v008 runs two halves on 37 futures and cannot be fairly backtested, because its rules were developed on data that had already seen every past period. So it is judged live.
· 2 min read · 334 words · updated
What the record says
Book: Two halves on 37 Binance futures, each aiming at 20% annual volatility.
Trend half: The sign of each coin's 20-, 60- and 120-day return, sized by inverse volatility, rebalanced daily.
Momentum half: Each week, long the strongest third of the last 30 days and short the weakest third in equal amounts, which makes it roughly market neutral.
Limits: At most 25% of the book in one coin and 2x gross exposure, with 7 bps of cost per side.
Declared gap: Funding is not charged in the record, which flatters a book that carries short exposure.
Why no backtest: The rules were studied in a lab that had already seen every past period, so any historical test of them is contaminated by construction.
Reference replay: A 2021–2026 replay, which is not a fair test, made about 10% a year with a 21% worst drawdown, and was down about 7% in 2026.
Start: The live paper record starts on 18 October 2026.
The bar: After 90 days it passes only if Sharpe is above 0.5, both halves are positive, the drawdown stays under 25%, and it beats holding the same coins on a risk-adjusted basis. Otherwise it is marked failed, not retuned.
Signals: It sends no signals. It is a book, tracked on paper.
Where the live record stands
This note covers a frozen or retired result, and no live engine reports on it.
How to check it
Every figure above is taken from the frozen test outputs and the live paper record.
The changelog dates every version and its result, and the strategy catalog lists the rules as they were frozen.
Positions described here are paper positions; no order is ever placed.
Where the record stands
Read from the running engines at 14:04 UTC. Market data is connected, last message 0 min ago. Every position below is paper.
htf-rsi-v007Intraday futures
Open paper
nothing open
Closed so far
4 · avg
Channel
posts to Telegram
trend-daily-v005Daily trend
Bitcoin filter
on
Open paper
nothing open
Closed so far
2 · avg -19.3%
Channel
posts to Telegram
trend-daily-v006Daily trend
Bitcoin filter
on
Open paper
nothing open
Closed so far
2 · avg -19.3%
Channel
posts to Telegram
catchdown-perp-v004Residual pairs
Open paper
nothing open
Closed so far
32 · avg 0.0%
Channel
dashboard only
residual-spot-v003Residual pairs
Open paper
nothing open
Closed so far
2 · avg 0.8%
Channel
dashboard only
momentum-perp-v008Momentum book
Open paper
BTCshort-4.0%
ETHshort-4.8%
BNBlong3.5%
SOLshort-4.5%
Channel
dashboard only
Most recent activity
exitXRPcatchdown-perp-v004-af40d0be5dfb0.0% net
exitBCHcatchdown-perp-v004-af40d0be5dfb0.4% net
signalXRPcatchdown-perp-v004-af40d0be5dfb-0.0% net
signalBCHcatchdown-perp-v004-af40d0be5dfb-0.1% net
exitDOGEcatchdown-perp-v004-af40d0be5dfb-0.9% net
exitXRPcatchdown-perp-v004-af40d0be5dfb-0.7% net
How this note was written
It is generated from a fixed fact sheet built from the frozen test outputs and the live paper record, then checked so that every figure in the text appears in that sheet. Fact sheet a3c4ddbbec97093c.
Paper research only. Not investment advice, and not a signal. Read the commitments for what stays public and the signal log for every signal as it was published.
