Piercing Veil · GAUNTLET report · RSI(14)>70, short, hold 5

Attempt · cf3b6f2a

RSI(14)>70, short, 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

0.0538

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.407,
"sharpe_at_2x_costs": -0.667
}

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": 0.3546,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.002,
"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 FAIL

{
"median_neighbour_sharpe_retention": 0.0,
"neighbours": 6,
"fraction_neighbours_better": 0.667,
"neighbour_sharpes": [
-0.534,
-0.265,
-0.946,
0.035,
-0.34,
-0.334
]
}

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

TRIAL 6

Stability FAIL

{
"fold_consistency": 0.25,
"drop_one_year_positive_fraction": 0.0,
"years": {
"2016": false,
"2017": false,
"2018": false,
"2019": false,
"2020": false,
"2021": false,
"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": 1035,
"enough_independent_evidence": 391.0,
"not_one_episode": -0.003702,
"enough_episodes": 207,
"episode_consistency": 0.4
}

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
281	375	-26.87%	+342.77%	-0.781	0.878	-27.33%	0.058	0.307	0.355	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	85	-1.205	-7.32%
2018-09-14 → 2021-05-28	74	-0.439	-6.10%
2021-06-01 → 2024-02-13	59	-0.997	-8.08%
2024-02-14 → 2026-10-30	63	-0.922	-8.60%

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
334	425	-27.26%	+582.50%	-0.453	0.911	-31.55%	0.0683	0.100	0.283	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	113	-0.367	-4.98%
2018-09-14 → 2021-05-28	77	-0.046	-1.73%
2021-06-01 → 2024-02-13	69	-0.893	-12.00%
2024-02-14 → 2026-10-30	75	-0.689	-11.47%

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
159	235	-0.70%	+191.00%	0.013	0.552	-13.61%	0.0351	0.044	0.139	0.006

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	55	-0.458	-5.03%
2018-09-14 → 2021-05-28	64	0.119	+1.67%
2021-06-01 → 2024-02-13	23	0.107	+0.99%
2024-02-14 → 2026-10-30	17	0.18	+1.84%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"short","entry":{"all":[{"ind":"rsi","len":14,"op":">","value":70}]},"exit":{"hold_bars":5},"ideas_tried":100,"kind":"rules","name":"RSI(14)>70, short, hold 5","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}