VerdictKILLED
- Test window
- 2023-01-01 to 2026-06-01
- Identity
crypto_lowvol_720
The STRONGEST in-sample signal the 200+-factor campaign found anywhere (Rank-IC t = 6.66). Full purged walk-forward: net Sharpe 0.69 (respectable. But the Deflated Sharpe Ratio is 0.04: after honestly penalising for every config we tried, it is indistinguishable from luck. A high raw Sharpe is NOT enough. This is the clearest proof of why we deflate) the prettiest backtest of the campaign, KILLED on deflation.
Why it was worth testing
The equity low-risk effect does not automatically transfer to crypto: the leverage constraint that is usually invoked to explain it barely binds in a market where retail can access high leverage directly. Testing it here was a test of the EXPLANATION, not only of the pattern, which is why a null is informative rather than merely disappointing.
The result
| Measure | Value |
|---|---|
| Net Sharpe | 0.6946 |
| Annualized return | 8.46% |
| Total return | 31.97% |
| Annualized volatility | 13.00% |
| Maximum drawdown | -20.12% |
| Annualized turnover | 20.10 |
| Trading days | 1248 |
| Final equity (USD) | 131,968.39 |
| Fees paid (USD) | 4,217.77 |
| Funding, net (USD) | -11,303.74 |
What this does and does not say
It says this configuration, on this data, net of the costs we charge, did not clear the bar it pre-registered. It does not say the underlying economic effect does not exist, that no implementation of it works, or that someone with different data or different execution would reach the same conclusion. A null is evidence about a test, not a proof about a market.
It also does not say the trial was free. Every hypothesis tested raises the deflated-Sharpe hurdle for every sleeve already in the book, including the ones that survived. That is why the kill count is published beside the survivor count rather than behind it.