Piercing Veil · GAUNTLET report · ADX Trend Strength — Average Directional Index · short

Attempt · f97c2048

ADX Trend Strength — Average Directional Index · 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

-0.048

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.67,
"sharpe_at_2x_costs": -0.928
}

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": 0.9341,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.0,
"ideas_tried_declared": 380,
"history_runs": 20
}

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": 0.167,
"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": 3213,
"enough_independent_evidence": 750.0,
"not_one_episode": -0.005723,
"enough_episodes": 644,
"episode_consistency": 0.387
}

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
954	1040	-66.55%	+342.77%	-0.698	0.878	-69.96%	-0.0722	0.557	0.578	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	206	-1.512	-27.11%
2018-09-14 → 2021-05-28	228	0.245	+7.70%
2021-06-01 → 2024-02-13	265	-0.642	-23.69%
2024-02-14 → 2026-10-30	255	-1.686	-44.17%

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
963	1041	-80.39%	+582.50%	-0.815	0.911	-81.80%	-0.0444	0.934	0.813	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	186	-1.816	-40.31%
2018-09-14 → 2021-05-28	240	-0.575	-32.04%
2021-06-01 → 2024-02-13	253	-0.557	-26.82%
2024-02-14 → 2026-10-30	284	-0.871	-33.94%

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
1050	1132	-63.01%	+191.00%	-0.496	0.552	-65.94%	-0.0274	0.437	0.454	0.0

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	201	-1.991	-39.49%
2018-09-14 → 2021-05-28	264	0.147	+2.35%
2021-06-01 → 2024-02-13	329	-0.315	-16.91%
2024-02-14 → 2026-10-30	256	-0.843	-28.12%

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":"ADX Trend Strength \u2014 Average Directional Index \u00b7 short \u00b7 hold 5","signal_sha256":"9c54b168e16d23e21d0f41747bf5f7e407a2c780d566b0f6747f72cab2a99d25","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}