Piercing Veil · GAUNTLET report · Close above prior 20-day high, long, hold 10

Attempt · 63673cf3

Close above prior 20-day high, long, hold 10

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

-0.0443

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.46,
"sharpe_at_2x_costs": 0.239
}

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": 0.5458,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.184,
"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 PASS

{
"median_neighbour_sharpe_retention": 0.865,
"neighbours": 6,
"fraction_neighbours_better": 0.333,
"neighbour_sharpes": [
0.508,
0.371,
0.564,
0.0,
0.371,
0.425
]
}

bar: {"median_neighbour_sharpe_retention": 0.5}
every numeric parameter nudged +/-20%; a real edge degrades smoothly, a fitted one collapses

TRIAL 6

Stability PASS

{
"fold_consistency": 0.917,
"drop_one_year_positive_fraction": 1.0,
"years": {
"2016": true,
"2017": true,
"2018": true,
"2019": true,
"2020": true,
"2021": true,
"2022": true,
"2023": true,
"2024": true,
"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 PASS

{
"enough_evidence": 3220,
"enough_independent_evidence": 813.9,
"not_one_episode": 0.003519,
"enough_episodes": 322,
"episode_consistency": 0.622
}

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
407	1220	+55.03%	+342.77%	0.568	0.878	-10.81%	-0.0567	0.509	0.518	0.257

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	100	1.023	+13.95%
2018-09-14 → 2021-05-28	113	0.325	+7.57%
2021-06-01 → 2024-02-13	95	0.978	+20.55%
2024-02-14 → 2026-10-30	99	0.266	+4.92%

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
396	1120	+74.88%	+582.50%	0.563	0.911	-16.22%	-0.0384	0.537	0.546	0.251

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	108	0.016	-0.37%
2018-09-14 → 2021-05-28	107	1.011	+33.76%
2021-06-01 → 2024-02-13	89	0.898	+27.88%
2024-02-14 → 2026-10-30	92	0.143	+2.62%

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
276	880	+24.13%	+191.00%	0.248	0.552	-20.92%	-0.0378	0.369	0.430	0.043

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	91	0.831	+16.83%
2018-09-14 → 2021-05-28	72	0.35	+10.11%
2021-06-01 → 2024-02-13	55	0.045	-0.17%
2024-02-14 → 2026-10-30	58	-0.075	-3.35%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"breakout_high","len":20,"op":">","value":1.0}]},"exit":{"hold_bars":10},"ideas_tried":100,"kind":"rules","name":"Close above prior 20-day high, long, hold 10","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}