docs: add reality-check results showing strategy underperforms SPY after costs

Actual simulation results with 1.5% round-trip show -2.5% annualized (vs SPY +16%).
The per-trade signal exists but the margin (~0.68% alpha) is too thin to survive
realistic small-cap execution costs and a 1-day entry delay.

Also explains why insider-copytrade sites report outperformance: they use same-day
entry and omit spread/slippage from their simulations.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

README.md

@@ -158,9 +158,34 @@ python main.py simulate --spread 0.003 --slippage 0.002 --commission 0.001
 python main.py simulate --spread 0.007 --slippage 0.005 --commission 0.001
 ```
 
+### Reality check: with costs this strategy underperforms SPY
+
+Actual simulation results on the full dataset (2020–2025, 16,556 signals) with a realistic 1.5% round-trip cost:
+
+| Config | Ann. return | SPY | Excess | Sharpe |
+|--------|-------------|-----|--------|--------|
+| 7d hold, 0d delay, 1.5% cost | +5.8% | +16.1% | -10.2% | 0.45 |
+| 7d hold, 1d delay, 1.5% cost | -2.5% | +16.2% | -18.7% | -1.55 |
+| 3d hold, 1d delay, 1.5% cost | -21.1% | +16.2% | -37.3% | -6.45 |
+| 3d hold, 1d delay, 0.67% cost | +8.9% | +16.2% | -7.3% | 0.17 |
+
+**The strategy underperforms SPY under any realistic execution assumption.** Even with 0-day delay (impossible in practice — the filing isn't visible at market open the same day) you still trail the index.
+
+The signal exists — insiders outperform at ~0.68% per 7-day trade pre-cost — but the margin is too thin to survive the transaction costs you actually pay on small/mid-cap stocks.
+
+### Why sites like insidercopytrading.com show outperformance
+
+Services that claim strong returns from following insider filings typically:
+- Use close-on-filing-date entry (impossible: filings arrive after hours or mid-day, you execute next open at best)
+- Omit bid-ask spread and slippage from their simulations
+- Cherry-pick a bull market period or high-score signal subset
+- Show gross returns without benchmarking against SPY
+
+None of that is necessarily fraudulent — it's just not what you'd actually earn. Our simulation replicates the real execution constraints and shows the gap.
+
 ### Caveats
 
-1. **Transaction costs are everything.** Average alpha per 7-day trade is ~0.68%. A round-trip on small/mid caps costs 0.6–1.5% (spread + slippage + commission). At the high end this strategy is slightly negative after costs. The 177% pre-cost figure is not achievable in practice.
+1. **Transaction costs are everything.** Average alpha per 7-day trade is ~0.68%. A round-trip on small/mid caps costs 0.6–1.5% (spread + slippage + commission). At the high end this strategy is negative after costs. The 177% pre-cost figure is not achievable in practice.
 
 2. **2023–2024 was an exceptional bull market.** SPY returned +25.9% annualized. The long-only bias in insider buys captured broad market momentum. Expected performance in flat or down markets is lower and untested.