{ "schema": "glassbox.kill_log/2", "title": "The Kill Log", "summary": "Most ideas die. We publish ours with their real net-of-cost numbers. 12 killed at the deployed-path gauntlet, 2 at a pre-registered research gauntlet, 32 more at the cheap prototype screen, 3 survived.", "honesty_note": "Gauntlet numbers are read from the walk-forward summary.txt of a real engine backtest, net of the conservative cost model. The screen-stage kills (labelled 'screen_prototype') are standalone screens \u2014 free-data prototypes AND screens on our Sharadar/Deribit research lakes \u2014 each run through a four-test robustness gauntlet but BEFORE full deployed-path engine integration; their numbers come from those screens, NOT the deployed engine, and we say so. The 2026-06-27 batch is a 17-agent adversarial sleeve-discovery campaign that killed all 10 candidates it tested. The 2026-07-09 batch is three probes from a sweep of the modern-sleeve frontier (futures carry, mechanical rebalancing flows, prediction-market odds as a signal) \u2014 all three killed at screen. The 2026-07-11 batch is the AlphaMax improvement campaign: six documented momentum enhancements tested against the live construction, all null or worse \u2014 the frozen 12-1 build stays. The 2026-07-12 batch closes that campaign (the 52-week-high variant, run to a full walk-forward to honor a fired pre-registration) and adds three modern-frontier probes: two free intraday-flow studies (leveraged-ETF end-of-day rebalance flow, intraday flow-momentum \u2014 both killed at screen) and the economic-trend sleeve (macro-fundamental trend, one pre-registered walk-forward after a 3-auditor leakage panel signed off \u2014 a real crisis-alpha personality but too little edge, DSR 0.00). The 2026-08-02 batch is the AlphaMax construction-axis campaign, opened after the July 2026 momentum junk-squeeze: three ways to change how the equity book is BUILT, each leaving the 12-1 signal byte-identical (beta-neutral construction, a 4x4 weighting-by-breadth grid, nine short-leg tail controls). All three null, nothing adopted, zero trial slots burned \u2014 each was a read-only screen with its gate written down first, and in the grid's case that pre-registered family-wise gate is what stopped the best-looking cell from being harvested (White Reality Check p=0.315). The beta-neutral candidate was killed by measuring its own premise: the hidden negative market beta it was built to remove does not exist (research -0.014, live +0.319). A few entries are labelled 'deployed_gauntlet': those went through the FULL deployed-path walk-forward, so their numbers ARE the real engine's; they sit in this list only because their artifacts live in probe directories. A 'research_gauntlet' is a locked, costed OOS probe with complete return artifacts but not the production engine path. Nothing is re-tuned.", "gate_minimum_sharpe": 0.4, "killed_count": 9, "screen_killed_count": 37, "survived_count": 3, "killed_strategies": [ { "name": "deephist_quality_top800", "sharpe": -0.5926, "cagr_pct": -5.74, "return_pct": -71.16, "final_equity_usd": 28842.9, "vol_ann_pct": 12.89, "max_drawdown_pct": -72.12, "n_days": 5286, "start_date": "2005-06-16", "end_date": "2026-06-22", "turnover_ann": 3.18, "fees_paid_usd": 321.25, "readable_name": "Deep-History Quality (Top 800)", "type": "equity_quality", "verdict": "KILLED", "reason": "Quality premium does not survive net of cost on the 21-year survivorship-free universe. Net Sharpe far below the 0.30 minimum gate. KILLED, never re-tuned." }, { "name": "eq_value_btp", "sharpe": -0.3219, "cagr_pct": -1.6, "return_pct": -6.11, "final_equity_usd": 93892.5, "vol_ann_pct": 6.61, "max_drawdown_pct": -12.23, "n_days": 981, "start_date": "2022-07-05", "end_date": "2026-06-01", "turnover_ann": 3.48, "fees_paid_usd": 89.46, "readable_name": "Equity Value (Book-to-Price)", "type": "equity_value", "verdict": "KILLED", "reason": "Value premium inverted across the 2022-2026 window. Net Sharpe below the 0.30 gate; the narrow top-200 universe is too small for the small/mid-cap value signal. KILLED." }, { "name": "eq_quality_gp", "sharpe": -0.8214, "cagr_pct": -3.21, "return_pct": -11.97, "final_equity_usd": 88030.04, "vol_ann_pct": 5.59, "max_drawdown_pct": -14.05, "n_days": 981, "start_date": "2022-07-05", "end_date": "2026-06-01", "turnover_ann": 3.77, "fees_paid_usd": 98.32, "readable_name": "Equity Quality (Gross Profitability)", "type": "equity_quality", "verdict": "KILLED", "reason": "Quality via GP/A + ROE fails on the narrow top-200 / 5-year slice. Net Sharpe below the 0.30 gate; needs the wide Sharadar fundamentals universe (20yr / 3000 names). KILLED." }, { "name": "eq_mom_margin", "sharpe": -0.592, "cagr_pct": -4.46, "return_pct": -12.42, "final_equity_usd": 87575.57, "vol_ann_pct": 10.33, "max_drawdown_pct": -15.07, "n_days": 729, "start_date": "2023-07-06", "end_date": "2026-06-01", "turnover_ann": 7.6, "fees_paid_usd": 144.29, "readable_name": "Equity Momentum (with Margin Costs)", "type": "equity_momentum_variant", "verdict": "KILLED", "reason": "Margin financing costs erode the momentum edge below the frozen k30_dn_63 baseline. Variant killed per pre-registration; the clean h=63 sleeve is the deployed one." }, { "name": "prereg_momentum", "sharpe": -0.0493, "cagr_pct": -0.76, "return_pct": -15.07, "final_equity_usd": 84925.53, "vol_ann_pct": 