Published rejected candidates, with their test conditions, recorded outcomes and evidence limits. Read the individual papers to understand what each rejection establishes.
This collection contains the project’s published rejection papers. Each concerns a specified candidate and the evidence available for that decision. A rejection can follow a return test, a cost or capacity constraint, or a failure to obtain the required source evidence. Those outcomes answer different questions and should be read separately.
Start with the candidate’s specification and rejection reason, then inspect the data window, costs, trial accounting and source links. A failed performance test applies to that construction under those assumptions. A source-coverage failure instead means the proposed test could not proceed as specified; it does not establish that the economic mechanism has no effect.
The papers cover equity factors, crypto constructions, positioning, carry and inventory mechanisms tested in this project. Their outcomes do not establish that these research areas are exhausted or that another study must reach the same result. Differences in data, execution assumptions and the selection process need to be examined before comparing results.
Use the linked papers alongside the trial register. The register identifies attempts and missing evidence; the papers explain particular decisions. Keeping rejected candidates visible helps readers inspect the selection process, but a published rejection does not make a surviving candidate profitable or its forward record mature.
The killed candidates documents
- 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. The equity sleeve's backtest has never modelled the broker's $5.00-per-share short…
- 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. Measuring the premise first…
- 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. Genuine decorrelation, no edge to attach it to.
- 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 bet…
- 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. Same-calendar-month ranking…
- 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. But the…
- Crypto Multi-Venue Funding Aggregation (probe): a killed candidateWould aggregating funding across exchanges beat our Binance-only carry signal? This died at the screen stage, before a full walk-forward was ever run.
- 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. Honest measurement: net Sharpe -0.07…
- 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 USO…
- Equity Momentum (with Margin Costs): a killed candidateMargin financing costs erode the momentum edge below the frozen k30dn63 baseline. This tested one specific construction choice inside the momentum family.
- 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 / 3000…
- 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 signal.
- 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. The Sharpe SPIKED only at the exact…
- 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. But it is NOT…
- 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. AlphaTrend already provides…
- 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). No paid-data…
- 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. Corr 0.47…
- 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. The…
- 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. The deployed momentum sleeve is the frozen 2023+ k30dn63…
- 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. This died at the screen stage, before a full walk-forward was ever run.
- 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 decorrelation…
- 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 of…
- 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. On the canonical window it HURTS (net…
- 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.
