This one is worth studying because of how it died: the information it bet on genuinely exists — I verified that. It was closed as a whole family anyway, because the cost side did not hold: the market had already priced that information in, exactly.
Many crypto boards settle not on the closing instant but on an average of the final stretch (a time-weighted average). Which means: the closer you get to settlement, the faster uncertainty collapses — more of the average is already locked, and less time remains to change the answer.
The reasoning is not wrong. The information is real. The failure is in the next step.
On the shortest tenor, using my own recorded books, buying the locked side at the price actually available at qualifying moments:
| Measure | Result |
|---|---|
| Hit rate of the executable portion | 90.2% |
| Average fill price of that portion | 0.9033 |
Hit rate 90.2%, fill price 0.9033 — essentially equal.
Which is to say: the information exists, and the market already knows all of it, and has priced it precisely. What you buy is a fair price; there is no excess to collect, and the fee makes it a net loss.
I named the family's cause of death "the book is already fair" — not that the information was false, but that it is already in the price.
| Measured | Figure |
|---|---|
| Qualifying moments | 141 |
| Of which actually executable | 51 |
| Moments with no offer at all on the locked side | 64% |
Equally fatal: at precisely the moments you most want to act, nobody will sell to you. For an obvious reason — the other side also knows that leg is going to win, so why would they hand it over at 0.90?
A textbook case of paper opportunity versus executable opportunity: a backtest filling at quoted prices invents a great many trades that were never available.
| Item | Result |
|---|---|
| EV of the executable portion, less fees | −0.47pp |
| Against the null model | lost to it |
| First half versus second half | opposite signs |
| Across four tenors | 0 of 4 passed |
Three independent failure signals stacked: negative net, lost to the null, halves disagreeing. Any one is sufficient; all three together leaves nothing to discuss. And it is not one tenor's problem — all four failed, so the family closed.
① Does the market already know? — here, entirely: hit rate and price align exactly.
② Can you get filled? — 64% of the time the locked side has no offer.
③ What is left after costs? — −0.47pp.
Most strategy ideas die at the first gate, and their authors typically verified only "the information is real" and thought they were done. "I found a genuine pattern" is a very low bar — it rules out "I am imagining things" and nothing else.
Testing gate one is cheap: compare the advantage you found against the price at the time. If the price already reflects it — as 90.2% against 0.9033 does — stop there and save the entire engineering effort.
Hit rate 90.2%, fill price 0.9033. Those two numbers being equal is the whole verdict. Finding a real pattern and finding one others do not know about are different things — and only the second pays.