{ "ideas": [ { "id": "trend3x-150d", "registered": "2026-08-08", "source": "strategy lab 2026-08 round 1; the classic published trend filter (hold the risk asset above a long moving average) applied to a leveraged fund. Parameters chosen on the train window only, before the test window was read.", "mechanism": "trend", "market": "us", "trade": [ "TQQQ" ], "signal": [ "QQQ" ], "timeframe": "daily bars, full cached TQQQ history, 70/30 chronological split", "entry": "QQQ closes more than 1% above its trailing 150-day simple moving average -> hold TQQQ at 100%, filled at the NEXT session's open.", "exit": "QQQ closes more than 1% below its trailing 150-day simple moving average -> flat, filled at the NEXT session's open. Between the two bands the previous state is carried (no flip-flop inside the band).", "benchmarks": [ "QQQ" ], "success": "On the held-out test window, beat every benchmark (hold TQQQ, hold QQQ, hold SPY) on all three gates: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Previously measured on the test years as +31%/yr at -31% DD against hold-TQQQ's +17%/yr at -79%.", "rule_sha": "b92bb06a3ecc9a36", "verdict": "MIXED", "tested": "2026-08-11", "result": { "idea": "trend3x-150d", "market": "us", "trade": [ "TQQQ" ], "rule_sha": "b92bb06a3ecc9a36", "code_sha": "a972894528c35c8b", "window": [ "2010-02-11", "2026-08-07" ], "split": "2021-08-23", "cost_per_side": 0.0002, "bars": 4147, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.8266216542078612, "exposure_test": 0.7365461847389558, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 33.84563877841186, "cagr": 0.3606972558680044, "max_dd_monthly": -0.5392651468716301, "max_dd": -0.5661819926161962, "sharpe": 0.6619991469483194, "mar": 0.637069459241022 }, "hold TQQQ": { "total": 167.97730175245752, "cagr": 0.5603980906862029, "max_dd_monthly": -0.4912447807087743, "max_dd": -0.6992227702469042, "sharpe": 0.8761606331900555, "mar": 0.8014585830611888 }, "hold QQQ": { "total": 8.652672074193788, "cagr": 0.21732205373045144, "max_dd_monthly": -0.16968452293487757, "max_dd": -0.2856029042628966, "sharpe": 1.2377228097057487, "mar": 0.7609238228558319 }, "hold SPY": { "total": 4.235106222808046, "cagr": 0.15440320837627697, "max_dd_monthly": -0.1944877566830332, "max_dd": -0.3371902841753116, "sharpe": 1.0280790948119323, "mar": 0.45791120213890807 } }, "test": { "strategy": { "total": 2.9116680345654813, "cagr": 0.3168491617477136, "max_dd_monthly": -0.31009874874783705, "max_dd": -0.40443404063364563, "sharpe": 0.6365808419345899, "mar": 0.7834384100094326, "excess_t_vs_primary": 0.5886538729909494 }, "hold TQQQ": { "total": 1.2036822361749193, "cagr": 0.17285938038956017, "max_dd_monthly": -0.7909009716710624, "max_dd": -0.8165992601193829, "sharpe": 0.23071501389691088, "mar": 0.21168201935951908 }, "hold QQQ": { "total": 0.996151428323514, "cagr": 0.14968196382777754, "max_dd_monthly": -0.32577625859936765, "max_dd": -0.351194015363299, "sharpe": 0.6410519798491158, "mar": 0.4262087543631298 }, "hold SPY": { "total": 0.8498346962465093, "cagr": 0.13215592246948416, "max_dd_monthly": -0.23928015014343462, "max_dd": -0.24497264201333602, "sharpe": 0.7645815560801851, "mar": 0.5394721687423764 } }, "gates": { "hold TQQQ": { "cagr_ratio": 1.8329879525985486, "mar_ratio": 3.701015383261471, "dd_ratio": 0.4952662344740789, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold QQQ": { "cagr_ratio": 2.1168159051699567, "mar_ratio": 1.8381565418103616, "dd_ratio": 1.1515971882814449, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold SPY": { "cagr_ratio": 2.397540388860564, "mar_ratio": 1.4522313761538304, "dd_ratio": 1.6509355383921962, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": -0.17652833999675321, "cagr": -0.03843583067141276, "max_dd_monthly": -0.3209945741315898, "max_dd": -0.3402714093605228, "sharpe": -0.28265539212394586, "mar": -0.11295639190975756 }, "hold": { "total": 0.3929096970389496, "cagr": 0.06916077608924853, "max_dd_monthly": -0.20594159809042822, "max_dd": -0.23335368259498213, "sharpe": 0.42859289016093405, "mar": 0.29637747868451986 }, "gate": { "cagr_ratio": -0.555746086796557, "mar_ratio": -0.3811233984819556, "dd_ratio": 1.4581788707020806, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9500843983602604, "transfers": false }, "verdict": "MIXED", "reads": 2 }, "notes": "SHIPPED and live in the Alpaca paper account at 1/4 of equity. Registered here retrospectively as the sanity check for the harness itself: if score.py cannot roughly reproduce the numbers this was shipped on, the harness is wrong, not the strategy.", "reads": [ { "on": "2026-08-09", "verdict": "MIXED", "code_sha": "a972894528c35c8b" }, { "on": "2026-08-11", "verdict": "MIXED", "code_sha": "a972894528c35c8b" } ] }, { "id": "btc-trend-100d", "registered": "2026-08-08", "source": "strategy lab 2026-08 round 2. After ten-coin concentration and channel baskets all lost to simply holding BTC, the trend family that won the other two markets was pointed at the one coin carrying the benchmark.", "mechanism": "trend", "market": "crypto", "trade": [ "BTCUSDT" ], "signal": [ "BTCUSDT" ], "timeframe": "daily Binance spot bars, full cached history, 70/30 chronological split", "entry": "BTC closes more than 2% above its trailing 100-day simple moving average -> hold BTC at 100%, filled at the NEXT day's open.", "exit": "BTC closes more than 2% below its trailing 100-day simple moving average -> flat, filled at the NEXT day's open. Inside the band the previous state is carried.", "benchmarks": [], "success": "On the held-out test window, beat hold-BTC on all three gates: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Previously measured on the test years as +37.1%/yr at -22.7% DD against hold-BTC's +22.5%/yr at -49.4%.", "rule_sha": "edce99b41705fdfd", "verdict": "PASS", "tested": "2026-08-11", "result": { "idea": "btc-trend-100d", "market": "crypto", "trade": [ "BTCUSDT" ], "rule_sha": "edce99b41705fdfd", "code_sha": "a972894528c35c8b", "window": [ "2017-08-17", "2026-08-07" ], "split": "2023-11-28", "cost_per_side": 0.001, "bars": 3278, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.5189139719341062, "exposure_test": 0.5752032520325203, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 14.690717030647052, "cagr": 0.550136315241325, "max_dd_monthly": -0.5356412637187182, "max_dd": -0.6752400506696321, "sharpe": 0.8905868341011834, "mar": 0.8147270214433484 }, "hold BTCUSDT": { "total": 7.8247092049622715, "cagr": 0.4144061560021759, "max_dd_monthly": -0.7498690066958884, "max_dd": -0.8320571811248119, "sharpe": 0.44752587784800535, "mar": 0.49805009247316784 } }, "test": { "strategy": { "total": 1.301598678297974, "cagr": 0.36306987378413824, "max_dd_monthly": -0.22713669369285072, "max_dd": -0.27444668673646266, "sharpe": 0.8458563449875127, "mar": 1.3229158569976687, "excess_t_vs_primary": 0.6647804519529472 }, "hold BTCUSDT": { "total": 0.7167689413315377, "cagr": 0.22239366612391875, "max_dd_monthly": -0.4936028958887515, "max_dd": -0.5297358685620388, "sharpe": 0.4287286210467432, "mar": 0.4198199127569056 } }, "gates": { "hold BTCUSDT": { "cagr_ratio": 1.632554919895219, "mar_ratio": 3.151150807283636, "dd_ratio": 0.5180821292721686, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.25162368933828794, "cagr": -0.10210158678428949, "max_dd_monthly": -0.7590692441296061, "max_dd": -0.8017031178420488, "sharpe": -0.1360376790337208, "mar": -0.12735585594218118 }, "hold": { "total": -0.5687026779014703, "cagr": -0.2683637230126039, "max_dd_monthly": -0.8041458966071853, "max_dd": -0.8346705953899486, "sharpe": -0.43215113227428525, "mar": -0.3215205189865679 }, "gate": { "cagr_ratio": 0.3804597195109497, "mar_ratio": 0.39610490908513896, "dd_ratio": 0.9605024092977689, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.5847599865726754, "transfers": true }, "verdict": "PASS", "reads": 2 }, "notes": "SHIPPED. Binance spot only \u2014 trap 1: the same family read differently on Yahoo's composite BTC-USD feed. Registered retrospectively as a harness sanity check, same as trend3x-150d.", "reads": [ { "on": "2026-08-09", "verdict": "PASS", "code_sha": "a972894528c35c8b" }, { "on": "2026-08-11", "verdict": "PASS", "code_sha": "a972894528c35c8b" } ], "forward_test": { "started": "2026-08-13", "what": "Paper