Built survivorship-free universe: 135 perps incl 28 known-dead (LUNA/SRM/MATIC...),
universe rebuilt daily as top-K by trailing dollar-volume (dead coins in while trading,
drop out after crash), no lookahead. mom_20 TOPK=30: full +0.76, IS+0.85/OOS+0.56,
CPCV-med +0.73, DSR 0.86, POSITIVE EVERY YEAR 2020-2026 incl 2022 +0.72. Counterintuitive:
survivorship was HIDING the edge (survivor-only 2022 -0.40 -> PIT +0.72) because momentum
shorts the dying coins and profits from crashes. Decisive survivorship confirmation.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Broadened crypto universe 28 majors -> programmatic top-80 (64 usable), added
funding-coverage/history filter. Carry COLLAPSED (+0.82->-0.03) and stayed dead even
on broad-but-clean subset (fundcov>0.9, 45 coins): carry was cherry-picked to majors,
not robust. Cross-sectional MOMENTUM is the robust edge: XS_mom_30 IS+0.89/OOS+0.88,
CPCV-med +0.75, DSR 0.75, survives 2x cost, holds across 64- and 45-coin universes.
Momentum needs breadth (weak on 28 correlated majors). Same regime failure (2019/2022).
Methodology win: broadening killed a cherry-picked claim before a build.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
13 crypto signals, deflated by cumulative 30. Carry family all develop-grade, survive
2x cost; per-year reveals THE failure mode = 2022 deleveraging carry-crash (carry_7
-1.2 in 2022, +0.4..+2.1 other years). Momentum OOS-negative (decayed); chasing rising
funding strongly negative. Carry is the robust core; its one tail (carry crash) is
exactly what the ML regime overlay is built to manage -> the two threads unite.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Batch 2 of the deflated signal sweep: cross-sectional funding carry + momentum on
28 major Binance USDT perps (2019-26, funding baked into return, 10bp cost, deflated
by cumulative 25 trials). XS_carry_7 = Sharpe +0.82, IS+0.77/OOS+0.93 (consistent),
CPCV-median +0.78 (robust across 45 paths), DSR 0.71. First signal all session that is
positive + IS/OOS-consistent + CPCV-median-positive. Develop-grade met, not yet deploy
(DSR<0.95, 5th-pct<0). Caveats: survivorship (current majors), confirm point-in-time.
Forward-paginated funding fetch (fundcov ~1.0).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Broad signal search judged against the FULL search (Deflated Sharpe deflated by
N_trials) — the multiple-testing discipline that makes breadth safe. Batch 1: 17
signals (XS/TS momentum, reversal, low-vol, seasonality) on 22-futures daily ->
ZERO survivors (best DSR 0.29); CPCV+deflation correctly kill the lucky cells.
SEAS_overnight invalid on 24h futures (equity-cash anomaly). Next batches: crypto, COT.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Tests the actual surfer thesis: intraday 5-min decisions/15-min holds, flat-by-close,
regime-adaptive (ride trend / fade range / stand aside), quality-over-quantity
(top-conviction only). Clean ES OHLCV-1m -> 5-min bars, per-trade net edge in ticks,
IS/OOS + t-stat. Result: regime-adaptive top-5% = +0.50 ticks/trade OOS, sign-consistent,
but t=0.67 (not significant); all else significantly negative. Adaptive+selective is the
only non-losing structure (thesis directionally right, within noise). 4GB-safe: cumsum
rolling-std (no unfold) + alloc cap.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
