jgrusewski
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a7d6671dea
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feat(surfer): Reflexivity Harvester design — killed by marginal-alpha gate
Synthesized all findings into a novel crypto-native design (residual-momentum long +
exhaustion/death-weighted short + vol-regime gross-gate), spawned 4 research agents,
ran the decisive test the critic+exhaustion-researcher both named. Exhaustion-short is
momentum RE-SPELLED: corr +0.82 to residual momentum, marginal alpha t -0.37 (negative),
combined OOS +0.50 < momentum-alone +0.77 (adding it HURTS). Momentum ALREADY harvests
the crypto death-alpha (it already shorts dying coins -- the survivorship finding);
explicit death-features double-count. Regime-gate untestable (n~4 crashes). Ship Comp-1.
Product unchanged: residual-momentum (OOS +0.77, CPCVmed +0.82, DSR 0.57 deflated-by-50)
+ tail-managed VRP. The marginal-alpha gate killed our own creative design = discipline working.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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2026-06-06 19:43:42 +02:00 |
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