Pre-Registered Momentum (deep history): a killed candidate
Verdict: KILLED
Test window: 2005-01-04 to 2026-06-01
Identity: prereg_momentum
Pre-registered momentum on 21 years of deep history. Net Sharpe ~ -0.05, failed the DSR >= 0.95 gate. The deployed momentum sleeve is the frozen 2023+ k30_dn_63 instead.
Why it was worth testing
Cross-sectional momentum is the anomaly this book already trades, so a second momentum construction had to clear a harder bar than a novel idea: it must add something the existing sleeve does not already capture. A variant that merely re-expresses the same signal buys correlation, not breadth.
The result
| Measure | Value |
|---|---|
| Net Sharpe | -0.0493 |
| Annualized return | -0.76% |
| Total return | -15.07% |
| Annualized volatility | 10.66% |
| Maximum drawdown | -34.98% |
| Annualized turnover | 3.26 |
| Trading days | 5385 |
| Final equity (USD) | 84,925.53 |
| Fees paid (USD) | 525.00 |
| Funding, net (USD) | -2,943.06 |
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.