Piercing Veil · GAUNTLET report · 5/10/20-day returns all negative, short, hold 5

Attempt · 1f3f2011

5/10/20-day returns all negative, short, hold 5

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

-0.0356

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.627,
"sharpe_at_2x_costs": -0.811
}

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": 14,
"fraction_neighbours_better": 0.357,
"neighbour_sharpes": [
-0.618,
-0.518,
-0.627,
-0.627,
-0.474,
-0.557,
-0.627,
-0.627,
-0.64,
-0.705,
-0.627,
-0.627,
-0.633,
-0.559
]
}

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": 0.0,
"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": 2064,
"enough_independent_evidence": 825.0,
"not_one_episode": -0.007563,
"enough_episodes": 413,
"episode_consistency": 0.377
}

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
449	640	-57.90%	+342.77%	-0.596	0.878	-59.00%	-0.0619	0.888	0.805	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	81	-1.299	-21.70%
2018-09-14 → 2021-05-28	106	-0.325	-16.35%
2021-06-01 → 2024-02-13	152	-0.362	-12.69%
2024-02-14 → 2026-10-30	110	-0.892	-26.38%

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
473	629	-65.25%	+582.50%	-0.585	0.911	-68.03%	-0.0281	0.892	0.757	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	78	-1.041	-22.16%
2018-09-14 → 2021-05-28	119	-0.473	-25.29%
2021-06-01 → 2024-02-13	151	-0.537	-21.97%
2024-02-14 → 2026-10-30	125	-0.588	-23.42%

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
585	795	-69.69%	+191.00%	-0.701	0.552	-71.09%	-0.0167	0.984	0.952	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	103	-2.061	-36.53%
2018-09-14 → 2021-05-28	149	-0.218	-14.88%
2021-06-01 → 2024-02-13	188	-0.723	-28.13%
2024-02-14 → 2026-10-30	145	-0.67	-21.93%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"short","entry":{"all":[{"ind":"ret","len":5,"op":"<","value":0},{"ind":"ret","len":10,"op":"<","value":0},{"ind":"ret","len":20,"op":"<","value":0}]},"exit":{"hold_bars":5},"ideas_tried":100,"kind":"rules","name":"5/10/20-day returns all negative, short, hold 5","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}