jgrusewski a7d6671dea feat(surfer): Reflexivity Harvester design — killed by marginal-alpha gate ...

Synthesized all findings into a novel crypto-native design (residual-momentum long +
exhaustion/death-weighted short + vol-regime gross-gate), spawned 4 research agents,
ran the decisive test the critic+exhaustion-researcher both named. Exhaustion-short is
momentum RE-SPELLED: corr +0.82 to residual momentum, marginal alpha t -0.37 (negative),
combined OOS +0.50 < momentum-alone +0.77 (adding it HURTS). Momentum ALREADY harvests
the crypto death-alpha (it already shorts dying coins -- the survivorship finding);
explicit death-features double-count. Regime-gate untestable (n~4 crashes). Ship Comp-1.
Product unchanged: residual-momentum (OOS +0.77, CPCVmed +0.82, DSR 0.57 deflated-by-50)
+ tail-managed VRP. The marginal-alpha gate killed our own creative design = discipline working.

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

2026-06-06 19:43:42 +02:00

..

crypto_sweep.py

fix(surfer): universe-robustness exposes carry as cherry-picked; momentum is robust

2026-06-06 15:16:56 +02:00

fetch_crypto_pit.py

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

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

fetch_crypto.py

feat(surfer): crypto carry+momentum sweep — FIRST real edge (funding carry)

2026-06-06 15:05:20 +02:00

fetch_daily.py

…

fetch_es_1m.py

fix(surfer): full-16y MFT settle — regime-adaptive surfer significantly negative

2026-06-06 12:15:37 +02:00

fetch_more_futures.py

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

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

floor_experiment.py

fix(surfer): correct roll handling (held-contract return stitching) + cost stress + dual gates

2026-06-06 01:43:06 +02:00

fng_gate.py

feat(surfer): Fear&Greed gate — sentiment regime-dependent, not robust

2026-06-06 19:35:37 +02:00

mft_quality_test.py

fix(surfer): full-16y MFT settle — regime-adaptive surfer significantly negative

2026-06-06 12:15:37 +02:00

micro_gate.py

feat(surfer): minute-horizon gate — deep ML (Mamba2/CfC/TLOB) has no fuel

2026-06-06 19:09:04 +02:00

momentum_robustness.py

feat(surfer): momentum robustness battery — crypto XS momentum is a robust real edge

2026-06-06 15:18:59 +02:00

multiasset_futures.py

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

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

phase1_signals.py

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

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

pit_realism.py

feat(surfer): execution-realism stress — honest momentum magnitude ~0.4-0.6

2026-06-06 16:07:31 +02:00

pit_sweep.py

feat(surfer): wire tail-managed VRP into PoC as second sleeve (two-sleeve book)

2026-06-06 17:29:40 +02:00

reflexivity_test.py

feat(surfer): Reflexivity Harvester design — killed by marginal-alpha gate

2026-06-06 19:43:42 +02:00

research_ab.py

feat(surfer): proper (a)robust-construction + (b)diversifier research

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

research_book.py

feat(surfer): capstone — low-vol fails battery; momentum is small-capacity

2026-06-06 16:17:33 +02:00

research_capacity.py

feat(surfer): turnover optimization resolves capacity — deployable momentum spec

2026-06-06 16:20:12 +02:00

research_diversifier.py

feat(surfer): diversifier hunt — no robust partner (TS-trend real but stale)

2026-06-06 16:24:55 +02:00

signal_sweep.py

feat(surfer): deflated signal-sweep engine + Batch 1 (futures factor zoo = null)

2026-06-06 14:54:06 +02:00

surfer_poc.py

feat(surfer): residual (beta-stripped) momentum upgrade — net +0.40->+0.57 @$20M

2026-06-06 18:41:40 +02:00

vrp_diversifier.py

feat(surfer): crypto VRP diversifier check — first real diversifier, but tail+decay

2026-06-06 17:13:06 +02:00

vrp_tail.py

feat(surfer): tail-managed VRP — real second sleeve (with honest haircut)

2026-06-06 17:17:09 +02:00