- Universe: BTC, ETH, SOL, XRP, LINK, AVAX, DOGE, ADA
- Split (fixed): IS < 2025-07-01, OOS >= 2025-07-01
- Costs: 8 bps/side, lag-1, long/flat only
| Mechanism | Seg | Ret | Sharpe | MaxDD | PF | days | boot p |
|---|---|---|---|---|---|---|---|
| N1 Dual-momentum top2/126d | IS | +28.5% | 1.04 | -7.5% | 1.21 | 943 | nan |
| N1 Dual-momentum top2/126d | OOS | -0.6% | -0.06 | -7.2% | 0.99 | 445 | 0.524 |
| N2 Low-vol top2/30d | IS | +12.6% | 0.74 | -6.4% | 1.12 | 943 | nan |
| N2 Low-vol top2/30d | OOS | -1.1% | -0.10 | -10.1% | 0.99 | 445 | 0.554 |
| N3 Turn-of-month EW8 | IS | +0.9% | 0.12 | -5.5% | 1.05 | 943 | nan |
| N3 Turn-of-month EW8 | OOS | +1.1% | 0.30 | -2.8% | 1.11 | 445 | 0.368 |
| N4 52w-high top2 | IS | +11.3% | 0.64 | -7.6% | 1.12 | 943 | nan |
| N4 52w-high top2 | OOS | -0.9% | -0.08 | -9.7% | 0.99 | 445 | 0.540 |
Net Sharpe by calendar year
| Mechanism | 2022 | 2023 | 2024 | 2025 | 2026 | full |
|---|---|---|---|---|---|---|
| N1 Dual-momentum top2/126d | 0.00 | 1.51 | 1.40 | -0.11 | 1.03 | 0.79 |
| N2 Low-vol top2/30d | 0.00 | 1.46 | 0.59 | 0.15 | -0.32 | 0.46 |
| N3 Turn-of-month EW8 | 1.09 | 1.45 | -0.67 | 0.04 | 0.83 | 0.17 |
| N4 52w-high top2 | 0.00 | 1.25 | 0.92 | -0.33 | 0.01 | 0.42 |
Verdict bar: pooled OOS NET Sharpe > 0, and positive in the bear years (2025-26) to prove it is not just long-crypto beta.
Verdict: 0/4
- N1 Dual-momentum — the absolute-momentum gate does its job on risk (OOS maxDD -7.2% vs -38% for plain TS momentum) but OOS return is -0.6% (SR -0.06, boot p 0.524): capital protection, not an edge.
- N2 Low-vol OOS SR -0.10; N4 52w-high OOS SR -0.08. Both dead.
- N3 Turn-of-month is the only positive OOS path (+1.1%, SR 0.30) but it does not survive scrutiny: OOS bootstrap p = 0.368, and a matched-exposure control (3000 random days at the same 17% duty cycle) gives p = 0.340 — i.e. indistinguishable from randomly sitting in cash. 2024 was negative.
Combined with batch 1 (6/6 reject), 10 pre-registered long-only crypto mechanisms now fail the held-out test. Alpaca paper crypto is long-only, so no market-neutral (short-leg) construction is tradable on this account — which is the structural reason a long/flat crypto bot cannot clear a bear.