Fixed BTC/ETH long-cash trend proxy (qm-3i4)
Rejected qm-3i4 · 2026-08-08
Date: 2026-08-08.
Decision
Provenance
Equity vs S&P (aligned, rebased to 1.0)
No signal overlay for this experiment (parameter sweep / search)
Aligned window, both rebased to 1.0 at start — Aligned window, both rebased to 1.0 at start for fair comparison · S&P dashed, experiment solid. X = Date, Y = Equity (rebased to 1.0).
Signal driver & thresholds (x-aligned)
Stats
| CAGR | -14.29% | Sharpe | -33.17% |
|---|---|---|---|
| Sortino | -45.02% | maxDD | -34.68% |
Disposition
Reject the fixed BTC/ETH 50/200-day long-cash proxy for production or catalog integration. The frozen confirmatory interval has only 19 complete months, 17 months short of the 36-month floor, but the result is not merely immature: it also fails two precommitted rejection gates. Net 25 bps CAGR is negative, so the 70% positive-CAGR-retention hurdle cannot be established, and none of the three predeclared moving-average rows preserves both positive CAGR and a drawdown benefit. No coin, rule, cost, lag, or date was changed after observing results. The proxy does reduce confirmatory maximum drawdown by 28.39 percentage points versus fixed 50/50 BTC/ETH buy-and-hold and the drawdown benefit survi
Follow-on work
- Follow-up qm-3i4
- Follow-up qm-3i4.json
Errors & data gaps
No additional vendor or coverage gaps beyond frozen panel window; see finding for panel dates and synthetic reconstruction limits.
Follow-up
gh issue create --title "Follow-up Fixed BTCETH long-cash trend proxy qm-3i4" --body "Follow-up to qm-3i4: Date: 2026-08-08." --label "priority:p2" --label "pipeline:research" --label "agent:ready"