Monolith Research
The research file
1 Pillar 1 of 7
The Gate & Method
How the firm decides a result is real — the validation gate, deflation, stressed-cost screening, and the discipline behind every pass.
- 01 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.
- 02 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.
- 03 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.
- 04 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.
- 05 Rejected Hypotheses — Three approaches tested, three rejected before promotion Three literature-grounded approaches were built, backtested, and formally rejected before any capital was allocated. Distance-based pairs, VIX-regime filtering, and ARIMA signal generation all failed to meet the promotion threshold on corrected, stressed-cost OOS evaluation.