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

Attempt · 577fe178

Measures volatility clustering (aurora = solar storms) · 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

-0.0528

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.461,
"sharpe_at_2x_costs": -0.626
}

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": 0.98,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.0,
"ideas_tried_declared": 380,
"history_runs": 26
}

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": 0.167,
"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": 1700,
"enough_independent_evidence": 809.0,
"not_one_episode": -0.007249,
"enough_episodes": 340,
"episode_consistency": 0.377
}

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
185	405	-49.17%	+342.77%	-0.564	0.878	-51.19%	-0.0735	0.980	0.932	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	20	-1.308	-17.80%
2018-09-14 → 2021-05-28	65	-0.744	-27.87%
2021-06-01 → 2024-02-13	63	-0.251	-6.88%
2024-02-14 → 2026-10-30	37	-0.281	-7.94%

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
282	610	-55.07%	+582.50%	-0.462	0.911	-56.30%	-0.0319	0.525	0.506	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	39	-1.37	-24.64%
2018-09-14 → 2021-05-28	92	-0.45	-23.06%
2021-06-01 → 2024-02-13	81	0.154	+3.19%
2024-02-14 → 2026-10-30	70	-0.658	-24.89%

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
314	685	-46.54%	+191.00%	-0.357	0.552	-60.09%	-0.053	0.481	0.478	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	43	-0.925	-14.92%
2018-09-14 → 2021-05-28	89	0.025	-3.21%
2021-06-01 → 2024-02-13	108	-0.103	-6.46%
2024-02-14 → 2026-10-30	74	-0.984	-30.61%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"short","entry":{"score_threshold":0.08333333333333333},"exit":{"hold_bars":5},"ideas_tried":380,"kind":"signal_csv","name":"Measures volatility clustering (aurora = solar storms) \u00b7 short \u00b7 hold 5","signal_sha256":"2531e6241a140360d8673a10282933bb5637c9650181ca26a6648c4b56c61369","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}