Strategies

GdxGldBetaHedgedResidualCatchUp tested whether gold miners catch up with bullion moves, using a beta-hedged GDX/GLD pair on daily USEQ bars. After 2 iterations, the full 2008-2024 backtest produced 221 entries averaging -0.040% per trade, with Sharpe 0.10, profit factor 1.027, a 27% max drawdown and a drawdown lasting 3537 days. The executed z-signal had a negative IC (-0.089), and the short-GDX side won only 46% of trades. The analyst abandoned it at backtest review as having no edge after fees, so optimization, risk review and promotion were never reached.

The hypothesis proposed earning the cross-venue funding spread between Binance and OKX perps on the same coin, backed by a point-in-time pre-study that found 84 qualifying episodes across five mid-cap alts. The developer coded a 10-instrument pair strategy that reads each leg's own funding series point in time. The iteration 3 fix only addressed Layer 1.5 config consistency (declaring leverage 2.0 as a parameter). The strategy then failed Layer 3 verification with zero entries over 19,993 bars and was abandoned without ever reaching backtesting, optimization or analyst review.

This strategy was a line-for-line port of the FMZ #443132 Turtle Trading Decision System onto LTCUSDT perpetual daily bars. It kept the source's default parameters and its 0.05%/side fee assumption. Over 3 iterations (the last one only fixed Layer-1.5 config consistency) it never got through verification: the Layer 3 sandbox smoke test went over the 300s limit on a 2400-day window. It was abandoned with no backtest metrics, and the backtest-review, optimization, analyst and risk stages were never reached.

This hypothesis applied three rules from a quant.stackexchange answer to an LTC/BCH Bybit perp convergence trade: an anchor that holds across window lengths, an absolute 6% fee floor for entry, and a volume-asymmetry breakdown veto. Over 3 iterations the developer reworked the per-bar volume and median logic for speed in iteration 2 and fixed a leverage-parameter config consistency issue in iteration 3. The strategy still timed out in the Layer 3 sandbox backtest (over 300s on ~20000 4H bars) and was abandoned in the verification loop. Backtesting, optimization, analyst review and risk review were never reached, so the trading thesis remains untested.

XleUsoOuLogSpreadReversion tried to port a stochastic-spread commodity pairs model to XLE versus USO on 20 years of daily US equity data, trading OU z-score extremes of a beta-hedged log spread. The hypothesis cited a modest pre-study edge (average trade about +0.5%, Sharpe about 0.3) and flagged significant selection bias. Over 3 iterations the code never got through verification: Layer 1.5 rejected each attempt because the optimization_plan fixes leverage at 1.0. The run was abandoned before any backtest, optimization or analyst verdict, so the edge remains untested in the pipeline.

The strategy tried to trade convergence between Bybit and OKX SOL perpetuals after a rolling residual screen. Its sandbox smoke test lost 3.04%. After three iterations, QA found an entry cost issue and a risk of leaving one leg exposed, so the run was abandoned during verification. The required outbox file could not be written because the workspace is read-only.

The strategy sought a gap between forecast and implied volatility in Deribit ETH calls, with a banded perpetual hedge. Its sandbox test processed 497 hourly bars, but the option chain was not built, so no signals were evaluated and no trades occurred. It was abandoned after Layer 3 verification failed, before later stages. The required outbox file could not be written because the workspace is read-only.

After the analyst sent the single-name ETH premium-vs-price disagreement strategy back with a revise_hypothesis verdict (strong per-trade edge, but too few trades to survive deflation or FDR), the Research Lead restated it as a frozen 8-major event panel to increase breadth. On its first full-history backtest, the panel ran 830 trades and lost money: Sharpe -0.146, PF 0.908, -14.5% total return, and 4 of 7 years negative. Only ETH, SOL and LINK were positive, and losses on BTC, DOGE and the short side outweighed them. The strategy was abandoned at backtest review after 3 iterations. The reviewer also flagged two items for metrics and engine review: the sign disagreement between avg_trade_return_pct and the ledger, and recurring paired ±9-10% daily MTM swings.

SpyClosePressureOvershootFade tested a one-session fade of 2-sigma SPY moves that closed at the extreme of the day's range, backed by a strong pre-study (+0.26% per trade, t=3.6, replicated on QQQ, DIA and IWM). The base backtest reproduced the per-trade edge (388 trades, 0.286% avg, PF 1.69), but the modern-era result depended heavily on March 2020, and the daily-return series showed a suspected mark-to-market artifact. Optimization chose z_entry 1.0 and more than 1x sizing, which produced a 57% drawdown and a holdout Sharpe of 0.42 against 1.49 walk-forward OOS. The analyst abandoned it at iteration 5 as overfit, recommending a single re-test only after the artifact is fixed, using next-open fills, fixed 1x size, and only z_entry and close_extreme_frac free.

