Piercing Veil · GAUNTLET report · Performance during adverse conditions · short

Attempt · 9aa95749

Performance during adverse conditions · 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

-0.0661

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.44,
"sharpe_at_2x_costs": -0.576
}

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": 0.986,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.0,
"ideas_tried_declared": 380,
"history_runs": 18
}

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": 0.083,
"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": 1524,
"enough_independent_evidence": 432.0,
"not_one_episode": -0.007813,
"enough_episodes": 305,
"episode_consistency": 0.393
}

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
219	285	-29.29%	+342.77%	-0.265	0.878	-34.87%	-0.0911	0.567	0.542	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	17	-0.546	-7.49%
2018-09-14 → 2021-05-28	73	-0.314	-13.83%
2021-06-01 → 2024-02-13	102	0.01	-1.05%
2024-02-14 → 2026-10-30	27	-0.39	-10.35%

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
439	514	-57.74%	+582.50%	-0.477	0.911	-60.87%	-0.0494	0.862	0.745	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	21	-0.625	-10.49%
2018-09-14 → 2021-05-28	113	-0.341	-19.58%
2021-06-01 → 2024-02-13	233	-0.286	-15.45%
2024-02-14 → 2026-10-30	72	-0.954	-30.56%

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
696	725	-65.91%	+191.00%	-0.578	0.552	-67.26%	-0.0578	0.986	0.912	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	18	-1.661	-20.53%
2018-09-14 → 2021-05-28	209	-0.472	-29.30%
2021-06-01 → 2024-02-13	387	-0.594	-27.34%
2024-02-14 → 2026-10-30	82	-0.565	-16.49%

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":"Performance during adverse conditions \u00b7 short \u00b7 hold 5","signal_sha256":"e98376db2c58590b28165fb0ffec58ff04413b8bd9ba85344e313e4111fc91f2","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}