jgrusewski 7495eaa286 feat(surfer): point-in-time survivorship test PASSED — momentum is real ...

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>

2026-06-06 16:04:19 +02:00

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