Piercing Veil · GAUNTLET report · RSI(14)<30 dip buy, 5-day hold

Attempt · f8a45f35

RSI(14)<30 dip buy, 5-day hold

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

0.0508

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": 0.156,
"sharpe_at_2x_costs": 0.11
}

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": 0.998,
"q_storey_bh": 0.998,
"deflated_sharpe": 0.283,
"ideas_tried_declared": 8,
"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": 1.189,
"neighbours": 6,
"fraction_neighbours_better": 0.667,
"neighbour_sharpes": [
-0.006,
0.242,
0.185,
0.186,
0.133,
0.264
]
}

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": 305,
"enough_independent_evidence": 145.0,
"not_one_episode": 0.00331,
"enough_episodes": 61,
"episode_consistency": 0.625
}

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
43	85	+13.70%	+342.77%	0.194	0.878	-21.02%	0.0842	0.010	0.028	0.207

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	6	0.361	+3.77%
2018-09-14 → 2021-05-28	19	-0.199	-8.18%
2021-06-01 → 2024-02-13	11	0.773	+7.06%
2024-02-14 → 2026-10-30	7	0.554	+11.46%

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
41	95	+55.08%	+582.50%	0.548	0.911	-12.42%	0.0727	0.002	0.004	0.634

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	16	0.482	+5.07%
2018-09-14 → 2021-05-28	10	0.585	+18.61%
2021-06-01 → 2024-02-13	7	0.227	+2.44%
2024-02-14 → 2026-10-30	8	0.871	+21.47%

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
82	125	-25.51%	+191.00%	-0.275	0.552	-35.40%	-0.0044	0.998	0.960	0.008

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	10	0.141	+1.58%
2018-09-14 → 2021-05-28	37	-1.165	-33.60%
2021-06-01 → 2024-02-13	21	0.615	+13.54%
2024-02-14 → 2026-10-30	14	-0.114	-2.73%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"all":[{"ind":"rsi","len":14,"op":"<","value":30}]},"exit":{"hold_bars":5},"ideas_tried":8,"kind":"rules","name":"RSI(14)<30 dip buy, 5-day hold","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}