研究主題：multi-asset momentum extended validation, momentum statistical significance, regime-adaptive momentum, momentum with volatility overlay · 產生時間：2026-03-11 10:01:44 UTC
本次研究迴圈共進行 10 輪， 產生 21 個假說， 其中 0 個通過驗證、 0 個被拒絕、 21 個待驗證。
總耗時 0 秒， 消耗 0 tokens。
| 輪次 | Agent 數 | Agents | 假說數 | 耗時 | Tokens |
|---|---|---|---|---|---|
| R1 | 3 | optimizer, researcher, risk-auditor | 8 | — | — |
| R2 | 3 | optimizer, researcher, risk-auditor | 7 | — | — |
| R3 | 4 | ic_0dte_results, optimizer, researcher, risk-auditor | 0 | — | — |
| R4 | 3 | optimizer, researcher, risk-auditor | 0 | — | — |
| R5 | 4 | backtest_output, optimizer, researcher, risk-auditor | 0 | — | — |
| R6 | 3 | optimizer, researcher, risk-auditor | 5 | — | — |
| R7 | 2 | devil, risk-auditor | 1 | — | — |
| R8 | 2 | optimizer, risk-auditor | 0 | — | — |
| R9 | 2 | portfolio-mgr, risk-auditor | 0 | — | — |
| R10 | 2 | portfolio-mgr, risk-auditor | 0 | — | — |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | statistical-power | 0.9500 | 6-year data window has sufficient statistical power to detect realistic momentum Sharpe ratios |
| pending | multiple-testing | 0.9700 | At least one momentum variant has statistically significant positive returns after multiple testing correction |
| pending | regime-dependency | 0.9300 | Momentum strategy performance is consistent across market regimes |
| pending | factor-attribution | 0.9200 | Momentum strategy generates genuine alpha beyond factor exposures |
| pending | selection-bias | 0.9500 | The SPY/TLT/GLD asset universe was selected a priori, not because it performed best |
| pending | bootstrap-validation | 0.9000 | Bootstrap confidence intervals for Sharpe ratio exclude zero |
| pending | gold-bias | 0.8800 | The GLD-driven momentum edge is robust and not a period-specific artifact |
| pending | parameter-sensitivity | 0.9000 | Lookback period sensitivity indicates overfitting |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | statistical-power-by-frequency | 0.9700 | Different strategy frequencies have dramatically different statistical power with our 6-year dataset |
| pending | testability-ranking | 0.9200 | Some strategy classes are far more testable than others with our specific dataset |
| pending | overfitting-risk | 0.9500 | Overfitting risk scales exponentially with parameter count relative to sample size |
| pending | failure-analysis | 0.9300 | All prior research failures share common root causes that can be systematically avoided |
| pending | research-direction | 0.8800 | 0DTE premium selling is the optimal next research direction given our dataset and prior failures |
| pending | research-direction | 0.8500 | Daily implied volatility mean reversion provides a complementary research direction with strong testability |
| pending | process-improvement | 0.9600 | Enforcing quantitative guardrails will prevent repeating past failures |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | — | 0.0000 | VRP strategy variant: VRP_BASE |
| pending | — | 0.0000 | VRP strategy variant: VRP_SPREAD |
| pending | — | 0.0000 | VRP strategy variant: VRP_WEEKLY |
| pending | — | 0.0000 | VRP strategy variant: ALWAYS_SELL |
| pending | — | 0.0000 | VRP strategy variant: VRP_REGIME |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | — | 0.0000 | VRP_REGIME strategy with Sharpe 3.00 |
backtest_crash — Script ic_0dte_backtest.py timed out after 120s| Agent | 方法 | 成功率 | 提出數 | 確認數 | 樣本數 |
|---|---|---|---|---|---|
| risk-auditor | statistical-power | 0.00% | 1 | 0 | 1 |
| risk-auditor | multiple-testing | 0.00% | 1 | 0 | 1 |
| risk-auditor | regime-dependency | 0.00% | 1 | 0 | 1 |
| risk-auditor | factor-attribution | 0.00% | 1 | 0 | 1 |
| risk-auditor | selection-bias | 0.00% | 1 | 0 | 1 |
| risk-auditor | bootstrap-validation | 0.00% | 1 | 0 | 1 |
| risk-auditor | gold-bias | 0.00% | 1 | 0 | 1 |
| risk-auditor | parameter-sensitivity | 0.00% | 1 | 0 | 1 |
| risk-auditor | statistical-power-by-frequency | 0.00% | 1 | 0 | 1 |
| risk-auditor | testability-ranking | 0.00% | 1 | 0 | 1 |
| risk-auditor | overfitting-risk | 0.00% | 1 | 0 | 1 |
| risk-auditor | failure-analysis | 0.00% | 1 | 0 | 1 |
| risk-auditor | research-direction | 0.00% | 2 | 0 | 2 |
| risk-auditor | process-improvement | 0.00% | 1 | 0 | 1 |
| optimizer | general | 0.00% | 5 | 0 | 5 |
| devil | general | 0.00% | 1 | 0 | 1 |