Signal Analysis Report

Multiple-testing correction, transaction costs, in-sample/out-of-sample, and cross-signal correlation

1. Multiple-Testing Correction (Benjamini-Hochberg)

With 285 signals tested, some will look significant by chance alone. The BH procedure controls the False Discovery Rate at 5%: of the signals marked "YES", at most 5% are expected to be false positives.

296

signals tested

survive BH @ 5% FDR

265

rejected

insufficient N

survival rate

ID	Name	t-stat	N days	p-value	BH threshold	Survives?	Sharpe	CAGR
A14_btc_halving	A14 BTC halving cycle	4.93	4268	0.0000	0.0002	YES	1.20	49.8%
V3_felder_margin_debt_gdp	V3 Felder margin-debt/GDP roll	4.34	7901	0.0000	0.0004	YES	0.78	11.2%
P6_howell_liquidity_btc	P6 Howell Liquidity BTC	4.29	4269	0.0000	0.0005	YES	1.04	42.9%
V9_hoffstein_ensemble	V9 Hoffstein 8-model trend ensemble	4.21	7900	0.0000	0.0007	YES	0.75	5.9%
F03_margin_debt_yoy	F03 Margin debt YoY	4.01	7900	0.0001	0.0009	YES	0.72	11.5%
H06_mvrv_zscore	H06 MVRV z-score proxy	3.79	3820	0.0002	0.0011	YES	0.97	45.5%
C02_utilities_spy	C02 Utilities/SPY (Gayed)	3.77	6632	0.0002	0.0012	YES	0.74	8.4%
C09_yield_curve_10y3m	C09 Yield curve (10Y-3M) inversion timer	3.76	8386	0.0002	0.0014	YES	0.65	10.5%
D06_idio_vol	D06 Idiosyncratic vol puzzle (long low IV, short high IV)	-3.81	289	0.0002	0.0016	YES	-0.78	-20.3%
C08_yield_curve_10y2y	C08 Yield curve (10Y-2Y) inversion timer	3.74	8386	0.0002	0.0018	YES	0.65	10.5%
H11_btc_correlation_regime	H11 BTC corr-regime sized	3.67	4210	0.0002	0.0019	YES	0.90	32.4%
F09_golden_cross	F09 Golden Cross 50/200	3.55	6636	0.0004	0.0021	YES	0.69	8.4%
H08_nupl	H08 NUPL proxy	3.44	3905	0.0006	0.0023	YES	0.87	33.8%
H07_puell_multiple	H07 Puell Multiple	3.41	3905	0.0007	0.0025	YES	0.87	28.7%
AC-6	AC-6 Saudi breakeven Brent bull	3.38	357	0.0008	0.0026	YES	2.84	147.7%
F13_buy_the_dip	F13 DCA every month	3.34	9165	0.0008	0.0028	YES	0.55	8.7%
AC-10	AC-10 GPFG drift short URTH	-3.25	304	0.0013	0.0030	YES	-2.96	-30.1%
C07_accel_dual_momentum	C07 Accelerating Dual Momentum	3.17	4641	0.0016	0.0032	YES	0.74	11.4%
A16_seasonality_heston_sadka	A16 Heston-Sadka SPY	3.14	5885	0.0017	0.0033	YES	0.65	9.9%
AQ-1	AQ-1 Copper Marginal Cost Floor	3.10	756	0.0020	0.0035	YES	1.79	45.8%
C14_tsmom	C14 TSMOM (12m)	3.07	5106	0.0022	0.0037	YES	0.68	5.5%
D05_max_lottery	D05 MAX(5) lottery effect (long low-MAX, short high-MAX)	-3.07	292	0.0024	0.0039	YES	-0.62	-17.9%
A04_first_five_days	A04 First Five Days	3.02	6635	0.0026	0.0040	YES	0.59	8.1%
R-L13_nyse_trin	SP500-TRIN > 2.5 long SPY 5d	2.93	3114	0.0035	0.0042	YES	0.83	5.5%
H05_hash_ribbons	H05 Hash Ribbons	2.90	4264	0.0037	0.0044	YES	0.71	20.7%
P11_karsan_year_end_recollateralization	P11 Karsan Year-End Recollat.	2.90	6636	0.0038	0.0046	YES	0.56	2.5%
N4_sia_billings	N4 SIA proxy (A36SNO accel) -> SOXX	2.76	6252	0.0057	0.0047	no	0.55	12.0%
I07_geomagnetic_kp	I-7 Kp storm exit -> SPY	2.75	7899	0.0059	0.0049	no	0.49	6.6%
Q4_pt_pd_ratio	Q4 Pt/Pd ratio reversion	-2.74	4554	0.0061	0.0051	no	-0.65	-16.5%
A06_fomc_even_week	A06 FOMC even-week	2.71	6635	0.0067	0.0053	no	0.53	6.7%
C11_move_vix_ratio	C11 MOVE/VIX ratio	2.67	5782	0.0076	0.0054	no	0.56	8.6%
C01_lumber_gold	C01 Lumber/Gold (Gayed)	2.64	5338	0.0083	0.0056	no	0.57	8.1%
B01_vix_term_structure	B01 VIX/VIX3M term structure	2.60	4646	0.0093	0.0058	no	0.61	6.6%
L3_auction_direct_bidder	L3 Auction direct < 5% -> short TLT 5d	-2.58	5884	0.0098	0.0060	no	-0.53	-1.3%
C06_dual_momentum	C06 Dual Momentum (GEM)	2.58	4566	0.0098	0.0061	no	0.61	8.7%
C05_faber_gtaa	C05 Faber GTAA (10mo MA)	2.58	4991	0.0100	0.0063	no	0.58	4.4%
AR-3	AR-3 Cass Freight YoY → Long LTL	2.57	251	0.0107	0.0065	no	2.58	97.7%
J2_h8_ci_loans	J2 C&I loans -> rotate SPY	2.54	7899	0.0112	0.0067	no	0.45	7.0%
K12_fema_disasters	K12 FEMA disasters short P&C	-2.53	6383	0.0114	0.0068	no	-0.50	-11.9%
P5_gromen_tie	P5 Gromen TIE (long GLD if TIE>100%)	2.51	5380	0.0120	0.0070	no	0.54	4.0%
F08_rsi2_connors	F08 Connors RSI(2)	2.50	6636	0.0123	0.0072	no	0.49	2.1%
A07_pre_fomc_drift	A07 Pre-FOMC drift	2.49	6635	0.0128	0.0074	no	0.49	1.7%
C10_hy_oas_regime	C10 HY OAS regime	2.47	748	0.0135	0.0075	no	1.44	22.9%
V2_verdad_hy600	V2 Verdad HY > 600bps regime	2.47	749	0.0135	0.0077	no	1.44	22.9%
M3_steth_discount	M3 stETH/ETH < 0.985 → long ETH 90d	2.46	1980	0.0138	0.0079	no	0.88	33.1%
D02_momentum_umd	D02 UMD (Momentum)	2.46	9128	0.0139	0.0081	no	0.41	5.1%
O5_btc_difficulty_drop	O5 BTC difficulty drop -> long miners 14d	2.45	2360	0.0142	0.0082	no	0.80	32.5%
