ALPHA HYPOTHESIS EXPANSION LAB
CIF v0.21.3
Expand beyond simple momentum/trend/volatility factors using a new 10-asset holdout universe, multi-horizon stability and redundancy-aware nomination.
Expansion screen
2021-06 → 2023-05
2021-06 → 2023-05
SCREEN, NOT CONFIRMATION. Passing hypotheses are only eligible for a new v0.16 confirmation sample. No combined alpha score is created here.
NEW ASSET-HOLDOUT UNIVERSE
Different assets from v0.13
FILATOMVETALGOTHETAAAVEMANASANDEGLDFTM
Replay points1050
Mature 7d1050
Mature 30d1050
Mature 90d1050
Assets succeeded 10/10. 30d is primary; 7d, 90d, first-half and second-half sign stability are required.
EXPANDED FACTOR LIBRARY
New primary hypotheses
60D Trend Efficiencytrend_quality · dual
60-day net price change divided by the sum of absolute daily price changes; smooth uptrends score highest.
trend_efficiency_60dTrend Acceleration 30v90trend_quality · dual
Trailing 30-day return minus one-third of trailing 90-day return; higher means recent trend is accelerating.
trend_acceleration_30v9020D Breakout Persistencebreakout_persistence · dual
Share of the last 20 closes that finished above the maximum high of their preceding 60 days.
breakout_persistence_20d20D Drawdown Recovery Velocitydrawdown_recovery · dual
20-day return multiplied by the depth of the drawdown from the prior 60-day high at the start of that 20-day window.
recovery_velocity_20dVolatility Compression 20v90volatility_structure · dual
1 minus 20-day realized volatility divided by 90-day realized volatility; higher means stronger compression.
vol_compression_20v90Directional Vol Expansion 10v60volatility_structure · dual
Signed 10-day volatility expansion versus 60 days; upside expansion is positive, downside expansion negative.
directional_vol_expansion_10v60Volume-Return Alignment 30Dvolume_price_interaction · dual
Pearson correlation between daily returns and log quote-volume changes over the last 30 days.
volume_return_alignment_30dVolume-Price Thrust 7Dvolume_price_interaction · dual
7-day return multiplied by recent 7-day average quote volume divided by the preceding 30-day average.
volume_price_thrust_7dRelative Strength Persistence 12Wrelative_strength_persistence · dual
Share of the prior twelve weekly 7-day periods in which the asset outperformed BTC.
relative_strength_persistence_12wRelative Strength IR 60Drelative_strength_persistence · dual
Annualized mean daily asset-minus-BTC return divided by its 60-day standard deviation.
relative_strength_ir_60dDrawdown Resilience 90Ddrawdown_recovery · dual
Trailing 90-day return divided by max(abs(90-day maximum drawdown), 1 percentage point), preventing divide-by-zero on monotonic paths.
drawdown_resilience_90dMarket Breadth above EMA50market_breadth · time_series_only
Share of the frozen expansion universe trading above its own EMA50 on the same checkpoint date.
market_breadth_ema50MULTI-HORIZON + STABILITY SCREEN
Which hypotheses survive?
FactorXS ρTS ρHalf stabilityRawNomination
60D Trend Efficiencytrend_quality0.030 / -0.079 / -0.067-0.014 / -0.033 / -0.239XS -0.079 / -0.067TS 0.041 / -0.228NONOT_NOMINATED
Trend Acceleration 30v90trend_quality0.018 / 0.018 / -0.0790.065 / 0.114 / -0.017XS 0.085 / -0.055TS 0.178 / 0.020NONOT_NOMINATED
20D Breakout Persistencebreakout_persistence-0.174 / -0.202 / -0.1120.005 / 0.029 / 0.037XS -0.116 / -0.472TS 0.121 / -0.062NONOT_NOMINATED
20D Drawdown Recovery Velocitydrawdown_recovery0.067 / -0.067 / -0.139-0.079 / -0.010 / -0.124XS 0.006 / -0.127TS 0.101 / -0.267NONOT_NOMINATED
Volatility Compression 20v90volatility_structure0.042 / -0.006 / 0.0180.047 / 0.115 / 0.119XS -0.006 / -0.006TS 0.134 / -0.031NONOT_NOMINATED
Directional Vol Expansion 10v60volatility_structure0.006 / 0.018 / 0.0060.025 / 0.086 / -0.020XS 0.127 / -0.055TS -0.005 / 0.111NONOT_NOMINATED
Volume-Return Alignment 30Dvolume_price_interaction-0.006 / -0.042 / -0.115-0.040 / 0.005 / -0.128XS -0.012 / -0.115TS 0.053 / -0.075NONOT_NOMINATED