account trades this rule at a fifth of equity through the safety layer; signalcheck.py compares the recomputed signal, the live feed (yahoo BTC-USD) and the backtest feed (binance BTCUSDT) every day and halts trading on any divergence.", "is_not": "A new candidate. At 3-6 round trips a year the forward record cannot validate the edge and can never change this verdict \u2014 it tests the PLUMBING: right order on the right day, feeds in agreement, automation surviving months unattended.", "expected_quiet": "Flat for months whenever BTC sits below its band is the normal state of this record, not a failure.", "record": "../signal-btc-trend.jsonl (daily), ../orders-paper.jsonl (orders)" } }, { "id": "rsi2-connors-spy", "registered": "2026-08-09", "source": "Connors & Alvarez, 'Short Term Trading Strategies That Work' (2008), rule published with its parameters before this data existed.", "mechanism": "mean-reversion", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "2-period RSI of the close falls below 5 -> hold SPY 100% at the next open.", "exit": "The close rises above its own 5-day simple moving average -> flat at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Expected in the market well under 20% of days, so matching buy-and-hold's CAGR while sitting out 80% of the time would be the interesting result, not a failure.", "rule_sha": "adaae7ceff701987", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "rsi2-connors-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "adaae7ceff701987", "code_sha": "ff5949af99bc5eef", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.08675041479023465, "exposure_test": 0.07464454976303317, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.4540735975637507, "cagr": 0.039021689591950626, "max_dd_monthly": -0.10944604746595166, "max_dd": -0.17185827930598163, "sharpe": 0.6241883990819047, "mar": 0.227057373956801 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.40069855696010137, "cagr": 0.03403909303242325, "max_dd_monthly": -0.1369240481225199, "max_dd": -0.1384314960315578, "sharpe": 0.5872571113962818, "mar": 0.24589124591027656, "excess_t_vs_primary": -2.2464892587243277 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.22122929998623372, "mar_ratio": 0.5388490140948673, "dd_ratio": 0.41055897700368643, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.21393994809414907, "cagr": 0.019444575686696997, "max_dd_monthly": -0.09598166128688002, "max_dd": -0.09648396141704396, "sharpe": 0.4042632992107953, "mar": 0.20153168880213596 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.19467299634027452, "mar_ratio": 0.6637138027990072, "dd_ratio": 0.2933086452614086, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.2523028209556707, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "ff5949af99bc5eef" } ], "notes": "" }, { "id": "ibs-reversion-spy", "registered": "2026-08-09", "source": "Internal Bar Strength; long documented in the Connors literature and widely replicated on equity index ETFs. Uses only the day's own high/low/close.", "mechanism": "mean-reversion", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "IBS = (Close - Low) / (High - Low) closes below 0.20 -> hold SPY 100% at the next open.", "exit": "IBS closes above 0.80 -> flat at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. IBS is the purest form of the 'close near the low reverts' claim; if it fails here the whole daily-reversion family is suspect.", "rule_sha": "1fdc8e23aec640b9", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "ibs-reversion-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "1fdc8e23aec640b9", "code_sha": "a996f42426544cbf", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.377696136525243, "exposure_test": 0.3578199052132701, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 9.472874727853885, "cagr": 0.10533801198547699, "max_dd_monthly": -0.18286037761736063, "max_dd": -0.2720966521712601, "sharpe": 0.8885075819635261, "mar": 0.38713453894014205 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 1.069319538423164, "cagr": 0.07491053328538455, "max_dd_monthly": -0.12820840447770876, "max_dd": -0.22072924314519893, "sharpe": 0.7271685570982145, "mar": 0.3393774753991582, "excess_t_vs_primary": -1.9005108965581619 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.486863878086745, "mar_ratio": 0.7437158543316756, "dd_ratio": 0.654636949382039, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 1.114488341229808, "cagr": 0.07721860062327668, "max_dd_monthly": -0.12349645745074467, "max_dd": -0.1809216551822751, "sharpe": 0.7719370644921933, "mar": 0.42680684379921474 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.7730884231544666, "mar_ratio": 1.4056230811261694, "dd_ratio": 0.5499969611590874, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "exposure": 0.7582037996545768, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "a996f42426544cbf" } ], "notes": "" }, { "id": "bollinger-reversion-spy", "registered": "2026-08-09", "source": "Bollinger (1980s), the standard 20-day / 2 standard deviation band, used in its original mean-reversion sense rather than as a breakout.", "mechanism": "mean-reversion", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Close falls below (20-day SMA - 2 x 20-day standard deviation of closes) -> hold SPY at the next open.", "exit": "Close rises back above the 20-day SMA -> flat at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Direct comparator for rsi2: same mechanism, different trigger. If one passes and the other fails, the edge is the trigger, not the mechanism.", "rule_sha": "ba08ebbc903fb87e", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "bollinger-reversion-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "ba08ebbc903fb87e", "code_sha": "95509aa7605f9ee9", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.18630007110689736, "exposure_test": 0.17180094786729858, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.5179989243323035, "cagr": 0.04016158319635177, "max_dd_monthly": -0.28129830138883594, "max_dd": -0.3678313054568275, "sharpe": 0.41459802525873996, "mar": 0.10918478824545168 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.7798060488196641, "cagr": 0.05893778120189763, "max_dd_monthly": -0.1749862556842926, "max_dd": -0.2888792194228105, "sharpe": 0.7455823687323638, "mar": 0.20402222534267825, "excess_t_vs_primary": -2.0637686997526115 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.3830526290937836, "mar_ratio": 0.4470967421892607, "dd_ratio": 0.8567555809468043, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.8464379795523689, "cagr": 0.06281093119359626, "max_dd_monthly": -0.08010156307417049, "max_dd": -0.23462173171843126, "sharpe": 1.2320699596963725, "mar": 0.26771148066103034 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.6288433533031891, "mar_ratio": 0.8816668283712715, "dd_ratio": 0.7132437481683068, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.42299942429476106, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "95509aa7605f9ee9" } ], "notes": "" }, { "id": "three-down-days-spy", "registered": "2026-08-09", "source": "The simplest published short-term reversal filter (Connors' 'streak' rules). Chosen because it has one parameter and cannot be quietly tuned.", "mechanism": "mean-reversion", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Three consecutive lower closes -> hold SPY 100% at the next open.", "exit": "The first higher close after entry -> flat at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. One parameter total. A failure here is evidence about the mechanism rather than about a parameter choice.", "rule_sha": "596592ff48193b5a", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "three-down-days-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "596592ff48193b5a", "code_sha": "f306a2ecf65a70a5", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.08449869637354823, "exposure_test": 0.08214849921011058, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.312848671402019, "cagr": 0.036399171482653925, "max_dd_monthly": -0.06971244540021082, "max_dd": -0.17185827930598163, "sharpe": 0.6831331234328583, "mar": 0.21179760224322827 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.26341370883387416, "cagr": 