Piercing Veil · GAUNTLET report · Close below prior 20-day low, short, hold 10

Attempt · 05417130

Close below prior 20-day low, short, hold 10

FAILED AT TRIAL 2: EFFECT · did not survive the Gauntlet

Trials

TRIAL 1

Leakage PASS

next-open entry; trailing indicators; adjusted bars

bar: no lookahead
structural: indicators use bars <= decision bar; entry at the following open; verified by tests/test_leak.py

TRIAL 2

Effect FAIL

-0.0473

bar: 0.03
out-of-sample information coefficient, sign-oriented, overlap-corrected

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.474,
"sharpe_at_2x_costs": -0.545
}

bar: {"sharpe_at_declared_costs": 0.5, "sharpe_at_2x_costs": 0.0}
declared 20 bp round trip; must stay >= 0.5 and remain positive at 2x

TRIAL 4

Luck FAIL

{
"p_vs_luck": 0.984,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.0,
"ideas_tried_declared": 100,
"history_runs": 14
}

bar: {"p_vs_luck": 0.05, "q_storey_bh": 0.1, "deflated_sharpe": 0.9}
matched-random and circular-shift nulls; FDR across the submitter's run history; Deflated Sharpe vs best-of-N worthless strategies

TRIAL 5

Tuning FAIL

{
"median_neighbour_sharpe_retention": 0.0,
"neighbours": 6,
"fraction_neighbours_better": 0.667,
"neighbour_sharpes": [
-0.545,
-0.408,
0.0,
-1.093,
-0.369,
-0.434
]
}

bar: {"median_neighbour_sharpe_retention": 0.5}
every numeric parameter nudged +/-20%; a real edge degrades smoothly, a fitted one collapses

TRIAL 6

Stability FAIL

{
"fold_consistency": 0.167,
"drop_one_year_positive_fraction": 0.0,
"years": {
"2016": false,
"2017": false,
"2018": false,
"2019": false,
"2020": false,
"2021": false,
"2022": false,
"2023": false,
"2024": false,
"2025": false,
"2026": false
}
}

bar: {"fold_consistency": 0.6, "drop_one_year_positive_fraction": 0.8}
walk-forward folds must agree in sign; removing any single year must not flip the result

TRIAL 7

Evidence FAIL

{
"enough_evidence": 1430,
"enough_independent_evidence": 458.0,
"not_one_episode": -0.015428,
"enough_episodes": 143,
"episode_consistency": 0.364
}

bar: {"enough_evidence": 250, "enough_independent_evidence": 60.0, "not_one_episode": 0.0, "enough_episodes": 15, "episode_consistency": 0.55}
observations, independent observations, episodes, not carried by one episode

TRIAL 8

Forward PENDING

pending

bar: 90 days live-forward agreement
cannot be passed at submission; badge turns fully green only after forward probation

SPY · 2016-01-04 → 2026-10-30

━ strategy┄ buy & hold

entries	days in mkt	total ret	B&H ret	Sharpe	B&H Sharpe	max DD	IC	p luck	p shift	DSR
104	430	-39.76%	+342.77%	-0.372	0.878	-41.75%	-0.0533	0.770	0.749	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	12	-1.149	-17.27%
2018-09-14 → 2021-05-28	29	-0.268	-13.57%
2021-06-01 → 2024-02-13	37	-0.13	-5.04%
2024-02-14 → 2026-10-30	26	-0.409	-11.28%

QQQ · 2016-01-04 → 2026-10-30

━ strategy┄ buy & hold

entries	days in mkt	total ret	B&H ret	Sharpe	B&H Sharpe	max DD	IC	p luck	p shift	DSR
115	450	-53.28%	+582.50%	-0.456	0.911	-57.66%	-0.0604	0.926	0.805	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	15	-1.45	-26.57%
2018-09-14 → 2021-05-28	28	-0.607	-28.80%
2021-06-01 → 2024-02-13	45	-0.415	-16.92%
2024-02-14 → 2026-10-30	27	0.289	+7.56%

IWM · 2016-01-04 → 2026-10-30

━ strategy┄ buy & hold

entries	days in mkt	total ret	B&H ret	Sharpe	B&H Sharpe	max DD	IC	p luck	p shift	DSR
134	550	-58.49%	+191.00%	-0.593	0.552	-58.49%	-0.0283	0.984	0.936	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	19	-2.097	-32.99%
2018-09-14 → 2021-05-28	38	0.077	-0.30%
2021-06-01 → 2024-02-13	49	-0.259	-10.94%
2024-02-14 → 2026-10-30	28	-1.245	-30.23%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"short","entry":{"all":[{"ind":"breakout_low","len":20,"op":"<","value":1.0}]},"exit":{"hold_bars":10},"ideas_tried":100,"kind":"rules","name":"Close below prior 20-day low, short, hold 10","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}