Piercing Veil · GAUNTLET report · Accumulation Pressure — OBV / VWAP Divergence · short

Attempt · d8be520b

Accumulation Pressure — OBV / VWAP Divergence · short · 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

0.0035

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.623,
"sharpe_at_2x_costs": -0.913
}

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": 0.7585,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.0,
"ideas_tried_declared": 380,
"history_runs": 16
}

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": 0.083,
"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": 3000,
"enough_independent_evidence": 875.0,
"not_one_episode": -0.004635,
"enough_episodes": 600,
"episode_consistency": 0.389
}

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
847	965	-59.72%	+342.77%	-0.653	0.878	-60.74%	-0.0431	0.353	0.386	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	173	-2.417	-28.59%
2018-09-14 → 2021-05-28	233	-0.434	-22.48%
2021-06-01 → 2024-02-13	263	-0.252	-10.44%
2024-02-14 → 2026-10-30	178	-1.147	-18.75%

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
1024	1120	-77.49%	+582.50%	-0.972	0.911	-79.54%	0.0521	0.758	0.705	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	203	-1.327	-25.57%
2018-09-14 → 2021-05-28	279	-1.199	-45.43%
2021-06-01 → 2024-02-13	293	-0.781	-29.44%
2024-02-14 → 2026-10-30	249	-0.793	-21.44%

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
789	915	-34.60%	+191.00%	-0.244	0.552	-41.10%	0.0015	0.032	0.116	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	150	-0.664	-13.57%
2018-09-14 → 2021-05-28	179	-0.613	-24.91%
2021-06-01 → 2024-02-13	285	0.624	+25.02%
2024-02-14 → 2026-10-30	175	-0.644	-19.39%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"short","entry":{"score_threshold":0.08333333333333333},"exit":{"hold_bars":5},"ideas_tried":380,"kind":"signal_csv","name":"Accumulation Pressure \u2014 OBV / VWAP Divergence \u00b7 short \u00b7 hold 5","signal_sha256":"bf35890a00adc6db3ff0838f7830db3b6453fab665cd3ff2744d0d72a44887f2","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}