10.66, "max_drawdown_pct": -34.98, "n_days": 5385, "start_date": "2005-01-04", "end_date": "2026-06-01", "turnover_ann": 3.26, "fees_paid_usd": 525.0, "funding_net_usd": -2943.06, "readable_name": "Pre-Registered Momentum (deep history)", "type": "equity_momentum", "verdict": "KILLED", "reason": "Pre-registered momentum on 21 years of deep history. Net Sharpe ~ -0.05, failed the DSR >= 0.95 gate. The deployed momentum sleeve is the frozen 2023+ k30_dn_63 instead." }, { "name": "prereg_value", "sharpe": -0.5994, "cagr_pct": -4.05, "return_pct": -58.75, "final_equity_usd": 41251.08, "vol_ann_pct": 9.23, "max_drawdown_pct": -64.27, "n_days": 5385, "start_date": "2005-01-04", "end_date": "2026-06-01", "turnover_ann": 2.87, "fees_paid_usd": 292.36, "readable_name": "Pre-Registered Value (composite)", "type": "equity_value", "verdict": "KILLED", "reason": "Pre-registered composite value on 21 years. Net Sharpe -0.60, failed every gate. Confirms the value thesis does not replicate without small/mid-cap breadth. KILLED." }, { "name": "prereg_quality", "sharpe": -0.8316, "cagr_pct": -4.27, "return_pct": -60.75, "final_equity_usd": 39248.43, "vol_ann_pct": 7.29, "max_drawdown_pct": -64.06, "n_days": 5385, "start_date": "2005-01-04", "end_date": "2026-06-01", "turnover_ann": 2.63, "fees_paid_usd": 321.76, "readable_name": "Pre-Registered Quality (GP/A + ROE)", "type": "equity_quality", "verdict": "KILLED", "reason": "Pre-registered quality on 21 years. Net Sharpe -0.83, the worst sleeve. KILLED; the wide-universe quality thesis fails to replicate on the available data." }, { "name": "prereg_bab", "sharpe": -0.0679, "cagr_pct": -0.88, "return_pct": -17.22, "final_equity_usd": 82780.29, "vol_ann_pct": 10.68, "max_drawdown_pct": -34.15, "n_days": 5385, "start_date": "2005-01-04", "end_date": "2026-06-01", "turnover_ann": 2.86, "fees_paid_usd": 379.72, "funding_net_usd": 63.63, "readable_name": "Pre-Registered Betting-Against-Beta", "type": "equity_low_risk", "verdict": "KILLED", "reason": "Pre-registered BAB on 21 years. Net Sharpe ~ -0.07, failed the DSR >= 0.95 gate. Low-risk anomaly does not survive net of cost here. KILLED." }, { "name": "crypto_lowvol_720", "sharpe": 0.6946, "cagr_pct": 8.46, "return_pct": 31.97, "final_equity_usd": 131968.39, "vol_ann_pct": 13.0, "max_drawdown_pct": -20.12, "n_days": 1248, "start_date": "2023-01-01", "end_date": "2026-06-01", "turnover_ann": 20.1, "fees_paid_usd": 4217.77, "funding_net_usd": -11303.74, "readable_name": "Crypto Low-Volatility", "type": "crypto_low_risk", "verdict": "KILLED", "reason": "The STRONGEST in-sample signal the 200+-factor campaign found anywhere (Rank-IC t = 6.66). Full purged walk-forward: net Sharpe 0.69 \u2014 respectable. But the Deflated Sharpe Ratio is 0.04: after honestly penalising for every config we tried, it is indistinguishable from luck. A high raw Sharpe is NOT enough. This is the clearest proof of why we deflate \u2014 the prettiest backtest of the campaign, KILLED on deflation." } ], "screen_stage_kills": [ { "name": "commodity_inventory_seasonal", "readable_name": "EIA Petroleum Inventory Scarcity", "screen_net_sharpe": -0.589, "stage": "research_gauntlet", "verdict": "KILLED", "reason": "One pre-registered configuration on 782 accepted official EIA WPSR first-release Table 4 vintages, 2016-2026 OOS: commercial crude excluding SPR mapped to USO and total gasoline mapped to UGA, five-year same-week seasonal expectation, trailing 52-release surprise scale, next-session-open entry, DBC beta hedge and explicit one-way costs. One of 783 discovered releases was quarantined for a published arithmetic contradiction. The sleeve was exceptionally orthogonal (average correlation +0.0012, maximum pair +0.0323) and controlled DBC beta (-0.014), but there was no return edge: net Sharpe -0.589, Newey-West t -1.84, DSR 7.37e-11, max drawdown -41.1%, and Sharpe at 2x costs -0.998. USO and UGA standalone Sharpes were both negative. The fixed 10% book check improved by 0.013 over its 728-session common window, but failed after mean-centering and failed 1 of 4 leave-one-year-out checks. UGA constrained fifth-percentile proxy capacity to about $14.9k at 1% ADV. The sign is not inverted and no threshold is retuned. Full curve, scores, weights, input lineage and result are preserved in artifacts/probe/eia_petroleum_inventory/. KILLED." }, { "name": "insider_purchase_clusters", "readable_name": "Clustered Insider Open-Market Purchases", "screen_net_sharpe": -0.232, "stage": "research_gauntlet", "verdict": "KILLED", "reason": "One pre-registered configuration on official SEC Form 4 purchases, 2016-2026: at least two officers/directors and $100k purchased inside 30 calendar days, filing date plus two sessions, next-open entry, full 63-session hold, trailing-ADV eligibility, SPY beta hedge and explicit one-way costs. The current replay scheduled 3,541 non-overlapping events and was genuinely orthogonal (average correlation -0.066, maximum pair +0.057), controlled beta (+0.046), and cleared the $5M capacity gate ($5.31M fifth-percentile AUM at 1% ADV). But there was no return edge: net Sharpe -0.232, Newey-West t -0.75, DSR 1.83e-07, max drawdown -24.8%, and Sharpe at 2x costs -0.285. A fixed 10% sleeve changed combined-book Sharpe by -0.093 and failed 4 of 4 leave-one-year-out checks. A pre-publication audit corrected weighted log-return aggregation to the canonical