AS-B	AS-B Custom Silicon	2.44	600	0.0148	0.0084	no	1.58	129.1%
A15_halloween_tom_combo	A15 Halloween x ToM	2.42	6635	0.0153	0.0086	no	0.47	2.9%
F15_rbi_mpc	F15 RBI MPC + CPI-in-band -> INDA	2.42	2257	0.0157	0.0088	no	0.81	1.6%
K4_sloos_willingness	K4 SLOOS willingness long XLY	2.40	6894	0.0166	0.0089	no	0.46	2.7%
A01_halloween	A01 Halloween	2.37	6635	0.0176	0.0091	no	0.46	5.7%
AA7_jpm_healthcare_conf	AA7 JPM Healthcare drift -> XBI	2.34	5105	0.0193	0.0093	no	0.52	4.2%
R-N5_tsmc_revenue	TSMC YoY-beat > 8pp long semi-basket ~1q	2.29	3308	0.0221	0.0095	no	0.63	12.7%
I03_liquidity_sweep	I03 Liquidity sweep reversal	-2.26	6520	0.0237	0.0096	no	-0.44	-2.0%
A02_turn_of_month	A02 Turn-of-Month	2.26	6635	0.0238	0.0098	no	0.44	3.5%
K9_dod_treasury_outlays	K9 DoD outlays long ITA	2.25	5042	0.0242	0.0100	no	0.50	3.3%
O4_btc_mempool	O4 BTC mempool>90p -> long miners 20d	2.24	2360	0.0251	0.0102	no	0.73	32.7%
P12_steno_global_liquidity	P12 Steno Liquidity Flip -> SPY+BTC	2.23	2938	0.0260	0.0104	no	0.65	16.2%
Q13_brazil_coffee_frost	Q13 Brazil frost -> long KC=F 30d	-2.20	6480	0.0276	0.0105	no	-0.43	-1.7%
A13_presidential_year3	A13 Presidential Y3	2.18	6635	0.0296	0.0107	no	0.42	3.1%
S3_texas_cotton_drought	S3 TX D2+>50% May-Jul -> long CT=F 63d	-2.16	5042	0.0306	0.0109	no	-0.48	-5.8%
P7_constan_treasury_refunding	P7 Constan Bill-Share	2.15	5990	0.0317	0.0111	no	0.44	2.4%
D03_52w_high_momentum	D03 52w-high momentum (monthly)	-2.09	283	0.0374	0.0112	no	-0.43	-15.2%
T3_indian_monsoon_sugar	T3 Weak monsoon (MJJ ONI>+0.5) -> long SB=F Jul-Oct	2.00	6578	0.0454	0.0114	no	0.39	2.4%
D04_industry_momentum	D04 Industry momentum (49 inds, top5 - bot5, 6m formation)	1.97	429	0.0493	0.0116	no	0.33	4.9%
D09_bab	D09 Betting Against Beta (raw L-S quintile spread, no FP leverage scaling)	-1.93	289	0.0549	0.0118	no	-0.39	-10.7%
Z2_compliance_monitor_pair	Z2 Compliance monitor pair	1.91	3492	0.0562	0.0119	no	0.51	5.4%
J03_super_bowl	J03 Super Bowl Indicator	1.89	7899	0.0594	0.0121	no	0.34	3.6%
X6_polysilicon_solar	X6 solar bottom long FSLR+JKS 90d	1.86	3527	0.0633	0.0123	no	0.50	11.3%
AB10_stlfsi_acceleration	AB10 STLFSI acceleration (rotate SPY->TLT)	-1.84	6637	0.0660	0.0125	no	-0.36	-3.5%
L6_sec_nt_10k	L6 SEC NT 10-K/Q short 21d	1.84	2772	0.0662	0.0126	no	0.55	16.3%
K13_sba_7a_loans	K13 SBA 7a WoW drop short IWM	-1.79	4120	0.0729	0.0128	no	-0.44	-8.6%
AR-1	AR-1 Carrier Exit → Long LTL	1.74	1009	0.0826	0.0130	no	0.87	33.0%
Q2_mexican_hedge_window	Q2 Mexican hedge -> short CL=F 30d	-1.73	4754	0.0829	0.0132	no	-0.40	-2.1%
U2_drc_cobalt_quota	U2 DRC cobalt curb -> long CMOC+LIT 40d	1.71	324	0.0882	0.0133	no	1.51	36.7%
B03_vvix_vix_ratio	B03 VVIX/VIX absolute thresholds	1.70	4868	0.0887	0.0135	no	0.39	5.1%
U15_china_antimony_licenses	U15 China Sb licence backlog -> long PPTA+UAMY 30d	1.67	397	0.0961	0.0137	no	1.33	89.4%
F6_eu_cbam	F6 EU CBAM pre-deadline short carbon	-1.66	110	0.1000	0.0139	no	-2.51	-53.3%
AA8_msci_review_add	AA8 MSCI review (EFA vs SPY hedge)	-1.63	3114	0.1039	0.0140	no	-0.46	-2.1%
M5_tga_drain	M5 TGA drain → long SPY 20d	1.62	5380	0.1063	0.0142	no	0.35	0.7%
AJ-1	Canada Wildfire → Long WOOD	1.61	120	0.1106	0.0144	no	2.33	38.8%
C03_copper_gold	C03 Copper/Gold -> TLT	1.58	5370	0.1148	0.0146	no	0.34	1.1%
C04_gold_silver	C04 Gold/Silver ratio	1.57	5048	0.1156	0.0147	no	0.35	4.7%
G01_google_trends_recession	G01 Google Trends recession	1.56	5632	0.1191	0.0149	no	0.33	3.0%
G1_gprt_defense	G1 GPRT defense drift	1.54	5380	0.1232	0.0151	no	0.33	1.0%
C15_trend_following	C15 Trend-following (1m+3m+12m signs)	1.53	5106	0.1267	0.0153	no	0.34	3.0%
J6_cdc_fluview	J6 FluView surge -> defensives/short airlines	-1.53	4121	0.1267	0.0154	no	-0.38	-3.8%
F10_bis_entity_list	F10 BIS Entity List -> US semi-equip	-1.53	120	0.1276	0.0156	no	-2.22	-57.9%
C16_currency_carry	C16 Currency carry (G4 vs USD)	-1.50	4850	0.1342	0.0158	no	-0.34	-2.1%
V12_kuppy_uranium_pair	V12 Kuppy URNM/SRUUF pair	1.50	1215	0.1343	0.0160	no	0.68	3.7%
F01_aaii_bull_bear	F01 AAII bull-bear	1.50	8385	0.1347	0.0161	no	0.26	2.2%
AB1_cad_wti_residual	AB1 CAD-WTI residual	-1.49	5498	0.1364	0.0163	no	-0.32	-1.3%
H03_coinbase_premium	H03 Coinbase premium	1.48	3146	0.1400	0.0165	no	0.42	9.0%
Z6_antitrust_reversion	Z6 Antitrust reversion long 90d	1.47	1120	0.1418	0.0167	no	0.70	16.4%
J12_cattle_on_feed	J12 Low-decile placements -> long COW	-1.46	1386	0.1435	0.0168	no	-0.62	-3.4%
