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

Attempt · 9817424c

Hidden buying/selling pressure via cumulative volume delta · short · 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

-0.0197

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.714,
"sharpe_at_2x_costs": -0.896
}

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": 1.0,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.0,
"ideas_tried_declared": 380,
"history_runs": 24
}

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": 0.111,
"drop_one_year_positive_fraction": 0.0,
"years": {
"2016": false,
"2017": false,
"2018": false,
"2019": false,
"2020": false,
"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": 1415,
"enough_independent_evidence": 65.0,
"not_one_episode": -0.008775,
"enough_episodes": 283,
"episode_consistency": 0.365
}

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
573	490	-57.01%	+342.77%	-0.793	0.878	-57.39%	-0.0463	1.000	1.000	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	6	-0.48	-1.85%
2018-09-14 → 2021-05-28	68	-0.73	-25.47%
2021-06-01 → 2024-02-13	421	-1.394	-37.84%
2024-02-14 → 2026-10-30	78	-0.587	-5.44%

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
611	540	-57.92%	+582.50%	-0.877	0.911	-58.56%	-0.0148	0.958	0.829	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	175	-1.475	-21.62%
2018-09-14 → 2021-05-28	8	-0.468	-6.02%
2021-06-01 → 2024-02-13	425	-1.193	-41.41%
2024-02-14 → 2026-10-30	3	-0.571	-2.49%

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
437	385	-45.16%	+191.00%	-0.471	0.552	-53.99%	0.0019	0.984	0.952	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	0	0.0	+0.00%
2018-09-14 → 2021-05-28	11	0.125	+2.18%
2021-06-01 → 2024-02-13	425	-1.132	-41.15%
2024-02-14 → 2026-10-30	1	-0.477	-8.79%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"short","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 short \u00b7 hold 5","signal_sha256":"99d56a318f4e0cc1c5c5910cf356116eb2eb3bb65bab0e1672e7fd1b6a1432c6","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}