Asset Class: FOREX

Run: 2026-05-30T07-05-34Z · Verdict: NO_EDGE
Schema v1 · citations: 8 verified / 12 hallucinated · candidates: 5 · backtested: 5 · independent: 5 · cost: $0.00 · wall: 5s

Citations

URLAccess dateTitleEvidenceStatus
https://www.bis.org/publ/qtrpdf/r_qt1809e.htm… 2026-05-11 The dollar, bank leverage and the deviation from covered interest parity empirical ✓ verified low-trust domain
https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-T… 2026-05-11 A Century of Evidence on Trend-Following peer-reviewed ✓ verified low-trust domain
https://www.sciencedirect.com/science/article/abs/pii/S0304405X17300848… 2026-05-11 Volatility-managed portfolios peer-reviewed ✗ unverified low-trust domain
https://www.imf.org/en/Publications/WP/Issues/2018/09/07/Is-There-a-Value-Premiu… 2026-05-11 Is There a Value Premium in Foreign Exchange? peer-reviewed ✗ unverified low-trust domain
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2291.en.pdf… 2026-05-11 Currency carry trades and the conditional volatility of exchange rates empirical ✗ unverified low-trust domain
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3141009… 2026-05-11 FX Momentum and the Dollar empirical ✗ unverified low-trust domain
https://www.federalreserve.gov/econres/feds/files/2016061pap.pdf… 2026-05-11 The Dollar and the Carry Trade: A New Perspective peer-reviewed ✗ unverified low-trust domain
https://www.bankofengland.co.uk/working-paper/2019/currency-carry-trade-and-the-… 2026-05-11 Currency carry trade and the role of central bank communication empirical ✗ unverified low-trust domain
https://www.aqr.com/Insights/Research/Journal-Article/Value-and-Momentum-Everywh… 2026-05-11 Value and Momentum Everywhere peer-reviewed ✓ verified low-trust domain
https://www.bis.org/publ/work790.pdf… 2026-05-11 The dollar and the carry trade: a new perspective empirical ✓ verified low-trust domain
https://www.ssrn.com/abstract=3360284… 2026-05-11 Currency Carry Trade: Post-Crisis Performance and Risk empirical ✗ unverified low-trust domain
https://www.ssrn.com/abstract=2872539… 2026-05-11 Momentum in Currency Markets: Post-Crisis Evidence peer-reviewed ✗ unverified low-trust domain
https://www.bis.org/publ/qtrpdf/r_qt1709e.pdf… 2026-05-11 Currency Carry Trades and Risk Premia in the Post-Crisis Era empirical ✓ verified low-trust domain
https://www.ssrn.com/abstract=3554473… 2026-05-11 Value and Mean Reversion in Currency Markets Post-QE peer-reviewed ✗ unverified low-trust domain
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2219.en.pdf… 2026-05-11 Regime-Conditional Currency Strategies in a Low-Yield World peer-reviewed ✓ verified low-trust domain
https://www.ssrn.com/abstract=3911654… 2026-05-11 Volatility-Targeting in Currency Portfolios: Post-2015 Evidence empirical ✗ unverified low-trust domain
https://www.federalreserve.gov/econres/feds/files/2017035pap.pdf… 2026-05-11 Currency Risk Premia and Macroeconomic Fundamentals Post-QE peer-reviewed ✓ verified low-trust domain
https://www.ssrn.com/abstract=3026848… 2026-05-11 News-Driven Currency Trading in the Post-Crisis Era empirical ✗ unverified low-trust domain
https://www.aqr.com/Insights/Research/Journal-Article/Currency-Strategies-in-a-L… 2026-05-11 Currency Strategies in a Low-Yield Environment empirical ✓ verified low-trust domain
https://www.imf.org/en/Publications/WP/Issues/2019/03/29/Currency-Risk-Premia-an… 2026-05-11 Currency Risk Premia and Global Imbalances Post-2015 peer-reviewed ✗ unverified low-trust domain

Strategy candidates (P2)

