- trackH volume_vol: no uncorrelated additive edge; profitable signals are trend-in-disguise
(corr 0.6-0.75); MR/declining-volume fade dead even at fee 0; OBV-up filter is a defensive
DD overlay only (13.3->10.1% DD but -CAGR), not new alpha
- trackI momentum/reversal: no formulation beats 1-3-6m sign-blend OOS on both assets;
z-score continuous momentum = same edge (corr 0.96), lower DD 8.4% but lower CAGR;
long-horizon reversal not bankable (negative/flat standalone). ~1.3 Sharpe ceiling holds.
- TP01 (12h sign-blend) remains the deployable winner
Adriano
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