simple-return contract; preliminary Sharpe was -0.993 and the corrected verdict remained KILL. The immutable first corrected measurement has 2,669 observations and population-std Sharpe -0.243; the current lake adds 5 sessions, so it is explicitly an OOS extension, not an exact reproduction, and the identity packet remains incomplete. The sign is not inverted and no threshold is retuned. Full curve, event ledger, weights, input lineage and result are preserved in artifacts/probe/insider_purchase_clusters/. KILLED." }, { "name": "eq_net_issuance", "readable_name": "Corporate Equity Supply (Net Issuance)", "screen_net_sharpe": -0.311, "stage": "deployed_gauntlet", "verdict": "KILLED", "reason": "The broad corporate-equity-supply identity was run through the deployed-path walk-forward on a point-in-time Sharadar research lake: long firms shrinking split-adjusted basic shares and short firms expanding them, rebalanced every 63 sessions. The latest sealed sweep was decisively negative: net Sharpe -0.311, DSR 0.000102 after six trials, and max drawdown -37.1%. A separate source-correct full-window rerun scored +0.148 with -17.5% max drawdown, still below the 0.40 gate; the sign and magnitude instability across data paths is itself a failure, not a result to select around. Three distinct historical configurations remain charged to the same corporate-equity-supply family. A proposed completed-flow measurement may continue data-feasibility work only as a same-family refinement and cannot count as independent sleeve breadth. No sign flip, window selection, or trial reset is authorized. Evidence: artifacts/sweep/gauntlet_eq_net_issuance/walkforward.json, artifacts/analysis/null_fundamentals_rerun/result.json, and artifacts/feasibility/repurchase_issuance_flow/identity_overlap_audit.json. KILLED." }, { "name": "fx_trend_cs", "readable_name": "FX Trend (cross-sectional 12-1)", "screen_net_sharpe": -0.035, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Cross-sectional currency trend, net of cost, 2016-2026. Flat (net Sharpe -0.035) \u2014 a weak-trend decade for FX. Below the 0.30 screen bar. KILLED at screen." }, { "name": "fx_carry_ratediff", "readable_name": "FX Carry (rate differential)", "screen_net_sharpe": 0.18, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Long high-rate / short low-rate currencies. Net Sharpe 0.18 but skew -2.74: the carry premium does not pay for its crash risk (carry 'picks up pennies in front of a steamroller'). Below the screen bar on both Sharpe and skew. KILLED at screen." }, { "name": "fx_carry_trend_overlay", "readable_name": "FX Carry + Trend Overlay (the real construction)", "screen_net_sharpe": 0.32, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The professional FX book: trend hedges carry's crashes. It screened at 0.32 \u2014 but the robustness stress-test killed it. The Sharpe SPIKED only at the exact threshold we picked by hand (a knob artifact, ~0.15 on either side); it died at realistic cost (25x turnover, 0.05 at 5bp); ALL the performance came from one post-2021 regime; and dropping JPY collapsed it to -0.07 \u2014 the entire 'edge' was the single short-JPY trade. Not a diversified premium. KILLED on robustness, before we built a thing." }, { "name": "crypto_vrp", "readable_name": "Crypto Variance-Risk-Premium (campaign)", "screen_net_sharpe": -0.07, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Pitched at 2.15 Sharpe \u2014 the headline was a 252-vs-365 vol-annualization error inventing a phantom 15-vol-point premium. Honest measurement: net Sharpe -0.07, skew -2.19, fails all four stress-tests, shares carry's crash dependence. A seductive false positive, KILLED." }, { "name": "crypto_short_tsmom", "readable_name": "Crypto Short-Horizon Trend (campaign)", "screen_net_sharpe": 0.3, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The strong 0.60 screen lives entirely in the untradeable 2016-18 illiquid era; modern crypto is flat-to-dead with a catastrophic -4.88 skew (crash-day reversals). KILLED." }, { "name": "mf_realfutures_fasttrend", "readable_name": "Managed-Futures fast-trend / real-futures breadth (campaign)", "screen_net_sharpe": 0.2, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Splits into robust-but-not-new (the slow book IS our existing AlphaTrend) and new-but-dead (the fast-trend leg is net-negative at every verifiable cost). Not a new sleeve. KILLED." }, { "name": "equity_pead", "readable_name": "Post-Earnings-Announcement Drift (campaign)", "screen_net_sharpe": -0.65, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Clean null on a tradable top-1000 universe: the drift is the WRONG sign net of cost; the published PEAD edge lives only in untradeable micro-caps. Corr 0.47 to momentum. KILLED." }, { "name": "cot_positioning", "readable_name": "COT Positioning Overlay (campaign)", "screen_net_sharpe": 0.083, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Indistinguishable from zero (t~0.42 over 25 years); dies at 2x cost; the entire 'edge' is two equity-index legs. Genuine decorrelation, no edge to attach it to. KILLED." }, { "name": "onchain_carry_filter", "readable_name": "On-Chain Carry-Quality Filter (campaign)", "screen_net_sharpe": 0.08, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Placebo-indistinguishable: a random risk-off coin-flip of equal intensity matches it, and it does NOT repair carry's 2022 