Piercing Veil · GAUNTLET report · Price floor formed by repeated bounces at same level · long

Attempt · af592e5a

Price floor formed by repeated bounces at same level · 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

-0.0195

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.134,
"sharpe_at_2x_costs": -0.238
}

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": 0.9701,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.02,
"ideas_tried_declared": 380,
"history_runs": 27
}

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": 0.5,
"drop_one_year_positive_fraction": 0.909,
"years": {
"2016": true,
"2017": true,
"2018": true,
"2019": true,
"2020": false,
"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 FAIL

{
"enough_evidence": 3347,
"enough_independent_evidence": 1256.0,
"not_one_episode": 0.00043,
"enough_episodes": 670,
"episode_consistency": 0.538
}

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
922	1120	-19.49%	+342.77%	-0.152	0.878	-25.15%	-0.0566	0.970	0.888	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	221	-0.236	-4.07%
2018-09-14 → 2021-05-28	234	0.093	+0.75%
2021-06-01 → 2024-02-13	236	-0.477	-12.84%
2024-02-14 → 2026-10-30	231	-0.182	-4.42%

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
963	1145	+54.48%	+582.50%	0.417	0.911	-15.40%	-0.0054	0.267	0.307	0.055

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	260	-0.226	-5.50%
2018-09-14 → 2021-05-28	239	0.912	+35.61%
2021-06-01 → 2024-02-13	207	0.892	+31.11%
2024-02-14 → 2026-10-30	257	-0.245	-8.07%

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
903	1082	+10.60%	+191.00%	0.137	0.552	-43.85%	0.0035	0.192	0.231	0.006

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	218	0.025	-0.30%
2018-09-14 → 2021-05-28	277	0.93	+42.93%
2021-06-01 → 2024-02-13	206	-1.069	-35.46%
2024-02-14 → 2026-10-30	202	0.675	+20.25%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"score_threshold":0.08333333333333333},"exit":{"hold_bars":5},"ideas_tried":380,"kind":"signal_csv","name":"Price floor formed by repeated bounces at same level \u00b7 long \u00b7 hold 5","signal_sha256":"2d82f9d191629ad20ca84dce86fc78a570df9fba8f17b532a007de9fc086a389","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}