Piercing Veil · GAUNTLET report · Detects anti-trend signals hidden in noise · long

Attempt · ba90d6fd

Detects anti-trend signals hidden in noise · long · hold 5

FAILED AT TRIAL 3: COSTS · 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 PASS

0.0422

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.131,
"sharpe_at_2x_costs": -0.074
}

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": 0.7405,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.008,
"ideas_tried_declared": 380,
"history_runs": 21
}

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": 0.583,
"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": 2374,
"enough_independent_evidence": 641.0,
"not_one_episode": 0.000624,
"enough_episodes": 475,
"episode_consistency": 0.555
}

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
601	675	+32.54%	+342.77%	0.272	0.878	-24.15%	0.0522	0.016	0.139	0.019

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	89	1.062	+19.36%
2018-09-14 → 2021-05-28	152	0.407	+15.98%
2021-06-01 → 2024-02-13	220	-0.547	-18.60%
2024-02-14 → 2026-10-30	140	0.59	+17.63%

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
691	754	-1.10%	+582.50%	0.071	0.911	-29.68%	0.0417	0.741	0.673	0.003

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	96	0.868	+21.82%
2018-09-14 → 2021-05-28	184	-0.092	-9.65%
2021-06-01 → 2024-02-13	232	-0.211	-12.17%
2024-02-14 → 2026-10-30	179	0.13	+2.30%

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
860	945	-4.11%	+191.00%	0.05	0.552	-46.96%	0.0326	0.373	0.386	0.003

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	131	1.143	+26.37%
2018-09-14 → 2021-05-28	210	-0.471	-27.25%
2021-06-01 → 2024-02-13	310	0.229	+6.78%
2024-02-14 → 2026-10-30	209	-0.012	-2.32%

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":"Detects anti-trend signals hidden in noise \u00b7 long \u00b7 hold 5","signal_sha256":"3a5ba323b42480ea1dedb281605e0994a824989e7c696f196128776592633de7","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}