tail (skew got worse). No paid-data upgrade justified. KILLED." }, { "name": "funding_termstructure", "readable_name": "Funding Term-Structure / Slope (campaign)", "screen_net_sharpe": 0.159, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The decorrelated residual is noise (worked pre-2023, inverted after: +1.11 then -1.43); the only version that makes money is leaked carry-LEVEL \u2014 a duplication of what we own. KILLED." }, { "name": "residual_momentum", "readable_name": "Residual (beta-neutral) Momentum (campaign)", "screen_net_sharpe": -0.098, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Corr 0.87 to raw 12-1 momentum on the broad survivorship-free universe \u2014 it is the SAME bet as AlphaMax, net-negative. The claimed 'separation' is false here. KILLED." }, { "name": "rates_curve_carry", "readable_name": "Rates-Curve Carry (campaign)", "screen_net_sharpe": -0.33, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Robustly NEGATIVE, not fragile-positive: the signal points the wrong way \u2014 steepest curves preceded the worst duration drawdowns (2022). Real decorrelation, negative edge. KILLED." }, { "name": "tail_overlay", "readable_name": "Long-Vol Tail Overlay (campaign)", "screen_net_sharpe": -0.56, "stage": "screen_prototype", "verdict": "KILLED", "reason": "An honest positive-skew (+2.06) anti-equity hedge \u2014 but its ONLY thesis, improving the combined book, fails at every hedge weight. AlphaTrend already provides crisis convexity WITH a positive standalone Sharpe. KILLED." }, { "name": "xasset_carry", "readable_name": "Cross-Asset Carry (campaign)", "screen_net_sharpe": 0.37, "stage": "screen_prototype", "verdict": "KILLED", "reason": "5 constructions. The COMBINED cross-asset book is net-NEGATIVE (3 of 4 legs lose); the one positive leg (oil backwardation, +0.37) is a single-instrument bet that leave-one-out zeroes; rates-carry fails the Covid crisis gate. Real futures data cannot flip it. KILLED." }, { "name": "xasset_value", "readable_name": "Cross-Asset Value (campaign)", "screen_net_sharpe": -0.24, "stage": "screen_prototype", "verdict": "KILLED", "reason": "6 constructions, ALL net-negative. The decisive tell: flipping the value sign is positive in every asset class \u2014 the only premium present is anti-value = momentum/trend, which we already own. Cross-asset value on liquid proxies is just short-momentum, and it loses. KILLED." }, { "name": "equity_vrp", "readable_name": "Equity-Index VRP / short-vol (campaign)", "screen_net_sharpe": 0.42, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The premium is REAL (VIX minus realized = +4 vol pts, t=57) but UNHARVESTABLE: negative in every crisis, skew -1.8 to -2.2, corr +0.45 to +0.66 to SPY \u2014 short-vol is leveraged long-beta in disguise, not an orthogonal sleeve. KILLED." }, { "name": "crypto_dated_basis", "readable_name": "Crypto Dated-Futures Basis (campaign)", "screen_net_sharpe": null, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Screened at an apparent 1.47 but refuted 3x and reproduced from scratch: the 8.2%/yr 'carry' is a roll-accounting fiction \u2014 the kept days (+0.55) and the dropped roll days (-0.55) cancel; honest all-days P&L telescopes to ~0%/yr, skew -6.84. A construction-fitting artifact (the 'edge' is earned by deleting the days it loses money). KILLED." }, { "name": "futcarry_xs", "readable_name": "Commodity / Cross-Asset Futures Carry (probe)", "screen_net_sharpe": -0.24, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Cross-sectional carry on 38 real futures (long backwardation / short contango, front-vs-next slope), 2010-2016 \u2014 the only window the term-structure marks support. GROSS Sharpe is already -0.17, so there is no edge for costs to erode; net -0.24, DSR 0.00, all six construction variants negative. The feed itself dies mid-2016 (one root keeps a next-contract mark), so it could not run live even if it worked. KILLED twice over." }, { "name": "mechflow_tom", "readable_name": "Turn-of-Month / Rebalancing Flow (probe)", "screen_net_sharpe": 0.27, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The calendar flow is real \u2014 SPY earns 5.65bp/day in the last-1-plus-first-3 window vs 3.96bp outside, and the footprint replicates on QQQ \u2014 but monetized standalone it sits in cash 76% of days: net Sharpe 0.27, below buy-and-hold SPY (0.58) and the screen bar, DSR 0.035 across 43 configs. The 60/40 month-end rebalance-fade variant decayed negative after 2018. A real effect that is an execution tilt, not a sleeve. KILLED as standalone. RE-EXAMINED 2026-08-03 because that first reason was BAD ARITHMETIC: a candidate need not beat the book to improve it, only clear own_SR > rho x S_b. Re-tested as a diversifier on ONE pre-registered config (no sweep, so no search penalty). The reframe was right about correlation \u2014 rho to the live book is +0.010, dropping the bar to +0.006 \u2014 and it still fails: own Sharpe -0.56 over the book's own window, and over 25 years / 6,309 sessions the full-history Sharpe of +0.278 carries a Newey-West t of only +1.42, with no decade reaching t=2 (best +1.32). A near-zero bar lowers what you must BEAT, never what you must PROVE. Adding it hurt the book at every weight (-0.03 to -0.15), and 87-96% of that harm came from the mean, not from variance. KILLED on the correct bar \u2014 this one is