Reproducible studies on public market data — including the ones that failed. Each one publishes its verdict, the costs it assumed, and how far it got through out-of-sample and robustness testing.
ADF rejects on 1 of 12 spreads against 0.60 expected false positives, and 0 of 12 after Holm. The median half-life is 11,326 bars. A half-life-matched reversion rule earns +0.043%/yr gross and breaks even at 0.00 bps per side.
PCA on 12 alt/BTC spreads shows the portfolio already had 9.5 effective bets daily, not 2.3. Raising it to 11.5 moved returns from +0.70%/yr to +0.59%/yr, because cost eats 76-79% of gross edge.
A time-varying hedge ratio was supposed to triple the gross edge on 12 alt/BTC spreads. It reduced spread variance by -24.6% (i.e. raised it) on 11 of 12 pairs, cut gross edge to +2.40%/yr against a 9.36%/yr bar, and broke even at 8.14 bps against the 8.81 bps it pays.