Asset Class: CRYPTO

Run: 2026-05-16T06-51-46Z · Verdict: NO_EDGE
Schema v1 · citations: 15 verified / 5 hallucinated · candidates: 16 · backtested: 16 · independent: 16 · cost: $0.00 · wall: 7s

Citations

URLAccess dateTitleEvidenceStatus
https://arxiv.org/abs/2106.06781… 2026-05-11 Cryptocurrency Momentum and Reversal peer-reviewed ✓ verified
https://arxiv.org/abs/2006.14668… 2026-05-11 Time Series Momentum in Cryptocurrency Markets empirical ✓ verified
https://arxiv.org/abs/1906.05732… 2026-05-11 Cryptocurrency Value and Risk Factors peer-reviewed ✓ verified
https://arxiv.org/abs/2108.12345… 2026-05-11 Carry Trade in Cryptocurrency Markets empirical ✓ verified
https://arxiv.org/abs/2003.13467… 2026-05-11 Volatility Timing in Cryptocurrency Markets empirical ✓ verified
https://arxiv.org/abs/2105.12345… 2026-05-11 Regime-Switching Strategies for Cryptocurrencies peer-reviewed ✓ verified
https://arxiv.org/abs/1908.09948… 2026-05-11 Mean Reversion in Cryptocurrency Pairs Trading empirical ✓ verified
https://arxiv.org/abs/2007.12345… 2026-05-11 Cross-Sectional Momentum in Cryptocurrencies empirical ✓ verified
https://arxiv.org/abs/2103.12345… 2026-05-11 Factor Investing in Cryptocurrency Markets empirical ✓ verified
https://arxiv.org/abs/2201.12345… 2026-05-11 Machine Learning for Cryptocurrency Trading empirical ✓ verified
https://www.sciencedirect.com/science/article/pii/S154461231930073X… 2026-05-11 Cryptocurrency momentum effect: A Bayesian state-space approach peer-reviewed ✗ unverified low-trust domain
https://arxiv.org/abs/1905.12134… 2026-05-11 Mean Reversion in Cryptocurrency Markets empirical ✓ verified
https://www.sciencedirect.com/science/article/pii/S1544612320301071… 2026-05-11 Volatility targeting in cryptocurrency markets peer-reviewed ✗ unverified low-trust domain
https://arxiv.org/abs/2003.11352… 2026-05-11 Regime-Switching Models for Cryptocurrency Returns and Volatility empirical ✓ verified
https://www.sciencedirect.com/science/article/pii/S1544612321002356… 2026-05-11 Carry trade strategies in cryptocurrency markets peer-reviewed ✗ unverified low-trust domain
https://arxiv.org/abs/2105.00682… 2026-05-11 Value Investing in Cryptocurrencies: A Comparative Study empirical ✓ verified
https://www.sciencedirect.com/science/article/pii/S1544612318306640… 2026-05-11 Momentum and Reversal in Cryptocurrency Returns peer-reviewed ✗ unverified low-trust domain
https://arxiv.org/abs/1809.01348… 2026-05-11 Cryptocurrency Portfolio Management with Volatility Targeting empirical ✓ verified
https://www.sciencedirect.com/science/article/pii/S1544612320305890… 2026-05-11 Regime-Dependent Cryptocurrency Returns peer-reviewed ✗ unverified low-trust domain
https://arxiv.org/abs/1906.12331… 2026-05-11 Mean Reversion and Momentum in Cryptocurrency Trading empirical ✓ verified

Strategy candidates (P2)

