Alpha

A strategy's return minus the buy-and-hold return over the same window — "how much it beat, or trailed, just holding the coin." Positive = the strategy added value; negative = holding won.

In plain English

Alpha is the part of a strategy's return that isn't explained by the market simply going up. If ETH rose 392% and your strategy made 420%, your alpha is +28 points — the extra you earned for your trouble. If you made 200%, your alpha is −192 points: you underperformed the lazy default and the trading actively cost you.

The opposite of alpha is beta — return you got just by being exposed to the market. In a raging bull, beta is enormous and easy; alpha is what's left after you subtract the free beta. Beating buy-and-hold is hard precisely because buy-and-hold already harvests all the beta with zero skill.

Formula / mechanic

alpha = strategyReturn − buyAndHoldReturn
strategyReturn = finalEquity / initialEquity − 1

Stored per strategy as alpha_pct on backtest_summaries (Phase 600). "Beat buy-and-hold" (beat_buy_and_hold in the dossier CSV) is exactly alpha > 0.

Three honesty caveats — read alpha with all three (they are part of the metric, not garnish)

1. In-sample, per-window — never a forward claim. Alpha is a fact about this historical window only. On run 83's bull window, only 6 of 210 rows had positive alpha — but in a bear or sideways window a disciplined trend-follower could beat holding. See out of sample testing, market regime.
2. Strategy return is at the strategy's configured leverage; buy-and-hold is unleveraged (1×). The engine deliberately does not normalize the strategy to 1×. The consequence: a positive alpha on a leveraged row can be amplification, not edge — leverage magnified a run past a 1× benchmark. To judge genuine edge, read sharpe significance and edge_significance, not alpha. See leverage.
3. Weakly meaningful for shorts. A short (profits when price falls) compared against a buy-and-hold that profits when price rises is a weak comparison. The number is still stored, but its headline use is for longs.

Why it matters for this fleet

Alpha is honesty question #4 made into a number. But it is the least risk-aware metric on the board: it compares two raw returns and ignores that buy-and-hold earned its return by surviving a near-wipeout drawdown (see risk adjusted return, drawdown). On run 83:

• 6 of 210 rows beat hold (positive alpha) — every one a 50× long. Beating the market here was a leverage trick, not an edge.
• Of the 5 edge-significant rows, only 1 beat hold — and only at 50×.
• 0 of the fair-leverage edge-significant signals beat hold — their alpha runs −1,384 to −2,052 percentage points. The honest trend-followers all lost to holding, by a lot.

So the 6 positive-alpha rows are the most suspect on the board (selection bias + leverage amplification), not the most trustworthy — verify them on edge-significance, never on alpha.

Examples from the live fleet

• id522 (ETH 4h 50× long, EMA 21/50) — alpha +8,123 pp vs the 1× hold; the only row that is both a hold-beater and edge-significant. But its CAGR of 116.9% (vs ETH's 31.9%/yr) is 50× amplified beta, paid for with a 30–61% drawdown, and its win-rate confidence interval (±7 pp) is far fuzzier than the trustworthy losers. Strip the leverage and it loses to simply holding ETH.
• The fair-leverage edge-significant signals — real, well-sampled edges (e.g. id523, the SOL 1h 21/50 long at low leverage) all carry negative alpha (−1,384 to −2,052 pp). They are genuine trend-followers that still lost to a bull-market hold. Alpha sign alone would dismiss them; their edge-significance says the edge is real, just smaller than free beta — exactly the Q1-vs-Q2 distinction.

Related

• buy and hold
• risk adjusted return
• leverage
• sharpe significance
• selection bias
• out of sample testing
• edge

Sources

• wiki/qa-sessions/2026-06-22-session.md#q1 (first formal entry)
• growth/content/dossiers/ema-cross/1-analysis.md §4 + §6 (the buy-and-hold beaters, run 83)
• docs/analytics.md §"Stored per-strategy buy-and-hold + alpha"