final." }, { "name": "pm_odds_signal", "readable_name": "Prediction-Market Odds as Macro Signal (probe)", "screen_net_sharpe": null, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Do Polymarket-implied probabilities lead tradable markets? No \u2014 they lag them. The forward lead is null across 5 macro markets x 5 ETFs; the reverse is strong: bonds reprice a Fed move first and the odds catch up the NEXT day (corr +0.40 to TLT). Only ~2 years of usable history, all one easing cycle. The free odds are a slower, noisier copy of prices we already see. KILLED at feasibility." }, { "name": "mf_realfutures_breadth", "readable_name": "Real-Futures Breadth for the Trend Sleeve (probe)", "screen_net_sharpe": -0.148, "stage": "screen_prototype", "verdict": "KILLED", "reason": "We had been treating 'buy real futures data for genuine breadth' as the roadmap for the trend sleeve, on the theory that Sharpe scales with the square root of effective breadth and 17 ETFs cannot supply it. Half of that is right: measured effective breadth is 9.1 for 38 real futures versus 5.3 for the live 17-ETF basket (and only 3.5 for a 33-ETF expansion we already killed \u2014 more names, LESS breadth, which is why it failed). The other half is wrong. On an identical construction, identical costs and the identical 2010-2026 common window, the 38-market futures book returns net Sharpe -0.148 against the ETF sleeve's +0.498, independently reproducing an earlier -0.24 result we had discounted as a possible one-off. It is not a data fault: across all 38 back-adjusted series there is exactly one single-day move above 25%. Breadth MULTIPLIES the average per-market edge; where that edge is absent, more breadth buys more of nothing and 7.3x turnover instead of 4.3x. The capital-gated futures path is therefore NOT validated and we have stopped citing it. Reproduce: the probe is in the session record; data is data/lake_fut_real (38 markets)." }, { "name": "alphamax_short_margin_floor", "readable_name": "AlphaMax Short-Leg Margin Floor (disclosure, not a strategy)", "screen_net_sharpe": -0.112, "stage": "screen_prototype", "verdict": "KILLED", "reason": "A disclosure against our own published number rather than a tested idea. The equity sleeve's backtest has never modelled the broker's $5.00-per-share short maintenance requirement, which is charged per share regardless of account size \u2014 so shorting an $8 stock ties up roughly 62% of its market value in margin at ANY capital level. Applying an honest $17 short-leg price floor costs -0.112 net Sharpe (2015-2026, point-in-time prices from our own lake, so no snapshot bias). Part of the published edge lives in cheap shorts that are permanently margin-inefficient. We are publishing the haircut rather than the flattering number. Separately: a borrow-availability filter appeared to cost a further -0.225, but that estimate is CONFOUNDED \u2014 it applies a current broker snapshot to eleven years of history, which silently excludes every delisted name, and delisted names are exactly where short alpha concentrates. Measuring it honestly needs point-in-time borrow data we do not have, so we report it as UNKNOWN rather than publish a number we cannot defend. The current live short book is 92 of 94 names borrowable." }, { "name": "alphamax_volscale", "readable_name": "Vol-Scaled / Crash-Protected Momentum overlay (campaign)", "screen_net_sharpe": 0.87, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Barroso-Santa-Clara constant-vol and Daniel-Moskowitz variance/dynamic scaling applied to the live AlphaMax sleeve. On the canonical window it HURTS (net Sharpe 0.87 vs the sleeve's own 0.91, maxDD worse by 1.3-3.1pts); incremental alpha over the book-level vol target the engine already runs is statistically zero in all 5 configs (t -1.64 to +0.81, overlay-scale correlation 0.54-0.66 to the engine's own rule). The insurance is already owned; buying it twice costs money. KILLED." }, { "name": "eq_52whigh", "readable_name": "52-Week-High Momentum (campaign)", "screen_net_sharpe": -0.289, "stage": "deployed_gauntlet", "verdict": "KILLED", "reason": "The one AlphaMax construction variant whose cheap screen cleared the bar (t 2.01 vs plain momentum's 1.73), so we honored the pre-registration and ran the FULL deployed-path walk-forward. It KILLED: net Sharpe -0.289 (WORSE than plain 12-1's own -0.049 on the same harness), DSR 0.00, and OOS correlation +0.42 to plain momentum \u2014 neither better nor genuinely different. The frozen 12-1 build stays. KILLED at the gauntlet." }, { "name": "letf_eod_flow", "readable_name": "Leveraged-ETF End-of-Day Forced-Rebalance Flow (probe)", "screen_net_sharpe": -1.41, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Leveraged ETFs MUST trade into the close (~$277B QQQ-family rebalance multiplier, ~$4B/day estimated flow) \u2014 a real, large, mechanical flow. But it is NOT tradeable on 2021-2026 data: no continuation into the close (+0.58 bps per 1-sigma flow, t=0.93), no overnight reversal, and all six strategy cells lose net of costs (best cell Sharpe -1.41). The ~0.6bp effect is ~6x below the 12bp round-trip cost floor \u2014 no cost assumption rescues it. The pre-2019 literature edge appears arbitraged away at the granularity free data sees. KILLED at screen." }, { "name": "intraday_mom", "readable_name": "Intraday Flow-Momentum, first-30m predicts last-30m (probe)", "screen_net_sharpe": null, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The twice-JFE-documented effect (Gao-Han-Li-Zhou) is fully DECAYED post-publication on SPY/QQQ/IWM: dead-zero in 2023-2026, and significantly INVERTED in 2020-2022 (a textbook publish-then-arbitrage overshoot). The only statistically-alive cell (TLT overnight, t=2.9) makes +1.2 bps/day gross against a >=2bp round-trip \u2014 a mirage economically. KILLED at screen." }, { "name": "econtrend", "readable_name": "Economic-Trend Sleeve, macro-fundamental trend (campaign)", "screen_net_sharpe": 0.211, "stage": "deployed_gauntlet", "verdict": "KILLED", "reason": "Trend on first-release macro vintages (payrolls, CPI, IP, credit spreads, yields, dollar) driving the 17-ETF basket by a pre-committed economic sign matrix. It has a REAL crisis-alpha personality \u2014 +60.7% through the 2008 GFC (SPY -46%), +17.5% in the 2022 bear (SPY -18%), essentially uncorrelated with the live AlphaTrend book (+0.009) and mildly SPY-negative (-0.20). But it fails the adopt bar 2 of 3: net Sharpe 0.211 (bar 0.40), DSR 0.00 at N=103, and it gets caught in fast gap-down crashes (COVID -25.9%, breaching the -22.5% floor). Genuine decorrelation, not enough edge. A hostile 3-auditor leakage panel cleared the vintage plumbing before the one-shot ran. KILLED at the gauntlet. Also tested as a combined-book DIVERSIFIER (not just standalone), since near-zero correlation can lift a book even below the solo bar: it fails there too. At equal total vol its naive Sharpe ticks up ~0.02-0.04 but within noise, it DEEPENS the GFC and 2022 drawdowns, and decisively \u2014 strip its DSR-0.00 mean and the optimal weight goes to exactly 0.00 (the whole 'benefit' was return-stacking a mean statistically indistinguishable from zero, not real diversification). Not added, in any construction. Reproduce: scripts/probe_econtrend_book.py." }, { "name": "xs_seasonality", "readable_name": "Cross-Sectional Same-Calendar-Month Seasonality (probe)", "screen_net_sharpe": -0.334, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The one equity-side signal genuinely DECORRELATED from our momentum sleeve \u2014 and that is exactly why it is worth publishing. Same-calendar-month ranking across a 33-ETF macro basket, 10y trailing PIT history, monthly, net of 6bp + borrow: net Sharpe -0.334, and NEGATIVE GROSS too (-0.176), so there is no edge for costs to erode. Correlation to plain 12-1 momentum is just +0.07 (it passes the costume test that killed residual momentum and 52-week-high) \u2014 but a 12-1 control on the SAME universe prints +0.175, so the harness can find a real signal; this one simply is not there. Decorrelation without edge is worthless. Screen gate failed, no walk-forward trial spent. Reproduce: scripts/probe_seasonality.py." }, { "name": "cef_discount", "readable_name": "Closed-End-Fund Deep-Discount + Activist Catalyst (probe)", "screen_net_sharpe": -0.088, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The five-decade anomaly is REAL in free data and we could see it: entry-cohort funds genuinely narrow their discount versus the universe (+1.17pts at 4w t=5.4, +1.26 at 13w t=7.2, +1.39 at 26w). It still fails on economics \u2014 the convergence is too slow for its toll. Hedged net Sharpe -0.088 (-0.82 price-only) against a 0.5 gate: ~12.8%/wk turnover at 41bp one-way (6bp + half the 0.7% median CEF spread) hands back the ~1.3pt/quarter the discount closes. Two further honest notes: today's entry watchlist is EMPTY (0 of 328 funds qualify \u2014 the 2024-26 activist wave already closed sector discounts to multi-year tights), and the discount screen and the activist catalyst are nearly disjoint books (4.9% overlap), so the documented live-capital story is the CATALYST trade, not the one we screened. A pre-registered, hash-locked FORWARD experiment is now accruing point-in-time data toward a single-look evaluation in 2027. Reproduce: scripts/probe_cef_discount.py." }, { "name": "multivenue_funding", "readable_name": "Crypto Multi-Venue Funding Aggregation (probe)", "screen_net_sharpe": null, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Would aggregating funding across exchanges beat our Binance-only carry signal? No \u2014 null by its own pre-registered rule (promote required +0.10 Sharpe at 90% bootstrap confidence). The reason is structural: Binance and Bybit annualized funding are 0.94 correlated across 12,425 instrument-weeks, so there is almost no independent information to aggregate. The adjacent 'harvest on the best-paying venue' idea dies on arithmetic too \u2014 a median cross-venue gap of ~2.4%/yr against a four-legged ~30bp round trip implies a 22-day breakeven hold, marginal before you even price second-tier venue custody risk. The live sleeve stays Binance-only on its blessed config. Byproduct kept: a multi-exchange funding lake (Bybit deep history via mirror; OKX public history is depth-capped at ~90 days, a data finding worth recording). Reproduce: scripts/probe_multivenue_funding.py." }, { "name": "alphamax_betaneutral", "readable_name": "Beta-Neutral Momentum Construction (campaign)", "screen_net_sharpe": 0.57, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The premise was that a dollar-neutral momentum book carries hidden NEGATIVE market beta, so a junk rally hurts both legs at once. Measuring the premise first killed it. On the research panel (2005-2026) the book's mean rolling 63-day beta is -0.014 \u2014 essentially zero. On the LIVE book it is +0.319, and the LONG leg is the high-beta side (leg beta 1.932 long vs 1.238 short) \u2014 the opposite of the premise. The treatment is then regime-dependent with opposite signs: research net Sharpe 0.160 to 0.361 (bootstrap P(dSharpe<=0)=0.0225), LIVE 0.921 to 0.570 (P=0.938). It also barely touches the episode it was designed for \u2014 0.2 points of a 9.5-point loss on research, 0.7 of 10.5 live \u2014 and it buys beta-neutrality by selling dollar-neutrality: net exposure runs to +/-34% of gross, which breaks the market-neutral mandate. Not adopted. 