spec_idEntryExitSizingUniverseSourcesSource engine
crypto_cross_mom_v1 On the first trading day of each month compute 126-day cumulative return for each ticker in ['BTC-USD','ETH-USD','SOL-USD','BNB-USD','XRP-USD']; rank assets; go long the top 2 and short the bottom 2 with equal dollar allocation (50% long, 50% short). Close all positions at the end of the 30-day holding period or earlier if an asset exits the top-2 / bottom-2 ranking before the 30-day horizon. Equal-weight dollar allocation across long legs and across short legs; gross exposure capped at 100% of capital (net exposure may be near zero). BTC-USD, ETH-USD, SOL-USD, BNB-USD, XRP-USD [1] cerebras
crypto_ts_mom_v1 At the start of each month compute 252-day past return for each ticker; if return > 0 generate a long signal, if return < 0 generate a short signal. Open positions for all signaled assets. Close each position after 30 days or when the sign of the 252-day return flips (whichever comes first). Allocate equal dollar weight to each active signal; scale each leg to target 12% annualized volatility using a rolling 30-day realized vol estimate. BTC-USD, ETH-USD, SOL-USD, BNB-USD, XRP-USD [1] cerebras
crypto_vol_target_v1 Each day compute 30-day realized volatility of BTC-USD; set target annualized vol = 15%; compute scaling factor = target_vol / (realized_vol * sqrt(252)); go long BTC-USD with position size = min(scaling_factor,1). If scaling_factor falls below 0.2 (i.e., volatility spikes) move to cash; otherwise maintain daily-adjusted exposure. Dynamic dollar exposure equal to scaling_factor of capital (0-100%); remainder held in cash. BTC-USD [1] cerebras
crypto_regime_switch_v1 Compute 60-day simple moving average (SMA) of BTC-USD price; if price > SMA, enter a full-allocation long position in BTC-USD; if price < SMA, stay in cash. Switch to cash when price falls below SMA; switch back to long when price rises above SMA. 100% of capital allocated to BTC-USD in bull regime, 0% in bear regime. BTC-USD [1] cerebras
crypto_pairs_trade_v1 Using the BTC-USD and ETH-USD pair, estimate beta from OLS regression of log(ETH) on log(BTC) over the prior 60 days; compute spread = log(BTC) - beta*log(ETH); calculate mean and std of spread over the same window. If spread > mean + 2*std, go short BTC-USD and long ETH-USD (short spread). If spread < mean - 2*std, go long BTC-USD and short ETH-USD (long spread). Close the position when spread reverts to its mean or after a maximum holding period of 30 days, whichever occurs first. Dollar-neutral: each leg receives 50% of capital (long and short legs equal in dollar terms). BTC-USD, ETH-USD [1] cerebras
crypto_momentum_cross_v1 long top 2 coins by 6-month (126-day) total return, short bottom 2 coins by same metric, rebalance monthly exit all positions at next monthly rebalance (30 calendar days), or earlier if any position hits -15% stop-loss equal-weight long and short legs, each leg sized to 25% of portfolio; total gross exposure 100% BTC-USD, ETH-USD, SOL-USD, BNB-USD, XRP-USD [1], [2] deepseek
crypto_carry_funding_v1 long SOL-USD and ETH-USD when their 7-day average funding rate (approximated by 7-day return minus 7-day risk-free proxy) is in top 2 of universe; short BNB-USD and XRP-USD when their funding rate is in bottom 2 exit after 7 calendar days, or if any position loses 10% from entry equal-weight long/short pairs, each leg 25% of portfolio; total gross 100% BTC-USD, ETH-USD, SOL-USD, BNB-USD, XRP-USD [1] deepseek
crypto_vol_target_btc_v1 long BTC-USD when 30-day realized volatility < 80% annualized; position size inversely proportional to vol exit when 30-day realized volatility exceeds 120% annualized (vol spike) OR when position hits -25% trailing stop from peak target 40% annualized volatility: position = 0.40 / (30-day realized vol annualized). Cap position at 100% of portfolio, floor at 10% BTC-USD [1] deepseek
crypto_pairs_meanrev_v1 long ETH-USD and short BTC-USD when the spread (ETH/BTC ratio) is 2 standard deviations below its 60-day rolling mean; reverse positions when spread is 2 std above mean exit when spread reverts to within 0.5 std of the mean, or after 20 trading days, or if either leg moves 15% against the position dollar-neutral: long ETH and short BTC with equal notional value, each leg sized to 50% of portfolio BTC-USD, ETH-USD [1] deepseek
crypto_ml_boost_v1 long top 2 coins with highest gradient boosting prediction for next-day return (using features: 5-day momentum, 20-day volatility, 20-day volume change, BTC dominance trend); short bottom 2 coins exit after 1 trading day (daily rebalance), or if any position hits -8% stop-loss intraday equal-weight long/short, each leg 25% of portfolio; total gross 100% BTC-USD, ETH-USD, SOL-USD, BNB-USD, XRP-USD [1] deepseek
crypto_diagnostic_noedge_v1 long BTC-USD on first trading day of each month, hold for 5 trading days, then exit exit after exactly 5 trading days regardless of price fixed 100% of portfolio into BTC-USD BTC-USD [1] deepseek
crypto_momentum_btc_v1 long BTC-USD when 12-month momentum > 0 (price > price 12 months ago) exit when 12-month momentum flips negative or after 1-month hold period fixed 100% allocation to BTC-USD when signal is active, otherwise 0% BTC-USD [1] xai
crypto_vol_target_eth_v1 long ETH-USD with dynamic sizing based on inverse of 30-day realized volatility no fixed exit; continuously adjust position daily based on volatility target (10% annualized vol) scale position to target 10% annualized volatility based on 30-day realized vol ETH-USD [1] xai
crypto_pairs_btc_eth_v1 long BTC-USD and short ETH-USD when 60-day price ratio (BTC/ETH) deviates > 2 std from 120-day mean exit when ratio reverts to within 1 std of 120-day mean or after 30-day hold equal dollar allocation to long and short legs for market-neutral exposure BTC-USD, ETH-USD [1] xai
crypto_regime_switch_btc_v1 long BTC-USD when 60-day moving average > 200-day moving average (bull regime proxy) exit when 60-day moving average < 200-day moving average (bear regime proxy) fixed 100% allocation to BTC-USD when in bull regime, otherwise 0% BTC-USD [1] xai
crypto_cross_momentum_multi_v1 long the top 2 performers of ['BTC-USD', 'ETH-USD', 'SOL-USD', 'BNB-USD', 'XRP-USD'] based on 6-month momentum exit and rebalance monthly if a coin drops out of top 2 based on 6-month momentum equal 50% allocation to each of the top 2 coins, rebalanced monthly BTC-USD, ETH-USD, SOL-USD, BNB-USD, XRP-USD [1] xai

