anomalyExperiments
Every experiment carries a registered hypothesis with an explicit falsification criterion and its artifact null(s), a benchmark implementation, raw results, and an analysis. Detectors must first pass the synthetic-series tests — a detector that finds anomalies in a random walk is broken. Negative results are kept.
expA_data_reality
Data reality check: what hfmarketdata.io actually returns (granularity, depth, timestamps, corporate actions, limits)
completed 1 result runexpB_artifact_baselines
Artifact baselines: null distributions of bounce, staleness, non-synchronous lead-lag
completed 1 result runexpC_reversion_scan
Mean-reversion scan: variance ratios, half-life, AR tests net of the bounce null
completed 1 result runexpD_leadlag_scan
Lead-lag scan: lagged cross-correlations and Granger, separating timestamp artifacts
completed 1 result runexpE_calendar_scan
Calendar scan: intraday, day-of-week, turn-of-month with pre-counted hypothesis budget
completed 1 result runexpF_multiple_testing
Multiple-testing survival: White RC, SPA, FDR, deflated Sharpe on C-E output
completed 1 result runexpG_cost_frontier
Cost frontier: transaction-cost sweep, where each surviving net effect crosses zero
scaffoldedexpH_oos_stability
Out-of-sample stability: once-touched holdout and sub-period evaluation of survivors
scaffoldedcandidate_01
H15 — Intraday momentum post-publication decay (Gao et al. 2018 spec frozen; 2018–2026 OOS; gamma-state proxy from options chains).
scaffoldedcandidate_02
H13 — Turn-of-month 2006–2026: did the last calendar survivor (Marquering et al. 2006) survive? One pre-registered window (−1..+3), permuted-calendar null, SPA.
scaffoldedcandidate_03
H11 + H03 — Index-artifact decomposition: SPX→SPY 1min lead as pure print-staleness, and the Fisher share of index VR momentum (SPX vs SPY divergence).
scaffolded