Piercing Veil · GAUNTLET report · Volume z>2 (20d) on a down day, long, hold 5

Attempt · 28667957

Volume z>2 (20d) on a down day, long, 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

0.0172

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.054,
"sharpe_at_2x_costs": -0.088
}

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": 0.5409,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.009,
"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 PASS

{
"median_neighbour_sharpe_retention": 0.994,
"neighbours": 10,
"fraction_neighbours_better": 0.4,
"neighbour_sharpes": [
-0.019,
0.058,
-0.023,
0.143,
0.054,
0.054,
0.054,
0.054,
0.15,
0.21
]
}

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": 0.667,
"drop_one_year_positive_fraction": 0.727,
"years": {
"2016": true,
"2017": true,
"2018": true,
"2019": true,
"2020": true,
"2021": false,
"2022": true,
"2023": true,
"2024": false,
"2025": false,
"2026": true
}
}

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": 925,
"enough_independent_evidence": 465.0,
"not_one_episode": -0.000716,
"enough_episodes": 185,
"episode_consistency": 0.554
}

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
109	320	+2.40%	+342.77%	0.066	0.878	-29.08%	0.042	0.517	0.474	0.01

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	22	0.482	+6.07%
2018-09-14 → 2021-05-28	44	-0.812	-20.66%
2021-06-01 → 2024-02-13	21	0.188	+2.38%
2024-02-14 → 2026-10-30	22	0.81	+18.85%

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
120	330	+3.96%	+582.50%	0.085	0.911	-31.55%	0.0103	0.541	0.518	0.012

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	28	0.207	+2.89%
2018-09-14 → 2021-05-28	45	-0.669	-21.12%
2021-06-01 → 2024-02-13	21	0.29	+4.96%
2024-02-14 → 2026-10-30	26	0.771	+22.04%

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
85	275	-2.30%	+191.00%	0.01	0.552	-22.73%	-0.0007	0.491	0.446	0.006

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	17	0.304	+4.10%
2018-09-14 → 2021-05-28	31	-0.202	-5.43%
2021-06-01 → 2024-02-13	21	-0.432	-9.01%
2024-02-14 → 2026-10-30	16	0.405	+9.08%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"vol_z","len":20,"op":">","value":2},{"ind":"ret","len":1,"op":"<","value":0}]},"exit":{"hold_bars":5},"ideas_tried":100,"kind":"rules","name":"Volume z>2 (20d) on a down day, long, hold 5","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}