# Crypto Low-Volatility: a killed candidate

**Verdict:** KILLED  
**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.