Clustered Insider Open-Market Purchases: a killed candidate
Verdict: KILLED Stage: research gauntlet
Identity: insider_purchase_clusters
One pre-registered configuration on official SEC Form 4 purchases, 2016-2026: at least two officers/directors and $100k purchased inside 30 calendar days, filing date plus two sessions, next-open entry, full 63-session hold, trailing-ADV eligibility, SPY beta hedge and explicit one-way costs. The full PIT probe scheduled 3,508 non-overlapping events. It was genuinely orthogonal (average correlation -0.064, maximum pair +0.057), controlled beta (+0.048), and just cleared the hard $5M capacity gate ($5.17M fifth-percentile AUM at 1% ADV). But there was no return edge: net Sharpe -0.243, Newey-West t -0.79, DSR effectively zero, max drawdown -24.8%, and Sharpe at 2x costs -0.297. A fixed 10% sleeve reduced combined-book Sharpe by 0.072 and failed three of four leave-one-year-out checks. A pre-publication audit corrected weighted log-return aggregation to the canonical simple-return contract; preliminary Sharpe was -0.993 and the corrected verdict remained KILL. Immutable execution records rose from 200 to 201; distinct hypothesis identities rose from 135 to 136 because the correction remains conservatively charged. The sign is not inverted and no threshold is retuned. Full curve, event ledger, weights and result are preserved in artifacts/probe/insider_purchase_clusters/. KILLED.
Why it was worth testing
This ran the full pre-registered research gauntlet: a locked configuration, point-in-time data, costs charged, and pass/fail criteria fixed in writing before the result existed. Nothing about the specification was changed after the number arrived. That discipline is what makes the null trustworthy, and it is also what makes it final -- there is no version of this candidate that was 'nearly' admitted.
The result
| Measure | Value |
|---|---|
| Screen net Sharpe | -0.2430 |
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.