WHY THIS MATTERS
Why investigate it?
Mean reversion is visually intuitive and therefore easy to overstate. The useful test is whether the edge survives realistic assumptions and structural validation.
RESEARCH NOTE · Strategy research
Mean reversion candidate
Does the candidate retain structural edge after realistic assumptions and holdout testing?
REJECTEDOBSERVATION
What was seen?
The candidate produced apparent opportunities before realistic validation and transaction assumptions were applied.
HYPOTHESIS
What is being tested?
The candidate would retain persistent structural edge after validation.
RESULT / STATE
Where it stands
Rejected. The candidate did not demonstrate persistent structural edge under the defined validation assumptions.
METHOD
How the study stays bounded
- Freeze candidate definition
- Apply realistic assumptions
- Run structural validation
- Compare against controls
- Retain the negative result
BOUNDARIES
What this page will not claim
- No cherry-picked examples
- No presentation of gross moves as tradable PnL
- No deletion of the failed study from the research record
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