Strategies

This hypothesis was written in direct response to two prior abandonments: the analyst had asked for a non-price-only BNB signal, and the relative percentile was chosen expressly to avoid the threshold decay that killed BTC Negative Funding Carry. The engineering worked — iteration-3 fixed string-keyed funding data that had silently zeroed every signal, iteration-4 replaced two O(n)-per-bar hot paths with bisect lookups, and the final run fired 83 clean long entries off 1,421 real funding events with zero drops. But the strategy's own results falsified its central differentiator: the relative percentile decayed anyway, and the entire track record turned out to be a 2020-2021 bull artifact carried by tail days (February 2021 alone returned +52.4%; kurtosis 42.5, skew 4.22, tail_ratio 0.32), leaving a large open loss at backtest end (end_unrealized_pct -22.9). The reviewer noted this was neither a code bug nor a mechanism mismatch — the signal did exactly what the hypothesis said, and what it said was not profitable relative to simply holding BNB.

This cross-venue strategy aimed to fill the factory's options and cross-venue quota gaps by expressing the promoted BTC momentum-confluence signal as defined-risk Deribit weekly vertical debit spreads, deliberately avoiding the MTM/scaling artifact that killed the prior naked-long Deribit run. The plumbing worked and the defined-risk design held (bounded 24.8% drawdown, no naked short legs), but over 114 structures the edge simply did not transport: the strategy was gross-negative before fees, with the bullish call-spread expression — its own core thesis — winning only 28.1% of the time. The analyst abandoned it at the backtest-review gate as a premise flaw that three optimization parameters could not lift above zero, noting live results would be worse still given disclosed fee under-modeling. It never advanced to optimization, risk review, or paper trading.

The developer got the hard part right: MATICUSDT was delisted around 2024-09 after the rename to POL, and rather than failing on data_unavailable the strategy correctly re-pointed to the successor POLUSDT contract. The code then faithfully implemented the breakout family — 90 long / 0 short, every signal filled — but POL has declined persistently since the rename, so the long-only expression was net-negative in all three years, and the docstring recorded the moment the premise broke: the trend gate was weakened until trades appeared. Costs compounded it (total_impact_usd $23,079, roughly double the $11,088 in commissions, on turnover 745 in a thin alt) and avg_position_pct reached 140.99% against a 1.2x design, because notional was sized off shrinking equity so effective leverage rose as the strategy bled. The reviewer declined both iterate (no bug — restoring the proper filter just returns zero trades, the same verdict by another route) and optimize (a sweep cannot create an uptrend, and ~1.8 years of history would only fit noise), and flagged the positive information_ratio of +0.4322 as an artifact of losing more slowly than POL itself, not an edge — alpha is -0.1189.

This strategy bet that thin weekend liquidity amplifies SOL moves, trading breakouts of the late-Friday consolidation range across the weekend. A prior iteration crashed in Layer-2 on a staticmethod descriptor issue; the iter-2 fix (moving the UTC helper to module level) let it run cleanly — 994 entries, none dropped. But the premise was backwards: weekend breakouts whipsawed and reverted, producing profit factor 0.76, Sharpe -1.69, -79.8% total, an 84% drawdown, and losses in 6 of 7 years, with heavy fee bleed from the 1H churn. The analyst abandoned it before optimization, concluding no ATR/threshold tuning flips a sign-wrong directional breakout into a winner and that the planned supplementary confirmation was never even implemented.

This strategy applied a Keltner upper-band breakout with a trend filter to LINK 4H, filling a genuine portfolio gap on a new symbol and mechanism class. The implementation was correct and net-positive (206 trades, +20.7%), but the edge was razor-thin (PF 1.083, Sharpe 0.26 with a CI straddling zero), deployable only at small scale (17.6% impact, ~$3.2M capacity), and front-loaded into 2020/2023 with a decaying 2025/2026 tail. The analyst abandoned it before optimization, judging it the even-thinner arm of a mechanism whose stronger AVAX sibling had already failed every forward gate — so optimization would only fit the early-bull years and fail deflated Sharpe and the holdout the same way. It was recorded as the same marginal, capacity-constrained, decaying signature as several abandoned breakout siblings.

