a result before the run (H72). It was proposed by H65, refuted by H66, rebuilt from the opposite direction by H70, and used here to make a correct out-of-sample prediction: carry would survive the universe correction that killed momentum. It did — 86% of Sharpe retained against momentum's 58% — while the contamination of the list was identical (28-32% overlap in the key years, the same numbers H71 measured). The mechanism: a SELECT edge ranks and takes the top few, so a pool stuffed with later-famous names hands it winners it could not have picked. A HARVEST edge holds everything paying, so a biased list changes which streams get averaged and little else. This is no longer speculation — unlike the version H66 withdrew, it has now paid its way by predicting rather than describing. Caveat that survives: carry's Sharpe held but its CAGR retained only 54%. Robustness of a ratio is not robustness of income.
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A universe chosen at the end of the sample is look-ahead, and it is worth ~40% of a selection edge's Sharpe (H71). The defect is separable from the survivorship caveat already on the record: that one is about coins delisted (unfixable free), this one is about coins included because they later became prominent (measurable, and now measured). Overlap between a point-in-time top-40 and the hindsight 40 rises monotonically 20% → 55% toward the snapshot date, which is the shape hindsight produces. The per-year signature is the tell: the honest book beats the hindsight book in four of nine years and loses catastrophically only in the three biggest hindsight years. A genuinely weaker strategy loses everywhere; a hindsight artifact loses exactly where the headline came from. Standing consequence: no strategy that RANKS may be validated on a universe fixed after the sample. Any future cross-sectional hypothesis must select point-in-time or state plainly that its figures are upper bounds. Harvest-style edges are less exposed (finding 14) but that is an argument, not a measurement.
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Breadth feeds edges that HARVEST and starves edges that SELECT — now with evidence from both directions (H70). H65 proposed this, H66 withdrew it, and H70 supplies the missing half. Varying the deployed rotation's slot count — the one number hypothesis 11 fixed by fiat ("Long-only. K=2 FIXED") and every descendant inherited untested — gives Sharpe 1.47 / 1.61 / 1.40 / 1.27 at K = 2/3/5/8 and MDD worse than K=2 at every higher K. All three pre-registered predictions (Sharpe rising, CAGR falling, MDD improving, all monotone) were wrong. The mechanism is mechanical: carry harvests a premium paid by ~20 near-independent funding streams, so averaging more cuts variance without cutting the mean. Rotation selects, and the 4th-8th ranked coins are worse assets rather than additional independent draws of the same edge. Diluting a selection edge lowers the mean faster than the variance. Still a hypothesis, not a rule — one measurement in each of two families is precisely the evidential state that produced the withdrawn refinement last time. K=2 is vindicated on evidence for the first time. K=3 beats it on return (Sharpe 1.61, CAGR +46.23%) and loses on drawdown; it was not the declared primary, it fails the registered MDD bar, and it is not adopted — acting on it needs a fresh registration. And the live window says the opposite: over 2026-07-10..08-26 the same cells give K=2 −6.06%, K=5 −3.85%, K=8 −0.85%, with MDD improving monotonically. So concentration is a real contributor to the live drawdown — about five of the six points — and 48 days is 1.7% of the evidence behind the 2,880-day backtest. Both facts are true; neither licenses changing K. The sharpened open question: is the live period unrepresentative, or has the K surface moved? That needs forward time, not another slice of the same history.
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A significant spread is not a Sharpe — the info bar has no variance term (H69). H68's S2 spread was +3.17% per 7 days, CI excluding zero, breadth 17/20, on 31,752 symbol-days. The strategy built from it with zero new parameter search — same symbols, same threshold, same window, engine-graded with next-open fills — earns Sharpe 0.89 and is beaten by equal-weight buy-and-hold (0.94). Why:
E[fwd|HIGH] − E[fwd|LOW]with a CI excluding zero says the conditional means differ and says nothing about the volatility needed to collect the difference. The qualifying set averages ~1.4 names, so a panel-wide mean has to be harvested through a concentrated book. The mean survived; the ratio did not. Proposed, not adopted: report an info SIGNAL alongside the volatility of its bucket. Two identical spreads are not equally valuable if one is carried by 15 names and the other by 1.4. The benchmark bar earned its place. H69's A1 and A2 passed (+9.176bp/day, CAGR +30.30%); on those alone it reads as a +30%/yr success. Only the buy-and-hold comparison separated that from the truth, and it was pre-registered specifically because the window's unconditional 7d return is +0.92%. Any long-only crypto book tested on 2019-2026 needs a buy-and-hold bar or the verdict is meaningless. Correlation with rotation-stop +0.3929, inside the 0.3-0.7 band predicted before the run — meta-finding 5 again. Scope note for finding 9's proposed tail bar: it added nothing here, because for a directional book the linear correlation bar already caught the dependence. H67's blindness was specific to short-convexity payoffs, so that amendment should be scoped to asymmetric payoffs rather than applied universally. -
The Coinbase premium is not the tether peg, and cross-venue dislocation is the first new INFO signal in a long time (H68). The peg-adjusted premium between a USD venue (Coinbase) and USDT venues (Binance, OKX) predicts forward returns: +3.17% at 7 days, CI [+0.51%, +6.08%], breadth 17/20 symbols, on 31,752 symbol-days. The peg alone is NOISE at every horizon, which answers the obvious objection — the signal is in the asset dislocation, not the stablecoin. It is not momentum (correlations 0.02-0.09; survives removing the trailing-return extremes) and not concentration (dropping the two biggest contributors leaves +2.85%). Sixth confirmation of meta-finding 1, and the first from data outside the Binance price/derivative complex: every signalling cell is positive, i.e. continuation. The crucial framing: the premium is only 11bp at its 90th percentile while the forward spread is 3.17%. Nothing is being arbitraged — the dislocation is an indicator whose information is ~30x its own width. Cross-venue arbitrage remains untested and out of reach. Weak point to confront, not average away: 2025 is the weakest year (S1 −1.32%), though there is no monotone decay like carry or VRP. Info grade only; a strategy hypothesis is owed and faces the incremental bar.
