DBEQ.BASIC all US equities daily 2023-2026 ($67.85, 17305 instruments). Small/mid-cap band
(excl top-50 mega, $2M floor, ~576 names/day), weekly rebal+smooth, illiquidity-scaled cost
(30-150bp). NO factor survives net: momentum negative even gross (2023-24 momentum-crash);
reversal gross +0.15 eaten by cost -> NET -0.86 (Amihud paradox); low-vol best but NET ~0
(DSR 0.03). Didn't even charge short-borrow. Confirms Databento tradeable universe (equities+
futures) is efficient+cost-walled -> no retail edge. Honest tension: cheap-to-trade markets too
efficient; the inefficient market with real edge (crypto) is the disliked one. Caveat: 3.2y only.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
