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Strategy test split by year shows strong averages masking a weakening recent edge

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A researcher froze 1,285 small trading strategies, 1,026 in stocks and 259 in crypto, after selecting them on earlier years, then tested them once on unseen data. The combined crypto and stock result looked strong over 2023 to mid-2026, but the year-by-year breakdown shows performance fading sharply in 2025 and 2026. The crypto returns depended on funding payments that dropped close to zero by 2026, which left the strategy unprofitable after costs. The author also disclosed a runner bug in the first test run that omitted a frozen no-trade band, and kept the original result on record. The author concludes that no strategy has been admitted to a live book and that the forward record is the only clean test left.

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Strategy test split by year shows strong averages masking a weakening recent edge · ShortSingh