---
project: anomaly-atlas
document: expG_cost_frontier/analysis
author: Simon-Pierre Boucher
contact: contact@spboucher.ai
data_source: hfmarketdata.io
created: 2026-08-12
modified: 2026-08-12
status: reviewed
---

# Analysis — expG_cost_frontier

Run: `results/expG_cost_frontier/20260812T072128Z/results.json` (pool rebuilt
mechanically from committed expC/expD/expF outputs — no hand-picking; cost
model and κ sweep pre-declared; cache-served).

## The frontier

| κ (× half-spread paid per trade) | survivors / 31 |
|---|---|
| 0 (gross) | 31 |
| 0.1 | 3 (AXDX 30min, CKX 1day, HTD 5min — all sparse names) |
| 0.25 | **1** (CKX 1day, κ* = 0.28) |
| 0.5 | 0 |
| 1.0 | 0 |

Median breakeven **κ\* = 0.0114**: the median double-filtered rule captures
~1 % of one half-spread per trade. The intraday reversion cells sit at
κ\* 0.004–0.04; the 2014-2015 lead-lag residuals at 0.003–0.03; ES→SPY at
0.0028 (identical across all three splices). Zero intraday rules survive
κ = 1 — the pre-registered falsification clause did not trigger.

## Reading

1. **The three-layer doctrine closes.** expF showed statistical correction
   cannot detect mechanism; expG shows the mechanism's price: the gross
   survivors were harvesting exactly the thing they would have to pay.
   Charter Q5 answered on this pool: the cost frontier sits an order of
   magnitude below the most optimistic execution assumptions
   (Frazzini-style κ ≈ 0.1–0.25).
2. **The lone κ=0.25 survivor is the skeptic's case study.** CKX (ultra
   sparse; wide, noisy EDGE spread; daily contrarian) has the classic
   profile of estimation artifact rather than economics. It is NOT
   discarded by hand — it goes to expH's validation split carrying the
   skeptical prior, which is what the protocol is for.
## Hand-off

expH evaluates on the untouched validation split: (i) CKX 1day (the lone
cost survivor), (ii) the daily 2008-2015 reversal family (gross,
cost-marginal — evaluated for the decay/negative record), and (iii) the
NEGATIVE finding itself ("nothing intraday survives costs") — which, if it
replicates out-of-sample, becomes the atlas's first confidence-labeled
entries (charter result-types C and E).