jgrusewski 7edeec9106 feat(surfer): proper (a)robust-construction + (b)diversifier research ...

(a) All 6 momentum constructions collapse to ~0.2 under aggressive +/-20% winsor
(momentum leans on large moves); volscaled/winsorinput degrade least, none robust to
the cap. (b) LOWVOL is genuinely uncorrelated (corr -0.13) and lifts the stressed book
+0.19->+0.34; TStrend correlated; carry/reversal/size don't help. Book=momentum+lowvol.
Honest deployable bracket ~0.2 (harsh winsor) to ~0.6 (fair); +/-20% blanket winsor
double-counts (death-spiral already excluded) so truth ~0.5. Deciding next: per-coin
ADV slippage model, not blanket winsor. Corrected the script's over-claiming verdict.

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

2026-06-06 16:12:55 +02:00

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