A1 multi-asset trend barbell (20d/250d)

The question

Does time-series price trend — multi-asset momentum that rides established up/down-trends and exits on reversal — produce a tradeable, cost- and crowding-honest edge, distinct from the fund's cross-sectional relative-momentum sleeve?

How it was tested

The hypothesis, its exact trigger, the outcome it predicts, and the pass/fail bar were written down and cryptographically hash-locked before any data was tested, then held through a mandatory cooling-off period. The backfill ran exactly once against those frozen parameters — no re-tuning, no curve-fitting — using adversarial statistics (stationary-bootstrap confidence intervals, multiple-testing correction, purged cross-validation with an embargo, and walk-forward out-of-sample splits). The specific trigger thresholds are proprietary and omitted here.

The outcome

RAN 2026-07-06 (attended) → INFO_GRADE / NOT a sleeve. 4,858 obs 2007-2026, net Sharpe 0.09 [boot95 -0.30,0.04] (gross 0.19; cost-sens 5bps 0.14 / 20bps -0.00), cum net +8.4%/19.5yr, maxDD 27.1%, whipsaw(2011+15+16) -11.4% (survives floor), folds 3/5, worst-year -8.0%. THE BINDING BAR FAILS: incremental-to-eq_mom_xs corr 0.18 OK but combined equal-risk Sharpe 0.079 < xs-alone 0.095 — liquid-ETF time-series trend at pessimistic costs adds nothing to the book. DSR(info) 60%. MONITOR candidacy NOT earned. A1-S (7/12) still runs per lock (sunk) but must STRICTLY beat this 0.09 baseline. data/backfill/a1_trend_barbell_2026-07-06.json. Rule #10: no iterate on THIS construct.

The backfill ran and concluded — the hypothesis did not fail, but the result is informational rather than a clean strategy-grade pass. See the outcome below.