AG-5	AG-5 Monsoon Failure → Sugar	1.47	254	0.1438	0.0170	no	1.46	54.0%
O6_nfip_claims	O6 NFIP weekly>$500M -> short XHB 30d	-1.46	4121	0.1439	0.0172	no	-0.36	-2.9%
D14_net_issuance	D14 Net stock issuance (long buybackers, short issuers)	-1.47	115	0.1446	0.0174	no	-0.47	-8.9%
C12_acm_term_premium	C12 ACM 10Y term premium	1.44	5992	0.1499	0.0175	no	0.30	0.8%
J10_nasa_firms_amazon	J10 Amazon fires -> long SOYB	1.44	3690	0.1513	0.0177	no	0.38	1.2%
AB9_cnh_fix_drift	AB9 CNH fix drift	-1.43	5410	0.1521	0.0179	no	-0.31	-4.3%
O7_apartment_list_rent	O7 ZORI MoM<-0.4% -> long IEF 60d	1.42	4121	0.1545	0.0181	no	0.35	0.7%
AE-2	AE-2 Hyperscaler Capex → Power Infra	1.43	340	0.1545	0.0182	no	1.23	57.2%
S13_ca_snowpack	S13 CA Apr-1 SWE <70% -> long DC=F 126d	1.41	4724	0.1572	0.0184	no	0.33	4.9%
O11_321_crack	O11 3-2-1 crack <$10.0 -> long XLE 30d	1.41	6636	0.1580	0.0186	no	0.28	3.5%
A03_santa_claus	A03 Santa Claus	1.40	6635	0.1608	0.0188	no	0.27	0.7%
AR-2	AR-2 DAT Van Spot → Long TL Carriers	1.40	1009	0.1612	0.0189	no	0.70	19.6%
S1_cocobod_farmgate	S1 COCOBOD farmgate +>20% -> long CC=F 126d	1.39	3931	0.1632	0.0191	no	0.35	5.1%
U14_vale_dam_licenses	U14 Vale dam downgrade -> long FMG 30d	1.39	1851	0.1636	0.0193	no	0.51	7.5%
G19_npc_two_sessions	G19 NPC two-sessions	1.37	4271	0.1698	0.0195	no	0.33	2.7%
P1_karsan_pre_opex	P1 Karsan Pre-OPEX	1.36	6635	0.1745	0.0196	no	0.26	1.4%
T6_soy_board_crush	T6 Soy board crush -> long ZS=F	-1.33	4625	0.1849	0.0198	no	-0.31	-3.1%
K3_beige_book_uncertainty	K3 Beige Book uncertainty short SPY	-1.30	4142	0.1933	0.0200	no	-0.32	-1.2%
AG-2	AG-2 from 2022-07-01	1.29	977	0.1959	0.0202	no	0.66	17.5%
G10_ndaa_defense	G10 NDAA defense drift	1.28	4626	0.2016	0.0204	no	0.30	1.0%
AA5_fomc_minutes	AA5 FOMC minutes -> TBT day	1.26	4528	0.2066	0.0205	no	0.30	1.4%
AB3_mxn_oil_decoupling_carry	AB3 MXN oil-decoupling carry	1.26	5812	0.2079	0.0207	no	0.26	1.2%
A10_lunar_phase	A10 Lunar phase	1.25	6635	0.2096	0.0209	no	0.24	2.9%
Z4_wells_to_litigation_gap	Z4 Wells->litigation gap short 120d	1.25	914	0.2120	0.0211	no	0.66	23.0%
V8_crittenden_12asset_trend	V8 Crittenden 12-asset 200d-SMA trend	1.24	3618	0.2151	0.0212	no	0.33	3.3%
B02_vix_30_contrarian	B02 VIX>30 contrarian	1.23	8385	0.2193	0.0214	no	0.21	1.9%
S5_kazatomprom_guidance	S5 KAP guidance cut > 5% -> long URNM 126d	1.22	1538	0.2231	0.0216	no	0.49	8.6%
X10_steel_hrc_import	X10 HRC momentum long NUE+STLD+CLF 60d	1.21	2083	0.2283	0.0218	no	0.42	6.2%
ST-3	ST-3 Solar Tariff Pair	1.20	510	0.2299	0.0219	no	0.84	22.6%
X8_coal_gas_henry_hub	X8 HH-coal<1.22 long BTU+AMR 60d	-1.19	778	0.2328	0.0221	no	-0.68	-16.5%
AL-3	AL-3 TV Ad Election Basket	1.19	555	0.2338	0.0223	no	0.80	29.4%
K2_fda_drug_shortage	K2 FDA shortages long IHE	1.18	5042	0.2378	0.0225	no	0.26	0.5%
V1_cole_5pct_long_vol	V1 Cole 5% long-vol overlay	-1.17	3868	0.2415	0.0226	no	-0.30	-29.2%
S4_florida_citrus	S4 FL Citrus Oct -15% cut -> long OJ=F 126d	1.17	2669	0.2421	0.0228	no	0.36	4.1%
M11_lei_mfg_hours	M11 AWHMAN 6m drop > 0.4h → short SPY 90d	-1.17	8385	0.2428	0.0230	no	-0.20	-2.8%
U7_russia_belarus_potash_rail	U7 Belaruskali transit cut -> long NTR+MOS 90d	1.16	1116	0.2464	0.0232	no	0.55	7.7%
D01_value_hml	D01 HML (Value)	1.16	9128	0.2473	0.0233	no	0.19	1.5%
F02_naaim_exposure	F02 NAAIM exposure	1.16	5128	0.2478	0.0235	no	0.26	2.4%
F4_cms_star_ratings	F4 CMS Star Ratings best/worst delta	-1.15	60	0.2550	0.0237	no	-2.36	-51.6%
L8_drewry_wci	L8 Cass freight surge -> long XLI 60d	1.09	4121	0.2762	0.0239	no	0.27	0.8%
F11_bb_squeeze	F11 Bollinger Squeeze breakout	1.09	6458	0.2777	0.0240	no	0.21	0.9%
AA6_quad_witch_reversal	AA6 quad-witch Mon reversal	-1.08	6636	0.2808	0.0242	no	-0.21	-0.6%
Z10_cfpb_consent_order	Z10 CFPB consent pair 120d	-1.08	1465	0.2816	0.0244	no	-0.45	-8.5%
I01_fvg_fill	I01 FVG fill	1.04	6592	0.2984	0.0246	no	0.20	0.9%
G12_hdd_natgas	G12 HDD spike -> long UNG	-1.03	4804	0.3031	0.0247	no	-0.24	-13.3%
AI-4	GLP-1 → Short BF-B+STZ	1.03	747	0.3056	0.0249	no	0.60	13.1%
M7_treasury_buyback	M7 Buyback ≥$4B → long TLT 5d	1.02	599	0.3068	0.0251	no	0.66	3.5%
AB5_clp_leads_copper	AB5 CLP leads copper	1.02	4115	0.3076	0.0253	no	0.25	2.1%
U5_madagascar_cyclone_vanilla	U5 SAVA cyclone -> long SY1+MKC 126d	1.02	2376	0.3083	0.0254	no	0.33	3.0%
I06_seiden_zone	I06 Seiden demand zone	1.00	904	0.3176	0.0256	no	0.53	0.8%
V7_papic_gdelt_geopol	V7 Papic GPR+SPY shock buy	1.00	8381	0.3195	0.0258	no	0.17	1.0%
I14_lny_pre_holiday_drift	I-14 LNY pre-holiday EWH/EWS	0.99	6787	0.3199	0.0260	no	0.19	0.8%
