Pre-reg: long iff ann-funding z(168h)[D-1] > +1.5. Split IS<2025/OOS>=2025. Close-close. Costs 10/25bps. sqrt365.
Window 2022-12-01..2026-09-18; OK 827, BLOCKED 561.
Scoreboard (OOS)
| Variant | Ret | Sharpe | MaxDD | Net10 | Net25 | Turn/yr | CorrBH | ResidSh | p |
|---|---|---|---|---|---|---|---|---|---|
| RIDE z>+1.5 (PRIMARY) | +11.64% | 0.55 | -8.35% | 0.39 | 0.15 | 20.99 | 0.19 | 0.53 | 0.2358 |
| FADE z<-1.5 (control) | -15.51% | -0.33 | -25.43% | -0.61 | -1.02 | 60.64 | 0.31 | -0.40 | 0.6756 |
| ETH buy-and-hold | -21.74% | 0.15 | -67.60% | - | - | - | - | - | - |
IS reference
| Variant | IS Sharpe |
|---|---|
| RIDE z>+1.5 (PRIMARY) | 0.91 |
| FADE z<-1.5 (control) | 0.50 |
| ETH buy-and-hold | 1.10 |
PRIMARY verdict: REJECT (OOS Sharpe 0.55 (need >=+0.50); p 0.2358 (need <0.05); resid +0.53 (need >0); control -0.33 (need < PRIMARY); DSR(K=2) 0.63)
Time 1s.