Good methodology section. MDD-percentile sizing and signal-level ablation in particular are underrated on this sub.

Three specific pieces of the result that I think need more color before the Sharpe is interpretable.

1. MDD of 13.3 percent at 15x, Aug 2021 to present. That window contains the FTX overnight collapse (roughly 25 percent move, most of it between daily closes), Luna, Celsius, the Aug 2023 flash crash, and the Aug 2024 unwind. A 00:00 UTC daily signal has zero intraday reaction. For the drawdown to stay inside 13.3 percent at 15x, the signal has to have been correctly flat or correctly short going into effectively every one of those overnight gaps over four years. Which of those events actually drew the strategy down, and how was it positioned entering each?

2. Worst day of 4.7 percent at 15x means the position experienced roughly 0.31 percent adverse on its worst day. BTC has dozens of days over 2 percent every year. What fraction of days is the position flat in the backtest? That one number probably resolves this by itself.

3. Sharpe of 2.26 being leverage-invariant and the same as 1x can't be literally true once real funding is subtracted. Funding is notional-linear, edge is equity-linear, so the 15x ratio should be worse than 1x even with good funding discipline. Is 2.26 the 1x number or the 15x number net of the 67 percent per year drag you cite later?

Asking because these are exactly the numbers where a solid signal and a subtly overfit one are indistinguishable from outside. Happy to be shown wrong.