Piercing Veil · GAUNTLET report · Surprise reversal: buy after robust return z<=-4 (30d), hold 5

Attempt · 565bfbfb

Surprise reversal: buy after robust return z<=-4 (30d), 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

0.0115

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.199,
"sharpe_at_2x_costs": -0.249
}

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": 1.0,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.003,
"ideas_tried_declared": 36,
"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": 1.0,
"neighbour_sharpes": [
-0.147,
-0.196,
-0.031,
-0.154,
-0.124,
-0.034
]
}

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": 0.417,
"drop_one_year_positive_fraction": 0.091,
"years": {
"2016": false,
"2017": false,
"2018": false,
"2019": false,
"2020": true,
"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": 285,
"enough_independent_evidence": 155.0,
"not_one_episode": -0.014385,
"enough_episodes": 57,
"episode_consistency": 0.607
}

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
39	130	-13.46%	+342.77%	-0.177	0.878	-26.92%	0.0225	0.936	0.912	0.002

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	11	0.219	+2.39%
2018-09-14 → 2021-05-28	17	-0.644	-19.15%
2021-06-01 → 2024-02-13	4	-0.061	-0.40%
2024-02-14 → 2026-10-30	7	0.524	+4.97%

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
28	105	-9.38%	+582.50%	-0.083	0.911	-25.99%	0.0355	0.816	0.805	0.007

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	8	0.87	+11.99%
2018-09-14 → 2021-05-28	14	-0.521	-19.40%
2021-06-01 → 2024-02-13	1	0.871	+2.95%
2024-02-14 → 2026-10-30	5	-0.214	-2.48%

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
14	50	-25.00%	+191.00%	-0.337	0.552	-30.22%	-0.0234	0.998	1.000	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	4	-0.371	-3.35%
2018-09-14 → 2021-05-28	7	-0.546	-17.87%
2021-06-01 → 2024-02-13	1	-0.654	-5.28%
2024-02-14 → 2026-10-30	2	0.016	-0.25%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"ret_z","len":30,"op":"<=","value":-4}]},"exit":{"hold_bars":5},"ideas_tried":36,"kind":"rules","name":"Surprise reversal: buy after robust return z<=-4 (30d), hold 5","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}