Track 12Closed
Denoised Big Move
catch large moves on a denoised signal
Key metric
0/8 validation — long-only beta on a bull market
- Why an edge should exist / hypothesis
- A big-move detector combined with denoised direction.
- Construction
- Denoised signal → entry into large moves.
- Test data
- Multi-coin validation (8 slices).
- Results
- 0/8 validation. The profit turned out to be long-only beta on a bull market, not alpha.
- Validation
- 0/8 — does not pass.
- Root cause
- Disguised market beta (long-only in a rising market).
- Verdict
- Dead. A classic 'beta masquerading as alpha' case.
- Source
scripts/research/bigmove_denoised.py
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