Clustered insider purchases: two negative event-information trials

By Arhan Canli, Canli Capital

Short title: Clustered insider purchases: complete trial lineage
Author: Arhan Canli, Founder and Quantitative Researcher, Canli Capital
Family key: equity_insider_activity · System: ALPHAC / AlphaForge
Status: public research record; not peer reviewed; not an investment solicitation

Finding and boundary

The mechanism asks whether purchases by multiple officers or directors reveal shared private belief about undervaluation. Two charged implementations produced annualized Sharpe -0.9931 and -0.2433 over 2,669 observations. Both are negative. The literature prior includes Lakonishok and Lee's study of insider trading information (Review of Financial Studies); it does not validate ALPHAC's Form 4 timestamps, clustering, universe, costs, or borrow assumptions.

The identities belong to one event-information family and cannot become two sleeves. A related probe artifact is hash-bound, but identity-matched curves, drawdowns, DSR, capacity, and continuous broker evidence remain incomplete. Decision: FAIL / zero sleeves. Exact evidence is in equity_insider_family.json. The preregistered work and system were authored and directed by Arhan Canli; no Alpaca return is attributed to it.