Piercing Veil · GAUNTLET report · 20-day return above 5%, long, hold 20

Attempt · ed67d3c0

20-day return above 5%, long, hold 20

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

0.004

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

TRIAL 3

Costs PASS

{
"sharpe_at_declared_costs": 0.519,
"sharpe_at_2x_costs": 0.426
}

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": 0.8942,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.258,
"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": 0.886,
"neighbours": 6,
"fraction_neighbours_better": 0.167,
"neighbour_sharpes": [
0.503,
0.368,
0.458,
0.52,
0.355,
0.461
]
}

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": 0.75,
"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": 3480,
"enough_independent_evidence": 405.6,
"not_one_episode": 0.009347,
"enough_episodes": 174,
"episode_consistency": 0.619
}

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
354	1000	+34.87%	+342.77%	0.353	0.878	-17.53%	-0.0038	0.894	0.713	0.086

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	31	-0.338	-6.26%
2018-09-14 → 2021-05-28	129	1.357	+45.66%
2021-06-01 → 2024-02-13	118	-0.151	-5.49%
2024-02-14 → 2026-10-30	76	0.247	+4.50%

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
661	1320	+195.35%	+582.50%	0.849	0.911	-19.46%	-0.0152	0.066	0.179	0.601

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	89	0.591	+14.36%
2018-09-14 → 2021-05-28	232	1.17	+59.08%
2021-06-01 → 2024-02-13	190	0.633	+23.63%
2024-02-14 → 2026-10-30	150	0.948	+31.32%

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
602	1160	+53.35%	+191.00%	0.356	0.552	-38.49%	0.031	0.267	0.410	0.087

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	100	0.754	+16.68%
2018-09-14 → 2021-05-28	197	1.144	+60.44%
2021-06-01 → 2024-02-13	151	-0.788	-31.34%
2024-02-14 → 2026-10-30	154	0.575	+19.31%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"ret","len":20,"op":">","value":0.05}]},"exit":{"hold_bars":20},"ideas_tried":100,"kind":"rules","name":"20-day return above 5%, long, hold 20","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}