Pre-reg: hold 7-alts-EW day D+1 iff BTC ret[D] > 0. Split IS<2025-01-01/OOS>=2025-01-01. Close-close (24/7). Costs 10bps/25bps-stress per unit flip. sqrt365.
Grid 2022-12-01..2026-09-13 (1383 days).
Scoreboard (OOS)
| Variant | Ret | Sharpe | MaxDD | Net10 | Net25 | Turn/yr | CorrBH | ResidSh | p |
|---|---|---|---|---|---|---|---|---|---|
| PRIMARY up-day | +8.48% | 0.34 | -36.94% | -0.01 | -0.54 | 178.68 | 0.68 | 0.73 | 0.3240 |
| STRONG >+1% | -15.24% | -0.03 | -41.55% | -0.38 | -0.90 | 148.12 | 0.57 | 0.16 | 0.5160 |
| DOWN control | -59.06% | -0.70 | -67.60% | -1.03 | -1.52 | 178.68 | 0.73 | -0.73 | 0.8244 |
| alts-EW buy-and-hold | -55.59% | -0.27 | -74.22% | - | - | - | - | - | - |
IS reference
| Variant | IS Sharpe |
|---|---|
| PRIMARY up-day | 0.73 |
| STRONG >+1% | 0.36 |
| DOWN control | 1.33 |
| alts-EW buy-and-hold | 1.49 |
PRIMARY verdict: REJECT (OOS Sharpe 0.34 (need >=+0.50); p 0.3240 (need <0.05); resid +0.73 (need >0); control -0.70 (need < PRIMARY); DSR(K=3) 0.44)
Time 1s.