0.023497764115480324, "max_dd_monthly": -0.19310649322273243, "max_dd": -0.19310649322273243, "sharpe": 0.4404104180791054, "mar": 0.12168293112949645, "excess_t_vs_primary": -2.499127736273632 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.15271834362794948, "mar_ratio": 0.26665742909460155, "dd_ratio": 0.5727136279176002, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": -0.05258410985808515, "cagr": -0.0053513500413654436, "max_dd_monthly": -0.11608511248745457, "max_dd": -0.1429366024533677, "sharpe": -0.12063800872920065, "mar": -0.03743862628266467 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": -0.053576039086879385, "mar_ratio": -0.12329839128195141, "dd_ratio": 0.4345234234594747, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.25359815774323546, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "f306a2ecf65a70a5" } ], "notes": "" }, { "id": "btc-3day-drop-reversion", "registered": "2026-08-09", "source": "Short-horizon reversal (Lehmann 1990; Jegadeesh 1990) applied out-of-sample to an asset class those papers never saw.", "mechanism": "mean-reversion", "market": "crypto", "trade": [ "BTCUSDT" ], "signal": [ "BTCUSDT" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "BTC's trailing 3-day return closes below -10% -> hold BTC 100% at the next open.", "exit": "Exactly 5 trading days after entry, unconditionally, at that day's open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. A stock-market effect tested on crypto is a genuine out-of-sample check of the mechanism, not a re-run of the original study.", "rule_sha": "d08de5c6083acd95", "verdict": "FAIL (lost money in the train window: -6.4%/yr \u2014 a rule that only works in the test half is a coin flip)", "tested": "2026-08-09", "result": { "idea": "btc-3day-drop-reversion", "market": "crypto", "trade": [ "BTCUSDT" ], "rule_sha": "d08de5c6083acd95", "code_sha": "d0e0e69864f308cf", "window": [ "2017-08-17", "2026-08-07" ], "split": "2023-11-28", "cost_per_side": 0.001, "bars": 3278, "exposure": 0.11439902379499695, "exposure_test": 0.04065040650406504, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": -0.33997482957039626, "cagr": -0.06401157943270186, "max_dd_monthly": -0.6354854233863272, "max_dd": -0.6481555878218483, "sharpe": -0.2310201142634256, "mar": -0.09875958895581727 }, "hold BTCUSDT": { "total": 7.8247092049622715, "cagr": 0.4144061560021759, "max_dd_monthly": -0.7498690066958884, "max_dd": -0.8320571811248119, "sharpe": 0.44752587784800535, "mar": 0.49805009247316784 } }, "test": { "strategy": { "total": -0.07393565279314263, "cagr": -0.028137175668866532, "max_dd_monthly": -0.16435928122176768, "max_dd": -0.2613840780084864, "sharpe": -0.29040385267841634, "mar": -0.10764686159634022, "excess_t_vs_primary": -0.8280824869577325 }, "hold BTCUSDT": { "total": 0.7167689413315377, "cagr": 0.22239366612391875, "max_dd_monthly": -0.4936028958887515, "max_dd": -0.5297358685620388, "sharpe": 0.4287286210467432, "mar": 0.4198199127569056 } }, "gates": { "hold BTCUSDT": { "cagr_ratio": -0.12651968088510385, "mar_ratio": -0.2564119955374116, "dd_ratio": 0.49342340876031315, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": 0.15861767594175924, "cagr": 0.05622885114519871, "max_dd_monthly": -0.18324404747132184, "max_dd": -0.29216855843940626, "sharpe": 0.20705539285610797, "mar": 0.19245346400564245 }, "hold": { "total": -0.5687026779014703, "cagr": -0.2683637230126039, "max_dd_monthly": -0.8041458966071853, "max_dd": -0.8346705953899486, "sharpe": -0.43215113227428525, "mar": -0.3215205189865679 }, "gate": { "cagr_ratio": -0.2095247841771739, "mar_ratio": -0.5985728830379331, "dd_ratio": 0.350040554984339, "cagr_ok": true, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.3934206109432696, "transfers": true }, "verdict": "FAIL (lost money in the train window: -6.4%/yr \u2014 a rule that only works in the test half is a coin flip)", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL (lost money in the train window: -6.4%/yr \u2014 a rule that only works in the test half is a coin flip)", "code_sha": "d0e0e69864f308cf" } ], "notes": "" }, { "id": "vol-spike-reversion-spy", "registered": "2026-08-09", "source": "The volatility-shock reversal documented around panic episodes; the fixed holding period is taken from the published form rather than optimised.", "mechanism": "mean-reversion", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "SPY's 10-day realised volatility closes above its own 95th percentile of the trailing 2 years AND the close is below its 20-day SMA -> hold SPY at the next open.", "exit": "Exactly 10 trading days after entry, unconditionally, at that day's open.", "benchmarks": [ "QQQ" ], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Expected in the market under 15% of days; a CAGR anywhere near buy-and-hold on that exposure would be the notable part.", "rule_sha": "139d6be90ce4ee1b", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "vol-spike-reversion-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "139d6be90ce4ee1b", "code_sha": "0885f1b13c317cab", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.0912538516236075, "exposure_test": 0.0750394944707741, "dropped_benchmarks": [ "QQQ" ], "notes": [], "train": { "strategy": { "total": 0.751291628473743, "cagr": 0.02418092919387549, "max_dd_monthly": -0.22144503535130045, "max_dd": -0.3562112360797881, "sharpe": 0.3481091196198386, "mar": 0.06788367896530692 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": -0.012720822707328217, "cagr": -0.001270903923405453, "max_dd_monthly": -0.12922527769883763, "max_dd": -0.28324291702104964, "sharpe": -0.0346555629889877, "mar": -0.004486975126410677, "excess_t_vs_primary": -3.1980534947618433 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": -0.008259949378114511, "mar_ratio": -0.00983281090054267, "dd_ratio": 0.8400394822663217, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.11945913219271942, "cagr": 0.011272436036430022, "max_dd_monthly": -0.1192380345566384, "max_dd": -0.2898745140137774, "sharpe": 0.19223885160856408, "mar": 0.03888729602456274 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.11285609594285183, "mar_ratio": 0.12806936357474566, "dd_ratio": 0.881210718885045, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.15961427748992515, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "0885f1b13c317cab" } ], "notes": "" }, { "id": "vn-3day-drop-reversion", "registered": "2026-08-09", "source": "Short-horizon reversal applied to HOSE, where the +/-7% daily price band mechanically truncates moves and may change how reversal behaves.", "mechanism": "mean-reversion", "market": "vn", "trade": [ "FPT_VN", "HPG_VN", "MWG_VN", "SSI_VN", "VCB_VN", "VIC_VN", "VNM_VN" ], "signal": [ "FPT_VN", "HPG_VN", "MWG_VN", "SSI_VN", "VCB_VN", "VIC_VN", "VNM_VN" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Any basket name whose trailing 3-day return closes below -8% is bought at the next open; capital split equally across all names currently held.", "exit": "Each position is closed exactly 5 sessions after entry, at that day's open. (5 sessions is deliberately outside HOSE's T+2.5 settlement, so no position is sold before it settles.)", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. HOSE costs 50bp per side, so a 5-session round trip pays 1% \u2014 the effect must be large to survive, and that is the point of testing it here.", "rule_sha": "1e836969fa44b575", "verdict": "REJECTED (114 T+3 settlement violations \u2014 the rule sells stock it could not yet have delivered on HOSE)", "tested": "2026-08-09", "result": { "idea": "vn-3day-drop-reversion", "market": "vn", "trade": [ "FPT_VN", "HPG_VN", "MWG_VN", "SSI_VN", "VCB_VN", "VIC_VN", "VNM_VN" ], "rule_sha": "1e836969fa44b575", "code_sha": "2b7ed8f8dd81336b", "violations": 114, "window": [ "2014-07-14", "2026-08-07" ], "split": "2023-01-03", "verdict": "REJECTED (114 T+3 settlement violations \u2014 the rule sells stock it could not yet have delivered on HOSE)", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "REJECTED (114 T+3 settlement violations \u2014 the rule sells stock it could not yet have delivered on HOSE)", "code_sha": "2b7ed8f8dd81336b" } ], "notes": "" }, { "id": "turn-of-month-spy", "registered": "2026-08-09", "source": "Ariel (1987), 'A Monthly Effect in Stock Returns', JFE; Lakonishok & Smidt (1988), RFS. Documented decades before this data and repeatedly replicated since.", "mechanism": "seasonality", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold SPY from the close of the LAST trading day of each month, filled at the next open.", "exit": "Flat at the open following the 3rd trading day of the new month.