We introduce When Alpha Disappears, a paired evaluation benchmark for diagnosing decision-time leakage in financial machine-learning backtests. Rather than treating leakage as a binary property, the benchmark estimates protocol-induced inflation by toggling one evaluation convention at a time around a clean t+1-open reference, while holding the data panel, walk-forward split, model family, horizon, portfolio rule, and cost convention fixed. Across two daily-OHLCV equity panels, six model families, and yearly tests from 2016--2024, we find that inflation is highly selective: centered temporal features and same-day-open execution with post-open daily-bar information cause large and stable increases in both predictive and trading metrics, whereas global normalization, future-informed graph structure, and same-day-close execution are weak in most settings. The benchmark is diagnostic rather than a claim of tradable alpha, and is intended to make evaluation assumptions, failure modes, and protocol fragility directly measurable.
@article{arxiv.2605.23959,
title = {When Alpha Disappears: A One-Switch Benchmark for Decision-Time Leakage in Financial Backtests},
author = {Fan Zhang and Zhen Li and Sijia Peng and Yu Chen},
journal= {arXiv preprint arXiv:2605.23959},
year = {2026}
}
Comments
19 pages, including figures, tables, and the appendix