anomalyCandidate ranking (Phase 4)#
All 22 hypotheses from research_gaps.md, scored 1–10 per charter-§7 axis
(10 = best). Axes: T testability on hfmarketdata.io · N cleanliness
of the artifact null · O OOS feasibility · M multiple-testing
discipline · S survival odds after costs (5 = n/a, structural claim) ·
V novelty of the honest test · R reproducibility · P public-atlas
value · I implementation simplicity · D safety against
self-deception.
| H | Hypothesis (short) | T | N | O | M | S | V | R | P | I | D | Σ |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| H15 | Intraday momentum post-2018 decay | 9 | 7 | 9 | 9 | 6 | 9 | 9 | 10 | 7 | 8 | 83 |
| H11 | SPX→SPY lead = staleness artifact | 9 | 9 | 8 | 9 | 5 | 8 | 9 | 9 | 8 | 9 | 83 |
| H13 | Turn-of-month survived 2006–2026 | 9 | 8 | 9 | 8 | 6 | 8 | 9 | 9 | 8 | 8 | 82 |
| H03 | Index VR residual = Fisher share | 9 | 9 | 8 | 9 | 5 | 7 | 9 | 8 | 8 | 9 | 81 |
| H16 | Overnight premium convention share | 9 | 9 | 8 | 9 | 5 | 7 | 9 | 8 | 8 | 9 | 81 |
| H20 | Intraday artifact U-profile (input) | 9 | 9 | 8 | 9 | 5 | 6 | 9 | 8 | 8 | 10 | 81 |
| H14 | Monday effect stays dead (control) | 9 | 9 | 9 | 9 | 5 | 4 | 9 | 7 | 9 | 10 | 80 |
| H09 | ES→SPY ordering at the 1min floor | 8 | 8 | 8 | 9 | 5 | 8 | 9 | 8 | 7 | 8 | 78 |
| H10 | Crypto weekend → Monday equity gap | 8 | 7 | 7 | 9 | 5 | 9 | 8 | 9 | 7 | 7 | 76 |
| H21 | Vol persistence (positive control) | 9 | 9 | 9 | 9 | 5 | 3 | 9 | 6 | 7 | 10 | 76 |
| H01 | Liquid 1–60min reversion = 0 net | 9 | 9 | 8 | 8 | 2 | 4 | 9 | 7 | 8 | 9 | 73 |
| H08 | SPY→sector ETFs zero on fresh pairs | 9 | 8 | 8 | 8 | 3 | 5 | 9 | 6 | 8 | 9 | 73 |
| H07 | Large→small decay + artifact share | 8 | 8 | 8 | 7 | 3 | 6 | 8 | 8 | 6 | 8 | 70 |
| H05 | Crypto 1min reversion by maturity | 8 | 7 | 7 | 7 | 4 | 7 | 8 | 7 | 7 | 7 | 69 |
| H17 | Crypto hour-of-week calendar | 8 | 8 | 8 | 5 | 4 | 7 | 8 | 7 | 7 | 5 | 67 |
| H02 | Daily reversal decay curve | 8 | 7 | 8 | 7 | 2 | 5 | 8 | 7 | 6 | 7 | 65 |
| H18 | Holiday effects are dead | 7 | 8 | 7 | 7 | 4 | 4 | 8 | 5 | 8 | 7 | 65 |
| H12 | Options activity → next-day vol | 7 | 6 | 8 | 7 | 5 | 7 | 7 | 7 | 4 | 6 | 64 |
| H22 | OpEx-week volume/vol patterns | 7 | 6 | 7 | 6 | 4 | 7 | 8 | 7 | 6 | 6 | 64 |
| H19 | DST-transition distortions | 7 | 7 | 7 | 7 | 4 | 6 | 8 | 5 | 6 | 5 | 62 |
| H04 | Post-jump 1min overreaction | 7 | 5 | 7 | 6 | 3 | 7 | 7 | 7 | 5 | 5 | 59 |
| H06 | FX session-boundary reversion | 7 | 6 | 7 | 5 | 3 | 6 | 8 | 5 | 6 | 6 | 59 |
Selected for prototyping (charter: 3–5)#
Candidate 01 — H15, intraday momentum post-publication decay (Σ83). The single highest-information test: a famous published effect (Gao et al. 2018) with a freezable specification, an untouched 2018–2026 out-of-sample window that only time could create, a mechanism proxy available in our options chains (Baltussen et al.), moderate cost exposure (2 trades/day in SPY), and near-zero researcher degrees of freedom. Every outcome — persistence, decay, or reversal — is a publishable McLean–Pontiff-style data point.
Candidate 02 — H13, turn-of-month 2006–2026 (Σ82). The last calendar survivor per Marquering et al. (2006), untested since on open data; low-frequency (12×/yr → real cost-survival chance), one pre-registered window, permuted-calendar null + SPA. Highest chance in the whole list of a genuine Level-3 finding — and a clean negative if dead.
Candidate 03 — H11 + H03, the index-artifact decomposition (Σ83/81). One machinery, two published deliverables: prove the SPX→SPY 1min "lead" is pure print-staleness (result-type C/D: artifact demonstration), and quantify the Fisher share of index-level variance-ratio momentum. Cleanest nulls of the entire list; already seeded by expB (+0.065 measured).
Candidate 04 — H10, crypto-weekend → Monday equity gap (Σ76, novelty pick). The one genuinely NEW question this dataset is structurally positioned to ask (24/7 crypto × equity session opens). Pre-registered exposed set {COIN, MSTR, RIOT, MARA, HUT} + placebo set + SPY-gap control + permuted-weekend null. Higher self-deception risk (selection, short joint history ~400 weekends) — ranked last of the selected four accordingly.
Reserve — H09 (ES→SPY at the 1min floor): promoted if a selected candidate dies early at the data layer.
Not selected (why, in one line each)#
Controls/inputs H14, H20, H21 run inside the micro-experiment pipeline (expE, expB/expG, framework) — they are mandatory, not candidates. H16 (strong score) folds into candidate 03's convention machinery as a shared deliverable. H01/H08 are expected-negatives that expC/expD produce as scan output without candidate-level investment. H07/H02 are decay re-measurements scheduled after the scans (reuse candidate-03 machinery). H05/H17 (crypto) wait for volume-semantics verification (expA follow-up noted in the data profile). H12/H22 need the options ingestion layer (heavier implementation). H04/H06/H19 have the weakest nulls or lowest power — revisit only if the scans surface something.
Multiple-testing accounting: selection made on priors and design cleanliness, not on any real-data effect sizes — no data peeking occurred beyond expA/expB artifact levels. The 22-hypothesis budget stands for expF.