Maximum-Drawdown-Ranked Monthly Momentum on Binance Spot: Hold the 5 Lowest-30-Day-MDD Names of a Point-in-Time Top-20 Liquidity Universe, Long-Only, Cash When Formation Return <= 0 (Choi 2014, DAILY bars)

Classification: (a) concrete, testable rule. The abstract makes two claims: (1) on a MONTHLY horizon, ranking assets by the maximum drawdown (MDD) of the formation window and buying the smallest-MDD names beats classic cumulative-return momentum; (2) on a WEEKLY horizon, recovery-based ranking detects mean reversion. We distil ONLY claim (1). Claim (2) is a weekly cross-sectional contrarian book; weekly reversal on crypto is in the dead mean_reversion / multi-leg-neutral family (L113, L137), so it is not proposed. Claim (1) is re-expressed long-only on BINANCE_SPOT, the right venue for unleveraged long-only rotation (spot is 10.9% of the corpus against a >=15% target). Shorting the high-MDD leg is left out because multi-leg neutral books have 0 survivors (L137). Universe (point-in-time, per L151): the developer loads a candidate pool of Binance spot USDT pairs as extra_instruments. At each monthly rebalance, a name is ELIGIBLE only if it has >= 60 daily bars of history as of that date and ranks in the top 20 by trailing-30-day dollar volume (close*volume) as of that date. Names not yet listed, or with stale/missing bars, are excluded automatically. The pool is itself a selection choice made in 2026, and we state it openly: it is the 20 largest spot USDT pairs, and the point-in-time filter decides membership on each date. Formation: for each eligible name, compute MDD over the trailing 30 daily closes: MDD = max over t of (1 - close_t / running_max_close_up_to_t). Rank ascending by MDD (smallest drawdown = strongest). Holding: the 5 lowest-MDD names, equal weight at 19% of equity each (95% gross, 1x, cash account). There is ONE absolute condition and it provides the declared flat state: a selected name whose 30-day cumulative return is <= 0 is replaced by cash, not by the next name. A near-zero-MDD name can still have a slightly negative return in a grinding decline, so this condition takes the book to cash in bear months. Expected flat fraction is ~25-35% of calendar time, concentrated in 2022 and similar regimes. We note, per L130, that this is a condition: it is part of the pre-registered primary rule because an ungated long-only alt basket would carry ~70% drawdown in 2022, and that is not a deployable hypothesis. Variant B (ungated, pure MDD rank) is pre-registered as a separately scored comparison. The falsifiable content is the paper's own head-to-head: the MDD-ranked book must beat an identically constructed 30-day cumulative-return-ranked book on OOS Sharpe. That return-ranked book is essentially the existing spot rotation, which is at Sharpe -2.14 in paper. If MDD ranking does not beat it, the paper's claim does not transfer to crypto. Implementation note (7 recent sandbox_timeout deaths): keep a fixed 60-slot ring buffer of closes/volumes per instrument in on_bar/on_extra_bar, and compute MDD and dollar volume ONLY on the rebalance bar (O(20*30) once a month). Never rescan the full history per bar.