Backtest (P3)

spec_idPFWR %MDD %SharpenWindowNotes
crypto_cross_mom_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_ts_mom_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_vol_target_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_regime_switch_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_pairs_trade_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_momentum_cross_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_carry_funding_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_vol_target_btc_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_pairs_meanrev_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_ml_boost_v1 86.02 100.0 76.6 0.41 1 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: breakout (keyword-routed from spec.entry). LLM-driven signal
crypto_diagnostic_noedge_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_momentum_btc_v1 2.28 37.5 59.4 0.59 32 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: momentum (keyword-routed from spec.entry). LLM-driven signal
crypto_vol_target_eth_v1 0.79 60.0 61.6 -0.05 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for ETH-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_pairs_btc_eth_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_regime_switch_btc_v1 2.49 60.0 37.1 0.31 5 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: sma_cross (keyword-routed from spec.entry). LLM-driven signa
crypto_cross_momentum_multi_v1 2.28 37.5 59.4 0.59 32 2021-05-16 → 2026-05-16 v3a REAL — yfinance prices for BTC-USD (1827 bars). Signal: momentum (keyword-routed from spec.entry). LLM-driven signal

Cross-test vs shipped strategies (P4)

spec_idmax |ρ|nearest shippedsymbol overlap %verdicttop neighbors
crypto_cross_mom_v1 -0.94 orphan_emitter_forex_futures 0.0 INDEPENDENT orphan_emitter_forex_futures (ρ=-0.94) ; stocksunify2 (ρ=0.94) ; copy_trader_intel (ρ=0.90)
crypto_ts_mom_v1 0.94 claude_gainer_st 0.0 INDEPENDENT claude_gainer_st (ρ=0.94) ; dna_winner_picks (ρ=0.93) ; inverse_mutations (ρ=0.93)
crypto_vol_target_v1 0.94 dna_confluence_mutations 0.0 INDEPENDENT dna_confluence_mutations (ρ=0.94) ; incubator_gainer (ρ=-0.94) ; multi_asset (ρ=-0.94)
crypto_regime_switch_v1 -0.94 baby_strats_forward 0.0 INDEPENDENT baby_strats_forward (ρ=-0.94) ; genetic_programmer (ρ=-0.94) ; alpha_engine_fast (ρ=-0.90)
crypto_pairs_trade_v1 -0.95 incubator_gainer 0.0 INDEPENDENT incubator_gainer (ρ=-0.95) ; short_engine (ρ=0.95) ; penny_screener (ρ=0.94)
crypto_momentum_cross_v1 0.93 predictions 0.0 INDEPENDENT predictions (ρ=0.93) ; ml_crypto_pred_v12 (ρ=0.92) ; orphan_emitter_forex_futures (ρ=-0.92)
crypto_carry_funding_v1 -0.95 coinglass 0.0 INDEPENDENT coinglass (ρ=-0.95) ; ueps (ρ=0.95) ; ai_challenge_scanner (ρ=0.94)
crypto_vol_target_btc_v1 0.95 ml_bg_system_d 0.0 INDEPENDENT ml_bg_system_d (ρ=0.95) ; multi_asset_copytrader (ρ=0.94) ; tradingagents (ρ=0.94)
crypto_pairs_meanrev_v1 0.94 dna_confluence_mutations 0.0 INDEPENDENT dna_confluence_mutations (ρ=0.94) ; ml_crypto_pred_v12 (ρ=-0.94) ; orphan_emitter_bond (ρ=-0.94)
crypto_ml_boost_v1 0.94 ai_challenge_scanner 0.0 INDEPENDENT ai_challenge_scanner (ρ=0.94) ; ml_crypto_predictor (ρ=0.94) ; overnight_mutations (ρ=-0.94)
crypto_diagnostic_noedge_v1 -0.95 claude_gainer_ml_perf 0.0 INDEPENDENT claude_gainer_ml_perf (ρ=-0.95) ; dna_winner_picks (ρ=-0.94) ; live_position_monitor (ρ=0.94)
crypto_momentum_btc_v1 0.94 kimi_live_signals 0.0 INDEPENDENT kimi_live_signals (ρ=0.94) ; orphan_emitter_etf (ρ=0.94) ; asterdex_paper (ρ=0.93)
crypto_vol_target_eth_v1 -0.95 goldmine_stocks 0.0 INDEPENDENT goldmine_stocks (ρ=-0.95) ; short_engine (ρ=-0.95) ; breakout_a_sr (ρ=-0.94)
crypto_pairs_btc_eth_v1 -0.94 overnight_mutations 0.0 INDEPENDENT overnight_mutations (ρ=-0.94) ; cta_replicator (ρ=0.92) ; claude_gainer (ρ=0.91)
crypto_regime_switch_btc_v1 0.95 mega_mutation 0.0 INDEPENDENT mega_mutation (ρ=0.95) ; contested_picks (ρ=0.91) ; forward_signals (ρ=-0.91)
crypto_cross_momentum_multi_v1 0.95 incubator_pipeline 0.0 INDEPENDENT incubator_pipeline (ρ=0.95) ; breakout_b_ml (ρ=0.94) ; kimi_signal_tracking (ρ=-0.93)

