Piercing Veil · GAUNTLET report · Hidden buying/selling pressure via cumulative volume delta · long

Attempt · 5baca977

Hidden buying/selling pressure via cumulative volume delta · 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

-0.0342

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.019,
"sharpe_at_2x_costs": -0.431
}

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": 0.978,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.003,
"ideas_tried_declared": 380,
"history_runs": 23
}

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": 0.5,
"drop_one_year_positive_fraction": 0.818,
"years": {
"2016": false,
"2017": true,
"2018": true,
"2019": true,
"2020": true,
"2021": true,
"2022": true,
"2023": true,
"2024": false,
"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": 5161,
"enough_independent_evidence": 140.0,
"not_one_episode": -0.000204,
"enough_episodes": 1033,
"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
2020	1720	+13.98%	+342.77%	0.164	0.878	-24.96%	-0.0584	0.551	0.438	0.007

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	603	0.702	+17.01%
2018-09-14 → 2021-05-28	579	-0.381	-13.79%
2021-06-01 → 2024-02-13	238	-0.443	-12.79%
2024-02-14 → 2026-10-30	600	0.797	+29.57%

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
1934	1657	-14.39%	+582.50%	-0.005	0.911	-58.68%	-0.0215	0.978	0.964	0.001

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	415	1.08	+31.75%
2018-09-14 → 2021-05-28	614	0.282	+10.82%
2021-06-01 → 2024-02-13	241	-1.294	-36.98%
2024-02-14 → 2026-10-30	664	-0.063	-6.95%

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
2100	1784	-26.70%	+191.00%	-0.101	0.552	-45.96%	-0.0227	0.681	0.633	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	607	0.491	+14.91%
2018-09-14 → 2021-05-28	637	0.292	+11.17%
2021-06-01 → 2024-02-13	204	-0.752	-21.13%
2024-02-14 → 2026-10-30	652	-0.585	-27.25%

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":"Hidden buying/selling pressure via cumulative volume delta \u00b7 long \u00b7 hold 5","signal_sha256":"5c20d71fc9b42e7c846354dd73c27a343b8377180223bcf48de0ca555a1a18db","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}