This strategy tried to capture intermediate-term ADA momentum confirmed by dollar-volume expansion, trading both long and short on OKX daily bars. The first backtest showed a thin but fee-clearing edge (+7.8%, Sharpe 0.20, 0.436% per trade over 299 trades), so backtest review sent it to optimization. Optimization chose the trial with the highest mark-to-market Sharpe, which had a negative return; the resulting book lost 13.9% with a 35.7% drawdown and failed the holdout (Sharpe -0.21 on 60 trades). The analyst abandoned it after one iteration as an overfit holdout failure and also flagged a suspected artifact in the engine's mark-to-market series for review.

This hypothesis proposed harvesting the BTC implied-over-realized volatility premium by selling rich OTM Deribit puts and delta-hedging them with the BTC perpetual using a smile-adjusted delta. The strategy was coded as DeribitBtcOtmPutSmileDeltaHedge. It was then abandoned after 1 iteration because no 1-hour bar data for the representative contract BTC-25DEC26-60000-P.DERIBIT could be collected in 5 retries. No backtest, optimization or analyst verdict was produced, so the thesis is still untested and can be re-evaluated once the contract data is backfilled.

This hypothesis tried to capture mean reversion in the annualized basis between the OKX BTC perpetual and the quarterly future, trading both legs in equal notional and only on volatility-gated extremes. The strategy was coded over 2 iterations. It was abandoned before any backtest could run because no bar data could be collected for the quarterly leg (BTC-USDT-261225.OKX, 4-hour) after 5 retries. Backtest review, optimization, analyst review and risk review were never reached, and the pipeline noted the hypothesis should be re-evaluated once that symbol is backfilled.

This strategy tried to trade correlation-adjusted, volatility-targeted trend momentum across BTC, ETH and SOL perpetuals on OKX, rebalancing monthly. It never got past code verification: over 3 iterations it kept failing the 'leverage_set_but_unused' check, because the config set leverage=1.5 but position sizing did not use that leverage. The pipeline abandoned it in a verification loop, so backtesting, optimization, analyst review and risk review never ran and there are no performance metrics.

EthDvolVrpRegimeLong re-routed a never-measured ETH variance-risk-premium regime long from Deribit's perp to the Binance USD-M perp. It went long when implied minus realized vol ranked in the top 30% of its trailing 90 days. The point-in-time backtest gave 64 trades at Sharpe 0.22 and PF 1.15, far below the pre-study's Sharpe 0.78, but it cleared the cost floor and passed backtest review to optimization. Optimization showed no out-of-sample edge (OOS Sharpe -0.009, PBO 0.63, holdout Sharpe -0.74 on 3 trades), so after 2 iterations the analyst abandoned it as overfit, and it flagged a possible engine marking artifact for separate review.

LtcFridayExpiryWeekendDriftLong went long LTC perps from Friday 08:00 UTC for 48h, based on a pre-study showing a Friday weekend drift across 10 alts. Its first backtest cleared the fee floor comfortably (0.88% per trade, PF 1.22, 345 trades) but missed the pre-registered PF and drawdown targets, and it was still sent to optimization. The optimized parameters produced a near-zero holdout Sharpe (0.03 over 69 trades), a 55% drawdown and a failed FDR test, so the analyst abandoned it as no_edge after one iteration. The analyst also asked for an engine review: the daily MTM series showed large paired swings on days the book was flat by construction, which contaminates this run's Sharpe, drawdown and DSR.

PensionMonthEndRebalanceSpyTlt tried to trade against the month-end equity/bond rebalancing flow of balanced funds using the month-to-date SPY-minus-TLT gap. It passed backtest review with 514 trades and 0.162% per trade, and its full-period trade ledger reproduced the pre-study's Sharpe of about 0.55. After optimization it failed two hard gates (walk-forward overfit, CPCV OOS Sharpe 0.26 < 0.5), and holdout-window trades averaged -0.014%, so the analyst abandoned it after 2 iterations as no_edge. The analyst also flagged a suspected USEQ engine artifact for separate review: paired MTM swings on days with no open position, which distort Sharpe and drawdown.

This hypothesis revised earlier long-short channel-break runs into a long-only ETHUSDT.OKX trade: buy the first close above the 7-day closing high and hold for 48h. It was coded and backtested in one iteration, and the per-trade edge was well above costs (0.90% against a 0.15% floor) with a positive holdout (Sharpe 0.84). However, PF stayed at 1.23, the Sharpe CI straddled zero, the yearly results were uneven, and the optimizer's gain came mostly from raising notional_fraction from 0.5 to 0.75. The analyst abandoned it for overfitting (PBO 0.69 > 0.5 hard limit) and flagged a suspected engine artifact in the daily-return series for engine review.

The strategy was a 1H long-only event trade on DOGE that bought after joint OI and price flushes, and it was flat about 88% of the time. The backtest review sent it to optimization because per-trade economics were strong (0.87% average per trade, beta about 0.01). The 3-phase optimization then showed an IS/OOS gap (1.25 vs 0.44), PBO 0.72, a lookback cliff at 13h, and profits concentrated in 2024 and in the Oct-2022 DOGE pump. After one iteration the analyst abandoned it as overfit, noting that the positive holdout means the edge is not refuted but cannot be told apart from best-of-N selection on a single instrument.