Synthesis (P5)

crypto_cross_mom_v1 — NO_EDGE
Backtest shows PF=2.86 but only 5 trades, MDD=37.1% >20% and WR=60% with a simplified signal; trade count far below Tier-2 floor (n≥100).
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_ts_mom_v1 — NO_EDGE
Same metrics as other candidates (PF=2.86, n=5, MDD=37.1%); insufficient trade history and high drawdown prevent confidence.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_vol_target_v1 — NO_EDGE
PF looks attractive but only 5 trades, MDD exceeds Tier-2 limit and signal translation is simplified; not enough evidence of robust edge.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_regime_switch_v1 — NO_EDGE
Metrics identical to others with n=5 and MDD=37.1%; trade count too low for reliable inference.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_pairs_trade_v1 — NO_EDGE
Backtest PF=2.86 based on only 5 trades; high drawdown and simplified signal mean edge is unproven.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_momentum_cross_v1 — NO_EDGE
Despite PF=2.86, the sample contains only 5 trades and MDD=37.1% >20%; signal parsing is approximate, so no actionable edge.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_carry_funding_v1 — NO_EDGE
Same backtest numbers with n=5; drawdown too large and signal not faithfully implemented, so edge is not established.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_vol_target_btc_v1 — NO_EDGE
PF=2.86 derived from only 5 trades; MDD exceeds Tier-2 threshold and the entry logic is simplified, lacking confidence.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_pairs_meanrev_v1 — NO_EDGE
Only 5 trades, high MDD, and simplified signal translation; insufficient evidence of a repeatable edge.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_ml_boost_v1 — NO_EDGE
Backtest shows PF=2.86 but with n=5 and MDD=37.1%; the model-driven signal is not yet faithfully parsed, so no reliable edge.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_diagnostic_noedge_v1 — NO_EDGE
Designed as a baseline; only 5 trades and high drawdown; clearly no edge.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_momentum_btc_v1 — NO_EDGE
Metrics identical to other candidates with insufficient trade count; cannot endorse.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_vol_target_eth_v1 — NO_EDGE
PF=0.86 and MDD=61.6% with only 5 trades; fails Tier-2 floor on both performance and trade volume.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_pairs_btc_eth_v1 — NO_EDGE
Same backtest numbers (PF=2.86, n=5, MDD=37.1%); insufficient evidence of a robust strategy.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_regime_switch_btc_v1 — NO_EDGE
Only 5 trades, high drawdown; simplified SMA crossover signal not yet faithfully implemented.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE
crypto_cross_momentum_multi_v1 — NO_EDGE
Backtest PF=2.86 based on 5 trades; MDD exceeds Tier-2 limit and signal translation is approximate, so no actionable edge.
Engine votes: cerebras: NO_EDGE | deepseek: NO_EDGE | xai: NO_EDGE

No edge found this round

The 5-pass research process did not surface a strategy passing PF≥1.5, n≥50, and INDEPENDENT cross-test for this asset class.

Retry conditions: see Synthesis section above for regime triggers + new sources to chase next round. This page is a first-class deliverable — future agents inherit the literature and the rejected-candidates list so they don't re-walk the same ground.