In-sample, research window
NOT the forward expectation--
- Sharpe
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- CAGR
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- Max DD
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The research
Every test, including the kills
00 / The research
How we got here.
Most ideas die. We publish them anyway, including the ones that did.
Every factor we tested, across crypto and US equities, with its real net-of-cost Sharpe and what we did with it. Two survived. Most we killed.
-- factors tested -- survived -- killed across -- families forward -- Sharpe grade --
01 / Factor tests
Every test, its real Sharpe, and its real Rank-IC.
Every test we ran, with its net-of-cost Sharpe and Rank-IC.
// Rank-IC is the cross-sectional information coefficient with a Newey-West t-stat. Net Sharpe is the purged walk-forward result after the cost model. Select a row for its full performance, its Rank-IC by horizon, and the source artifact.
- -- Factors tested
- -- Survived net of cost
- -- Killed, never re-tuned
Filter
Factor
Family
Net Sharpe
Rank-IC (t)
Verdict
02 / What survived
Two sleeves survived. Real, decorrelated, and honestly modest.
Two standalone algorithms: AlphaForge in crypto funding carry, AlphaMax in US equity momentum. They barely correlate. Combined at equal risk, they form ALPHAC, the cross-asset book.
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Full-sample correlation
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On equity down-days
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Stress union
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Honest forward expectation
After multiple-testing deflation- Sharpe
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- Return (vol-targeted)
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- Worst DD
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Combined-book deflation
- Combined DSR (N=69)
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- Combined DSR (N=518)
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- DSR gate
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- Standalone equity DSR
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- Standalone crypto DSR
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Honest grade
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- Equity capacity --
- Crypto carry capacity --
- BTC-correlation cap --
- Equity survivors --
03 / Methodology
The data layer blocks leaks at the source, not after the fact.
The validation method in plain language: point-in-time data, purged walk-forward, deflation gates, pre-registration, and a byte-reproducible backtest.
04 / Crypto alone
Crypto alone is a null net of cost. Here is the proof.
Before the equity ballast, we ran crypto perpetuals through the deflation gates on their own. The result is NO-DEPLOY. The edge is too thin to survive cost.
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gate --
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gate < --
Capacity decay, annualised Sharpe by deployed capital
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05 / Roadmap
The binding constraint is sample length, not idea count.
The free-breadth path is exhausted. From here, two steps.
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This export
- Schema
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- Generated
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- Content hash
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