Piercing Veil · GAUNTLET report · Volume z>2 (20d) on an up day, long, hold 5

Attempt · 9a0ac47b

Volume z>2 (20d) on an up day, 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

0.0053

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.177,
"sharpe_at_2x_costs": 0.069
}

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": 0.7325,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.053,
"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": 0.998,
"neighbours": 10,
"fraction_neighbours_better": 0.2,
"neighbour_sharpes": [
0.213,
0.149,
-0.014,
0.077,
0.177,
0.177,
0.177,
0.177,
0.257,
0.175
]
}

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": 0.583,
"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": 505,
"enough_independent_evidence": 251.0,
"not_one_episode": 0.001772,
"enough_episodes": 101,
"episode_consistency": 0.55
}

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
38	150	-5.70%	+342.77%	-0.086	0.878	-13.65%	-0.0209	0.733	0.677	0.002

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	10	-0.401	-3.19%
2018-09-14 → 2021-05-28	13	-0.199	-4.65%
2021-06-01 → 2024-02-13	8	-0.045	-0.86%
2024-02-14 → 2026-10-30	7	0.355	+3.05%

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
51	175	+11.57%	+582.50%	0.172	0.911	-17.94%	-0.0056	0.281	0.331	0.022

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	13	-0.238	-3.08%
2018-09-14 → 2021-05-28	19	0.663	+14.96%
2021-06-01 → 2024-02-13	10	-0.325	-6.41%
2024-02-14 → 2026-10-30	9	0.31	+7.00%

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
48	180	+27.36%	+191.00%	0.444	0.552	-10.19%	0.0424	0.054	0.068	0.136

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	10	0.999	+8.85%
2018-09-14 → 2021-05-28	11	0.367	+5.14%
2021-06-01 → 2024-02-13	14	0.639	+10.32%
2024-02-14 → 2026-10-30	13	0.082	+0.87%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"vol_z","len":20,"op":">","value":2},{"ind":"ret","len":1,"op":">","value":0}]},"exit":{"hold_bars":5},"ideas_tried":100,"kind":"rules","name":"Volume z>2 (20d) on an up day, long, hold 5","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}