Equity-Index VRP / short-vol (campaign): a killed candidate

Verdict: KILLED Stage: screen prototype
Identity: equity_vrp

The premium is REAL (VIX minus realized = +4 vol pts, t=57) but UNHARVESTABLE: negative in every crisis, skew -1.8 to -2.2, corr +0.45 to +0.66 to SPY — short-vol is leveraged long-beta in disguise, not an orthogonal sleeve. KILLED.

Why it was worth testing

This died at the screen stage, before a full walk-forward was ever run. Screening exists so that ideas which cannot clear a coarse, cost-aware bar do not consume the far more expensive machinery behind it. A screen kill is a cheap kill, and it is published for the same reason as an expensive one: the trial was still spent, and it still raises the evidence bar for everything already in the book.

The result

Measure	Value
Screen net Sharpe	0.4200

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.