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

Attempt · c0fb05dc

Performance during adverse conditions · 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

-0.0122

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.137,
"sharpe_at_2x_costs": -0.123
}

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": 0.6846,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.008,
"ideas_tried_declared": 380,
"history_runs": 17
}

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 PASS

{
"fold_consistency": 0.667,
"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": 1681,
"enough_independent_evidence": 649.0,
"not_one_episode": 0.000477,
"enough_episodes": 337,
"episode_consistency": 0.564
}

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
286	400	-1.14%	+342.77%	0.015	0.878	-20.02%	0.0088	0.685	0.633	0.002

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	15	0.649	+3.01%
2018-09-14 → 2021-05-28	106	-0.581	-14.11%
2021-06-01 → 2024-02-13	89	0.023	-0.27%
2024-02-14 → 2026-10-30	76	0.959	+12.03%

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
533	715	+18.03%	+582.50%	0.212	0.911	-25.38%	-0.0236	0.559	0.486	0.012

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	70	-0.297	-3.77%
2018-09-14 → 2021-05-28	177	0.769	+23.75%
2021-06-01 → 2024-02-13	143	-0.182	-6.48%
2024-02-14 → 2026-10-30	143	0.275	+5.99%

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
424	566	+13.43%	+191.00%	0.183	0.552	-22.04%	-0.0218	0.152	0.227	0.009

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	70	0.301	+3.32%
2018-09-14 → 2021-05-28	124	0.984	+26.15%
2021-06-01 → 2024-02-13	91	-0.56	-13.31%
2024-02-14 → 2026-10-30	139	0.062	+0.39%

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":"Performance during adverse conditions \u00b7 long \u00b7 hold 5","signal_sha256":"569ceaf542210a83060551e8d8f9da8c5b5ddf73d7b001a0eb630f07f23cea8e","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}