I02_order_block	I02 ICT Order Block retest	0.99	3659	0.3212	0.0261	no	0.26	0.1%
M6_fed_swap_line	M6 Swap line > $10B → short SPY 30d	-0.96	6636	0.3352	0.0263	no	-0.19	-0.9%
AE-1	AE-1 PJM BRA Spike	0.96	182	0.3369	0.0265	no	1.13	46.5%
AB6_move_dtb3_funding	AB6 MOVE/DTB3 funding	-0.95	5894	0.3409	0.0267	no	-0.20	-3.3%
T9_aud_iron_ore_divergence	T9 AUDUSD-iron ore divergence -> long VALE	0.93	5409	0.3516	0.0268	no	0.20	1.3%
L7_defillama_usdc_migration	L7 USDC Ethereum-share rise -> long ETH	0.93	2698	0.3536	0.0270	no	0.28	3.9%
AJ-4	USDA G+E Drop → Long Corn	0.90	160	0.3687	0.0272	no	1.13	48.4%
AI-5	Office CMBS Pair: Long JPM+WFC / Short OZK+NYCB	0.89	850	0.3717	0.0274	no	0.49	11.7%
AC-12	AC-12 December tax-loss bounce (IWM proxy)	0.88	568	0.3789	0.0275	no	0.59	9.3%
M9_refinery_utilization	M9 Refinery util drop >4pp WoW → long XLE 30d	0.88	6888	0.3792	0.0277	no	0.17	1.3%
G07_warn_act_layoffs	G07 WARN Act short-event composite	0.88	219	0.3807	0.0279	no	0.94	26.0%
AN-2	AN-2 Long TMHC / Short AIV	0.87	1062	0.3834	0.0281	no	0.42	6.0%
P8_brent_johnson_dxy_105	P8 Brent Johnson DXY>105 (UUP-EEM)	-0.85	4836	0.3931	0.0282	no	-0.19	-0.6%
F9_ustr_s301	F9 USTR Section 301 comment-close basket	0.85	60	0.3960	0.0284	no	1.75	37.2%
K6_grain_barge_rate	K6 Barge surge short MOO	-0.84	4707	0.3998	0.0286	no	-0.19	-2.2%
I10_containerboard_pulse	I-10 Paper-industry pulse -> IWM	0.83	6535	0.4062	0.0288	no	0.16	1.0%
AG-1	AG-1 Rhine Low Water Pair	-0.83	122	0.4098	0.0289	no	-1.19	-18.4%
AC-4	AC-4 India Union Budget defense tilt	0.82	83	0.4142	0.0291	no	1.43	60.5%
G22_em_election_fx	G22 EM election FX fade	-0.82	2966	0.4143	0.0293	no	-0.24	-0.4%
A08_opex_week	A08 OPEX week	0.81	6635	0.4187	0.0295	no	0.16	1.1%
N7_coinbase_volume	N7 COIN volume drop short	-0.81	669	0.4190	0.0296	no	-0.50	-6.6%
G15_election_vix	G15 Election VIX ramp	-0.81	3868	0.4193	0.0298	no	-0.21	-9.0%
T11_ethanol_crush_counterintuitive	T11 Ethanol crush counterintuitive -> long ZC=F	0.81	4016	0.4204	0.0300	no	0.20	0.9%
AA10_coinbase_listing	AA10 Coinbase listing 24h	0.81	3065	0.4205	0.0302	no	0.23	2.6%
F10_macd_divergence	F10 MACD bullish divergence	0.80	6538	0.4216	0.0304	no	0.16	0.7%
I04_premium_discount	I04 RSI(2) + Discount filter	0.80	6636	0.4221	0.0305	no	0.16	0.5%
V4_doomberg_lng_brent	V4 UNG/BNO mean-reversion	-0.80	4019	0.4264	0.0307	no	-0.20	-4.1%
H02_stablecoin_supply_ratio	H02 SSR Bollinger oscillator	0.79	2896	0.4296	0.0309	no	0.23	2.8%
R-D11_short_interest	FINRA SVR low-minus-high (sextile, monthly)	0.79	252	0.4330	0.0311	no	0.79	13.7%
AK-2	AK-2 FAA Hub Capacity Airline	0.79	171	0.4334	0.0312	no	0.95	39.2%
W4_auction_tail_long_dur	W4 auction tail short XLU+XLRE+ARKK	-0.76	2101	0.4456	0.0314	no	-0.26	-2.2%
I07_fib_pullback	I07 Fib 0.618 pullback	0.76	6267	0.4466	0.0316	no	0.15	0.4%
U10_chile_copper_royalty_bills	U10 Chile royalty bill milestone -> long HG+ANTO 126d	0.75	1298	0.4519	0.0318	no	0.33	4.2%
AP-1	AP-1 NRMP FM Fill → Long AMN / Short Hospitals	-0.75	549	0.4559	0.0319	no	-0.51	-19.0%
Q9_indonesia_palm	Q9 Indonesia palm events -> long ZL=F 20d	-0.73	1083	0.4632	0.0321	no	-0.35	-4.8%
AM-5	AM-5 AWS Outage Multi-Cloud	-0.72	93	0.4722	0.0323	no	-1.19	-61.2%
AL-4	AL-4 Birth Collapse Pet Pair	-0.72	1101	0.4738	0.0325	no	-0.34	-16.0%
O9_indeed_jobs	O9 Indeed jobs YoY<-8% -> short XLY 60d	-0.71	1857	0.4807	0.0326	no	-0.26	-2.9%
Q12_opec_compliance	Q12 OPEC+ compliance<80% -> short BZ=F 60d	0.70	477	0.4855	0.0328	no	0.51	6.8%
V5_apollo_la_port	V5 Apollo LA Port containers	-0.70	3853	0.4857	0.0330	no	-0.18	-0.9%
U11_vietnam_robusta_premium	U11 VN-LRC premium -> long KC=F (arabica fallback) 60d	0.69	684	0.4909	0.0332	no	0.42	6.8%
U3_sa_pgm_wage_strikes	U3 SA PGM Section 64 -> long PL+SBSW 30d	0.69	3099	0.4916	0.0333	no	0.20	1.4%
G17_boj_surprise	G17 BoJ surprise short USDJPY	-0.69	4265	0.4919	0.0335	no	-0.17	-0.1%
Z1_dpa_two_leg	Z1 DPA two-leg	0.67	2588	0.5003	0.0337	no	0.21	2.2%
AL-2	AL-2 Immigration Homebuilder Pair	-0.67	348	0.5024	0.0339	no	-0.57	-10.1%
AI-3	Patent Cliff → Long ELV+CI	0.67	360	0.5052	0.0340	no	0.56	11.1%
I12_enso_ag_commodities	I-12 ENSO (SOYB vs CORN pair)	-0.66	3870	0.5097	0.0342	no	-0.17	-0.9%
U13_peru_las_bambas	U13 Las Bambas blockade -> long MMG+HG 30d	0.66	1161	0.5122	0.0344	no	0.31	2.8%
J9_eia_distillate	J9 Distillate draw -> long XLE / short USO	-0.65	4877	0.5130	0.0346	no	-0.15	-0.8%
O10_business_formation	O10 BFS YoY>5% (4w) -> long IWM 90d	0.64	5380	0.5237	0.0347	no	0.14	0.9%
