Research/validation-scope design for a coin-level capacity-, cost-, and leverage-honest
backtest reference, after quantifying (2026-07-15) that the book's numbers are tail-inflated:
top-10 days drive 58% of unlock / 29% of positioning; unlock's Sharpe collapses 1.03->0.19
under a P98 upside haircut; the "levered" backtest's -11.8% maxDD < the naive -15.4% (a
re-weighting artefact, not leverage).
Locked decisions (from brainstorming): coin-level ADV/impact model (turnover data verified:
818 coins, 2021-2026, USD); participation_cap 3%; AUM curve {35k,100k,350k,1M,10M} to locate
the ceiling; risk-parity/inverse-vol weighting; ex-ante risk layer with an anti-reactive gate
(G4) — reactive de-sizing stays out (A/B-rejected 3x); candidate edge #4 (pump/anomaly
detection) falsification-tested through the same honest-cost pipeline. No live cockpit change
(production gate-replacement is a follow-on). Self-critical section names the 5 ways this could
still fool us (recompute fidelity, slippage-is-modeled-not-measured, survivorship, AUM
relevance, still-a-backtest).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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