Why c4 Was Parked: A Dispersion Strategy That Improved But Still Failed the Portfolio Gate

Repository reference: cutebacktests

Abstract

The c4 branch is one of the best public examples in this repository because it combines three distinct research realities. First, there was a real implementation problem that distorted the branch. Second, the branch became materially more interesting after that problem was repaired. Third, it still failed the portfolio gate and was parked.

That sequence matters because public strategy research often collapses those events into one vague story. This repo did not. As Episode 8 makes clear, the c4 branch improved after the repair, recovered 79 and 85 trade rows in follow-up work, and still ended with the explicit label park_c4.

Question

The useful question is not whether c4 ever looked promising. It clearly did. The useful question is why promise was still not enough.

That question matters because most near-miss strategies do not die because they are obviously absurd. They die because they are not clearly additive enough once the full portfolio bar is applied. c4 is a textbook example of that process.

Method: Why c4 Was Evaluated as a Portfolio Candidate Rather Than as an Isolated Winner

The c4 family is a dispersion-relative breakout strategy. It asks whether the primary ticker is breaking its opening structure while outperforming a beta-adjusted proxy by a minimum edge. After the repair work, the branch then had to survive a more complete gate. It was not enough to be interesting on a rerun.

The admission bar, summarized in Episode 8, required:

• selection_status=feasible
• positive return
• trades_per_week >= 1.5
• orb_overlap_days >= 30
• c66_overlap_days >= 30
• offset_ratio_on_orb_down_days >= 0.5
• zero extra option attempts
• zero quote rejects

This is why the c4 story is so useful. It shows exactly what happens when a branch is judged as a potential portfolio member instead of as a chart pattern with a nice rerun.

Evidence / Results

The repo's summary now gives a balanced picture. In Toward The One Piece Of Sharpe, c4 is described as a promising research branch whose repaired stock stage restored 79 and 85 trade variants. That is the positive side.

The negative side is the final decision. By April 18, the repo's answer was still park_c4. The branch was not rejected because it was random junk. It was rejected because the combined admission conditions were still too demanding for what the repaired branch could deliver.

This is a much stronger public result than a simple win or loss. It tells the reader what improved, what remained weak, and which exact conditions still blocked admission.

What Worked

What worked was the debugging discipline. The repo did not mistake a launch or storage issue for a strategy conclusion. It repaired the path, reran the branch, and then judged the branch again. That prevented the wrong scientific story.

The branch itself also worked well enough to stay interesting. c4 is not in the same category as the failure-week cemetery of zero-trade or no-feasible-profile lanes. It became a real near-miss, which is why it remains one of the most educational parts of the portfolio journey.

What Failed

What failed was the combined gate. c4 accumulated several smaller deficits rather than one dramatic flaw. Feasibility was still demanding. Overlap and offset requirements were still meaningful. Option parity cleanliness still mattered. The branch did not become clearly additive enough relative to c66 and the broader portfolio goal.

That is an important negative result because many strategies die exactly this way. They do not collapse spectacularly. They remain too ambiguous to admit.

Takeaway

c4 was parked because the branch improved and still did not clear a portfolio-aware gate. That is one of the healthiest kinds of negative result to publish. It shows that the repo is not confusing post-bug recovery with promotion.

If you want the family context, Relative Strength Breakout Strategy: Testing Proxy-Based Intraday Breakouts With QQQ and DIA explains the logic underneath c4. If you want the QQQ-vs-SPY decomposition that made the dispersion branch more legible, Dispersion Trading Backtest: QQQ vs SPY and Why the Signal Was Not Symmetric is the next read. Join the research log to get the next backtest and failure report.