Piercing Veil · GAUNTLET report · ATR(14) under 1% of price, long, hold 10

Attempt · bc80e166

ATR(14) under 1% of price, long, hold 10

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

-0.0748

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.093,
"sharpe_at_2x_costs": -0.109
}

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": 0.998,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.05,
"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": 2.961,
"neighbours": 6,
"fraction_neighbours_better": 0.833,
"neighbour_sharpes": [
0.08,
0.283,
0.364,
0.267,
0.134,
0.301
]
}

bar: {"median_neighbour_sharpe_retention": 0.5}
every numeric parameter nudged +/-20%; a real edge degrades smoothly, a fitted one collapses

TRIAL 6

Stability PASS

{
"fold_consistency": 0.611,
"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 FAIL

{
"enough_evidence": 2168,
"enough_independent_evidence": 214.0,
"not_one_episode": -0.001031,
"enough_episodes": 217,
"episode_consistency": 0.565
}

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
1271	1348	+35.71%	+342.77%	0.392	0.878	-15.69%	-0.1185	0.894	0.773	0.11

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	486	0.74	+15.80%
2018-09-14 → 2021-05-28	234	-0.307	-8.42%
2021-06-01 → 2024-02-13	212	0.817	+14.05%
2024-02-14 → 2026-10-30	339	0.535	+12.21%

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
451	560	+13.71%	+582.50%	0.23	0.911	-18.04%	-0.0451	0.944	0.757	0.041

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	312	0.439	+10.06%
2018-09-14 → 2021-05-28	71	-0.198	-3.22%
2021-06-01 → 2024-02-13	26	0.033	+0.14%
2024-02-14 → 2026-10-30	42	0.563	+6.60%

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
178	260	-14.12%	+191.00%	-0.343	0.552	-18.62%	-0.0608	0.998	0.892	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	127	0.034	+0.09%
2018-09-14 → 2021-05-28	45	-0.931	-12.58%
2021-06-01 → 2024-02-13	0	0.0	+0.00%
2024-02-14 → 2026-10-30	6	-0.47	-1.84%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"atr_pct","len":14,"op":"<","value":0.01}]},"exit":{"hold_bars":10},"ideas_tried":100,"kind":"rules","name":"ATR(14) under 1% of price, long, hold 10","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}