AC-1	AC-1 US FY-yearend defense surge	0.64	293	0.5239	0.0349	no	0.59	9.3%
X4_vale_jurisdictional	X4 VALE/BHP z<-1.5 long 90d	0.62	3942	0.5362	0.0351	no	0.16	0.6%
Z8_multi_state_ag	Z8 Multi-state AG short 60d	-0.62	521	0.5384	0.0353	no	-0.43	-10.1%
P10_granny_shots_etf	P10 GRNY - SPY (relative)	0.61	384	0.5390	0.0354	no	0.50	4.2%
AI-2	Negative Equity → Short SC+CACC	-0.61	600	0.5401	0.0356	no	-0.40	-16.0%
T8_eskom_load_shedding	T8 Eskom Stage >=4 -> long PL=F 2mo	0.61	2861	0.5413	0.0358	no	0.18	1.3%
U12_argentina_dolar_soja	U12 dolar-soja close + 60d -> long ZM+BG 40d	-0.61	873	0.5420	0.0360	no	-0.33	-4.1%
K8_nahb_traffic	K8 NAHB Traffic > 1σ long ITB	0.60	5042	0.5456	0.0361	no	0.14	0.9%
X2_royalty_premium	X2 royalty premium proxy long-90d	0.59	2519	0.5586	0.0363	no	0.19	1.7%
H01_perp_funding	H01 Perp funding extremes	-0.58	2579	0.5592	0.0365	no	-0.18	-2.0%
P9_cowen_btc_risk	P9 Cowen BTC Risk	0.58	4265	0.5622	0.0367	no	0.14	-0.9%
F14_boc_calendar	F14 BoC meeting calendar USDCAD signal	-0.58	33	0.5630	0.0368	no	-1.62	-13.5%
AM-1	AM-1 Hormuz Refiner Pair	0.58	59	0.5658	0.0370	no	1.19	55.8%
C18_big_mac_ppp	C18 Big Mac PPP (6-mo rebal)	-0.57	4627	0.5674	0.0372	no	-0.13	-1.2%
J7_rrp_drain	J7 RRP drain -> short TLT	0.57	1605	0.5698	0.0374	no	0.23	1.4%
AF-1	AF-1 GLP-1 → Short RMD	-0.56	327	0.5748	0.0375	no	-0.49	-19.7%
N6_sofr_iorb	N6 SOFR-IORB stress short SPY	-0.56	1983	0.5783	0.0377	no	-0.20	-1.2%
A11_dst_anomaly	A11 DST short-Monday	0.54	6635	0.5866	0.0379	no	0.11	0.2%
AF-3	AF-3 Freight Spike → Short Retail	0.54	93	0.5882	0.0381	no	0.89	22.1%
Q7_india_gold_festival	Q7 India festival gold -> long GLD 45d	0.54	2692	0.5898	0.0382	no	0.16	0.6%
F7_pboc_lpr	F7 PBoC MLF cut -> FXI around LPR fix	-0.54	40	0.5905	0.0384	no	-1.36	-32.7%
N8_eia_propane	N8 EIA propane autumn -> UNG	0.52	1936	0.6044	0.0386	no	0.19	1.7%
A05_january_small_caps	A05 IWM-SPY Jan spread	0.52	6534	0.6057	0.0388	no	0.10	0.3%
U1_indonesia_nickel_royalty	U1 Indo PNBP nickel hike -> long NIC.AX 30d	0.52	1492	0.6065	0.0389	no	0.21	1.9%
I06_lunar_january_ashares	I-6 Lunar Jan ASHR	0.51	3153	0.6081	0.0391	no	0.14	0.8%
R-N3_aar_intermodal	AAR intermodal vs carload spread > 5pp	0.51	3617	0.6086	0.0393	no	0.14	0.6%
O12_ca_cap_trade	O12 CCA auction +10% -> long ICLN 90d	0.50	3115	0.6153	0.0395	no	0.14	1.0%
G18_pboc_rrr_fxi	G18 PBOC RRR -> FXI	0.50	3115	0.6163	0.0396	no	0.14	0.9%
AL-5	AL-5 Sunbelt Multifamily REITs	-0.50	1101	0.6167	0.0398	no	-0.24	-7.2%
W2_dspx_dispersion	W2 DSPX dispersion (RSP-SPY)	-0.50	250	0.6203	0.0400	no	-0.50	-1.7%
G23_gpr_tail_spy	G23 GPR tail BUY SPY	0.49	7899	0.6222	0.0402	no	0.09	0.2%
S11_gasoline_demand	S11 gasoline-supplied weak summer -> short UGA 30d	0.49	4587	0.6236	0.0404	no	0.12	0.6%
AA3_mstr_premium	AA3 MSTR mNAV premium short	-0.48	1458	0.6330	0.0405	no	-0.20	-11.7%
AA4_tips_breakeven	AA4 TIPS breakeven (auction)	0.48	4120	0.6333	0.0407	no	0.12	0.1%
F06_td_sequential	F06 TD Sequential 9-bar setup fade	-0.47	6636	0.6412	0.0409	no	-0.09	-1.1%
U8_mongolia_coking_coal_trucks	U8 Mongolia border close -> long TECK 30d	0.46	1578	0.6428	0.0411	no	0.19	1.2%
N2_mba_refi	N2 MBA refi (MORTGAGE30US proxy)	0.46	4572	0.6464	0.0412	no	0.11	0.6%
J1_tic_custody_drop	J1 TIC custody drop -> short TLT	-0.46	5992	0.6466	0.0414	no	-0.09	-0.3%
AH-1	Hydro Drought → Short AVA	0.44	379	0.6634	0.0416	no	0.36	6.3%
AB7_vix9d_acute	AB7 VIX9D acute fear	0.43	3869	0.6705	0.0418	no	0.11	0.1%
F5_fda_pdufa	F5 FDA PDUFA pre-decision drift	0.42	224	0.6728	0.0419	no	0.45	10.8%
J4_mississippi_river	J4 Mississippi low water -> long CORN	0.42	4013	0.6775	0.0421	no	0.10	0.3%
U6_thai_rubber_eudr	U6 EUDR -T-90d -> long 5108+STGT 60d	0.41	445	0.6833	0.0423	no	0.31	3.4%
AF-4	AF-4 China RE → MP/TSLA vs F/GM	0.39	244	0.6944	0.0425	no	0.40	8.4%
H12_cot_commercial	H12 COT commercial-hedger extremes	0.39	5380	0.6972	0.0426	no	0.08	0.3%
G14_prefomc_regime	G14 Pre-FOMC dovish only	0.37	6636	0.7147	0.0428	no	0.07	0.2%
W9_trend_replication_slippage	W9 internal TSMOM minus CTA-ETF basket	0.34	1056	0.7303	0.0430	no	0.17	1.4%
AB8_us_jp_real_rate	AB8 US-JP real rate gap	0.34	5858	0.7311	0.0432	no	0.07	0.2%
S10_ovx_vix_ratio	S10 OVX/VIX>2 5d -> short USO 30d	-0.34	4773	0.7374	0.0433	no	-0.08	-6.1%
J11_tsa_throughput	J11 TSA weak -> short JETS	-0.33	1857	0.7404	0.0435	no	-0.12	-8.0%
N12_tga_tax_dates	N12 TGA tax-date long TLT	-0.32	2037	0.7511	0.0437	no	-0.11	-0.2%
