Piercing Veil · GAUNTLET report · Accumulation Pressure — OBV / VWAP Divergence · long

Attempt · 94f019f1

Accumulation Pressure — OBV / VWAP Divergence · 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

0.0273

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.281,
"sharpe_at_2x_costs": 0.038
}

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": 0.4112,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.032,
"ideas_tried_declared": 380,
"history_runs": 15
}

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": 0.75,
"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": 2280,
"enough_independent_evidence": 625.0,
"not_one_episode": 0.001908,
"enough_episodes": 456,
"episode_consistency": 0.578
}

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
604	660	+9.37%	+342.77%	0.139	0.878	-25.01%	0.0189	0.411	0.382	0.006

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	210	0.303	+4.53%
2018-09-14 → 2021-05-28	219	0.59	+13.94%
2021-06-01 → 2024-02-13	55	-0.812	-16.27%
2024-02-14 → 2026-10-30	120	0.362	+9.68%

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
716	780	+77.25%	+582.50%	0.466	0.911	-19.26%	0.0376	0.012	0.080	0.074

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	220	1.194	+20.68%
2018-09-14 → 2021-05-28	260	0.77	+40.66%
2021-06-01 → 2024-02-13	143	-0.124	-6.01%
2024-02-14 → 2026-10-30	93	0.366	+11.10%

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
731	840	+28.46%	+191.00%	0.237	0.552	-23.62%	0.0255	0.038	0.116	0.015

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	166	0.909	+20.37%
2018-09-14 → 2021-05-28	212	0.353	+14.97%
2021-06-01 → 2024-02-13	132	-0.373	-12.73%
2024-02-14 → 2026-10-30	221	0.256	+6.35%

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":"Accumulation Pressure \u2014 OBV / VWAP Divergence \u00b7 long \u00b7 hold 5","signal_sha256":"e7f03284f3f2fa9a15a14cffce497e5babc3f49fc3ed38139b4aa656d823cb63","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}