KILLED · same trap
Hypothesis
EMD adaptively decomposes price into intrinsic mode functions (IMFs); the residual + low-order IMFs form a clean trend tradeable without lag.
Math — IMF sifting
Sifting extracts each IMF as the signal minus the mean of its upper/lower envelopes:
$$ h(t) = x(t) - \tfrac{1}{2}\big(e_{\max}(t) + e_{\min}(t)\big) $$
Method
EMD sifting on rolling windows; trade trend = residual + lowest-frequency IMF. Causal vs batch comparison.
Same failure class as N-034. Envelope interpolation in sifting is non-causal at the window edge; recomputing EMD each new bar repaints prior IMFs, so live behaviour differs entirely from the backtest. Killed alongside wavelets.
Adaptive decompositions that repaint history when a new bar arrives cannot be traded — what you saw at the edge is not what you get.