Research log · equities, ETFs, crypto, options · 2014–2026
Most trading strategies die. Here is where, and why.
Every strategy this lab has tested, with the gate that killed it and the numbers it died with. 44 of them were pre-registered — written down before the data was looked at, and run once; the rest predate that rule, and their pages say so. The failures are the point: they show what the filter catches.
66strategies documented
1pass every gate
37/65died for lack of alpha
Where they died
Entry test — obligation
9
Mechanism precondition
1
Raw significance (legacy)
6
Market-adjusted alpha (legacy)
8
Gate 7 — Jensen alpha
21
Gate F — Friction
7
Stability
2
Own alpha
3
All strategies
| 52-week-high proximity (standalone) | long | No alpha | Gate 7 — Jensen alpha | +0.53 |
| ATM straddle selling | short volatility | Void | No historical option prices | — |
| ATR% spike reversion | short | Void | Broken script: rule never run as registered | — |
| Analyst rating drift | long / short | Beta in disguise | Market-adjusted alpha (legacy) | — |
| Attention volume fade short | short | Eaten by friction | Gate F — Friction | +4.79 |
| BTC/ETH pairs trading | long / short (market-neutral pair) | No alpha | Raw significance (legacy) | — |
| Big-cap oversold (strict) | long | No alpha | Gate 7 — Jensen alpha | +0.27 |
| Bounce near the 52-week low | long | No alpha | Gate 7 — Jensen alpha | -2.53 |
| Buyback program execution | long | Rejected before testing | Entry test — obligation | — |
| Calendar anomalies on SPY | long | No alpha | Raw significance (legacy) | — |
| Cross-sectional intraday momentum | long / short | No alpha | Raw significance (legacy) | — |
| Crypto cross-sectional momentum | long | No alpha | Gate 7 — Jensen alpha | +1.19 |
| Crypto extreme-funding reversal | short | No alpha | Market-adjusted alpha (legacy) | — |
| Crypto spot-perpetual basis arbitrage | market-neutral (long spot / short perpetual) | Eaten by friction | Gate F — Friction | — |
| Crypto trend timing (BTC/ETH) | long / flat | No alpha | Gate 7 — Jensen alpha | +1.42 |
| Deep-oversold big caps | long | No alpha | Gate 7 — Jensen alpha | -1.67 |
| EU CSDR mandatory buy-in | long | Rejected before testing | Entry test — obligation | — |
| Earnings gap fade short | short | No alpha | Gate 7 — Jensen alpha | -0.83 |
| Earnings miss drift short | short | No alpha | Gate 7 — Jensen alpha | -1.23 |
| Earnings-reaction drift | long | No alpha | Gate 7 — Jensen alpha | -4.02 |
| Employee vesting supply short | short | No alpha | Gate 7 — Jensen alpha | -0.38 |
| Extreme overbought short | short | Redundant | Own alpha | +2.80 |
| Intraday gap-and-crap short | short | Not capturable | Gate F — Friction | — |
| Intraday reversal short | short | Redundant | Own alpha | +4.57 |
| Leveraged perp liquidation cascades | long / short | Eaten by friction | Gate F — Friction | — |
| Lock-up expiry on small floats | short | No alpha | Gate 7 — Jensen alpha | — |
| Low-vol quality in calm markets | long | No alpha | Gate 7 — Jensen alpha | +1.03 |
| Low-volatility breakout | long | Eaten by friction | Gate F — Friction | +1.45 |
| Low-volatility breakout, 20-session hold | long | Eaten by friction | Gate F — Friction | +3.07 |
| Mandate-constrained forced sale | unspecified — never reached a specification | Rejected before testing | Entry test — obligation | — |
| Mandatory convertible forced conversion | unspecified — never reached a specification | Rejected before testing | Entry test — obligation | — |
| Minervini Trend Template | long | No alpha | Gate 7 — Jensen alpha | -0.90 |
| Multi-index iron condor (QQQ, IWM, EEM) | short volatility | Void | No historical option prices | — |
| Mutual-fund excise-tax distribution selling | unspecified — never reached a specification | Rejected before testing | Entry test — obligation | — |
| One-day return reversal | long / short | No alpha | Gate 7 — Jensen alpha | — |
| Opportunistic insider buying | long | No alpha | Gate 7 — Jensen alpha | -1.96 |
| Option dealer gamma hedging | unspecified — never reached a specification | Rejected before testing | Entry test — obligation | — |
| Options premium selling (covered calls + cash-secured puts) | short volatility | Void | No historical option prices | — |
| Overbought run-up short | short | Redundant | Own alpha | +4.02 |
| Post-earnings IV crush (straddle seller) | short volatility | Void | No historical option prices | — |
| Post-earnings drift long | long | No alpha | Raw significance (legacy) | — |
| Pre-earnings drift | long | No alpha | Raw significance (legacy) | — |
| Quality momentum long | long | No alpha | Gate 7 — Jensen alpha | -2.45 |
| Quarter-end window dressing | long | No alpha | Market-adjusted alpha (legacy) | — |
| RSI bounce with 200-day trend filter | long | No alpha | Gate 7 — Jensen alpha | -0.01 |
| RSI bounce — holding-period study | long | Unstable | Stability | — |
| RSI oversold bounce near the 50-day average | long | No alpha | Gate 7 — Jensen alpha | -2.38 |
| RSI oversold in low-volatility names | long | No alpha | Gate 7 — Jensen alpha | +0.58 |
| Redemption-driven fund liquidation | unspecified — never reached a specification | Rejected before testing | Entry test — obligation | — |
| Reg SHO mandatory close-out | long | Eaten by friction | Gate F — Friction | — |
| Regime-gated cross-sectional momentum | long | No alpha | Stability | — |
| Relative-volume continuation | long | No alpha | Gate 7 — Jensen alpha | -8.58 |
| Reserve-based lending borrowing-base deficiency | unspecified — never reached a specification | Rejected before testing | Entry test — obligation | — |
| Russell deletion reversal | long | No alpha | Market-adjusted alpha (legacy) | — |
| SPAC redemption at trust value | unspecified — never reached a specification | Rejected before testing | Entry test — obligation | — |
| SPY "iron condor" selling | short volatility | Void | No historical option prices | — |
| Sector ETF pairs trading | long / short | No alpha | Mechanism precondition | — |
| Sector momentum rotation | long | Beta in disguise | Market-adjusted alpha (legacy) | — |
| Stress-gated mean reversion | long | No alpha | Market-adjusted alpha (legacy) | — |
| Tax-loss selling in small caps | long | No alpha | Market-adjusted alpha (legacy) | — |
| Time-series momentum on ETFs | long | No alpha | Market-adjusted alpha (legacy) | — |
| Treasury curve carry rotation | long | No alpha | Raw significance (legacy) | — |
| VIX regime switch | long UVXY / short VXX | No alpha | Gate 7 — Jensen alpha | +0.17 |
| VXX call spreads | long / short volatility | Void | No VIX or VXX option history | — |
| Volume spike reversal | short | Void | Broken script: rule never run as registered | — |
No strategy matches this filter.