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. In the market roughly 20% of days. The published claim is that a large share of the index's total return accrues in this window.", "rule_sha": "16a4db8b74bd623d", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "turn-of-month-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "16a4db8b74bd623d", "code_sha": "cb69dd7cfb407096", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.14328039819862526, "exposure_test": 0.14336492890995262, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.0070419807702078, "cagr": 0.030150926698326863, "max_dd_monthly": -0.19388364225673738, "max_dd": -0.23995365692918036, "sharpe": 0.4589558094510496, "mar": 0.12565312437486864 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.21282487529315897, "cagr": 0.019351519350493396, "max_dd_monthly": -0.10860437882823537, "max_dd": -0.10860437882823537, "sharpe": 0.27801877110270273, "mar": 0.17818360142825398, "excess_t_vs_primary": -2.7776555464779222 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.12577077407737663, "mar_ratio": 0.3904736730339806, "dd_ratio": 0.3220979614326817, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.17094107407348225, "cagr": 0.015799135448313573, "max_dd_monthly": -0.12041025560571239, "max_dd": -0.1336945938413151, "sharpe": 0.28970297866736006, "mar": 0.11817333068131308 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.15817599143668973, "mar_ratio": 0.3891857958523077, "dd_ratio": 0.40642796608310955, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.1436384571099597, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "cb69dd7cfb407096" } ], "notes": "" }, { "id": "halloween-spy", "registered": "2026-08-09", "source": "Bouman & Jacobsen (2002), 'The Halloween Indicator, Sell in May and Go Away', American Economic Review \u2014 tested across 37 markets, which is unusually strong prior evidence.", "mechanism": "seasonality", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold SPY 100% from the first trading day of November, filled at the next open.", "exit": "Flat at the first open in May.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Roughly half the year in cash, so the drawdown gate should be easy and the CAGR gate hard \u2014 the honest test is whether it keeps up on return.", "rule_sha": "b8c4495fe0b26aed", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "halloween-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "b8c4495fe0b26aed", "code_sha": "263f76c162c62067", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.4908746148376393, "exposure_test": 0.48696682464454977, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 3.582572552905284, "cagr": 0.06706131513232227, "max_dd_monthly": -0.298133592593683, "max_dd": -0.35884485578452996, "sharpe": 0.677077020325067, "mar": 0.18688108259405994 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.8804652228508585, "cagr": 0.06474053110595546, "max_dd_monthly": -0.19451384524007276, "max_dd": -0.3372333113223268, "sharpe": 0.5244614228351616, "mar": 0.19197549272965092, "excess_t_vs_primary": -2.5709468919008778 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.42076627493173524, "mar_ratio": 0.420697388411685, "dd_ratio": 1.0001637436360382, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.7358806474344566, "cagr": 0.056312436743466865, "max_dd_monthly": -0.18681770517648166, "max_dd": -0.32441954859790734, "sharpe": 0.5147605405098427, "mar": 0.1735790490642157 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.5637824639996061, "mar_ratio": 0.5716560577912698, "dd_ratio": 0.9862266940333225, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.4925158318940702, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "263f76c162c62067" } ], "notes": "" }, { "id": "santa-rally-spy", "registered": "2026-08-09", "source": "The turn-of-year effect (Keim 1983; Roll 1983), in its narrow published window.", "mechanism": "seasonality", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold SPY from the close of the 5th-from-last trading day of December, at the next open.", "exit": "Flat at the open following the 2nd trading day of January.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. In the market ~3% of days, which will trip the harness's MIN_EXPOSURE floor and be reported INVALID. Registered deliberately: the floor is a real limit of this programme and the ledger should show which ideas it cannot judge.", "rule_sha": "4e7f400b89de36d7", "verdict": "INVALID (in the market only 2.4% of the test window \u2014 that is cash, not a strategy)", "tested": "2026-08-09", "result": { "idea": "santa-rally-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "4e7f400b89de36d7", "code_sha": "88317a693d37f794", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.023465276131784785, "exposure_test": 0.023696682464454975, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.10273664787941961, "cagr": 0.004178634591269548, "max_dd_monthly": -0.0677849917375507, "max_dd": -0.0677849917375507, "sharpe": 0.16373180744871305, "mar": 0.061645424512971045 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.026299788242077682, "cagr": 0.0025820200372157487, "max_dd_monthly": -0.05797629720627162, "max_dd": -0.06126834176976059, "sharpe": 0.11062360838514766, "mar": 0.04214280920020137, "excess_t_vs_primary": -2.8090140663969407 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.016781248690720597, "mar_ratio": 0.0923522555862065, "dd_ratio": 0.18170913730478502, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.03388859392691823, "cagr": 0.003315982559398467, "max_dd_monthly": -0.029677626734782803, "max_dd": -0.031904023482278276, "sharpe": 0.1741292113619391, "mar": 0.10393618727244215 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.03319857789912241, "mar_ratio": 0.34229794089975996, "dd_ratio": 0.09698737249735437, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.024179620034542316, "transfers": null }, "verdict": "INVALID (in the market only 2.4% of the test window \u2014 that is cash, not a strategy)", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "INVALID (in the market only 2.4% of the test window \u2014 that is cash, not a strategy)", "code_sha": "88317a693d37f794" } ], "notes": "" }, { "id": "january-smallcap-iwm", "registered": "2026-08-09", "source": "Keim (1983), 'Size-related anomalies and stock return seasonality', JFE \u2014 the January effect is specifically a small-cap phenomenon, so it is tested on small caps.", "mechanism": "seasonality", "market": "us", "trade": [ "IWM" ], "signal": [ "IWM" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold IWM 100% through the whole of January, entered at the first open of the month.", "exit": "Flat at the first open in February.", "benchmarks": [ "SPY" ], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. In the market ~8% of days. Also the cleanest test of whether the effect survived being published in 1983.", "rule_sha": "571abb444e775b3d", "verdict": "FAIL (lost money in the train window: -1.1%/yr \u2014 a rule that only works in the test half is a coin flip)", "tested": "2026-08-09", "result": { "idea": "january-smallcap-iwm", "market": "us", "trade": [ "IWM" ], "rule_sha": "571abb444e775b3d", "code_sha": "0a54e1b3dee918f6", "window": [ "2000-05-26", "2026-08-07" ], "split": "2018-09-25", "cost_per_side": 0.0002, "bars": 6588, "exposure": 0.07999392835458409, "exposure_test": 0.0819423368740516, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": -0.17766317110958352, "cagr": -0.01061305279590552, "max_dd_monthly": -0.2653003685847478, "max_dd": -0.2826386627152466, "sharpe": -0.2150718298098603, "mar": -0.03754989743423029 }, "hold IWM": { "total": 3.657781622915218, "cagr": 0.08754564774451046, "max_dd_monthly": -0.5247817228167699, "max_dd": -0.5864589306950609, "sharpe": 0.43552338009497715, "mar": 0.14927839472195073 }, "hold SPY": { "total": 1.9400310780325665, "cagr": 