5 alts (SOL/XRP/LINK/AVAX/DOGE), ~2y daily-from-1H, lag-1, 10bps. IS <2025-04-01 (n=217), OOS >=2025-04-01 (n=490).
| Variant | OOS Sharpe(365) | OOS Ret (cum) | OOS MaxDD | p vs EW |
|---|---|---|---|---|
| EW 5-alt basket (baseline) | -0.38 | -49.21% | -72.85% | nan |
| BTC buy-hold (baseline) | -1.07 | -46.92% | -53.07% | nan |
| XSEC mom20/top1/hold7 | -0.38 | -56.20% | -80.00% | 0.506 |
| XSEC mom20/top1/hold21 | -0.80 | -70.65% | -83.35% | 0.505 |
| XSEC mom20/top2/hold7 | -0.47 | -56.27% | -79.83% | 0.499 |
| XSEC mom20/top2/hold21 | -0.73 | -64.49% | -78.37% | 0.496 |
| XSEC mom60/top1/hold7 | -0.88 | -71.42% | -83.13% | 0.492 |
| XSEC mom60/top1/hold21 | -1.07 | -77.28% | -85.89% | 0.502 |
| XSEC mom60/top2/hold7 | -0.69 | -63.14% | -78.83% | 0.504 |
| XSEC mom60/top2/hold21 | -0.75 | -65.68% | -79.40% | 0.509 |
Verdict (pre-committed cell mom60/top2/hold21: uplift -0.37, p=0.509)
REJECT -- exploratory only; full verdict needs 2+ more years of alt history.
Diagnostic
Mean pairwise alt correlation 0.73 (LINK-AVAX 0.84). Same all-beta verdict as the equity edge_audit: rotation among near-identical betas cannot work. Park crypto X-sec until correlations break down.