Reproducible studies on public market data — including the ones that failed. Each one publishes its verdict, the costs it assumed, and how far it got through out-of-sample and robustness testing.
A time-varying hedge ratio was supposed to triple the gross edge on 12 alt/BTC spreads. It reduced spread variance by -24.6% (i.e. raised it) on 11 of 12 pairs, cut gross edge to +2.40%/yr against a 9.36%/yr bar, and broke even at 8.14 bps against the 8.81 bps it pays.