Piercing Veil · GAUNTLET report · Ultra-low-frequency market state via long-term EMA position · long

Attempt · 82d086fb

Ultra-low-frequency market state via long-term EMA position · 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

-0.0243

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.137,
"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": 0.8224,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.014,
"ideas_tried_declared": 380,
"history_runs": 31
}

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 PASS

{
"fold_consistency": 0.667,
"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 FAIL

{
"enough_evidence": 2705,
"enough_independent_evidence": 701.0,
"not_one_episode": 0.00043,
"enough_episodes": 541,
"episode_consistency": 0.541
}

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
675	780	-3.50%	+342.77%	-0.018	0.878	-21.20%	-0.0285	0.822	0.741	0.001

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	68	-0.216	-1.72%
2018-09-14 → 2021-05-28	241	-0.536	-13.24%
2021-06-01 → 2024-02-13	192	0.42	+7.54%
2024-02-14 → 2026-10-30	174	0.356	+5.24%

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
1010	1055	+40.02%	+582.50%	0.358	0.911	-21.33%	-0.0243	0.409	0.347	0.037

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	179	-0.743	-12.85%
2018-09-14 → 2021-05-28	322	0.935	+33.11%
2021-06-01 → 2024-02-13	263	0.301	+7.48%
2024-02-14 → 2026-10-30	246	0.468	+12.30%

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
786	870	+2.13%	+191.00%	0.071	0.552	-25.25%	-0.0201	0.315	0.351	0.003

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	156	0.261	+3.45%
2018-09-14 → 2021-05-28	236	0.246	+6.93%
2021-06-01 → 2024-02-13	174	0.091	+1.11%
2024-02-14 → 2026-10-30	220	-0.257	-8.69%

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":"Ultra-low-frequency market state via long-term EMA position \u00b7 long \u00b7 hold 5","signal_sha256":"e0c9999548580195a5caeaba7189adffd1c760886d3bfffa30ab6f2d70e3f047","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}