0.06058974177794174, "max_dd_monthly": -0.5079299557208345, "max_dd": -0.5519821127935782, "sharpe": 0.40128018053129255, "mar": 0.10976758190822057 } }, "test": { "strategy": { "total": 0.13902984578403932, "cagr": 0.016687341233130537, "max_dd_monthly": -0.1006427150677448, "max_dd": -0.17145276271312115, "sharpe": 0.23001604270898052, "mar": 0.09732908918506139, "excess_t_vs_primary": -0.896572739636693 }, "hold IWM": { "total": 0.9584057398118995, "cagr": 0.08920630511662186, "max_dd_monthly": -0.30682569822562755, "max_dd": -0.410741102688464, "sharpe": 0.37492259879099044, "mar": 0.2171837795943262 }, "hold SPY": { "total": 1.9904406341857452, "cagr": 0.14942629074064384, "max_dd_monthly": -0.23928101773572863, "max_dd": -0.3371920558404863, "sharpe": 0.8206738117364422, "mar": 0.4431489062462734 } }, "gates": { "hold IWM": { "cagr_ratio": 0.18706459382343787, "mar_ratio": 0.4481416124485019, "dd_ratio": 0.4174229498603733, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold SPY": { "cagr_ratio": 0.1116760721986629, "mar_ratio": 0.21963066547877746, "dd_ratio": 0.5084721295872683, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.08254419619630404, "cagr": 0.010134350136863812, "max_dd_monthly": -0.07166347576747623, "max_dd": -0.11490146320678041, "sharpe": 0.234872665524888, "mar": 0.08820035754136313 }, "hold": { "total": 1.109067057164356, "cagr": 0.099517719246488, "max_dd_monthly": -0.20295780651519568, "max_dd": -0.32718481023412904, "sharpe": 0.6059775615238188, "mar": 0.3041636290366734 }, "gate": { "cagr_ratio": 0.10183463019045681, "mar_ratio": 0.28997667413656714, "dd_ratio": 0.3511821441972152, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.07999392835458409, "transfers": false }, "verdict": "FAIL (lost money in the train window: -1.1%/yr \u2014 a rule that only works in the test half is a coin flip)", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL (lost money in the train window: -1.1%/yr \u2014 a rule that only works in the test half is a coin flip)", "code_sha": "0a54e1b3dee918f6" } ], "notes": "" }, { "id": "turn-of-month-btc", "registered": "2026-08-09", "source": "Ariel (1987) applied out-of-sample to an asset class with no monthly salary flows, pension contributions or fund-reporting cycle \u2014 the mechanisms usually credited for it.", "mechanism": "seasonality", "market": "crypto", "trade": [ "BTCUSDT" ], "signal": [ "BTCUSDT" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold BTC from the close of the last calendar day of each month, at the next open.", "exit": "Flat at the open following the 3rd day of the new month.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. This is a mechanism test disguised as a strategy: if turn-of-month is about institutional cash flows it should NOT appear here, and a pass would be a puzzle.", "rule_sha": "d6f293188acaed7b", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "turn-of-month-btc", "market": "crypto", "trade": [ "BTCUSDT" ], "rule_sha": "d6f293188acaed7b", "code_sha": "c14b3d9fd6cd2089", "window": [ "2017-08-17", "2026-08-07" ], "split": "2023-11-28", "cost_per_side": 0.001, "bars": 3278, "exposure": 0.09884075655887736, "exposure_test": 0.10060975609756098, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.3844268940501578, "cagr": 0.1483835701943228, "max_dd_monthly": -0.27377519064590716, "max_dd": -0.2963087488380892, "sharpe": 0.7091254007237179, "mar": 0.5007735032332894 }, "hold BTCUSDT": { "total": 7.8247092049622715, "cagr": 0.4144061560021759, "max_dd_monthly": -0.7498690066958884, "max_dd": -0.8320571811248119, "sharpe": 0.44752587784800535, "mar": 0.49805009247316784 } }, "test": { "strategy": { "total": -0.006552251551562582, "cagr": -0.0024396283660353957, "max_dd_monthly": -0.2137175568364149, "max_dd": -0.22403112270504588, "sharpe": -0.015891282726342906, "mar": -0.010889685042766818, "excess_t_vs_primary": -0.7801063669602047 }, "hold BTCUSDT": { "total": 0.7167689413315377, "cagr": 0.22239366612391875, "max_dd_monthly": -0.4936028958887515, "max_dd": -0.5297358685620388, "sharpe": 0.4287286210467432, "mar": 0.4198199127569056 } }, "gates": { "hold BTCUSDT": { "cagr_ratio": -0.010969864423548931, "mar_ratio": -0.025938943608595406, "dd_ratio": 0.422910993950958, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.09222493938856424, "cagr": -0.03531368253548506, "max_dd_monthly": -0.37330338066896696, "max_dd": -0.38930375339480805, "sharpe": -0.12944527722622, "mar": -0.09070984347708583 }, "hold": { "total": -0.5687026779014703, "cagr": -0.2683637230126039, "max_dd_monthly": -0.8041458966071853, "max_dd": -0.8346705953899486, "sharpe": -0.43215113227428525, "mar": -0.3215205189865679 }, "gate": { "cagr_ratio": 0.13158888294982599, "mar_ratio": 0.2821276967423513, "dd_ratio": 0.46641603950709415, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.0986908358509567, "transfers": true }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "c14b3d9fd6cd2089" } ], "notes": "" }, { "id": "monday-effect-spy", "registered": "2026-08-09", "source": "French (1980), 'Stock returns and the weekend effect', JFE. Registered with a warning: this is the closest published idea to the calendar-noise attack that broke this harness (a random weekday on SOLUSDT once scored PASS), so it is the control case.", "mechanism": "seasonality", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold SPY through each Monday session, decided at Friday's close and filled at Monday's open.", "exit": "Flat at Tuesday's open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Expected to FAIL. It is here as a calibration check: if a 1980 weekday effect now passes this harness, the harness is still too easy to clear.", "rule_sha": "1803a1edf7b824c5", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "monday-effect-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "1803a1edf7b824c5", "code_sha": "fb3ceacad974ba3e", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.1879592320455084, "exposure_test": 0.1868088467614534, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.08619613040406882, "cagr": 0.0035317331254511863, "max_dd_monthly": -0.29202441873246054, "max_dd": -0.31366561447963004, "sharpe": 0.045079205538787366, "mar": 0.011259548265468362 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.8857441666330159, "cagr": 0.06503706456643887, "max_dd_monthly": -0.11285012487378598, "max_dd": -0.1306209904256368, "sharpe": 0.824430306971384, "mar": 0.4979066867776111, "excess_t_vs_primary": -1.488060840473045 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.42269352633713414, "mar_ratio": 1.0911186621879845, "dd_ratio": 0.3873946445838629, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.3826649229489263, "cagr": 0.032708934298058434, "max_dd_monthly": -0.13078748483384162, "max_dd": -0.1328399380959827, "sharpe": 0.43477722336576907, "mar": 0.24622816576762319 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.3274715966806396, "mar_ratio": 0.8109148155767423, "dd_ratio": 0.4038298356255013, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.18753598157743234, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "fb3ceacad974ba3e" } ], "notes": "" }, { "id": "halloween-sectors", "registered": "2026-08-09", "source": "Bouman & Jacobsen (2002) applied across the basket rather than the index, to see whether the effect is index-wide or concentrated in a few sectors.", "mechanism": "seasonality", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold all 12 basket names equally from the first trading day of November, at the next open.", "exit": "Flat at the first open in May.