docs(experiments): rsi_meanrev's edge is selectivity, not alpha — the last live lead closes

[eaitbrahim]

Closes #253. Answers the single open question left by #252. Documentation only — the simulator
defect found along the way is filed as #254 and deliberately not fixed here.

Result

rsi_meanrev reaches the promotion floor trivially — 21 of 24 assets at oversold=40, so the
pre-declared conditional arm never fired — and has no edge when it gets there.

gross PF at oversold=20 (median n=38)  : median 1.1631    gross>1: 14/24
gross PF at every cell with n>=100     : median 0.8938    gross>1: 11/76
net > 1.0 at n>=100, at ANY fee        : 0 of 76   (including 0.6% maker)

The edge evaporates exactly when the rule becomes measurable — as a level shift across the
floor, not a gradual decline. The 1.1631 that made this look like the best of the three rules in
#252 is what n=38 looks like. All 11 gross-positive cells at n≥100 are listed in the document
(enumeration, not selection); the best is 1.215 gross and 0.678 at maker.

Hypothesis (b) from the pre-registration, confirmed: the rule is unpromotable by construction.

Pre-registration in the file this time

§7 of #252 recorded against itself that its declaration lived in a dispatch brief rather than the
script. This one's is in the docstring, written before the run — including the conditional arm's
trigger, threshold and reporting rule, so the widening could not become a post-hoc rescue.

Two method notes against ourselves

1. The declared statistic was underpowered for its own question. The slope is reported as
declared — mean −0.0386 per +100 trades, median −0.0197, 15/24 negative — and then flagged:
the relationship is a threshold effect at the floor, not linear, and two barely-trading assets
(PAXG-USD n 12→145, WLD n 1→71) supply most of its 0.35 stdev. The partition on the pre-declared
n≥100 floor is the decisive reading. Reporting the stronger analysis while omitting that it
wasn't the declared one is the exact failure pre-registration exists to prevent, so both are in.

2. The monotonicity assumption is violated on 3 of 24 assets — and the cause is not the rule.

The simulator defect (#254)

UNI-USD's trade count collapses 309 → 9 between oversold 30 and 35 — loosening the entry
threshold reduced trades 34×. Diagnosis: 9 closed trades, 0 open, last exit 2021-11-15,
i.e. the rule stopped detecting for ~40,000 bars.

if position is None and pending is not None:
    entry_touched = _touches(candle, pending.entry)
    if not entry_touched:
        continue          # pending persists — forever

A pending setup never expires. If price drifts away so neither entry nor stop is touched again,
rule.detect() is never called for the rest of the series. The strategy freezes silently, and a
frozen backtest is indistinguishable from a selective one — which is how it survived unnoticed.

It biases toward low trade counts, i.e. toward exactly the "unmeasurable" verdicts these documents
have been issuing, and it diverges from production semantics (the live path re-detects each cycle).

#252's headline results were checked and are clean — the three sub-floor turtle assets each
trade to within 1–2 days of their series end, so their low counts are genuine short history. What
is not established is the effect on lower-n cells of earlier sweeps; that needs a re-run, which
is why #254 exists rather than a guess here.

What this closes

Every signal rule the codebase ships has now been measured at defaults across 24 assets and
along its own frequency axis. There is no asset-rule-parameter combination that is simultaneously
measurable and profitable at any reachable fee.

Priority order for what remains is in §6: fix #254 first (it's a correctness issue in the
instrument every one of these conclusions was produced with), then feed the PBO/CSCV gate that
#247 deployed and nothing supplies. The maker-execution and queue-simulation work has no target —
#252 removed its only candidate and this removes the rule that might have supplied another.

Ledger

One row, decision: rejected rather than diagnostic_only — this trial made a decision and should
count toward the multiple-testing N. verify_chain clean at 83 rows.

🤖 Generated with Claude Code