Piercing Veil · GAUNTLET report · Golden cross: close crosses above SMA200, hold 20

Attempt · 9bf47496

Golden cross: close crosses above SMA200, hold 20

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

-0.0288

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.008,
"sharpe_at_2x_costs": -0.034
}

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": 0.9541,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.197,
"ideas_tried_declared": 3,
"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": 0.333,
"neighbour_sharpes": [
0.144,
-0.02,
0.129,
-0.11,
-0.139,
-0.015
]
}

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": 0.455,
"years": {
"2016": false,
"2017": false,
"2018": true,
"2019": true,
"2020": false,
"2021": true,
"2022": true,
"2023": false,
"2024": true,
"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": 600,
"enough_independent_evidence": 92.0,
"not_one_episode": -0.007897,
"enough_episodes": 30,
"episode_consistency": 0.603
}

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
25	320	-14.36%	+342.77%	-0.087	0.878	-31.12%	-0.0273	0.954	0.932	0.127

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	0	0.0	+0.00%
2018-09-14 → 2021-05-28	10	-0.274	-14.76%
2021-06-01 → 2024-02-13	12	-0.046	-1.90%
2024-02-14 → 2026-10-30	3	0.14	+2.41%

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
20	280	+1.60%	+582.50%	0.07	0.911	-27.53%	-0.0303	0.764	0.741	0.267

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	0	0.0	+0.00%
2018-09-14 → 2021-05-28	10	0.23	+7.05%
2021-06-01 → 2024-02-13	7	-0.568	-14.17%
2024-02-14 → 2026-10-30	3	0.398	+10.58%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"close_over_sma","len":200,"op":"cross_above","value":1.0}]},"exit":{"hold_bars":20},"ideas_tried":3,"kind":"rules","name":"Golden cross: close crosses above SMA200, hold 20","timeframe":"1Day","universe":["SPY","QQQ"]}