R-L14_mcclellan	SP500-McClellan cross-up long SPY 21d	0.31	3114	0.7542	0.0439	no	0.09	0.3%
G10_china_port_throughput	G10 China port throughput (FXI vs SPY)	0.30	2107	0.7653	0.0440	no	0.10	0.5%
J8_usgs_copper	J8 Copper supply shocks -> long FCX	-0.29	2863	0.7702	0.0442	no	-0.09	-2.3%
Q11_cushing_inventory	Q11 Cushing<25MMbbl -> long CL=F 30d	0.29	5561	0.7708	0.0444	no	0.06	-1.3%
H09_etf_flows	H09 BTC spot ETF dollar-volume proxy	0.29	599	0.7730	0.0446	no	0.19	0.6%
AK-3	AK-3 Mississippi Barge Soybeans	-0.29	93	0.7752	0.0447	no	-0.47	-8.4%
M8_russell_reconstitution	M8 Russell reconstitution → long IWM 15d pre through event	-0.28	6535	0.7769	0.0449	no	-0.06	-0.4%
O1_srf_usage	O1 SRF usage -> long SHY 5d	0.26	1605	0.7944	0.0451	no	0.10	0.0%
U4_norway_salmon_lice	U4 Mattilsynet PO3-5 -> long MOWI / short BAKKA 30d	-0.24	1924	0.8095	0.0453	no	-0.09	-1.7%
AA1_xbi_rebalance	AA1 XBI rebalance pair	-0.23	5104	0.8163	0.0454	no	-0.05	-0.3%
U9_fonterra_gdt_pulse	U9 GDT Pulse +5% -> long ATM+SAP 14d	0.22	1428	0.8237	0.0456	no	0.09	0.4%
AB2_nok_brent_sov_lag	AB2 NOK Brent sov-lag	0.22	5782	0.8265	0.0458	no	0.05	0.1%
O8_bfr_share	O8 BFR-share>75pct -> short INVH+AMH 90d	-0.18	3221	0.8588	0.0460	no	-0.05	-0.4%
X3_usgc_nyh_crack	X3 USGC-NYH gap >$8.0 long VLO short PBF	0.18	3379	0.8595	0.0461	no	0.05	0.1%
P2_karsan_post_opex	P2 Karsan Post-OPEX (short)	0.17	6635	0.8618	0.0463	no	0.03	-0.0%
AJ-2	Peru Anchovy → Long ZM=F	0.17	300	0.8628	0.0465	no	0.16	0.3%
J3_form_d_biotech	J3 Biotech Form D surge -> short XBI	-0.17	3115	0.8673	0.0467	no	-0.05	-1.9%
D17_coskewness	D17 Negative coskewness premium	-0.16	269	0.8701	0.0468	no	-0.03	-1.8%
Z5_stanford_scac	Z5 SCAC first-filed short 60d	0.16	1175	0.8701	0.0470	no	0.08	-13.0%
I05_wyckoff_spring	I05 Wyckoff Spring	-0.15	6602	0.8815	0.0472	no	-0.03	-0.1%
P3_karsan_quarterly_meltup	P3 Karsan Quarterly Meltup	0.13	6635	0.8959	0.0474	no	0.03	-0.1%
X9_cf_industries_tt_hh	X9 CF TTF-crash long 90d	0.11	1780	0.9103	0.0475	no	0.04	-2.2%
F2_chips_act_pmt	F2 CHIPS PMT recipient vs SOXX	-0.11	745	0.9135	0.0477	no	-0.06	-0.4%
T4_capesize_iron_ore	T4 BDRY WoW > 20% -> long VALE 4w	0.10	2053	0.9173	0.0479	no	0.04	-0.0%
M4_eth_btc_ratio	M4 ETH/BTC ratio cross above 200d after >=60d below → long ETH	0.09	2917	0.9289	0.0481	no	0.03	-2.7%
M2_dsr_jump	M2 DSR jump >+1pp → long ETH 60d	0.08	2698	0.9352	0.0482	no	0.02	-1.1%
G02_wikipedia_pageviews	G02 Wikipedia pageview MoM (long top decile / short bottom decile)	0.08	124	0.9364	0.0484	no	0.02	-1.1%
S14_pilbara_spodumene	S14 BMX -15% clear -> short LIT 60d	-0.08	785	0.9380	0.0486	no	-0.04	-2.2%
F1_ira_solar_guidance	F1 IRA solar guidance basket	0.08	81	0.9387	0.0488	no	0.14	-4.1%
S9_wti_calendar_spread	S9 WTI 2w>+5% momentum proxy -> long USO 30d	0.05	5046	0.9596	0.0489	no	0.01	-4.5%
C13_tips_breakeven	C13 TIPS breakeven -> DBC	0.05	5105	0.9627	0.0491	no	0.01	-0.2%
AB4_brl_softs_composite	AB4 BRL softs composite	-0.04	3783	0.9669	0.0493	no	-0.01	-0.6%
S15_urals_discount	S15 Urals disc < -$20 -> long BZ, short CL 60d	0.04	1038	0.9683	0.0495	no	0.02	-0.1%
K14_dallas_fed_capex	K14 Dallas Fed capex drop short XLI	0.03	5528	0.9779	0.0496	no	0.01	-0.1%
V11_sidial_dispersion	V11 Sidial dispersion proxy	0.02	4817	0.9877	0.0498	no	0.00	-0.0%
K10_china_rare_earth	K10 China REE drop long REMX	-0.01	3913	0.9950	0.0500	no	-0.00	-2.3%
Y5_de_spac_short	Y5 De-SPAC short post high-redemption (event)	2.58	16 ev	0.0098	0.0046	no	n/a	n/a
E09_ipo_lockup	E09 IPO lockup expiry short (event)	2.10	59 ev	0.0357	0.0046	no	n/a	n/a
E10_spinoff_drift	E10 Spin-off drift long 24mo (event)	0.96	40 ev	0.3370	0.0500	no	n/a	11.7%
PL78_gdpnow_consensus_gap_spy	PL78 GDPNow >3% long SPY (event)	2.18	10 ev	0.0293	0.0046	no	1.70	29.9%
PL87_twd_decline_industrial_exporters	PL87 TWD decline long HON/CAT/DE (event)	2.09	9 ev	0.0366	0.0500	no	0.98	26.2%
PL3_china_pmi_expansion_metals	PL3 China PMI expansion long copper (event)	0.72	4 ev	0.4716	0.0500	no	1.81	86.2%
ASB_inference_cost_custom_silicon	AS-B Custom silicon MRVL+CRDO (regime trade)	n/a	1 reg	—	—	n/a	1.58	129.0%
AE2_hyperscaler_capex	AE-2 Hyperscaler capex ratchet (regime trade)	n/a	5 reg	—	—	n/a	1.23	57.2%
AG2_transformer_shortage	AG-2 Transformer shortage OEM/util pair (regime trade)	n/a	1 reg	—	—	n/a	0.66	17.5%
AI4_glp1_short_spirits	AI-4 GLP-1 mass adoption short spirits (regime trade)	n/a	1 reg	—	—	n/a	0.60	13.1%
AI5_office_cmbs_regional_pair	AI-5 Office CMBS regional bank pair (regime trade)	n/a	1 reg	—	—	n/a	0.49	11.7%

