jgrusewski dbbe8f7b22 feat(surfer): multi-asset futures test — uncorrelated but no edge (dilutes) ...

Expanded futures universe 22->39 liquid CME roots ($16.39 credits, 16y daily). (A)
breadth did NOT unlock an edge: XS momentum + TS trend all negative/zero, DSR 0
(efficient market, unlike crypto). (B) diversifier check: futures-trend +0.01,
crypto-momentum +0.88, CORRELATION -0.01 (genuinely uncorrelated) but combined +0.63
< +0.88 -> an uncorrelated sleeve with zero standalone edge DILUTES, not diversifies.
A diversifier needs low-corr AND positive edge; futures trend has only the former.
Caveat: roll-zeroing understates futures trend/carry (floor work ~+0.05-0.14 w/ proper
rolls) -> marginal at best. Crypto momentum still the only real edge.

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

2026-06-06 17:08:40 +02:00

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