Walk-forward test of copying top Polymarket wallets in 5 sports: rank correlation month to month is ~0

We wanted to know if you can pick Polymarket wallets by past results and make money copying them after. Setup, since that's what matters here: * a "copy" = a wallet's first buy >= $20 in a market, price 0.30-0.85. we buy the same outcome for $10 at their price + 1c, pay the taker fee (0.05 \* p \* (1-p)), hold to resolution * pick wallets on the 2 months before the test month, copy only in the test month. nothing from the test month touches selection * 3 rules fixed before running: every wallet with 10+ copies, wallets with t >= 2 on 20+ copies, top 10 by t MLB had the most data, 799,542 copied buys from 27,564 wallets. Top 10 went from +$2.72 to +$3.78 per $10 in the pick window to between -$2.23 and +$0.16 the month after. Spearman between a wallet's pick-window result and next-month result was -0.01, +0.15, +0.08, -0.03. The "every wallet" baseline lost $0.31 to $0.63 per $10 in every test month. At +3c instead of +1c everything is negative. MLB t-stats are clustered by market. NFL, college football, LoL and Valorant looked the same or worse. NFL never got a month with |t| >= 2 either way. The thing I'd flag for anyone building a copy bot: don't select wallets with labels you can see today (smart money, win rate, resolved market count). They're computed on the full history including your test months, so the backtest already knows who survived. We had a mild version of this in one filter (sport share of activity on full history) and disclosed it, it most likely flatters the result and there was still no edge. To check our pipeline we wrote a script that rebuilds the copies from the public API. On the same 800 MLB games it produced 161,094 copies, same as our database, every price and result equal, total -$83,012.60 both ways. Not tested: slower markets like politics, and selecting wallets by how they trade rather than PnL. Data (per-wallet CSV with anonymous IDs, monthly tables, the script): https://github.com/orcalayer/polymarket-copy-trading-whales-backtest Disclosure: I'm one of the people behind OrcaLayer, a Polymarket analytics site. The script needs our API key to run, the CSVs don't.