Volume-Price Thrust 7Dvolume_price_interaction-0.018 / 0.018 / -0.030-0.009 / 0.012 / 0.010XS 0.036 / -0.006TS 0.114 / -0.146NONOT_NOMINATED
Relative Strength Persistence 12Wrelative_strength_persistence-0.038 / -0.091 / 0.0000.007 / 0.061 / 0.127XS -0.019 / -0.142TS 0.195 / -0.104NONOT_NOMINATED
Relative Strength IR 60Drelative_strength_persistence-0.018 / -0.079 / -0.139-0.036 / -0.022 / -0.054XS -0.091 / -0.079TS -0.046 / -0.042NONOT_NOMINATED
Drawdown Resilience 90Ddrawdown_recovery-0.018 / -0.067 / -0.079-0.041 / -0.144 / -0.185XS -0.024 / -0.115TS -0.012 / -0.236NONOT_NOMINATED
Market Breadth above EMA50market_breadth— / — / —0.013 / 0.041 / -0.074XS — / —TS 0.227 / -0.139NONOT_NOMINATED
30D PRIMARY GATES
Cross-sectional and time-series
60D Trend EfficiencyUNSUPPORTED
XS 30d ρ-0.07946.7% +dates
XS gateNO
TS 30d ρ-0.03330.0% +assets
TS gateNO
Trend Acceleration 30v90UNSUPPORTED
XS 30d ρ0.01851.4% +dates
XS gateNO
TS 30d ρ0.11470.0% +assets
TS gateNO
20D Breakout PersistenceUNSUPPORTED
XS 30d ρ-0.20229.4% +dates
XS gateNO
TS 30d ρ0.02970.0% +assets
TS gateNO
20D Drawdown Recovery VelocityUNSUPPORTED
XS 30d ρ-0.06745.7% +dates
XS gateNO
TS 30d ρ-0.01050.0% +assets
TS gateNO
Volatility Compression 20v90UNSUPPORTED
XS 30d ρ-0.00648.6% +dates
XS gateNO
TS 30d ρ0.11570.0% +assets
TS gateNO
Directional Vol Expansion 10v60UNSUPPORTED
XS 30d ρ0.01851.4% +dates
XS gateNO
TS 30d ρ0.08680.0% +assets
TS gateNO
Volume-Return Alignment 30DUNSUPPORTED
XS 30d ρ-0.04242.9% +dates
XS gateNO
TS 30d ρ0.00550.0% +assets
TS gateNO
Volume-Price Thrust 7DUNSUPPORTED
XS 30d ρ0.01853.3% +dates
XS gateNO
TS 30d ρ0.01250.0% +assets
TS gateNO
Relative Strength Persistence 12WUNSUPPORTED
XS 30d ρ-0.09142.9% +dates
XS gateNO
TS 30d ρ0.06170.0% +assets
TS gateNO
Relative Strength IR 60DUNSUPPORTED
XS 30d ρ-0.07942.9% +dates
XS gateNO
TS 30d ρ-0.02240.0% +assets
TS gateNO
Drawdown Resilience 90DUNSUPPORTED
XS 30d ρ-0.06740.0% +dates
XS gateNO
TS 30d ρ-0.14430.0% +assets
TS gateNO
Market Breadth above EMA50UNSUPPORTED
XS 30d ρ—— +dates
XS gateN/A
TS 30d ρ0.04160.0% +assets
TS gateNO
REGIME DIAGNOSTICS
30d time-series by BTC regime
FactorRisk-on ρRisk-off ρRisk-on +assetsRisk-off +assets
60D Trend Efficiency0.149-0.22670.0%0.0%
Trend Acceleration 30v900.0890.14060.0%80.0%
20D Breakout Persistence0.083-0.07070.0%22.2%
20D Drawdown Recovery Velocity0.131-0.16680.0%30.0%
Volatility Compression 20v90-0.1260.22620.0%90.0%
Directional Vol Expansion 10v600.0130.09660.0%90.0%
Volume-Return Alignment 30D-0.109-0.07630.0%40.0%
Volume-Price Thrust 7D0.126-0.05880.0%20.0%
Relative Strength Persistence 12W0.252-0.02290.0%40.0%
Relative Strength IR 60D0.144-0.20570.0%20.0%
Drawdown Resilience 90D0.081-0.27170.0%10.0%
Market Breadth above EMA500.110-0.03890.0%20.0%
REDUNDANCY-AWARE NOMINATION
One representative per correlated cluster
Factor pairs66
Redundant pairs1
Clusters11
Supported but redundant0
60D Trend Efficiency↔ Relative Strength IR 60D
same-date ρ0.952
within-asset ρ0.704
EXPANSION VERDICT
NO_CANDIDATES_SCREENED_IN
NO CONFIRMATION CANDIDATES. Gates remain frozen; the next research iteration must redesign hypotheses rather than lower thresholds.
EXPANSION FIREWALL
What v0.15 is allowed to conclude
- The expansion factor library, directions, axes and gates were frozen before this asset-holdout screen was observed.
- The 10-asset universe is different from the v0.13 primary factor screen universe.
- 30d is primary; 7d and 90d must confirm the sign.
- Both first-half and second-half 30d signs must be positive on a supported axis.
- Market Breadth above EMA50 is time-series-only; cross-sectional ranking is not applicable because the value is common to all assets on a date.
- At most one supported factor per |rho|>=0.80 redundancy cluster is nominated for confirmation using a pre-frozen deterministic ranking.
- A v0.15 confirmation candidate is not validated; it is only eligible for a new independent v0.16 confirmation sample.
- No factor weights, combined alpha score, MOS v2, production gate, AQS formula, Risk formula, or MOS v0.8 formula changes in v0.15.