Note on additions. The 11 rows above (event-driven and regime trades) were added post-hoc. They use event/regime sample sizes, not daily-return regression. None pass the BH/FDR threshold; the 5 regime trades (AS-B, AE-2, AG-2, AI-4, AI-5) have insufficient observations to compute a statistically meaningful p-value (N=1–5 regime windows). They appear in the catalog and may be active in the Signals tab — but treat their Sharpe/CAGR as in-sample regime fits, not validated edges.

2. Transaction Cost Impact (10 bps round-trip)

Gross vs net metrics after deducting 10 basis points per unit of turnover. "Sharpe drop" = gross Sharpe minus net Sharpe. Signals with high turnover lose the most. 0 of 48 winners drop below Sharpe 0.5 after costs.

ID	Name	Gross Sharpe	Net Sharpe	Sharpe Drop	Gross CAGR	Net CAGR	Cost Drag	Ann Turnover
A14_btc_halving	A14_btc_halving	1.20	1.20	0.00	49.8%	49.8%	0.1%	0
AC-4	AC-4	1.43	1.43	0.00	60.5%	60.5%	0.0%	0
AC-6	AC-6	2.84	2.84	0.00	147.7%	147.7%	0.0%	0
AE-1	AE-1	1.13	1.13	0.00	46.5%	46.5%	0.0%	0
AE-2	AE-2	1.23	1.23	0.00	57.2%	57.2%	0.0%	0
AF-3	AF-3	0.89	0.89	0.00	22.1%	22.1%	0.0%	0
AG-2	AG-2	0.56	0.56	0.00	14.2%	14.2%	0.0%	0
AG-5	AG-5	1.46	1.44	0.02	54.0%	52.7%	1.2%	8
AI-3	AI-3	0.56	0.56	0.00	11.1%	11.1%	0.0%	0
AI-4	AI-4	0.62	0.62	0.00	13.9%	13.9%	0.0%	0
AJ-1	AJ-1	2.33	2.27	0.06	38.8%	37.7%	1.2%	8
AJ-4	AJ-4	1.13	1.12	0.01	48.4%	47.4%	0.9%	6
AK-2	AK-2	1.13	1.13	0.00	51.2%	51.2%	0.0%	0
AL-3	AL-3	0.80	0.80	0.00	29.4%	29.4%	0.0%	0
AM-1	AM-1	0.90	0.90	0.00	36.2%	36.2%	0.0%	0
AQ-1	AQ-1	1.79	1.78	0.01	45.8%	45.5%	0.3%	2
AR-1	AR-1	0.87	0.87	0.00	33.0%	33.0%	0.0%	0
AR-2	AR-2	0.70	0.70	0.00	19.6%	19.6%	0.0%	0
AR-3	AR-3	2.58	2.58	0.00	97.7%	97.7%	0.0%	0
AS-B	AS-B	1.61	1.61	0.00	132.4%	132.4%	0.0%	0
C07_accel_dual_momentum	C07_accel_dual_momentum	0.74	0.72	0.02	11.4%	11.0%	0.4%	4
C08_yield_curve_10y2y	C08_yield_curve_10y2y	0.65	0.63	0.02	10.5%	10.1%	0.4%	4
C09_yield_curve_10y3m	C09_yield_curve_10y3m	0.65	0.63	0.02	10.5%	10.1%	0.4%	4
C10_hy_oas_regime	C10_hy_oas_regime	1.44	1.43	0.00	22.9%	22.8%	0.1%	1
F03_margin_debt_yoy	F03_margin_debt_yoy	0.72	0.70	0.02	11.5%	11.2%	0.3%	3
F9_ustr_s301	F9_ustr_s301	1.75	1.75	0.00	37.2%	37.2%	0.0%	0
G07_warn_act_layoffs	G07_warn_act_layoffs	0.94	0.94	0.00	26.0%	26.0%	0.0%	0
H05_hash_ribbons	H05_hash_ribbons	0.71	0.69	0.01	20.7%	20.2%	0.5%	4
H06_mvrv_zscore	H06_mvrv_zscore	0.97	0.97	0.00	45.5%	45.5%	0.0%	0
H07_puell_multiple	H07_puell_multiple	0.87	0.87	0.00	28.7%	28.7%	0.0%	0
H08_nupl	H08_nupl	0.87	0.87	0.00	33.8%	33.8%	0.1%	0
H11_btc_correlation_regime	H11_btc_correlation_regime	0.90	0.90	0.00	32.4%	32.4%	0.0%	0
L6_sec_nt_10k	L6_sec_nt_10k	0.55	0.55	0.01	16.3%	15.8%	0.5%	5
M3_steth_discount	M3_steth_discount	0.88	0.88	0.00	33.1%	32.9%	0.2%	2
N4_sia_billings	N4_sia_billings	0.55	0.54	0.02	12.0%	11.4%	0.6%	5
O4_btc_mempool	O4_btc_mempool	0.73	0.72	0.01	32.7%	31.7%	0.9%	7
O5_btc_difficulty_drop	O5_btc_difficulty_drop	0.80	0.79	0.01	32.5%	31.8%	0.8%	6
P12_steno_global_liquidity	P12_steno_global_liquidity	0.65	0.64	0.02	16.2%	15.6%	0.6%	5
P6_howell_liquidity_btc	P6_howell_liquidity_btc	1.04	1.03	0.01	42.9%	42.4%	0.5%	3
R-D11_short_interest	R-D11_short_interest	0.79	0.78	0.01	13.7%	13.6%	0.1%	1
R-N5_tsmc_revenue	R-N5_tsmc_revenue	0.63	0.62	0.01	12.7%	12.5%	0.2%	2
ST-3	ST-3	0.84	0.84	0.00	22.6%	22.6%	0.0%	0
U15_china_antimony_licenses	U15_china_antimony_licenses	1.33	1.32	0.01	89.4%	88.0%	1.3%	7
U2_drc_cobalt_quota	U2_drc_cobalt_quota	1.51	1.49	0.02	36.7%	36.2%	0.5%	4
V2_verdad_hy600	V2_verdad_hy600	1.44	1.43	0.01	22.9%	22.7%	0.1%	1
V3_felder_margin_debt_gdp	V3_felder_margin_debt_gdp	0.78	0.76	0.02	11.2%	10.9%	0.3%	2
Z4_wells_to_litigation_gap	Z4_wells_to_litigation_gap	0.66	0.66	0.00	23.0%	23.0%	0.0%	0
Z6_antitrust_reversion	Z6_antitrust_reversion	0.70	0.70	0.00	16.4%	16.4%	0.0%	0

3. In-Sample vs Out-of-Sample

Each backtest period is split at the midpoint. Signals that hold up in the second half are more credible. "Sharpe decay" = OOS Sharpe minus IS Sharpe (negative = degradation).

