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

Attempt · fda04d00

ADX Trend Strength — Average Directional Index · long · 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

-0.0447

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

TRIAL 3

Costs FAIL

{
"sharpe_at_declared_costs": -0.02,
"sharpe_at_2x_costs": -0.497
}

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": 0.9381,
"q_storey_bh": 1.0,
"deflated_sharpe": 0.002,
"ideas_tried_declared": 380,
"history_runs": 19
}

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": 0.417,
"drop_one_year_positive_fraction": 0.545,
"years": {
"2016": false,
"2017": true,
"2018": true,
"2019": false,
"2020": false,
"2021": true,
"2022": true,
"2023": false,
"2024": true,
"2025": false,
"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 FAIL

{
"enough_evidence": 4286,
"enough_independent_evidence": 809.0,
"not_one_episode": -0.000311,
"enough_episodes": 858,
"episode_consistency": 0.537
}

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
1492	1475	-6.56%	+342.77%	-0.024	0.878	-18.83%	-0.0592	0.888	0.777	0.001

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	355	-0.25	-4.64%
2018-09-14 → 2021-05-28	415	0.082	+0.77%
2021-06-01 → 2024-02-13	355	0.019	-0.85%
2024-02-14 → 2026-10-30	367	-0.052	-1.92%

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
1470	1460	-0.36%	+582.50%	0.058	0.911	-24.49%	-0.0374	0.938	0.869	0.003

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	380	-0.25	-6.76%
2018-09-14 → 2021-05-28	396	0.448	+15.19%
2021-06-01 → 2024-02-13	373	0.346	+10.88%
2024-02-14 → 2026-10-30	321	-0.542	-16.33%

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
1317	1351	-19.93%	+191.00%	-0.094	0.552	-35.69%	-0.0375	0.679	0.598	0.001

fold	entries	Sharpe	return
2016-01-04 → 2018-09-13	350	-0.062	-2.68%
2018-09-14 → 2021-05-28	354	0.158	+3.39%
2021-06-01 → 2024-02-13	269	-0.376	-15.19%
2024-02-14 → 2026-10-30	344	-0.102	-6.17%

Registered spec (hashed before testing)

{"costs_bps_round_trip":20.0,"direction":"long","entry":{"score_threshold":0.08333333333333333},"exit":{"hold_bars":5},"ideas_tried":380,"kind":"signal_csv","name":"ADX Trend Strength \u2014 Average Directional Index \u00b7 long \u00b7 hold 5","signal_sha256":"36ec55bec2fc1488246065269c90e6d0fb8d992f6897b52c09996dd1325e63f2","timeframe":"1Day","universe":["SPY","QQQ","IWM"]}