Piercing Veil · GAUNTLET report · 5/10/20-day returns all positive, long, hold 5

Attempt · 336495df

5/10/20-day returns all positive, 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

-0.0459

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.046,
"sharpe_at_2x_costs": -0.43
}

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": 0.8663,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.022,
"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": 1.014,
"neighbours": 14,
"fraction_neighbours_better": 0.5,
"neighbour_sharpes": [
0.08,
0.103,
0.046,
0.046,
0.081,
0.047,
0.046,
0.046,
0.196,
0.1,
0.046,
0.046,
-0.19,
0.185
]
}

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": 0.5,
"drop_one_year_positive_fraction": 0.727,
"years": {
"2016": true,
"2017": true,
"2018": true,
"2019": false,
"2020": true,
"2021": true,
"2022": false,
"2023": false,
"2024": true,
"2025": true,
"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": 3963,
"enough_independent_evidence": 1227.0,
"not_one_episode": -0.00014,
"enough_episodes": 793,
"episode_consistency": 0.536
}

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
1285	1410	+4.98%	+342.77%	0.096	0.878	-23.15%	-0.0579	0.731	0.610	0.014

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	339	0.548	+9.25%
2018-09-14 → 2021-05-28	351	-0.09	-3.75%
2021-06-01 → 2024-02-13	288	-0.317	-8.65%
2024-02-14 → 2026-10-30	307	0.472	+9.28%

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
1219	1375	+30.71%	+582.50%	0.274	0.911	-17.76%	-0.0545	0.647	0.562	0.052

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	332	0.385	+8.35%
2018-09-14 → 2021-05-28	326	0.533	+18.15%
2021-06-01 → 2024-02-13	278	0.281	+7.41%
2024-02-14 → 2026-10-30	283	-0.104	-4.94%

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
996	1178	-31.11%	+191.00%	-0.232	0.552	-41.20%	-0.0253	0.866	0.733	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	288	0.401	+8.08%
2018-09-14 → 2021-05-28	261	-0.18	-9.33%
2021-06-01 → 2024-02-13	196	-0.424	-14.34%
2024-02-14 → 2026-10-30	251	-0.533	-17.94%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","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 positive, long, hold 5","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}