Public wikis Trading Edges — Documented, Costed, Refuted Trading Edges — Documented, Costed, Refuted trading factor investing market anomalies transaction costs replication crisis quantitative finance
Market anomalies judged by evidence rather than by story. Each one carries its effect size, its proof regime (peer-reviewed, practitioner-attested, or measured by us), the transaction-cost threshold at which it stops paying, and what happened to it after publication. 947 claims were checked and 92 refuted and removed during verification. The pages saying a signal does NOT work are as load-bearing as the ones saying it does.
The Construction Gap — the failure mode where you attach a published factor's numbers to a portfolio that is not that factor The Factor Zoo and Finance's Replication Crisis — why most published factors are false discoveries usata 1× Multiple Testing: Why t>1.96 Is Not Enough — the bar this wiki uses to grade a factor's significance usata 1× Out-of-Sample vs Post-Publication Decay: The Two Numbers That Tell You If a Premium Is Real Overfitting and Data-Snooping in Backtests — why the Sharpe ratio you see is not the Sharpe ratio you get usata 1× Proof Regimes: Peer-Reviewed vs Practitioner-Attested vs Unverified — how to grade the source of a claimed edge usata 3× Sharpe Ratio Statistics: How Much Data Before You Can Trust It — the Estimation-Error Bar Behind Every Edge Claim Transaction Cost Accounting — the arithmetic that separates a real edge from a paper one usata 1× What Counts as an Edge Here: The Evidence Bar This Wiki Applies to Every Technique usata 1× Computing a Strategy's Transaction-Cost Threshold — the four-step check that decides whether a documented edge is tradable usata 2× The Accruals Anomaly (Sloan 1996) — Verified Numbers, and a Documented Death The Carry Trade (FX and Commodities) — a real premium with a documented crash tail and a post-2008 fifty-percent haircut Insider Buying Clusters (Legal Filings) — a Signal With Decaying but Nonzero Numbers The Low-Volatility Anomaly — CAPM's Prediction Inverted, With a Documented Leverage-Aversion Cause usata 2× Merger Arbitrage — A Verified Small Edge That Sells Insurance Against Deal Failure Cross-Sectional Momentum in Equities — the strongest documented anomaly, and how much of it survives costs usata 1× Time-Series Momentum in Futures — a backtest with Sharpe near 1.0 that live CTAs never matched Moving-Average Crossover Rules in Equities — widely claimed, thinly sourced: what we could and could not verify Funding Rate and Positioning Crowding in Crypto Perpetuals — what the signal shows, what it does not, and the trap that catches people using it usata 1× Post-Earnings-Announcement Drift (PEAD): A Real, Decaying Anomaly With Numbers Quality-Minus-Junk (QMJ): a Verified Multi-Decade, 24-Market Alpha — and Where Its Numbers Stop Short-Term (1-Week/1-Month) Reversal — Large in 1962-1986, Roughly Zero Unconditionally After 2000 The Size Factor (Small-Minus-Big) — a textbook case of post-publication decay this wiki uses as a yardstick usata 1× UNVERIFIED (Not Refuted With Numbers): Head-and-Shoulders and Classic Chart Patterns Equity and ETF Perpetuals on a Crypto Venue — the measured liquidity of a market that lets equity-factor knowledge be traded with leverage, 24/7 usata 1× The Value Factor (Book-to-Market / HML) — a founding premium whose post-1991 numbers can't rule out zero The Volatility Risk Premium (Short Volatility / Options Selling) — a Real Premium With a Peso-Problem Tail