Qpqc Hp Lowfreq Momentum

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

n/a

not a factor universe

Gate 2

Placebo ≥ P95

not run

Gate 3

Cost-aware net

RF +30.44

positive, not certified

Failedfailed refutation

Worst 12-month leg (RF)-0.63

−1.00 floor0

Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.

Did not clear our screen — no tradeable net edge survived modelled costs.

This strategy extracts the slow, low-frequency trend from currency prices using a Hodrick-Prescott filter and trades momentum on that smoothed trend component across a set of forex pairs.

What we found

In our test, five of the six FX pairs were net-negative after costs. The one pair that passed (USDCHF) did so on just nine trades - far too few to separate skill from luck - and it alone drives the headline risk-adjusted figure. Keeping the single pair that worked out of six tested is a multiple-testing artifact, not a robust effect. The worst-year RF is negative, so we do not treat this as a genuine or diversifying factor-leg.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship na

Tested on G10/EM currency spot data. Realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)

Source: Momentum strategy based on the low-frequency component of the forex market (QuantPedia; HP-filter trend)
Read the paper ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.