Monolith Research
News.
Research notes, method writeups, and measured conclusions.
Notes are produced for record-keeping and methodology development. Each entry below is a dated working paper or research note. Where a figure is referenced, it is reconstructible from a versioned notebook and a dated data snapshot; where a snapshot is no longer available, the entry is withdrawn rather than re-cut.
Note - OU final OOS, last fifth held aside
Final out-of-sample check on the Top-5 OU sleeve: Sharpe 2.19 with max drawdown held under 1% after stressed costs.
Read the note-
Working paper - OU profit filter pass
A profit-improvement pass on the Top-5 OU sleeve found the best practical change: wait for the spread to begin turning before entry.
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Note - FX and XAU strength rotation
The broad FX transfer failed, but the XAU-heavy strength branch survived as a modest separate candidate: 7.63% total return, Sharpe 0.63, max drawdown -4.60%.
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Working paper - NAS walk-forward risk pass
Six rolling stressed-cost folds on the NAS research stack: the best risk-adjusted V3 candidate reached 1.216 average Sharpe with 47.32% summed test return.
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Macro pulse - sentiment audit
The market-tone pipeline built 36 features from GDELT and headline enrichment, then rejected itself as live alpha when AUC stayed near coin-flip.
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Quarterly - MMXXV year-end
A short ledger for the year that built the file. What was opened, what was kept, and what remains under observation.
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Note - Prop-firm constraints, translated into rules
Daily and total drawdown limits expressed as deterministic locks before any strategy code runs. The challenge is a constraint problem first, a strategy problem second.
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Working paper - The promotion pipeline
A research candidate becomes a live candidate by passing through four named gates: walk-forward, paper, shadow, and small size. The order is the work.
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Note - The risk shell goes first
Before any new signal, regime classifier, or learned policy, a deterministic wrapper the strategy cannot bypass. The order matters more than the choice of model.
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Working paper - Stressed-cost validation as the first gate
A back-test that flatters itself under generous assumptions is a hypothesis. A back-test that survives a pessimistic cost model is a candidate. The two are not the same thing.
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Note - On academic Sharpe above three
Each of the published papers we have attempted to replicate with the largest headline Sharpe figures behaved differently on real data. The replication budget exists for a reason.
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Note - On opening the working file
A short statement on what these entries are and what they are not. Records for the desk, not signals for the reader.
Notes are research records, not recommendations. Strategy logic stays private; method, data, and evidence are made legible.