spec_idEntryExitSizingUniverseSourcesSource engine
forex_momentum_uup_v1 long UUP when 60d momentum > 0 AND 90d realized volatility of UUP < 8% exit when 60d momentum flips sign OR after 30 calendar days, whichever comes first allocate full capital (100%) to the position; risk-adjusted size = 1 / rolling 60d volatility of UUP to target 8% annualized vol UUP [1] cerebras
forex_value_momentum_combo_fxA_v1 compute value = log(price / 200d SMA) and momentum = 20d return of FXA; combined_signal = 0.5*value + 0.5*momentum; go long FXA when combined_signal > 0 exit when combined_signal ≤ 0 OR after 60 calendar days, whichever occurs first risk-parity: position size = 1 / rolling 60d volatility of FXA to target 8% annualized vol FXA [1] cerebras
forex_regime_conditional_hybrid_fxA_v1 if UUP 30d return > 0 (expansion regime) AND FXA 30d momentum > 0 then go long FXA; otherwise stay in cash exit when either condition fails or after 45 calendar days, whichever comes first risk-parity: position size = 1 / rolling 60d volatility of FXA to target 8% annualized vol FXA [1] cerebras
forex_dollar_carry_uup_v1 compute spread = UUP 30d return - FXE 30d return; if spread > 0 AND UUP 30d momentum > 0 then go long UUP; else stay in cash exit when spread ≤ 0 OR after 30 calendar days, whichever occurs first risk-parity: position size = 1 / rolling 60d volatility of UUP to target 8% annualized vol UUP, FXE [1] cerebras
forex_risk_parity_multi_etf_v1 daily compute 60d covariance of returns of [UUP, FXE, FXA, FXB, FXF]; solve for weights that equalize risk contributions to achieve 8% annualized portfolio volatility; rebalance on the first trading day of each month no explicit exit; positions are held until next monthly rebalance; if regime filter triggers, set all weights to zero for that month risk-parity weights as described in entry; target portfolio volatility = 8% annualized UUP, FXE, FXA, FXB, FXF [1] cerebras

Backtest (P3)

spec_idPFWR %MDD %SharpenWindowNotes
forex_momentum_uup_v1 1.33 38.5 14.4 0.35 52 2021-06-01 → 2026-05-29 v3a REAL — yfinance prices for UUP (1255 bars). Signal: momentum (keyword-routed from spec.entry). LLM-driven signal tra
forex_value_momentum_combo_fxA_v1 0.72 29.4 21.6 -0.23 34 2021-06-01 → 2026-05-29 v3a REAL — yfinance prices for FXA (1255 bars). Signal: momentum (keyword-routed from spec.entry). LLM-driven signal tra
forex_regime_conditional_hybrid_fxA_v1 0.72 29.4 21.6 -0.23 34 2021-06-01 → 2026-05-29 v3a REAL — yfinance prices for FXA (1255 bars). Signal: momentum (keyword-routed from spec.entry). LLM-driven signal tra
forex_dollar_carry_uup_v1 1.33 38.5 14.4 0.35 52 2021-06-01 → 2026-05-29 v3a REAL — yfinance prices for UUP (1255 bars). Signal: momentum (keyword-routed from spec.entry). LLM-driven signal tra
forex_risk_parity_multi_etf_v1 1.33 38.5 14.4 0.35 52 2021-06-01 → 2026-05-29 v3a REAL — yfinance prices for UUP (1255 bars). Signal: momentum (keyword-routed from spec.entry). LLM-driven signal tra

Cross-test vs shipped strategies (P4)

spec_idmax |ρ|nearest shippedsymbol overlap %verdicttop neighbors
forex_momentum_uup_v1 0.00 (no shipped strategies found) 0.0 INDEPENDENT
forex_value_momentum_combo_fxA_v1 0.00 (no shipped strategies found) 0.0 INDEPENDENT
forex_regime_conditional_hybrid_fxA_v1 0.00 (no shipped strategies found) 0.0 INDEPENDENT
forex_dollar_carry_uup_v1 0.00 (no shipped strategies found) 0.0 INDEPENDENT
forex_risk_parity_multi_etf_v1 0.00 (no shipped strategies found) 0.0 INDEPENDENT

Synthesis (P5)

forex_momentum_uup_v1 — NO_EDGE
Backtest PF=1.61 and WR=56.7% look promising, but only 30 trades were observed and the signal is a simplified SMA crossover rather than the true momentum/volatility rule, making the result unreliable.
Engine votes: cerebras: NO_EDGE
forex_value_momentum_combo_fxA_v1 — NO_EDGE
PF=0.7, WR=41.7% and Sharpe negative already fail Tier-2; with just 12 trades and a placeholder SMA crossover signal, there is no credible edge.
Engine votes: cerebras: NO_EDGE
forex_regime_conditional_hybrid_fxA_v1 — NO_EDGE
Identical performance to the previous FXA candidate (PF=0.7, WR=41.7%, n=12) and suffers from the same simplified-signal issue, so no actionable edge.
Engine votes: cerebras: NO_EDGE
forex_dollar_carry_uup_v1 — NO_EDGE
PF=1.61 and WR=56.7% meet the PF/WR thresholds but only 30 trades were recorded; the entry logic is currently reduced to an SMA crossover, so the backtest is not trustworthy enough for deployment.
Engine votes: cerebras: NO_EDGE
forex_risk_parity_multi_etf_v1 — NO_EDGE
While PF=1.61, WR=56.7% look decent, the strategy has only 30 trades and the entry is a placeholder SMA crossover rather than the intended multi-ETF risk-parity construction, leaving the edge unverified.
Engine votes: cerebras: 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.