Hong Kong Large-Cap Cross-Sectional Monthly REVERSAL, Long-Only Equal-Weight Basket (HKEQ — buy the 6 biggest RELATIVE losers of the last 21 sessions out of a fixed 24-name HSI-blue-chip universe, hold 21 sessions, roll; a brand-new venue and price estate with ZERO prior experiments, 3-parameter)

A LONG-ONLY, MULTI-INSTRUMENT, low-turnover CROSS-SECTIONAL REVERSAL basket on HONG KONG equities (HKEX main board, venue HKEQ) — a venue with 174 daily instruments in the catalog (2018-01-02 -> today) and literally ZERO of the factory's 1390 hypotheses ever pointed at it. The corpus is 70% Binance USD-M and 62% BTC; this hypothesis buys a completely different price estate with a completely different participant mix (retail + southbound mainland flow + index trackers), so whatever it produces is statistically independent of everything else in the programme. Mechanism (NOT time-series momentum, NOT an RSI dip-buy, NOT a macro/regime ETF rotation — all three of which are documented dead families here): every 21 trading sessions, rank a FIXED 24-name universe of HK blue chips by their trailing 21-session total return, subtract the universe MEDIAN return (cross-sectional demeaning, so the ranking is purely RELATIVE and carries no market-timing call), and hold an equal-weight basket of the 6 most negative (worst relative performers). Hold 21 sessions, then re-rank and roll; names that are still in the bottom-6 are NOT traded (turnover reduction = fee reduction). No shorts — HKEQ is a CASH account, so long-only is a venue constraint, not a preference. Why this is not the dead US-ETF-rotation family: there is no regime gate, no SMA, no macro asset-class switch and no timing of the market. The book is always 100% invested in 6 names; the only decision is WHICH 6, and that decision is made ~104 times over the history across 24 names, producing ~400 independent single-name bets — two orders of magnitude more effective sample than the 35-77 rebalances that made every SPY/QQQ/GLD/TLT rotation die overfit (L99). It is also not the crypto pairs/cointegration family (L96) — there is no spread, no hedge leg, no stationarity assumption, and no second fee-paying leg (L95). FEE ARITHMETIC (HKEQ is an EXPENSIVE venue and the design is built around that): statutory cost is ~0.11%/side (HK stamp duty 0.10% EACH side + SFC levy 0.0027% + HKEX trading fee 0.00565% + FRC levy), plus a ~4 bps half-spread on HSI large caps => round-trip ~0.30% of notional. Monthly idiosyncratic return dispersion in HK blue chips is ~9-11% (1 sd), and the documented Asia-ex-Japan pattern is REVERSAL rather than momentum at the 1-month horizon (momentum is empirically absent in HK/China large caps; short-horizon contrarian spreads of roughly +0.8% to +1.5%/month between relative-loser and relative-winner deciles). Expected per-trade capture = universe drift (~+0.25%/month) + reversal tilt (~+0.7%) ~= 0.95% of notional per 21-session hold, i.e. ~3x the 0.30% round-trip. A hold that long also means fee drag is ~0.30% per MONTH of exposure, not per day — the exact opposite of the sub-fee fast-cadence mechanisms that produced 489 fee_edge deaths here. Universe (all verified present in the catalog with unbroken 1-DAY history from 2018-01-02, so there is no listing-gap survivorship artifact from the 2018-2021 HK mega-listings): 0700 Tencent, 0005 HSBC, 1299 AIA, 0941 China Mobile, 0388 HKEX, 0939 CCB, 1398 ICBC, 3988 BOC, 2318 Ping An, 1211 BYD, 0883 CNOOC, 0857 PetroChina, 0386 Sinopec, 2628 China Life, 2388 BOCHK, 0001 CK Hutchison, 0016 SHK Properties, 0002 CLP, 0003 HK&China Gas, 0066 MTR, 0267 CITIC, 0288 WH Group, 1113 CK Asset, 0823 Link REIT. Data span 2018-01-02 -> 2026-08-21 (~8.6 years) covers four distinct regimes: 2018 trade war, 2019 protests, 2020 COVID crash + recovery, 2021-2022 China policy crackdown bear (HSI -50%), 2023-2026 recovery — so the walk-forward windows are genuinely different macro environments rather than three slices of one bull market. Session venue: HKEQ uses the XHKG calendar in src/data/market_calendar.py; daily bars are stamped at the session close and there is no overnight/weekend gap problem. Long-only, no leverage, whole-share sizing, HKD-denominated account.