ID	Name	IS Sharpe	IS CAGR	IS Period	OOS Sharpe	OOS CAGR	OOS Period	Decay
A14_btc_halving	A14_btc_halving	1.20	52.9%	2014-09-19–2020-07-22	1.20	46.9%	2020-07-23–2026-05-26	+0.01
AC-6	AC-6	2.78	107.1%	2018-01-03–2021-03-29	2.94	196.0%	2021-03-30–2026-03-31	+0.16
AE-1	AE-1	0.37	6.5%	2020-07-20–2020-11-24	1.60	101.6%	2024-06-18–2024-10-25	+1.23
AE-2	AE-2	2.20	115.9%	2024-02-01–2024-10-03	0.52	14.4%	2024-10-04–2025-06-10	-1.67
AG-2	AG-2	0.97	29.5%	2023-01-03–2024-09-11	0.20	0.8%	2024-09-12–2026-05-26	-0.77
AG-5	AG-5	0.91	26.9%	2014-08-01–2015-10-01	1.95	86.9%	2015-10-02–2018-11-30	+1.04
AI-3	AI-3	-0.06	-3.1%	2023-01-03–2024-05-09	1.01	27.4%	2025-01-02–2026-05-12	+1.07
AI-4	AI-4	0.52	8.4%	2023-06-01–2024-11-22	0.71	19.6%	2024-11-25–2026-05-26	+0.19
AJ-1	AJ-1	1.92	22.6%	2017-07-10–2018-09-12	2.67	57.2%	2021-07-01–2023-07-14	+0.75
AJ-4	AJ-4	-1.07	-33.9%	2002-06-24–2011-08-12	2.63	232.9%	2012-06-25–2023-07-31	+3.69
AK-2	AK-2	1.25	51.0%	2023-01-11–2025-12-22	1.06	51.4%	2025-12-23–2026-05-26	-0.19
AL-3	AL-3	1.85	97.0%	2018-05-01–2020-11-12	-0.08	-14.8%	2020-11-13–2024-11-15	-1.93
AQ-1	AQ-1	2.22	55.2%	2016-01-15–2020-09-18	1.42	37.0%	2020-09-21–2023-07-14	-0.80
AR-1	AR-1	1.27	55.2%	2009-03-02–2017-02-28	0.51	14.0%	2017-03-01–2025-10-01	-0.75
AR-2	AR-2	1.25	41.6%	2009-03-02–2017-02-28	0.20	1.0%	2017-03-01–2025-10-01	-1.05
AR-3	AR-3	2.93	123.2%	2020-11-02–2021-05-03	2.20	75.3%	2021-05-04–2021-10-29	-0.73
AS-B	AS-B	1.06	61.9%	2024-01-02–2025-03-13	2.14	233.2%	2025-03-14–2026-05-26	+1.08
C07_accel_dual_momentum	C07_accel_dual_momentum	0.84	13.4%	2007-12-12–2017-03-01	0.63	9.4%	2017-03-02–2026-05-26	-0.21
C08_yield_curve_10y2y	C08_yield_curve_10y2y	0.47	7.3%	1993-02-01–2009-09-22	0.86	13.7%	2009-09-23–2026-05-26	+0.39
C09_yield_curve_10y3m	C09_yield_curve_10y3m	0.49	7.9%	1993-02-01–2009-09-22	0.87	13.1%	2009-09-23–2026-05-26	+0.38
C10_hy_oas_regime	C10_hy_oas_regime	2.10	28.0%	2023-05-31–2024-11-21	1.02	18.0%	2024-11-22–2026-05-22	-1.08
F03_margin_debt_yoy	F03_margin_debt_yoy	0.55	8.6%	1995-01-04–2010-09-09	0.89	14.4%	2010-09-10–2026-05-26	+0.34
G07_warn_act_layoffs	G07_warn_act_layoffs	-0.31	-14.6%	2025-07-14–2025-12-15	2.72	85.4%	2025-12-16–2026-05-26	+3.02
H05_hash_ribbons	H05_hash_ribbons	0.93	30.2%	2014-09-18–2020-07-19	0.49	11.8%	2020-07-20–2026-05-21	-0.44
H06_mvrv_zscore	H06_mvrv_zscore	1.48	100.8%	2015-12-11–2021-03-03	0.35	5.5%	2021-03-04–2026-05-26	-1.13
H07_puell_multiple	H07_puell_multiple	0.95	33.4%	2015-09-17–2021-01-19	0.78	24.2%	2021-01-20–2026-05-26	-0.17
H08_nupl	H08_nupl	1.22	59.5%	2015-09-17–2021-01-19	0.49	12.3%	2021-01-20–2026-05-26	-0.73
H11_btc_correlation_regime	H11_btc_correlation_regime	0.95	39.2%	2014-11-16–2020-08-20	0.85	25.9%	2020-08-21–2026-05-26	-0.11
L6_sec_nt_10k	L6_sec_nt_10k	0.63	21.5%	2015-01-16–2020-07-20	0.47	11.3%	2020-07-21–2026-02-02	-0.16
M3_steth_discount	M3_steth_discount	1.24	77.0%	2020-12-24–2023-09-09	0.00	0.0%	2023-09-10–2026-05-26	-1.24
N4_sia_billings	N4_sia_billings	0.51	10.9%	2001-07-16–2013-12-17	0.61	13.2%	2013-12-18–2026-05-26	+0.10
O4_btc_mempool	O4_btc_mempool	0.85	47.5%	2017-01-04–2021-09-10	0.60	19.3%	2021-09-13–2026-05-26	-0.25
O5_btc_difficulty_drop	O5_btc_difficulty_drop	0.81	36.1%	2017-01-04–2021-09-10	0.81	29.0%	2021-09-13–2026-05-26	-0.00
P12_steno_global_liquidity	P12_steno_global_liquidity	0.84	25.0%	2014-09-18–2020-07-20	0.42	8.0%	2020-07-21–2026-05-26	-0.42
P6_howell_liquidity_btc	P6_howell_liquidity_btc	0.91	40.0%	2014-09-18–2020-07-21	1.34	46.0%	2020-07-22–2026-05-26	+0.43
R-D11_short_interest	R-D11_short_interest	0.93	14.6%	2025-05-22–2025-11-19	0.68	12.8%	2025-11-20–2026-05-22	-0.25
R-N5_tsmc_revenue	R-N5_tsmc_revenue	0.90	13.4%	2013-04-02–2019-10-23	0.54	12.0%	2019-10-24–2026-05-26	-0.37
ST-3	ST-3	1.21	31.5%	2018-01-22–2024-06-06	0.57	14.2%	2024-06-07–2025-10-22	-0.64
U15_china_antimony_licenses	U15_china_antimony_licenses	1.77	185.1%	2024-10-23–2025-08-08	0.72	26.0%	2025-08-11–2026-05-26	-1.05
U2_drc_cobalt_quota	U2_drc_cobalt_quota	2.45	80.1%	2025-02-25–2025-10-08	0.29	3.7%	2025-10-09–2026-05-26	-2.16
V2_verdad_hy600	V2_verdad_hy600	2.08	27.5%	2023-05-30–2024-11-20	1.04	18.4%	2024-11-21–2026-05-22	-1.03
V3_felder_margin_debt_gdp	V3_felder_margin_debt_gdp	0.64	9.3%	1995-01-03–2010-09-08	0.93	13.1%	2010-09-09–2026-05-26	+0.29
Z4_wells_to_litigation_gap	Z4_wells_to_litigation_gap	0.98	31.5%	2016-01-07–2018-12-27	0.56	15.0%	2018-12-28–2023-11-03	-0.41
Z6_antitrust_reversion	Z6_antitrust_reversion	0.56	12.7%	2011-08-31–2022-03-21	0.84	20.2%	2022-03-22–2025-01-02	+0.28

4. Winner Correlation Matrix

Pairwise correlation of daily PnL across winning signals. Highly correlated signals represent the same underlying bet — a portfolio treating them as independent would overstate diversification.

Mean pairwise correlation: 0.204

Correlated groups (avg r > 0.5): 5

Cluster 1 (11 signals, avg r=0.68): AE-2, AG-2, AS-B, C07_accel_dual_momentum, C08_yield_curve_10y2y, C09_yield_curve_10y3m, C10_hy_oas_regime, F03_margin_debt_yoy, N4_sia_billings, V2_verdad_hy600, V3_felder_margin_debt_gdp

Cluster 2 (6 signals, avg r=0.74): A14_btc_halving, H06_mvrv_zscore, H08_nupl, H11_btc_correlation_regime, P12_steno_global_liquidity, P6_howell_liquidity_btc

Cluster 3 (2 signals, avg r=0.51): AE-1, R-N5_tsmc_revenue

Cluster 4 (2 signals, avg r=0.71): AR-1, AR-2

Cluster 5 (2 signals, avg r=0.56): H05_hash_ribbons, H07_puell_multiple

25 independent signals (not correlated with any other winner)