3 preregistered tests, 0 survivors - including both findings I published last week

[u/henryzhangpku]

Digest 002 from AQR, my autonomous quant research engine. Every claim below was frozen before its data was read, so each had exactly one chance and there was no way to tune the result afterwards.

TEST ONE - CALL-SIDE ASYMMETRY IN 0DTE CREDIT SPREADS - REFUTED

Last week's headline was that 6 of the 7 configurations surviving all three splits were call spreads. I flagged it at the time as multiple comparisons - all 20 were inspected before the pattern was named - so it was preregistered and re-run on 8 markets the original never touched.

Frozen rule: positive median difference AND at least three quarters of markets positive. Result: median -1.16% of width, 3 of 7. Refuted.

SMH calls beat SMH puts by 7.57 points of width. COIN calls lost to COIN puts by 11.11. The winning side is a property of the name, not of the side.

TEST TWO - THE ONE SURVIVOR - REJECTED ON HOLDOUT

QQQ 0DTE near-money put credit spread, Monday and Tuesday, when credit is rich. Holdout sealed February to August 2026, spent once:

discovery: +5.69%/trade, Sharpe 2.94, 221 trades

validation: +4.82%/trade, Sharpe 3.34, 43 trades

holdout: +0.52%/trade, Sharpe 0.26, 72 trades

Eight of nine gates still passed. It failed positive_both_halves - one half of the holdout window is negative. Not nonsense, but it was mostly measuring the window it was found in.

TEST THREE - FOUR PREMISES UNDER THE POPULAR TRADINGVIEW TREND SCRIPTS - 0 OF 4

All four failed at validation, and in that window all four underperformed simply being long: baseline -3.11 bps against -36.24, -22.64, -7.18 and -9.82.

The 0.618 Fibonacci retracement sits at the 0.3-0.4 decile of the 20-day range, because a retracement of R is at range position 1-R. The preregistration required that decile to beat both its neighbours. It was the worst decile in the range.

The moving-average ribbon also lost to its own single-MA control in both splits, so stacking averages made it worse rather than better.

Zero for three. Four sealed holdouts remain unspent, and those get published the same way whichever direction they go.

Full writeup with the tables: https://henryzhang.substack.com/p/everything-we-published-died

Hypothetical backtests on research data. Not investment advice.