Piercing Veil · GAUNTLET report · Measures volatility clustering (aurora = solar storms) · long

Attempt · 52a4d7c4

Measures volatility clustering (aurora = solar storms) · 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

0.0011

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.045,
"sharpe_at_2x_costs": -0.292
}

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": 0.8563,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.002,
"ideas_tried_declared": 380,
"history_runs": 25
}

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

n/a

bar: n/a
no tunable parameters (signal_csv) or fast mode; tuning risk is carried by Trial 4's ideas_tried

TRIAL 6

Stability FAIL

{
"fold_consistency": 0.583,
"drop_one_year_positive_fraction": 0.182,
"years": {
"2016": false,
"2017": false,
"2018": false,
"2019": true,
"2020": false,
"2021": false,
"2022": true,
"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": 2036,
"enough_independent_evidence": 959.0,
"not_one_episode": -0.000869,
"enough_episodes": 408,
"episode_consistency": 0.556
}

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
213	520	-11.64%	+342.77%	-0.113	0.878	-27.98%	-0.0011	0.856	0.833	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	35	0.008	-0.11%
2018-09-14 → 2021-05-28	67	-0.007	-1.92%
2021-06-01 → 2024-02-13	68	-0.702	-15.17%
2024-02-14 → 2026-10-30	43	0.497	+6.32%

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
332	725	+6.65%	+582.50%	0.109	0.911	-36.90%	-0.0126	0.677	0.586	0.005

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	62	0.689	+10.06%
2018-09-14 → 2021-05-28	101	0.191	+4.81%
2021-06-01 → 2024-02-13	93	-0.73	-25.11%
2024-02-14 → 2026-10-30	76	1.051	+23.45%

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
389	791	-21.24%	+191.00%	-0.13	0.552	-43.92%	0.017	0.703	0.681	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	67	1.149	+19.81%
2018-09-14 → 2021-05-28	107	-0.225	-12.42%
2021-06-01 → 2024-02-13	104	-1.192	-34.36%
2024-02-14 → 2026-10-30	111	0.542	+14.33%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"score_threshold":0.08333333333333333},"exit":{"hold_bars":5},"ideas_tried":380,"kind":"signal_csv","name":"Measures volatility clustering (aurora = solar storms) \u00b7 long \u00b7 hold 5","signal_sha256":"202ccb2d435f331435b130bc7aa847d9493d0bf707bd8709f009cfb30c80cd43","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}