Piercing Veil · GAUNTLET report · Market pressure via advancing volume ratio · long

Attempt · c2eb4dce

Market pressure via advancing volume ratio · 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

-0.0256

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.114,
"sharpe_at_2x_costs": -0.27
}

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": 0.988,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.0,
"ideas_tried_declared": 380,
"history_runs": 29
}

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": 0.333,
"drop_one_year_positive_fraction": 0.091,
"years": {
"2016": false,
"2017": false,
"2018": false,
"2019": false,
"2020": false,
"2021": true,
"2022": false,
"2023": false,
"2024": false,
"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": 520,
"enough_independent_evidence": 73.0,
"not_one_episode": -0.005242,
"enough_episodes": 104,
"episode_consistency": 0.46
}

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
15	15	-0.10%	+342.77%	-0.006	0.878	-2.09%	-0.0383	0.581	0.526	0.001

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	0	0.0	+0.00%
2018-09-14 → 2021-05-28	0	0.0	+0.00%
2021-06-01 → 2024-02-13	0	0.0	+0.00%
2024-02-14 → 2026-10-30	15	-0.013	-0.10%

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
175	165	-9.73%	+582.50%	-0.214	0.911	-17.65%	-0.0175	0.988	0.809	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	0	0.0	+0.00%
2018-09-14 → 2021-05-28	65	0.035	+0.13%
2021-06-01 → 2024-02-13	0	0.0	+0.00%
2024-02-14 → 2026-10-30	110	-0.576	-9.84%

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
370	340	-7.25%	+191.00%	-0.121	0.552	-20.74%	-0.0211	0.703	0.598	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	324	0.069	+0.63%
2018-09-14 → 2021-05-28	46	-0.575	-7.83%
2021-06-01 → 2024-02-13	0	0.0	+0.00%
2024-02-14 → 2026-10-30	0	0.0	+0.00%

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":"Market pressure via advancing volume ratio \u00b7 long \u00b7 hold 5","signal_sha256":"212c0a3d72064f6ea0edb0d46d3bf8c87d68978fb101115b338aeeeb2b156bf0","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}