- 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, dollar-neutral
Structural question: does any crypto price edge exist at all — even one this long-only account cannot harvest?
| Mechanism | Seg | Ret | Sharpe | MaxDD | PF | days | boot p |
|---|---|---|---|---|---|---|---|
| M1 XS reversal 3d L/S | IS | -52.9% | -0.22 | -80.3% | 0.97 | 943 | nan |
| M1 XS reversal 3d L/S | OOS | -50.6% | -1.62 | -56.2% | 0.79 | 445 | 0.967 |
| M2 XS reversal 7d L/S | IS | -89.7% | -1.27 | -93.4% | 0.82 | 943 | nan |
| M2 XS reversal 7d L/S | OOS | -34.1% | -0.70 | -46.6% | 0.90 | 445 | 0.780 |
| M3 ETH/BTC ratio reversion | IS | -15.9% | -0.40 | -26.5% | 0.92 | 943 | nan |
| M3 ETH/BTC ratio reversion | OOS | -13.5% | -0.77 | -19.5% | 0.85 | 445 | 0.806 |