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A screen in the wrong units overstates the edge — the convexity tax (H67). BTC implied vol exceeded subsequent realized vol by 8.72 vol points on average, on 72.3% of days over five years. A variance position does not earn that. It earns
(K²−RV²)/(2K), and because realized VARIANCE is right-skewed the harvestable figure is 6.01 on BTC and 1.24 on ETH — an overstatement of a third and of 73% respectively. ETH's true premium sat below the 3.0 vol-point cost the whole time while the naive screen showed 4.55. General form: screen in the units the position actually pays in, not the units the phenomenon is quoted in.
family-expansion-program.md §5 requires re-validating the deployed book
as N grows. Last honoured at 125; run again at 167/170.
| Book | Reproduced at its original N | DSR @167 | Bar 0.95 |
|---|---|---|---|
| rotation-stop (deployed) | 0.9921 vs published 0.992 | 0.9889 | CLEARS |
| rotation | 0.9905 vs published 0.990 | 0.9870 | CLEARS |
Forty-two more trials cost 0.003 each. Third confirmation that the DSR bar is far less sensitive to ledger growth than was once feared. The deployed book remains validated; what it is not is profitable live, which is a different question and the one H59 opened.
Correction candidate 7 CLOSED. Reproduce-first guard passed on both books before any recomputation was reported:
| Book | Published | Reproduced | DSR @ 125 | Bar 0.95 |
|---|---|---|---|---|
| rotation-stop (deployed) | 0.992 @104 | 0.9921 (drift 0.0001) | 0.9909 | CLEARS |
| rotation | 0.990 @65 | 0.9905 (drift 0.0005) | 0.9881 | CLEARS |
Growing the ledger 104 -> 125 cost rotation-stop only −0.0011. The
benchmark expected_max_sharpe scales as sqrt(2 ln N) x sd, and the trial
Sharpe variance is tiny (0.000183), so the hurdle barely moves. Practical
lesson: the DSR bar is far less sensitive to ledger growth than feared —
the earlier worry that new trials would retroactively disqualify the
deployed book was wrong, and worth recording as wrong.
The two reproduction defects that the earlier provisional attempt hit, both
now fixed: rotation-stop deflates the candidate over the CANDIDATE-CHAMPION
common window with variance over exactly two pp-Sharpes and
fill_null(0.0); rotation deflates its WALK-FORWARD OOS stream with
variance over the GRID sliced to OOS start, and passes n_obs=oos.height
while the return series is one shorter — an off-by-one REPRODUCED on
purpose, because the published number is a function of it.
NOT re-checked: H41 (0.995@104) and H43a (1.000@107), archived own-capital books, not deployed. Claiming a re-check that was not run would be worse than the gap.
config/universe.json selects its 40 symbols by "top40 by 24h quote
volume, 2026-07-12" — the END of the research sample. Only 8 of the 40
existed for the whole 2018-2026 backtest. Every rotation-family result
ranks inside a pool chosen with hindsight.
H71 re-ran the deployed spec unchanged over a point-in-time universe (top 40 by trailing 30d quote volume, reselected every 90d, from 469 active Binance USDT pairs), same engine, same costs, same window:
| hindsight 40 | point-in-time | retained | |
|---|---|---|---|
| CAGR | +42.91% | +21.06% | 49% |
| Sharpe | 1.47 | 0.86 | 58% |
| MDD | −29.01% | −33.23% | worse |
| DSR | — | 0.2759 | fails 0.95 |
The incumbent arm reproduces the published figures exactly, so this is not a harness problem. It is not churn: the low-churn 365d cell is worse still (Sharpe 0.73). In 2021 — the +98% year — only 13 of the 40 rankable coins were actually top-40 by volume then.
AND IT IS STILL AN UPPER BOUND. Binance lists only pairs active today, so coins delisted before now cannot enter the point-in-time universe either. Four universe symbols (GRAM, PYR, SPCXB, VANRY) were delisted within six weeks of the snapshot; PYR and VANRY are two of H59b's five worst live performers. The honest Sharpe is at most 0.86.
