Correction — September 30, 2026: this article originally presented three rejected or weak candidates as three clean diagnoses. A reproduction audit did not recover the reported funding-carry result: its holdout return changed from a reported −0.5% to +1.31%. The discrepancy remains unresolved. The original title was “Three Crypto Edges. Three Different Killers.” This revision separates historical reports from reproduced calculations.
A research platform should not make it easy to stop at a good-looking number. That applies to negative results too. Transaction-cost checks, held-out evaluation, and parameter sweeps are useful only when their results can be traced back to their runs.
| Candidate | Historical report | Current audit status |
|---|---|---|
| Price mean reversion | Gross Sharpe 7–13; rejected after costs | Historical revision range not independently reproduced here |
| Funding carry | +48.6% development; −0.5% holdout | Rerun: +45.62% development; +1.31% holdout; discrepancy unresolved |
| Daily momentum | +97% best case; sensitive to lookback | Matching run/configuration not located; sweep remains unverified |
Edge 1: Mean reversion and the cost problem
The historical summary reports cross-sectional reversal on 15-minute bars with gross Sharpe between 7 and 13, positive in over 80% of out-of-sample windows across 76 test periods. These figures span research revisions; they are not measurements from one controlled run.
That summary also reports friction at 5–10 times the available edge when rebalancing every bar, and neighboring settings ranging from +45% to −60% net. Those revision-specific ratios and parameter results have not been independently reproduced in this audit. They should not be treated as verified evidence that every implementation must fail.
The reported decision was to reject the tested implementations because a robust net result had not been established. The engineering question is whether a pre-cost pattern survives a specified execution model, not whether mean reversion is universally untradeable.
A separate deep-dive describes a controlled evaluation. Its metrics should not be mixed with this historical revision summary as if they came from one run.
Edge 2: Funding carry and a failed reproduction
The tested carry construction combines long spot with short perpetual exposure and funding payments. Lower turnover reduces transaction costs; it does not eliminate them or other risks.
The original report gives +48.6% net development return, Sharpe 1.17, and −0.5% net holdout return, Sharpe −0.02. On September 30, I reran the current implementation against the current local cache. Both the original evaluation script and a separate audit runner produced different results:
| Metric | Historical report | Current rerun |
|---|---|---|
| Development net cumulative return | +48.6% | +45.62% |
| Development Sharpe | 1.17 | 1.079 |
| Holdout net cumulative return | −0.5% | +1.31% |
| Holdout Sharpe | −0.02 | 0.208 |
Historical report: −0.5%. Current rerun: +1.31%. These are different run versions, not a controlled experiment measuring an improvement. The cause of the discrepancy is not established.
The current configuration uses FundingCarry(384), rebalances every 1344 15-minute bars (14 days), normalizes to fixed gross exposure, and applies modelled fees of 4 bps plus slippage of 2 bps. It selects 45 symbols and scores 76 development windows and 17 holdout windows.
The 17 complete 21-day holdout windows cover September 1, 2025 through August 24, 2026 (exclusive): 357 days, not the entire configured interval ending September 1. The original saved window list was not found, so historical coverage cannot be independently certified.
In the current rerun, gross holdout return is +2.14% and net return is +1.31% on the same windows. Costs reduce the result under this model. This comparison does not explain the historical −0.5% return. Development returns are positive in each represented calendar year, including +3.44% in 2022; that does not recover the original annual figures.
The audit runner fingerprints source code and cached input files before and after execution, saves scenario returns, and independently recalculates cumulative return and Sharpe from those returns. Those checks passed, as did 14 relevant engine tests. They check these calculations, not every modelling assumption or the historical result.
The current universe filter uses funding-record counts from the cache before date restriction. Applying the threshold using only pre-holdout records yielded the same 45-symbol set in this cache. That does not establish point-in-time eligibility throughout development. No original run manifest or committed HFM code history was available to recover the historical code, universe and dataset. Nor does this audit prove the reserved interval was originally untouched.
The earlier development null comparison, reported at about +28%, was not reproduced in this audit. It is not used here to infer a market-wide premium or selection skill. Later null and bootstrap claims likewise remain outside the verified results.
The historical REJECT decision is part of the research record, but a negative holdout is no longer a verified rationale in this article. The candidate remains on hold pending reconciliation. The positive rerun alone does not establish a tradeable edge. Analysis of this already-opened interval is exploratory, not a new out-of-sample confirmation.
Edge 3: Momentum and an unverified parameter sweep
The historical summary describes daily cross-sectional momentum with weekly rebalancing and a best net return of approximately +97%, including taker fees. It gives four lookback results: 7 days +33%, 10 days −23%, 14 days +97%, and 21 days +35%.
Values transcribed from the frozen narrative report. A matching saved run/configuration was not located in this check. These are not four independently validated results.
If reproduced, that sweep would raise a parameter-sensitivity concern: the best setting is not surrounded by comparably strong results. It would not, by itself, prove the peak was luck. The historical summary also attributes about half the return to 2021 and reports a negative 2022. Those regime figures remain unverified here; the report did not estimate a formal beta decomposition.
The reported WEAK verdict is a historical assessment, not a newly verified finding from this audit.
What the audit actually established
The current carry calculation is reproducible locally with recorded code and input hashes. Its headline values do not match the historical report. For the mean-reversion revision range and momentum sweep, narrative evidence is available but numerical reproduction remains incomplete.
That is a less tidy conclusion than three precise diagnoses. It is also the result the evidence supports. A negative backtest deserves the same provenance checks as a profitable one.
No candidate is being advanced to live trading on the basis of this article. The next step is to recover the historical run artifacts or explicitly retire unsupported historical numbers, not silently substitute new results into the old story.
The research package preserves the original narrative evidence. This is not a complete independent reproduction of the private data pipeline. SHA-256 checks establish file identity, not economic validity. The frozen source retains stronger claims that this corrected article does not endorse.
Evidence source SHA-256: cf9ce73542af24be3e5c2872864b2b41c6ce864e3b2f07b760e5434a1bdb23ba