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Paired with halloween-spy on purpose: if the index version passes and the basket version does not, the effect lives in something other than seasonality.", "rule_sha": "9f08f1c6ba758c5a", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "halloween-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "9f08f1c6ba758c5a", "code_sha": "8bf0f856ecfb488c", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.48593829896028634, "exposure_test": 0.49119818285065303, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 2.1788054878699015, "cagr": 0.07347232929652647, "max_dd_monthly": -0.2952473860820275, "max_dd": -0.3575163901204881, "sharpe": 0.7108777111240054, "mar": 0.2055075832237097 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, "cagr": 0.13620298350578786, "max_dd_monthly": -0.4974442952738466, "max_dd": -0.534089585114746, "sharpe": 0.7238635393608474, "mar": 0.25501898427119757 }, "hold IWM": { "total": 3.9400557353120114, "cagr": 0.10288092826111361, "max_dd_monthly": -0.524773110359257, "max_dd": -0.5864493956190976, "sharpe": 0.5088742497068914, "mar": 0.17543018891255777 }, "hold DIA": { "total": 3.5691783745065564, "cagr": 0.09761693909652247, "max_dd_monthly": -0.470377631103023, "max_dd": -0.5187389652528842, "sharpe": 0.7086753339600276, "mar": 0.18818123494720396 }, "hold MDY": { "total": 4.4401570006909274, "cagr": 0.10942006975775764, "max_dd_monthly": -0.4972761723587422, "max_dd": -0.5533322150368457, "sharpe": 0.6150901862662903, "mar": 0.19774751367127882 }, "hold EFA": { "total": 2.041965756925882, "cagr": 0.07058056427028236, "max_dd_monthly": -0.5737855338151402, "max_dd": -0.6104154358501126, "sharpe": 0.3926326947963405, "mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, "mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 0.5010050352278428, "cagr": 0.05970537416528088, "max_dd_monthly": -0.24404562430060794, "max_dd": -0.36757036190538206, "sharpe": 0.42954331237960297, "mar": 0.16243250368660003, "excess_t_vs_primary": -2.2614678554257295 }, "hold SPY": { "total": 1.975860747016645, "cagr": 0.1684923706540864, "max_dd_monthly": -0.23927782234709005, "max_dd": -0.3371855307317745, "sharpe": 0.9276503753013849, "mar": 0.4997022567617805 }, "hold QQQ": { "total": 3.1156537088152456, "cagr": 0.2238665971377245, "max_dd_monthly": -0.3257736254786545, "max_dd": -0.3511912164099559, "sharpe": 0.9744086992067448, "mar": 0.6374493058972136 }, "hold IWM": { "total": 1.2024589904520675, "cagr": 0.11934224539863791, "max_dd_monthly": -0.3064483583547086, "max_dd": -0.41073829870821266, "sharpe": 0.5059797376644425, "mar": 0.2905554358431482 }, "hold DIA": { "total": 1.3568141656509494, "cagr": 0.13022092240528216, "max_dd_monthly": -0.22625605038261376, "max_dd": -0.3669748273064145, "sharpe": 0.7392724623203809, "mar": 0.3548497409511717 }, "hold MDY": { "total": 1.251079688869004, "cagr": 0.12283761415072036, "max_dd_monthly": -0.2964485063858351, "max_dd": -0.4222381727776596, "sharpe": 0.577688916578942, "mar": 0.290920201133505 }, "hold EFA": { "total": 1.1332105501242014, "cagr": 0.11424796102690227, "max_dd_monthly": -0.2762376639125026, "max_dd": -0.33932056686056844, "sharpe": 0.6537453247696157, "mar": 0.336696245924428 }, "hold EEM": { "total": 0.9430099167659491, "cagr": 0.09948821475140024, "max_dd_monthly": -0.36550439363642384, "max_dd": -0.3982344140247792, "sharpe": 0.5129962687548624, "mar": 0.2498232479355986 }, "hold XLK": { "total": 4.185477257231366, "cagr": 0.264919179221359, "max_dd_monthly": -0.31211492511307815, "max_dd": -0.33559511328300295, "sharpe": 1.021273700104359, "mar": 0.7894011823645243 }, "hold XLF": { "total": 1.4218441855466657, "cagr": 0.1346220296004892, "max_dd_monthly": -0.31787778912566256, "max_dd": -0.4286610516399586, "sharpe": 0.6204228029708991, "mar": 0.3140523942762149 }, "hold XLE": { "total": 1.6935334534949233, "cagr": 0.15197905906521592, "max_dd_monthly": -0.505184512119967, "max_dd": -0.6060760794050055, "sharpe": 0.4315798731539802, "mar": 0.25075904532384147 }, "hold XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 0.3543506090721198, "mar_ratio": 0.32505857535887683, "dd_ratio": 1.0901130932506655, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold QQQ": { "cagr_ratio": 0.2667006821412918, "mar_ratio": 0.25481634725129293, "dd_ratio": 1.0466388244639533, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 0.5002870020238643, "mar_ratio": 0.5590413520065296, "dd_ratio": 0.8949016029462181, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 0.4584929446242276, "mar_ratio": 0.4577500979744302, "dd_ratio": 1.001622821388973, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 0.4860512358374452, "mar_ratio": 0.5583404076228409, "dd_ratio": 0.870528496955522, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 0.5225946583958894, "mar_ratio": 0.48243039728770326, "dd_ratio": 1.0832540016839647, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 0.6001250933537388, "mar_ratio": 0.6501897042363054, "dd_ratio": 0.922999994376455, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.2253720336170631, "mar_ratio": 0.20576673472930404, "dd_ratio": 1.0952792438172805, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 0.4435037440934847, "mar_ratio": 0.5172146643267991, "dd_ratio": 0.8574848601223329, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLE": { "cagr_ratio": 0.39285263728117065, "mar_ratio": 0.647763287967648, "dd_ratio": 0.606475613203926, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold XLV": { "cagr_ratio": 0.5435348767300636, "mar_ratio": 0.42003740416250473, "dd_ratio": 1.2940154170645717, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 0.3814963246485631, "mar_ratio": 0.43939504475227154, "dd_ratio": 0.8682308305585207, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.38065047961517706, "mar_ratio": 0.3847893935756369, "dd_ratio": 0.9892436901079857, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.3571816586013803, "mar_ratio": 0.3448355740187647, "dd_ratio": 1.035802815929727, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.4234436643885411, "cagr": 0.05170769201923364, "max_dd_monthly": -0.186817705176482, "max_dd": -0.3244195485979071, "sharpe": 0.4297704200749519, "mar": 0.15938525357891217 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.50465726077739, "mar_ratio": 0.5081382630450328, "dd_ratio": 0.993149497841822, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.48593829896028634, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "8bf0f856ecfb488c" } ], "notes": "" }, { "id": "vol-managed-spy", "registered": "2026-08-09", "source": "Moreira & Muir (2017), 'Volatility-Managed Portfolios', Journal of Finance. The claim is explicitly that scaling by inverse realised volatility raises risk-adjusted return.", "mechanism": "volatility", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, set SPY weight = min(1.0, 0.12 / annualised 21-day realised volatility of daily closes), filled at the next open. Capped at 1.0 so no leverage is used.", "exit": "The weight is replaced at the next month end; the rule is never fully flat unless the volatility target implies a weight of zero.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. The 12% target is the paper's order of magnitude, not a fitted value, and the 1.0 cap is mine because the simulator charges no borrow cost. Both stated in advance.", "rule_sha": "77d7ae01e76e2363", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "vol-managed-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "77d7ae01e76e2363", "code_sha": "9c90b7cada2eaddc", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.9950225171841669, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 4.499181651934923, "cagr": 0.07538987474304748, "max_dd_monthly": -0.3149922238448818, "max_dd": -0.33488203177268083, "sharpe": 0.7405753064427419, "mar": 0.22512367816205323 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 2.044449287696754, "cagr": 0.11693708446622564, "max_dd_monthly": -0.14922025080890056, "max_dd": -0.22514701257753833, "sharpe": 0.9903162665396122, "mar": 0.5193810174405654, "excess_t_vs_primary": -1.5336649496218056 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.7600058354742979, "mar_ratio": 1.1381777669692195, "dd_ratio": 0.6677391331391657, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.8371430061051737, "cagr": 0.06227826810573345, "max_dd_monthly": -0.1300904326772171, "max_dd": -0.21584423621515125, "sharpe": 0.621237530567691, "mar": 0.2885333849899755 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.6235104974453438, "mar_ratio": 0.9502405866016687, "dd_ratio": 0.6561606673476189, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.9964018422567645, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "9c90b7cada2eaddc" } ], "notes": "" }, { "id": "vol-managed-btc", "registered": "2026-08-09", "source": "Moreira & Muir (2017) applied out-of-sample to crypto. Prior