0 trial slots burned. Reproduce: scripts/probe_alphamax_betaneutral.py." }, { "name": "alphamax_weightgrid", "readable_name": "Weighting x Breadth Construction Grid (campaign)", "screen_net_sharpe": 0.066, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Four weightings (inverse-vol, equal, signal-proportional, vol-capped) crossed with four breadths (K=30/50/100/200), 2005-2026, live cell inverse-vol K=100. Net Sharpes span -0.293 to +0.066 against the live cell's -0.062 on the same harness (this is the deep-history panel, where the deployed 2023+ sleeve's 0.91 does not apply). Four of the 15 challenger cells individually cleared the 90% paired bootstrap \u2014 but the bootstrap's own dSharpe intervals imply those cells are 0.97 to 1.00 correlated with the live cell, so four passes is about the chance expectation for a family of near-copies, not evidence. The family-wise White Reality Check over the whole grid returns p=0.315: the best cell (signal-proportional K=50, dSharpe +0.128) is indistinguishable from luck. That family-wise gate was pre-registered precisely so the best cell could not be harvested. Zero cells adoptable; keep inverse-vol K=100. 0 trial slots burned. Reproduce: scripts/probe_alphamax_weighting.py." }, { "name": "alphamax_shorttail", "readable_name": "Short-Leg Tail Controls (campaign)", "screen_net_sharpe": 0.121, "stage": "screen_prototype", "verdict": "KILLED", "reason": "Nine construction-side short-leg controls (per-name stop-outs at 30/50/100%, gross caps at 1.25x/1.5x/2.0x, short-leg vol targeting, with and without dollar-neutral restore). Killed by attribution rather than by Sharpe. In the July 2026 episode the baseline lost 4.98%, of which the LONG leg contributed 3.61 and the SHORT leg 1.34 \u2014 the short leg is 27% of the damage. The squeeze narrative is real (ALIT +88% split-adjusted, RPD +61%) but it is the minority of the loss; the larger driver was the momentum long complex selling off. A control that drove short-leg P&L to exactly zero still could not have fixed the episode. The actual controls recovered 0.02 to 0.77 points of the 4.98 (two of the nine made it worse) with within-episode drawdown unchanged: 5.49% baseline vs 5.33% to 5.57% across the nine. Four controls cleared the pre-registered gate on full-sample numbers and all four fail the beta filter \u2014 the best (short-leg vol target, net Sharpe 0.121 vs the baseline's -0.102 on the 2005-2026 panel) buys its gain with market beta, not alpha: beta t=16.4, alpha t=-0.14. Nothing adopted. 0 trial slots burned. Reproduce: scripts/probe_alphamax_shorttail.py." }, { "name": "equity_short_interest_dtc", "readable_name": "Short Interest / Days-to-Cover Deciles (probe)", "screen_net_sharpe": 0.204, "stage": "screen_prototype", "verdict": "KILLED", "reason": "The first genuinely NEW INPUT in months rather than another transformation of price and volume: bi-monthly FINRA short interest for the whole US tape, 2017-12-29..2026-07-15 (3,804,024 rows, 23,314 tickers), unlocked by the Polygon Starter upgrade and ingested in full. ONE pre-registered config, no sweep: long the bottom days-to-cover decile, short the top, dollar-neutral, PIT top-2000 by ADV, price >= $5, positions formed on settlement + 10 BUSINESS DAYS (FINRA disseminates ~8; the extra margin makes lookahead un-arguable) and held to the next availability date. *** CORRECTION 2026-08-05 \u2014 THE FIRST PUBLISHED NUMBERS FOR THIS ENTRY WERE WRONG. *** The probe computed returns as log(close).diff() on data/lake, which stores RAW AS-TRADED closes: not split- or dividend-adjusted. Every forward split therefore booked a catastrophic fake loss \u2014 AAPL 2020-08-31 as -135%, NVDA 2024-06-10 as -229%, TSLA 2022-08-25 as -110%. The bias was DIRECTIONAL, not noise: splits happen in high-priced mega-caps, mega-caps have enormous ADV, and days_to_cover = SI/ADV is therefore tiny for them, so every fake collapse sorted into the LONG (bottom-DTC) leg. The production feature engine refuses raw prices outright; this standalone probe bypassed that guard. Fixed in scripts/lib/px_adjust.py, which adjusts the RETURN series only and deliberately leaves price floors and ADV ranks on raw as-traded values (back-adjusting levels would introduce a look-ahead the raw panel does not have). Both affected probes were repaired in the same pass. WHAT CHANGED: gross Sharpe before any cost was published as -0.220 (full) and +0.002 (easy-to-borrow); corrected it is -0.062 (NW t -0.19) and +0.204 (NW t +0.66). The published claim that there was 'no edge for frictions to eat' was therefore FALSE \u2014 there is a small gross edge, it is simply not statistically established and it is entirely consumed by costs. The KILL STANDS but on