A research program run like a desk: every backtest number is attacked before it is believed, and the kills are the product. The research that feeds this screen is 06 RESEARCH; forward ledgers refresh on the collector cycle and this page regenerates with them.
| # | the seductive number | the truth |
|---|---|---|
| 1 | maker “fills” from book shrinkage | 1,735× overcount — cancels, not trades (48,578 vs 28 on the tape) |
| 2 | +$483/day maker markout | ≈$0 — spread booked at a touch a rewards-eligible maker never rests at |
| 3 | crypto “reverse bias”, day-clustered t=−4.2 | one crash month; month-clustered t=−0.3 |
| 4 | +5pp crypto favorites gap, persists OOS | +0.6pp bet-weighted — below costs |
| 5 | −12pp weather “miscalibration” | stale last-trade marks — family prices sum to 1.39 |
| 6 | weather model +125%, SR 0.9 | −79%, SR −4.9 on books fresh enough to trade |
| 7 | crypto favorites underpriced (2 verdict cells) | pinned afterlife prints — 22–28% of marks postdate the close |
| 8 | short-longshots OOS SR 3.9, PSR 0.99 | sizing artifact — same stream −3.3c/share equal-weight; reversed in 2026; retracted |
Every seductive number the pipeline produced was attacked until it died or survived. A number that hasn't survived an attempt to kill it doesn't get quoted. Receipts (code + writeup per line): RESULTS.md in the desk repo.
| venue / book | eff half-spread (bps) | realized (bps) | impact (bps) |
|---|---|---|---|
| US equity mega-cap | 1 | 0.8 | 0.2 |
| US equity mid-cap | 3.2 | 1.2 | 1.9 |
| US equity small-cap | 8.6 | 2.8 | 5.8 |
| Polymarket tight (<1c) | 17.2 | 6.3 | 10.9 |
| Polymarket wide (>3c) | 560.8 | 235.5 | 325.3 |
Tight prediction-market books trade like a somewhat-worse small-cap (17.2 vs 8.6 bps effective half-spread). Wide books book a “realized spread” ~80× a small-cap maker's take — the fill-at-touch mirage in one row. Regenerable: papers/paper0.
v2 quotes symmetrically and never moves — it measures the toll. v3 adds the standard defenses (drift skew, circuit-breaker pulls, inventory caps) with parameters fixed a priori. The distance between the two NET lines is what the defenses recover; the distance from v3 to zero is what is left. Verdict (via the real-fill gate above): the only durable maker income is the fee rebate, roughly cancelled by adverse selection at a realistic resting size.