Piercing Veil · GAUNTLET report · 1-day return z<=-2.5 (30d), long, hold 5

Attempt · 94f5fbf7

1-day return z<=-2.5 (30d), 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

0.0093

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.117,
"sharpe_at_2x_costs": -0.223
}

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": 0.976,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.003,
"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 FAIL

{
"median_neighbour_sharpe_retention": 0.0,
"neighbours": 6,
"fraction_neighbours_better": 0.5,
"neighbour_sharpes": [
-0.138,
-0.145,
-0.067,
-0.001,
-0.172,
0.031
]
}

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

TRIAL 6

Stability FAIL

{
"fold_consistency": 0.5,
"drop_one_year_positive_fraction": 0.091,
"years": {
"2016": false,
"2017": false,
"2018": false,
"2019": false,
"2020": true,
"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": 800,
"enough_independent_evidence": 447.0,
"not_one_episode": -0.004357,
"enough_episodes": 160,
"episode_consistency": 0.543
}

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
90	285	-7.01%	+342.77%	-0.036	0.878	-24.93%	0.0278	0.693	0.733	0.004

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	23	0.074	+0.63%
2018-09-14 → 2021-05-28	33	-0.472	-17.81%
2021-06-01 → 2024-02-13	13	0.007	-0.10%
2024-02-14 → 2026-10-30	21	0.547	+12.54%

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
94	315	-4.27%	+582.50%	0.011	0.911	-29.36%	0.0254	0.721	0.677	0.006

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	18	0.422	+6.56%
2018-09-14 → 2021-05-28	40	-0.346	-16.09%
2021-06-01 → 2024-02-13	11	-0.167	-2.22%
2024-02-14 → 2026-10-30	25	0.361	+9.50%

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
60	200	-31.12%	+191.00%	-0.325	0.552	-42.54%	-0.0253	0.976	0.972	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	18	0.094	+0.93%
2018-09-14 → 2021-05-28	25	-0.531	-22.17%
2021-06-01 → 2024-02-13	7	-0.898	-11.54%
2024-02-14 → 2026-10-30	10	-0.002	-0.88%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"ret_z","len":30,"op":"<=","value":-2.5}]},"exit":{"hold_bars":5},"ideas_tried":100,"kind":"rules","name":"1-day return z<=-2.5 (30d), long, hold 5","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}