Consequences, pre-registered:
- rotation-stop is OFF the evaluation path. No funded-account attempt.
- Paper records continue as measurement, not candidacy.
- Historical verdicts are annotated, never rewritten (H11, H41, H42, H70 carry a correction banner). Their numbers stand as hindsight-universe figures.
What does NOT follow: momentum is not worthless — the point-in-time book still has mean +6.165bp/day with a CI excluding zero, a real but weak edge. And this does not automatically transfer to carry, which ranks in the same universe but HARVESTS rather than SELECTS (finding 14) and has not been re-run point-in-time. That is the next registration.
The same point-in-time test that removed momentum from the evaluation path, applied to carry. Pool: 698 active USDM perps, 342 eligible with spot + perp + funding.
| hindsight wide (H65) | point-in-time | retained | |
|---|---|---|---|
| Sharpe | 5.61 | 4.83 | 86% |
| CAGR | +4.36% | +2.35% | 54% |
| MDD | −0.78% | −0.35% | better |
| DSR @174 | 1.0000 | 1.0000 | clears |
All four bars pass. Momentum retained 58%; carry retained 86%.
The prediction was committed before the run and all three parts held. The bias in the LIST is identical — overlap 28% in 2020, 32% in 2021, rising to 52% in 2025, the same as H71 found. The universes are equally contaminated; the edges are not equally damaged.
Reproduce-first guard passed first: the filter, run against H63's own caches, returned Sharpe 6.00 / +4.51% / −0.51% — H63's published figures to the digit. Both incumbents also reproduce in-run.
What it costs: Sharpe retains 86% but CAGR retains only 54%, and CAGR is what an income project spends. Use +2.35%, not +4.36%, in any sizing arithmetic. MDD improves, consistent with H66 — carry's Sharpe is a diversification property, and the mechanism that makes it robust also makes it shallower.
What it does NOT establish: 2025 and 2026 are ~0% in every arm (−0.05%, −0.07%). Fourth and fifth confirmation that carry earns nothing today. This proves the HISTORICAL edge is real and survives an honest universe; it says nothing about whether the edge is being paid now.
Upper bound, sign unknown. Delisted perps are absent, and unlike momentum the direction is unclear: a delta-neutral book is short the perp, gaining through a collapse and losing violently through the squeeze that often precedes delisting.
Position after H71+H72: exactly ONE validated edge survives an honest
universe, against the eight family-expansion-program.md §2's
arithmetic requires. Real, robust, currently unpaid, not deployed.
- V1: VolTargetMomentum(lookback L, target 30%, window 30), per-symbol L re-selected each 90d by 1y-train walk-forward from {7,14,30,60,90,180}; EW 8 slots, long/flat. Candidate-grade (DSR ~0.66 all-trials window).
- Rotation: VolTargetRotation(L, K=2, target 30%, window 30), L from {30,90} same protocol, abs-momentum gate, wide 40-coin universe. VALIDATED (DSR 0.990). Residual survivorship: fully-delisted coins absent (needs paid point-in-time data to erase).
- CrashBounce(threshold=-0.03): zero params, overlay shape.
- Shared decision core: live/decision.py — paper and MT5-live use the SAME code; strategies replayed over history each run (hysteresis-safe).
- Numbered hypothesis doc with verdict bars committed BEFORE results.
- Kill test (cheap info study) before any strategy build; vectorized screening allowed pre-engine, event-driven engine is source of truth.
- Every trial (incl. failed variants and descriptive horizons) joins the ledger; DSR benchmarked vs ALL trials.
- Near-misses stay closed; reopening = new spec + stated reason.
- Paper accounts run ONLY validated/eligible specs, one spec per record (spec change = archive + fresh start).
- Report negative results with the same care as positive ones.
- Dashboard server loads code once: RESTART after dashboard changes.
- Windowless (pythonw) parents need CREATE_NO_WINDOW on subprocesses.
- Subprocesses need FULL env (stripped env breaks polars CPU detection).
- Patching .cmd files via Python string-replace fails silently on backslash paths — use the Write tool + grep -c to verify (bit twice).
- MetaQuotes-Demo has no crypto; firm server != MT5 default server.
- Binance funding API pagination needs explicit
since(default returns only recent records — caused a wrong carry verdict, fixed same day). - polars: from_epoch needs explicit cast to ms dtype; tzdata required on Windows; PYTHONIOENCODING=utf-8 for console polars printing.
- All EV numbers conditional on edges being real; V1 remains below the 0.95 absolute bar (rotation is above it).
- Paper fills = signal-bar close (engine says next open) — adjacent in 24/7 markets when run right after 00:00 UTC; drift is what Phase 5 measures. MT5/live spreads at the firm are unverified vs the 1bp model.
- 5k funded account realistic value ~$50-80/mo initially; the prop path scales via bigger/multiple accounts, not summer riches. Expectations were set honestly and accepted.
- Survivorship: mitigated (wide universe incl. 90%+ crashers), not eliminated (fully-delisted coins unmeasurable without paid data).