Pre-reg: long BTC iff inflow z30[D-1] > 0. Split IS<2025/OOS>=2025. Close-close. Costs 10/25bps. sqrt365.
Window 2022-12-01..2026-09-13; OK 1383, BLOCKED 0; endogeneity corr(z30, lagged BTC ret) +0.04.
Scoreboard (OOS)
| Variant | Ret | Sharpe | MaxDD | Net10 | Net25 | Turn/yr | CorrBH | ResidSh | p |
|---|---|---|---|---|---|---|---|---|---|
| RIDE z30>0 (PRIMARY) | -16.72% | -0.46 | -30.07% | -0.51 | -0.59 | 9.40 | 0.44 | -0.49 | 0.7242 |
| ANTI z30<0 (control) | -1.42% | 0.17 | -51.34% | 0.15 | 0.11 | 9.40 | 0.90 | 0.49 | 0.4096 |
| BTC buy-and-hold | -17.90% | -0.05 | -53.04% | - | - | - | - | - | - |
IS reference
| Variant | IS Sharpe |
|---|---|
| RIDE z30>0 (PRIMARY) | 1.48 |
| ANTI z30<0 (control) | 1.28 |
| BTC buy-and-hold | 1.94 |
PRIMARY verdict: REJECT (OOS Sharpe -0.46 (need >=+0.50); p 0.7242 (need <0.05); resid -0.49 (need >0); control 0.17 (need < PRIMARY); DSR(K=2) 0.18)
Time 0s.