Four Strategies, 562 Trades, Zero Edge A Forensic Autopsy of Algorithmic Weather Betting

We document the systematic failure of four algorithmic trading strategies on Polymarket weather prediction markets. Over six weeks (February–March 2026), we deployed 509 live trades across four strategy generations—ensemble forecasting, smart-money copy-trading, elite wallet replication, and multi-wallet convergence signals—collectively losing USD 401 on a USD 372 starting balance. Meanwhile, 482 paper trades under backtested configurations earned USD 172, exposing a structural backtest-to-live gap. Key findings: - An information-theoretic limit: forecast MAE (2.03°F) equals contract bucket width (2°F), rendering probabilistic edge irreducible regardless of ensemble size - The profit-lock paradox: in binary markets, profit-taking strategies destroy value because exiting a USD 0.20 position at USD 0.30 captures 12.5% of maximum gain while retaining 100% of maximum loss - A two-tier efficiency structure: 276 elite wallets (0.73% of 37,562) maintain 97.8% win rates—likely through latency arbitrage rather than superior forecasting—while the market remains efficient for retail participants - Rapid market crowding: 144% wallet growth in 10 days eroded smart wallet win rates from 84.4% to 81.1%- The paper includes complete trade-level data, two strategy-evolution tables, and visualizations of the forecast-precision bound and crowding dynamics. All findings generalize beyond weather markets to binary prediction markets broadly.