Hypotheses
Valeyre Normalized-Return EMA: Smoothed Continuous Long–Short Hyperliquid Panel
Derived by the Research Lead from Sebastien Valeyre, Breaking the Trend: How to Avoid Cherry-Picked Signals: port the explicit naive 1/N continuous-position variant in Sections 4.1 and 4.3, rather than introduce an…
Hypothesis
Derived by the Research Lead from Sebastien Valeyre, Breaking the Trend: How to Avoid Cherry-Picked Signals: port the explicit naive 1/N continuous-position variant in Sections 4.1 and 4.3, rather than introduce an approximate ARP matrix cleaner. Use daily bars on six predeclared Hyperliquid perpetuals, with EMA relaxation time 120 days, 40-day volatility estimation and 20-day position smoothing as source baselines. This tests transfer of the source mechanism to crypto, not reproduction of its 70 traditional-futures dataset or claimed Sharpe. Universe, 10% annual portfolio volatility target and conservative exposure caps are Research Lead adaptations because the paper does not specify an executable risk budget. Market orders at signal-bar closes are the capability-registry equivalent of next-bar-open fills on continuous venues. No exchange-resting orders, opposing positions on one instrument or selectable same-bar policy are required. All performance numbers below are unverified predictions.
Analysis
Breaking the Trend: How to Avoid Cherry-Picked Signals
Backtest and paper results are hypothetical. Trading involves risk of loss.