Piercing Veil · GAUNTLET report · Close 3%+ above SMA(20), short, hold 5

Attempt · 4e08ecc1

Close 3%+ above SMA(20), 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

0.0049

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.558,
"sharpe_at_2x_costs": -0.795
}

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": 0.8543,
"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": 0.167,
"neighbour_sharpes": [
-0.577,
-0.734,
-1.094,
0.0,
-0.801,
-0.753
]
}

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": 0.083,
"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": 1600,
"enough_independent_evidence": 601.0,
"not_one_episode": -0.005783,
"enough_episodes": 320,
"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
248	320	-34.21%	+342.77%	-0.65	0.878	-35.72%	-0.0	0.854	0.785	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	18	-0.08	-0.45%
2018-09-14 → 2021-05-28	84	-1.038	-19.80%
2021-06-01 → 2024-02-13	94	-0.363	-7.65%
2024-02-14 → 2026-10-30	52	-1.077	-10.76%

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
518	665	-49.10%	+582.50%	-0.654	0.911	-55.72%	0.0276	0.250	0.386	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	57	0.125	+1.17%
2018-09-14 → 2021-05-28	161	-0.457	-14.97%
2021-06-01 → 2024-02-13	170	-0.967	-25.48%
2024-02-14 → 2026-10-30	130	-1.125	-20.59%

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
490	615	-34.68%	+191.00%	-0.369	0.552	-36.44%	-0.0128	0.240	0.394	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	77	-1.055	-13.51%
2018-09-14 → 2021-05-28	169	-0.418	-15.44%
2021-06-01 → 2024-02-13	123	-0.106	-3.83%
2024-02-14 → 2026-10-30	121	-0.265	-7.13%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"short","entry":{"all":[{"ind":"close_over_sma","len":20,"op":">","value":1.03}]},"exit":{"hold_bars":5},"ideas_tried":100,"kind":"rules","name":"Close 3%+ above SMA(20), short, hold 5","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}