Killed candidates

Every strategy that failed, published in full with the numbers it died on. Almost nobody publishes these, which is exactly why they are here: a kill log is a table, a paper is the reasoning another researcher can use.

• 52-Week-High Momentum (campaign): a killed candidateThe one AlphaMax construction variant whose cheap screen cleared the bar (t 2.01 vs plain momentum's 1.73), so we honored the pre-registration and ran the…
• AlphaMax Short-Leg Margin Floor (disclosure, not a strategy): a killed candidateA disclosure against our own published number rather than a tested idea.
• Beta-Neutral Momentum Construction (campaign): a killed candidateThe premise was that a dollar-neutral momentum book carries hidden NEGATIVE market beta, so a junk rally hurts both legs at once.
• Closed-End-Fund Deep-Discount + Activist Catalyst (probe): a killed candidateThe five-decade anomaly is REAL in free data and we could see it: entry-cohort funds genuinely narrow their discount versus the universe (+1.17pts at 4w…
• Clustered Insider Open-Market Purchases: a killed candidateOne pre-registered configuration on official SEC Form 4 purchases, 2016-2026: at least two officers/directors and $100k purchased inside 30 calendar days,…
• Commodity / Cross-Asset Futures Carry (probe): a killed candidateCross-sectional carry on 38 real futures (long backwardation / short contango, front-vs-next slope), 2010-2016 — the only window the term-structure marks…
• Corporate Equity Supply (Net Issuance): a killed candidateThe broad corporate-equity-supply identity was run through the deployed-path walk-forward on a point-in-time Sharadar research lake: long firms shrinking…
• COT Positioning Overlay (campaign): a killed candidateIndistinguishable from zero (t~0.42 over 25 years); dies at 2x cost; the entire 'edge' is two equity-index legs.
• Cross-Asset Carry (campaign): a killed candidate5 constructions. The COMBINED cross-asset book is net-NEGATIVE (3 of 4 legs lose); the one positive leg (oil backwardation, +0.37) is a single-instrument…
• Cross-Asset Value (campaign): a killed candidate6 constructions, ALL net-negative. The decisive tell: flipping the value sign is positive in every asset class — the only premium present is anti-value =…
• Cross-Sectional Same-Calendar-Month Seasonality (probe): a killed candidateThe one equity-side signal genuinely DECORRELATED from our momentum sleeve — and that is exactly why it is worth publishing.
• Crypto Dated-Futures Basis (campaign): a killed candidateScreened at an apparent 1.47 but refuted 3x and reproduced from scratch: the 8.2%/yr 'carry' is a roll-accounting fiction — the kept days (+0.55) and the…
• Crypto Low-Volatility: a killed candidateThe STRONGEST in-sample signal the 200+-factor campaign found anywhere (Rank-IC t = 6.66). Full purged walk-forward: net Sharpe 0.69 — respectable.
• Crypto Multi-Venue Funding Aggregation (probe): a killed candidateWould aggregating funding across exchanges beat our Binance-only carry signal?
• Crypto Short-Horizon Trend (campaign): a killed candidateThe strong 0.60 screen lives entirely in the untradeable 2016-18 illiquid era; modern crypto is flat-to-dead with a catastrophic -4.88 skew (crash-day…
• Crypto Variance-Risk-Premium (campaign): a killed candidatePitched at 2.15 Sharpe — the headline was a 252-vs-365 vol-annualization error inventing a phantom 15-vol-point premium.
• Deep-History Quality (Top 800): a killed candidateQuality premium does not survive net of cost on the 21-year survivorship-free universe. Net Sharpe far below the 0.30 minimum gate. KILLED, never re-tuned.
• Economic-Trend Sleeve, macro-fundamental trend (campaign): a killed candidateTrend on first-release macro vintages (payrolls, CPI, IP, credit spreads, yields, dollar) driving the 17-ETF basket by a pre-committed economic sign matrix.
• EIA Petroleum Inventory Scarcity: a killed candidateOne pre-registered configuration on 782 accepted official EIA WPSR first-release Table 4 vintages, 2016-2026 OOS: commercial crude excluding SPR mapped to…
• Equity Momentum (with Margin Costs): a killed candidateMargin financing costs erode the momentum edge below the frozen k30dn63 baseline.
• Equity Quality (Gross Profitability): a killed candidateQuality via GP/A + ROE fails on the narrow top-200 / 5-year slice. Net Sharpe below the 0.30 gate; needs the wide Sharadar fundamentals universe (20yr /…
• Equity Value (Book-to-Price): a killed candidateValue premium inverted across the 2022-2026 window. Net Sharpe below the 0.30 gate; the narrow top-200 universe is too small for the small/mid-cap value…
• Equity-Index VRP / short-vol (campaign): a killed candidateThe 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 —…
• Funding Term-Structure / Slope (campaign): a killed candidateThe decorrelated residual is noise (worked pre-2023, inverted after: +1.11 then -1.43); the only version that makes money is leaked carry-LEVEL — a…
• FX Carry (rate differential): a killed candidateLong high-rate / short low-rate currencies. Net Sharpe 0.18 but skew -2.74: the carry premium does not pay for its crash risk (carry 'picks up pennies in…
• FX Carry + Trend Overlay (the real construction): a killed candidateThe professional FX book: trend hedges carry's crashes. It screened at 0.32 — but the robustness stress-test killed it.