different reasoning. Corrected net of 6bp one-way at 20x annual turnover, on the easy-to-borrow universe that is actually shortable: -0.026 / -0.228 / -0.792 at 50 / 300 / 1000 bp per year of borrow. The top days-to-cover decile IS the hard-to-borrow bucket, so the 50bp row describes a trade nobody can put on; at a realistic 300bp it is -0.228. Against the pre-registered rule it fails gate (b) Newey-West t >= 2 and gate (d) survives 300bp on easy-to-borrow, and passes (a) and (c). Correlation to the live book is -0.017, so the diversification arithmetic was favourable and it still did not matter \u2014 the same lesson as mechflow_tom: a near-zero bar lowers what a candidate must BEAT, never what it must PROVE. The sign is NOT flipped and re-tested, and the gates were NOT relaxed to admit it once the corrected numbers looked better; that is precisely the search a pre-registration exists to forbid. KILLED. Reproduce: scripts/ingest_short_interest.py then scripts/probe_short_interest.py." } ], "survivor_sleeves": [ { "name": "k30_dn_63", "sharpe": 0.9071, "cagr_pct": 7.84, "return_pct": 24.54, "final_equity_usd": 124536.21, "vol_ann_pct": 13.07, "max_drawdown_pct": -8.68, "n_days": 729, "start_date": "2023-07-06", "end_date": "2026-06-01", "turnover_ann": 4.11, "fees_paid_usd": 86.59, "readable_name": "US Equity Momentum", "description": "12-1 cross-sectional momentum, dollar-neutral long/short, split-adjusted, survivorship-free. Quarterly rebalance, 12% vol overlay, Reg-T 2x gross.", "book_weight_pct": 54.4, "verdict": "KEEP", "reason": "KEEP. Net Sharpe 0.91 clears the 0.40 gate; the equity ballast of the book. Decorrelated from crypto carry. Capacity $1B+ at Reg-T 2x gross." }, { "name": "crypto_carry_wk", "sharpe": 0.6766, "cagr_pct": 7.8, "return_pct": 38.24, "final_equity_usd": 138236.27, "vol_ann_pct": 11.83, "max_drawdown_pct": -19.6, "n_days": 1575, "start_date": "2022-02-08", "end_date": "2026-06-01", "turnover_ann": 33.22, "fees_paid_usd": 7372.72, "funding_net_usd": 19500.02, "readable_name": "Crypto Funding Carry", "description": "Funding-rate carry on Binance USDT-M perpetuals, market-neutral. Weekly cadence.", "book_weight_pct": 45.6, "verdict": "KEEP", "reason": "KEEP, with honest caveats. Net Sharpe 0.68, near-uncorrelated to equity (corr ~ -0.02). Capacity is FINITE (~$100k to $1M proven); weight decays to zero above ~$100M AUM." }, { "name": "managed_futures", "sharpe": 0.3307, "cagr_pct": 1.12, "return_pct": 25.6, "final_equity_usd": 125597.75, "vol_ann_pct": 5.33, "max_drawdown_pct": -10.25, "n_days": 5133, "start_date": "2006-01-04", "end_date": "2026-06-01", "turnover_ann": 9.72, "fees_paid_usd": 1551.96, "readable_name": "AlphaTrend (Managed-Futures Trend)", "description": "Time-series momentum across a 17-market ETF basket (equity-index, rates, commodities, FX), long/short on each market's own trend, inverse-vol weighted. Biweekly rebalance.", "book_weight_pct": 0.0, "verdict": "KEEP", "reason": "KEEP \u2014 but NOT for an edge. Net Sharpe is a modest 0.33, positive skew, two-decade stable, ~0 equity correlation. We originally kept it as 'the FIRST new sleeve to clear deflation, DSR 0.83, statistically real'. Re-derived 2026-08-07 at honest N=133 and pooled V[SR]=7.96e-04, its DSR is 0.000 \u2014 the LOWEST of the sleeves we have measured, not the highest; the old 0.83 rested on a variance input roughly 80x too small and a trial count of 5 while its siblings were graded at N=101. That claim is WITHDRAWN (transparency [24]). It is carried in the book at an equal quarter for MEASURED drawdown reduction, not for a demonstrated edge. The free-ETF screen suggested 0.73; the honest engine says 0.33 \u2014 we published both." } ], "source_paths": [ "artifacts/walkforward/deephist_quality_top800/summary.txt", "artifacts/walkforward/eq_value_btp/summary.txt", "artifacts/walkforward/eq_quality_gp/summary.txt", "artifacts/walkforward/eq_mom_margin/summary.txt", "artifacts/walkforward/prereg_momentum/summary.txt", "artifacts/walkforward/prereg_value/summary.txt", "artifacts/walkforward/prereg_quality/summary.txt", "artifacts/walkforward/prereg_bab/summary.txt", "artifacts/walkforward/crypto_lowvol_720/summary.txt", "artifacts/walkforward/k30_dn_63/summary.txt", "artifacts/walkforward/crypto_carry_wk/summary.txt", "artifacts/walkforward/managed_futures/summary.txt", "docs/design/PREREG_INSIDER_CLUSTERS.md", "artifacts/probe/insider_purchase_clusters/result.json", "artifacts/probe/insider_purchase_clusters/input_data_manifest.json", "artifacts/probe/insider_purchase_clusters/equity.parquet", "artifacts/probe/insider_purchase_clusters/events.parquet", "artifacts/probe/insider_purchase_clusters/weights.parquet", "artifacts/probe/eia_petroleum_inventory/result.json", "artifacts/probe/eia_petroleum_inventory/input_data_manifest.json", "artifacts/probe/eia_petroleum_inventory/equity.parquet", "artifacts/probe/eia_petroleum_inventory/scores.parquet", "artifacts/probe/eia_petroleum_inventory/weights.parquet", "docs/design/PREREG_EIA_PETROLEUM_INVENTORY.md", "artifacts/sweep/gauntlet_eq_net_issuance/walkforward.json", "artifacts/analysis/null_fundamentals_rerun/result.json", "artifacts/feasibility/repurchase_issuance_flow/identity_overlap_audit.json" ], "generated_at": "2026-08-23T08:25:35.381329+00:00", "content_hash": "sha256:38ec6c4312463f2e2e1867ce76dd9420a698b7c3dea30bf2d84494537f4df5d3" }