Strategies

EthSpotPingPongDailyLimitPair tried to turn a single-trade public FMZ script into a repeatable daily limit-pair strategy on ETH spot, betting that its +2.56% target, about 13x the spot round-trip cost, would survive fees. The last iteration changed only order-cache access, adding a defensive _cache_orders helper. Across 3 iterations the code never passed Layer 1 static analysis; the final failure was a syntax error at line 1, and the run was abandoned as a verification loop. The strategy never reached backtesting, so the hypothesis is still untested.

This hypothesis ported an FMZ rolling linear-SVM next-bar direction classifier to the Binance COIN-M BTC perpetual at 1H, and it pre-registered a near-zero-edge prediction. After 2 iterations the backtest produced 1,408 trades averaging -0.129% per trade, with PF 0.80 and Sharpe -0.38, and the account was liquidated for a -100% return while buy-and-hold BTC rose about 3x. The analyst abandoned it at backtest review before optimization, because a zero gross edge cannot clear trading costs. The analyst also flagged implausible COIN-M daily MTM swings and conflicting liquidation dates for engine review, noting they do not change the sign of the edge.

SolSpotVolScaledStepLadder restated an FMZ price-step ladder as a vol-scaled, 25%-slice, long-only SOL spot trend follower on 4H bars. Its base backtest over about 5.7 years showed a large +2581% return, but with Sharpe 0.33, a 78.7% max drawdown, beta 0.63 and an information ratio of -0.54, meaning it underperformed simply holding SOL. After 2 iterations the analyst abandoned it at backtest review as beta without a trend edge, so optimization, analysis and risk review were never reached. The analyst also flagged a -7.43% avg_trade_return_pct that disagrees in sign with the positive PF and USD PnL, and asked for a harness check.

XrpHlReturnShockContinuation12H tested whether large 3-day XRP return shocks on Hyperliquid keep drifting for 6 days in either direction. Its single backtest looked good at first, with +125.9% and a 2.75% average trade, but the median trade was negative (-0.43%), the edge disappeared once the three biggest 2024-rally winners were removed, shorts lost money and the drawdown reached 65%. The analyst abandoned it at backtest review in iteration 1, so optimization, the post-optimization analyst and risk review never ran. The review also flagged a metrics artifact: paired cancelling prints in daily_returns inflate the volatility and VaR figures.

This strategy ported a 2014 FMZ order-book-depth market-making bot to 1-minute SOLUSDT perpetuals, quoting ±10bp around the touch with all its inventory and no stop, even though the hypothesis itself called this class a fee graveyard. Across 3 iterations it never got past verification. The sandbox backtest went to -100% with liquidation, 2,311 trades and a 0% win rate, because sizing let exposure reach about 252% of equity and the market impact per trade outweighed the 20bp spread. QA also flagged a trade ledger that doesn't reconcile and warned that the touch-fill model doesn't capture adverse selection. The run was abandoned as a code defect before the backtest review, optimization, analyst and risk stages.

This strategy ported the fee-free OKCoin 'Leeks Reaper' burst-chase and rebalance-to-neutral logic to hourly bars on the COIN-M BTC perpetual, keeping every rule and rescaling only the burst threshold by sqrt(time). After 2 iterations, the backtest showed negative expectancy from the first months (Sep to Nov 2020 were already losing). Exposure ran at 94% instead of the planned 35-45%, and the account was liquidated in February 2021 (-100%, Sharpe -3.71, PF 0.80, -0.26% per trade). The analyst abandoned it at backtest review without optimizing, and noted a possible, unverified inverse-sizing anomaly that did not change the sign of the edge.

This strategy tried to faithfully replicate a source composite-factor long/short tercile book on a point-in-time top-15 Hyperliquid universe; the hypothesis itself noted that multi-leg neutral books had a 0/150 record here. Over three iterations, the rebalance moved from daily to weekly and gross exposure was cut, but the final 809-day backtest still lost 3.06% (Sharpe -0.04, PF 0.975, -$6.54 per leg), and costs were roughly equal to the loss. The analyst abandoned it at backtest review for having no edge, noting that its positive per-trade % was a ledger artifact. The analyst also flagged an unverified weekly -2.5%/+2.5% return pattern around rebalance flips as a possible engine/ledger issue with NETTING flips.

Code↔hypothesis misalignment found by the semantic auditor — the code does NOT implement the hypothesis. Re-code the strategy to implement the hypothesis EXACTLY (instrument, timeframe, direction, the named edge/mechanic, sizing). Concrete issues: Entry condition contradicts the hypothesis's stated trigger. The hypothesis title/body specify entering ONLY when the perp trades at a LARGE absolute premium to spot (60-200+ bps, cited as one-to-two orders of magnitude above the ~30 bps round-trip cost). The code has no absolute-premium gate anywhere: `calculate_signal` computes `basis = (perp_px - spot_px)/spot_px*1e4`, then `dev = basis - self._basis_sum/n` (rolling mean over basis_window=96 bars), and `_manage` opens the long-spot/short-perp pair on the sole condition `dev >= entry_dev_bps` (default 2.5, bounds [1.0, 6.0]); there is no check that `basis > 0`. The base-template entry path is inert here (`should_enter` returns None, `position_size` returns 0), so `_manage` is the only entry gate. Per the strategy's own measured distribution (mean -5.31 bps, max +0.00 bps, 0.00% of bars beyond |20| bps), the perp is never at a premium in this data, so every entry fires while the perp is at an outright DISCOUNT to spot — the opposite sign to the hypothesis's condition — and at a ~2.5 bps trigger magnitude 24-80x below the 60-200+ bps dislocation that is the hypothesis's entire cost-clearing rationale. The 512 trades / PF 0.066 / -50% result corroborates that entries fire under the substituted mechanism rather than the hypothesized one.

SolBtcBetaResidualMeanReversionLS pitched a beta-hedged fix for the dead single-name fade family: hedge out BTC beta so the strategy trades SOL's larger, genuinely mean-reverting idiosyncratic overshoot rather than sub-fee market noise. Instead the backtest liquidated the account in January 2025 for a -100% return, driven by a sizing defect that ran the two legs at ~365% of equity, with wild post-liquidation daily returns (kurtosis 971) contradicting the distributed, outlier-robust claim. Underneath the blow-up the signal was still net-losing — avg trade -0.092%, PF 0.79, negative every year — so the beta hedge never surfaced a tradeable edge. The analyst abandoned it at backtest review, noting that reducing leverage stops the liquidation but there is no positive edge to size into; it never reached optimization, analysis, or risk review.