evidence in this repo: inverse-vol sizing helped crypto's drawdown far more than its return.", "mechanism": "volatility", "market": "crypto", "trade": [ "BTCUSDT" ], "signal": [ "BTCUSDT" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, set BTC weight = min(1.0, 0.40 / annualised 21-day realised volatility), filled at the next open.", "exit": "Weight replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. A 40% target for an asset that routinely runs at 80% volatility means this spends most of its life at part size; the drawdown gate is where it should win.", "rule_sha": "5abfa492489973fd", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "vol-managed-btc", "market": "crypto", "trade": [ "BTCUSDT" ], "rule_sha": "5abfa492489973fd", "code_sha": "d3ac056b3c480986", "window": [ "2017-08-17", "2026-08-07" ], "split": "2023-11-28", "cost_per_side": 0.001, "bars": 3278, "exposure": 0.9865771812080537, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 4.454346044465818, "cagr": 0.31009850893875357, "max_dd_monthly": -0.6634245439307696, "max_dd": -0.7039297938921079, "sharpe": 0.48814213951127794, "mar": 0.4405247677104043 }, "hold BTCUSDT": { "total": 7.8247092049622715, "cagr": 0.4144061560021759, "max_dd_monthly": -0.7498690066958884, "max_dd": -0.8320571811248119, "sharpe": 0.44752587784800535, "mar": 0.49805009247316784 } }, "test": { "strategy": { "total": 0.7948730622370408, "cagr": 0.24276914221823365, "max_dd_monthly": -0.49368159354810626, "max_dd": -0.5298142998230742, "sharpe": 0.47834444436135065, "mar": 0.4582155338187433, "excess_t_vs_primary": 0.6499640175187479 }, "hold BTCUSDT": { "total": 0.7167689413315377, "cagr": 0.22239366612391875, "max_dd_monthly": -0.4936028958887515, "max_dd": -0.5297358685620388, "sharpe": 0.4287286210467432, "mar": 0.4198199127569056 } }, "gates": { "hold BTCUSDT": { "cagr_ratio": 1.0916189586216074, "mar_ratio": 1.0914573603945996, "dd_ratio": 1.0001480572974004, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.2683043755445649, "cagr": -0.10959062271007891, "max_dd_monthly": -0.6168225571947195, "max_dd": -0.6526312362945199, "sharpe": -0.2249107639550756, "mar": -0.16792120360696736 }, "hold": { "total": -0.5687026779014703, "cagr": -0.2683637230126039, "max_dd_monthly": -0.8041458966071853, "max_dd": -0.8346705953899486, "sharpe": -0.43215113227428525, "mar": -0.3215205189865679 }, "gate": { "cagr_ratio": 0.4083660096820609, "mar_ratio": 0.5222721216557334, "dd_ratio": 0.7819027528933352, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9835515273581739, "transfers": true }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "d3ac056b3c480986" } ], "notes": "" }, { "id": "low-vol-sectors", "registered": "2026-08-09", "source": "Baker, Bradley & Wurgler (2011), 'Benchmarks as Limits to Arbitrage', FAJ; Frazzini & Pedersen (2014), 'Betting Against Beta', JFE. Low-risk assets have historically earned MORE per unit of risk, which is exactly this programme's success axis.", "mechanism": "volatility", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 12 basket names by trailing 60-day realised volatility and hold the 4 LOWEST equally, filled at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. The one idea in the queue whose published claim is stated in the same units as the bar: better return per unit of risk, not better return.", "rule_sha": "c5349e2a9f0b2726", "verdict": "MIXED", "tested": "2026-08-09", "result": { "idea": "low-vol-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "c5349e2a9f0b2726", "code_sha": "d55e7856caae0008", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 3.344485698561586, "cagr": 0.094229089754019, "max_dd_monthly": -0.4816222237544472, "max_dd": -0.515434354725211, "sharpe": 0.6906128526553879, "mar": 0.1828149188935117 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, "cagr": 0.13620298350578786, "max_dd_monthly": -0.4974442952738466, "max_dd": -0.534089585114746, "sharpe": 0.7238635393608474, "mar": 0.25501898427119757 }, "hold IWM": { "total": 3.9400557353120114, "cagr": 0.10288092826111361, "max_dd_monthly": -0.524773110359257, "max_dd": -0.5864493956190976, "sharpe": 0.5088742497068914, "mar": 0.17543018891255777 }, "hold DIA": { "total": 3.5691783745065564, "cagr": 0.09761693909652247, "max_dd_monthly": -0.470377631103023, "max_dd": -0.5187389652528842, "sharpe": 0.7086753339600276, "mar": 0.18818123494720396 }, "hold MDY": { "total": 4.4401570006909274, "cagr": 0.10942006975775764, "max_dd_monthly": -0.4972761723587422, "max_dd": -0.5533322150368457, "sharpe": 0.6150901862662903, "mar": 0.19774751367127882 }, "hold EFA": { "total": 2.041965756925882, "cagr": 0.07058056427028236, "max_dd_monthly": -0.5737855338151402, "max_dd": -0.6104154358501126, "sharpe": 0.3926326947963405, "mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, "mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 1.3983514611191583, "cagr": 0.1330439066066087, "max_dd_monthly": -0.22386956586852647, "max_dd": -0.3456963013441201, "sharpe": 0.822970831254899, "mar": 0.38485776703225816, "excess_t_vs_primary": -1.2981321446245089 }, "hold SPY": { "total": 1.975860747016645, "cagr": 0.1684923706540864, "max_dd_monthly": -0.23927782234709005, "max_dd": -0.3371855307317745, "sharpe": 0.9276503753013849, "mar": 0.4997022567617805 }, "hold QQQ": { "total": 3.1156537088152456, "cagr": 0.2238665971377245, "max_dd_monthly": -0.3257736254786545, "max_dd": -0.3511912164099559, "sharpe": 0.9744086992067448, "mar": 0.6374493058972136 }, "hold IWM": { "total": 1.2024589904520675, "cagr": 0.11934224539863791, "max_dd_monthly": -0.3064483583547086, "max_dd": -0.41073829870821266, "sharpe": 0.5059797376644425, "mar": 0.2905554358431482 }, "hold DIA": { "total": 1.3568141656509494, "cagr": 0.13022092240528216, "max_dd_monthly": -0.22625605038261376, "max_dd": -0.3669748273064145, "sharpe": 0.7392724623203809, "mar": 0.3548497409511717 }, "hold MDY": { "total": 1.251079688869004, "cagr": 0.12283761415072036, "max_dd_monthly": -0.2964485063858351, "max_dd": -0.4222381727776596, "sharpe": 0.577688916578942, "mar": 0.290920201133505 }, "hold EFA": { "total": 1.1332105501242014, "cagr": 0.11424796102690227, "max_dd_monthly": -0.2762376639125026, "max_dd": -0.33932056686056844, "sharpe": 0.6537453247696157, "mar": 0.336696245924428 }, "hold EEM": { "total": 0.9430099167659491, "cagr": 0.09948821475140024, "max_dd_monthly": -0.36550439363642384, "max_dd": -0.3982344140247792, "sharpe": 0.5129962687548624, "mar": 0.2498232479355986 }, "hold XLK": { "total": 4.185477257231366, "cagr": 0.264919179221359, "max_dd_monthly": -0.31211492511307815, "max_dd": -0.33559511328300295, "sharpe": 1.021273700104359, "mar": 0.7894011823645243 }, "hold XLF": { "total": 1.4218441855466657, "cagr": 0.1346220296004892, "max_dd_monthly": -0.31787778912566256, "max_dd": -0.4286610516399586, "sharpe": 0.6204228029708991, "mar": 0.3140523942762149 }, "hold XLE": { "total": 1.6935334534949233, "cagr": 0.15197905906521592, "max_dd_monthly": -0.505184512119967, "max_dd": -0.6060760794050055, "sharpe": 0.4315798731539802, "mar": 0.25075904532384147 }, "hold XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 0.7896138329001665, "mar_ratio": 0.7701741623627061, "dd_ratio": 1.0252406163273826, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold QQQ": { "cagr_ratio": 0.5942999460735048, "mar_ratio": 0.6037464681063047, "dd_ratio": 0.9843534951642373, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 1.1148098157714668, "mar_ratio": 1.3245588261512258, "dd_ratio": 0.8416461343666951, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 1.0216784227079936, "mar_ratio": 1.0845654445192778, "dd_ratio": 0.9420163881035705, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 1.083087680646136, "mar_ratio": 1.3228980508494999, "dd_ratio": 0.818723468486956, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 1.1645188711532497, "mar_ratio": 1.1430414555873607, "dd_ratio": 1.0187897083355149, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 1.3372830836200744, "mar_ratio": 1.540520228651698, "dd_ratio": 0.8680723944731957, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.5022056424817811, "mar_ratio": 0.48753127766983906, "dd_ratio": 1.0300993300000736, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 0.9882773792776427, "mar_ratio": 