• FX Trend (cross-sectional 12-1): a killed candidateCross-sectional currency trend, net of cost, 2016-2026. Flat (net Sharpe -0.035) — a weak-trend decade for FX. Below the 0.30 screen bar. KILLED at screen.
• Intraday Flow-Momentum, first-30m predicts last-30m (probe): a killed candidateThe twice-JFE-documented effect (Gao-Han-Li-Zhou) is fully DECAYED post-publication on SPY/QQQ/IWM: dead-zero in 2023-2026, and significantly INVERTED in…
• Leveraged-ETF End-of-Day Forced-Rebalance Flow (probe): a killed candidateLeveraged ETFs MUST trade into the close (~$277B QQQ-family rebalance multiplier, ~$4B/day estimated flow) — a real, large, mechanical flow.
• Long-Vol Tail Overlay (campaign): a killed candidateAn honest positive-skew (+2.06) anti-equity hedge — but its ONLY thesis, improving the combined book, fails at every hedge weight.
• Managed-Futures fast-trend / real-futures breadth (campaign): a killed candidateSplits into robust-but-not-new (the slow book IS our existing AlphaTrend) and new-but-dead (the fast-trend leg is net-negative at every verifiable cost).
• On-Chain Carry-Quality Filter (campaign): a killed candidatePlacebo-indistinguishable: a random risk-off coin-flip of equal intensity matches it, and it does NOT repair carry's 2022 tail (skew got worse).
• Post-Earnings-Announcement Drift (campaign): a killed candidateClean null on a tradable top-1000 universe: the drift is the WRONG sign net of cost; the published PEAD edge lives only in untradeable micro-caps.
• Pre-Registered Betting-Against-Beta: a killed candidatePre-registered BAB on 21 years. Net Sharpe ~ -0.07, failed the DSR >= 0.95 gate. Low-risk anomaly does not survive net of cost here. KILLED.
• Pre-Registered Momentum (deep history): a killed candidatePre-registered momentum on 21 years of deep history. Net Sharpe ~ -0.05, failed the DSR >= 0.95 gate.
• Pre-Registered Quality (GP/A + ROE): a killed candidatePre-registered quality on 21 years. Net Sharpe -0.83, the worst sleeve. KILLED; the wide-universe quality thesis fails to replicate on the available data.
• Pre-Registered Value (composite): a killed candidatePre-registered composite value on 21 years. Net Sharpe -0.60, failed every gate. Confirms the value thesis does not replicate without small/mid-cap breadth.
• Prediction-Market Odds as Macro Signal (probe): a killed candidateDo Polymarket-implied probabilities lead tradable markets? No — they lag them.
• Rates-Curve Carry (campaign): a killed candidateRobustly NEGATIVE, not fragile-positive: the signal points the wrong way — steepest curves preceded the worst duration drawdowns (2022).
• Real-Futures Breadth for the Trend Sleeve (probe): a killed candidateWe had been treating 'buy real futures data for genuine breadth' as the roadmap for the trend sleeve, on the theory that Sharpe scales with the square root…
• Residual (beta-neutral) Momentum (campaign): a killed candidateCorr 0.87 to raw 12-1 momentum on the broad survivorship-free universe — it is the SAME bet as AlphaMax, net-negative. The claimed 'separation' is false here.
• Short Interest / Days-to-Cover Deciles (probe): a killed candidateThe first genuinely NEW INPUT in months rather than another transformation of price and volume: bi-monthly FINRA short interest for the whole US tape,…
• Short-Leg Tail Controls (campaign): a killed candidateNine construction-side short-leg controls (per-name stop-outs at 30/50/100%, gross caps at 1.25x/1.5x/2.0x, short-leg vol targeting, with and without…
• Turn-of-Month / Rebalancing Flow (probe): a killed candidateThe calendar flow is real — SPY earns 5.65bp/day in the last-1-plus-first-3 window vs 3.96bp outside, and the footprint replicates on QQQ — but monetized…
• Vol-Scaled / Crash-Protected Momentum overlay (campaign): a killed candidateBarroso-Santa-Clara constant-vol and Daniel-Moskowitz variance/dynamic scaling applied to the live AlphaMax sleeve.
• Weighting x Breadth Construction Grid (campaign): a killed candidateFour weightings (inverse-vol, equal, signal-proportional, vol-capped) crossed with four breadths (K=30/50/100/200), 2005-2026, live cell inverse-vol K=100.