jgrusewski 74b9d092ad feat(surfer): Phase 1 RL-gate — no rich signal set; RL not justified (+ resid-mom upgrade) ...

Tested 5 theoretically-distinct new crypto signals (residual-momentum, MAX/lottery,
idiosyncratic-vol, Amihud-illiquidity, acceleration) on PIT top-50 with full gauntlet
(OOS/CPCV/deflation/coin-bootstrap) + correlation to momentum. NO new DISTINCT validated
signal: survivors = momentum + residual-momentum (corr 0.95 = same edge). Others fail
(lottery/accel negative; ivol/amihud fail bootstrap-robustness, amihud closest miss
corr+0.20/boot0.75). DECISIVE: validated signal set is thin (one alpha + VRP diversifier)
-> RL/PPO has no rich interacting set to combine -> would not beat the linear baseline OOS
-> don't build the RL (the falsifiable gate returns NO; avoids the 65th-commit trap).
SMALL WIN: residual (beta-stripped) momentum +0.72 > raw +0.57 -- better base construction.
Product = simple two-sleeve book. RL needs non-price signals to ever justify itself.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-06 18:36:21 +02:00

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