This iteration-2 strategy managed QQQ exposure by scaling position size inversely to realized volatility while above a rising 200-day trend, having fixed a prior drift-rebalance defect that had made per-trade edge negative. The backtest review approved optimization: per-trade return was now well above the USEQ fee floor, profit factor was strong (5.36) and drawdown modest, though it already underperformed buy-and-hold on a risk-adjusted basis. Optimization exposed the fatal problems — walk-forward overfitting (IS 0.617 vs OOS 0.376), PBO 0.73, a 9-trade holdout, a deflated Sharpe below significance, and a negative information ratio showing no alpha over the benchmark. The analyst abandoned it as an overfit / not-statistically-significant death (not a fee-edge death), noting the strategy is structurally unvalidatable at 57 trades over 27 years and that sibling vol-managed strategies had already failed.

The strategy proposed that gating AVAX 4H long-short momentum on the Kaufman Efficiency Ratio would raise per-trade capture above the ~0.10% USD-M round trip, on an instrument with no prior experiments in the corpus. The initial backtest cleared the pre-optimization gate (verdict: optimize) with Sharpe 0.92, 190 trades and avg_trade_return_pct of 3.36%, though the analyst already flagged that the top 5 trades exceeded total PnL and only 3 of 7 calendar years were profitable. Optimization lifted headline Sharpe to 1.256 and per-trade return to 5.20%, but PBO came in at 0.5648 — an unwaivable HARD failure — with DSR 0.4165 below the best-of-N noise bar, a failed programme FDR, a 0.181 holdout Sharpe, and 93.2% of PnL concentrated in five 2021/2023/2024 longs. After 2 iterations the run was abandoned, with the analyst noting the same ER-gated mechanism had already died on four other targets and recommending it not be pointed at a fifth.

This strategy aimed for a clean, low-surface intraday edge: a UTC opening-range breakout long on ETH 1H with an ATR trailing stop and end-of-day flat, deliberately avoiding recent failure patterns. Instead it suffered two simultaneous failures — a catastrophic over-leverage bug that drove average exposure to 360% (vs the intended 120%), producing single-day losses beyond -100% that wiped the account to zero in mid-2024, and, beneath that, no real edge at all (profit factor 0.70, Sharpe -1.69 with the whole CI below zero, losses every year 2020-2023, commissions 41% of gross). The analyst abandoned it at the backtest-review gate on its second iteration, distinguishing it from sibling trend-continuation strategies whose stacking bug merely distorted a positive edge: here the leverage-invariant PF 0.70 means correct sizing still loses to fees, so there was nothing to optimize and it never advanced to optimization or risk review.

MidCapPerpBasketTsMomChandelierLS attacked the factory's recurring best-of-N overfitting problem by running one identical momentum rule across eight never-traded mid-cap alt perps, and it did deliver the promised sample: 605 trades over six years with per-trade returns ten times the fee floor. But the aggregate Sharpe of 0.356 had a confidence interval straddling zero, profit factor was 1.06 against impact costs of 12% of gross, and drawdown reached 63.9% with 746 days underwater. Decomposition showed the book was carried by a single leg — dropping INJ turned realized PnL negative — and all the profit sat in the stressed volatility tercile, making it net-directional alt crisis-trend beta rather than a shared TSMOM premium. The analyst abandoned it at backtest review before optimization; it never reached the optimizer, risk officer, or paper stage.

The strategy took the AQR/Moskowitz time-series momentum construct that had died on crypto perp fee drag and moved it to zero-commission US ETFs, holding SPY, TLT, GLD, DBC and EFA each long or short on its own 6-month trend with inverse-vol weights and a monthly rebalance. After five iterations — the last of which added flip hysteresis and a wide resize band to stop the monthly clock from chopping multi-month trend holds into spread-paying round trips — the backtest cleared the pre-optimization gate at avg_trade_return_pct 0.63% and earned an 'optimize' verdict despite a thin Sharpe of 0.187. Optimization then broke it: the one window with in-sample edge (IS Sharpe 1.326) reversed to OOS -0.839, PBO hit 0.679, every model parameter registered as a cliff, and the 'passing' holdout was a 0.086 Sharpe on 27 trades that was statistically indistinguishable from zero. The analyst abandoned it as overfit and structurally un-validatable — not a fee failure, but an edge that was never there, and the sixth such USEQ macro-ETF construct to end the same way.