Reasoned about WHERE our edge structure fits (reflexivity+breadth+low-cost overlap) ->
picked the liquid high-vol equity cohort (>$10M/day liquid AND high realized vol =
reflexive story-stocks, ~87 names) = equity analog of crypto's reflexive cohort, avoiding
both walls. Momentum/reversal still negative (regime+efficiency), but LOW-VOL (lottery-
aversion) FITS: L/S net +0.74, OOS +0.72, CPCVmed +0.73, positive 3/4 years, LongOnly +0.33.
First equity signal to survive net cost (broad test had lowvol +0.02). Theoretically sound
(fade overpriced hype/lottery names in the reflexive cohort). LEAD not deploy-grade: DSR
0.28<0.5, short 3.2y data, thin cohort, short-side borrow cost unmodeled. Non-crypto,
low-cost, Databento. Next: full gauntlet (bootstrap/cohort-robustness/borrow/deflation).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