1.2254571977367847, "dd_ratio": 0.8064560566479403, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLE": { "cagr_ratio": 0.8754094638098665, "mar_ratio": 1.5347712244447078, "dd_ratio": 0.5703843347249336, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLV": { "cagr_ratio": 1.211180808898779, "mar_ratio": 0.995211264784214, "dd_ratio": 1.2170087415172017, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 0.8501037318148617, "mar_ratio": 1.0410760896394948, "dd_ratio": 0.8165625358942176, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.8482189010236844, "mar_ratio": 0.9116967566721873, "dd_ratio": 0.9303739371847659, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.7959223753795577, "mar_ratio": 0.8170325889097095, "dd_ratio": 0.9741623359744775, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.7016235721233195, "cagr": 0.07885823933655645, "max_dd_monthly": -0.13694819045594586, "max_dd": -0.24521569317281633, "sharpe": 0.503705993539447, "mar": 0.32158724556417734 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.7696414498351888, "mar_ratio": 1.0252566075537992, "dd_ratio": 0.7506817748500126, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "MIXED", "code_sha": "d55e7856caae0008" } ], "notes": "" }, { "id": "low-vol-crypto", "registered": "2026-08-09", "source": "Betting-Against-Beta (Frazzini & Pedersen 2014) applied to coins, where the dispersion in volatility across names is far wider than in equities.", "mechanism": "volatility", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "signal": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 10 coins by trailing 60-day realised volatility and hold the 3 LOWEST equally, at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Note the trap this must clear: the lowest-vol coin is usually BTC, so this may collapse into 'hold BTC' \u2014 which is the forced benchmark. Watch the exposure overlap.", "rule_sha": "9665fb60dc14bb1c", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "low-vol-crypto", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "rule_sha": "9665fb60dc14bb1c", "code_sha": "315d3a6dfeec02d8", "window": [ "2020-09-22", "2026-08-07" ], "split": "2024-11-02", "cost_per_side": 0.001, "bars": 2146, "exposure": 0.9962721342031687, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 14.26493203783459, "cagr": 0.9401973520840021, "max_dd_monthly": -0.7020413587085799, "max_dd": -0.7532743334488682, "sharpe": 0.8418314088080784, "mar": 1.2481473353529868 }, "hold BTCUSDT": { "total": 5.587538416902424, "cagr": 0.5815889844336466, "max_dd_monthly": -0.7302648524806497, "max_dd": -0.7664120532842083, "sharpe": 0.6790687375824647, "mar": 0.75884634374086 }, "hold ETHUSDT": { "total": 6.245876634319254, "cagr": 0.6186511934136296, "max_dd_monthly": -0.7687504780594479, "max_dd": -0.7930821182707638, "sharpe": 0.5970479672281704, "mar": 0.7800594404555945 }, "hold SOLUSDT": { "total": 55.937733552631585, "cagr": 1.6722112113101097, "max_dd_monthly": -0.952202459634864, "max_dd": -0.9627101438371914, "sharpe": 0.6501691384043073, "mar": 1.7369830597660196 }, "hold XRPUSDT": { "total": 1.1890347624565551, "cagr": 0.20987694406442725, "max_dd_monthly": -0.7951496608847151, "max_dd": -0.8325015704051495, "sharpe": 0.1461190840007688, "mar": 0.25210396175263367 }, "hold BNBUSDT": { "total": 22.64455782890029, "cagr": 1.158033268684517, "max_dd_monthly": -0.6553694042190465, "max_dd": -0.7086697348803979, "sharpe": 0.6734762836168345, "mar": 1.6340944331141192 }, "hold ADAUSDT": { "total": 3.2724413352969624, "cagr": 0.4235251534958602, "max_dd_monthly": -0.9111941612216324, "max_dd": -0.9184001453957679, "sharpe": 0.2702531217354072, "mar": 0.4611553641613914 }, "hold DOGEUSDT": { "total": 59.411722453616456, "cagr": 1.7109750210773669, "max_dd_monthly": -0.8182070790164632, "max_dd": -0.9233168630654885, "sharpe": 0.6158558240353308, "mar": 1.8530745939122004 }, "hold LINKUSDT": { "total": 0.2787346752058535, "cagr": 0.06161345881011382, "max_dd_monthly": -0.8538705050838967, "max_dd": -0.9019473612988044, "sharpe": 0.037471337193706725, "mar": 0.06831159051387481 }, "hold AVAXUSDT": { "total": 3.52611199534525, "cagr": 0.4436320023896769, "max_dd_monthly": -0.9233030418260655, "max_dd": -0.9349227319402514, "sharpe": 0.28876750724503825, "mar": 0.4745119433228503 }, "hold LTCUSDT": { "total": 0.5551052394872966, "cagr": 0.11334902323383589, "max_dd_monthly": -0.8028831343377123, "max_dd": -0.8879305989523862, "sharpe": 0.13879105653536128, "mar": 0.12765527324722148 }, "hold basket (monthly)": { "total": 21.792313305183512, "cagr": 1.1388544677312256, "max_dd_monthly": -0.758267490663322, "max_dd": -0.7850135653608004, "sharpe": 0.7831128483481771, "mar": 1.4507449526783607 }, "hold basket (drift)": { "total": 15.864885689416166, "cagr": 0.9877997341659319, "max_dd_monthly": -0.7955240224161308, "max_dd": -0.8543607839054501, "sharpe": 0.6538118755831971, "mar": 1.1561857154193176 } }, "test": { "strategy": { "total": -0.20177240626219362, "cagr": -0.12015933839138793, "max_dd_monthly": -0.519309075617005, "max_dd": -0.5909005606493203, "sharpe": -0.7839482719826641, "mar": -0.20334950818010558, "excess_t_vs_primary": -0.5655611706119532 }, "hold BTCUSDT": { "total": -0.06417646759000062, "cagr": -0.03697623279163553, "max_dd_monthly": -0.4936295241699661, "max_dd": -0.5297624069039895, "sharpe": -0.6059630187354781, "mar": -0.06979776652656453 }, "hold ETHUSDT": { "total": -0.2325888360037266, "cagr": -0.1396179936640186, "max_dd_monthly": -0.6421106922758996, "max_dd": -0.6755826223599741, "sharpe": -0.5583457230639046, "mar": -0.2066630920379495 }, "hold SOLUSDT": { "total": -0.5567288003690856, "cagr": -0.37006752599369097, "max_dd_monthly": -0.6933165966967837, "max_dd": -0.7625767282663045, "sharpe": -1.1670352831544375, "mar": -0.4852856273689711 }, "hold XRPUSDT": { "total": 1.0012410330650865, "cagr": 0.48303104291648213, "max_dd_monthly": -0.6637642579986684, "max_dd": -0.7124735279001618, "sharpe": -0.6608359802836156, "mar": 0.6779634947842845 }, "hold BNBUSDT": { "total": 0.04215795596893446, "cagr": 0.02373365442801889, "max_dd_monthly": -0.4981099990371245, "max_dd": -0.5819902057534645, "sharpe": -0.1284567789969524, "mar": 0.04078016123534672 }, "hold ADAUSDT": { "total": -0.4234190125822681, "cagr": -0.2685932051721063, "max_dd_monthly": -0.8662377952322111, "max_dd": -0.8829385419713309, "sharpe": -1.3708621410757007, "mar": -0.30420373831730124 }, "hold DOGEUSDT": { "total": -0.5634690574853084, "cagr": -0.3755265443372866, "max_dd_monthly": -0.8348724025095235, "max_dd": -0.8518542934430987, "sharpe": -1.6816102793093808, "mar": -0.4408342450437748 }, "hold LINKUSDT": { "total": -0.2683956077921824, "cagr": -0.1626568869796603, "max_dd_monthly": -0.7141535382812363, "max_dd": -0.7541214640492699, "sharpe": -0.7225410380019398, "mar": -0.2156905680767538 }, "hold AVAXUSDT": { "total": -0.733370950542596, "cagr": -0.5280540907101835, "max_dd_monthly": -0.8575891352187803, "max_dd": -0.8908622902037049, "sharpe": -1.6750739240503079, "mar": -0.5927449130094377 }, "hold LTCUSDT": { "total": -0.3421273757861437, "cagr": -0.2116897069943381, "max_dd_monthly": -0.6728856524706481, "max_dd": -0.7016287319739554, "sharpe": -0.929200430939405, "mar": -0.3017118560677701 }, "hold basket (monthly)": { "total": -0.19024083269887304, "cagr": -0.11296158059476447, "max_dd_monthly": -0.6486886491641224, "max_dd": -0.6876048998387708, "sharpe": -1.0768653346348995, "mar": -0.16428268707982102 }, "hold basket (drift)": { "total": -0.418989691396065, "cagr": -0.26540683250900643, "max_dd_monthly": -0.7067397982258741, "max_dd": -0.7320697379953784, "sharpe": -1.3263542243412445, "mar": -0.3625431003824419 } }, "gates": { "hold BTCUSDT": { "cagr_ratio": 3.2496371133451274, "mar_ratio": 2.9134099599406555, "dd_ratio": 1.115406742623795, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold ETHUSDT": { "cagr_ratio": 0.860629316021711, "mar_ratio": 0.9839662523909425, "dd_ratio": 0.874653286055762, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold SOLUSDT": { "cagr_ratio": 0.32469571078613485, "mar_ratio": 0.41903055996648225, "dd_ratio": 0.7748735815643301, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XRPUSDT": { "cagr_ratio": -0.2487611099814219, "mar_ratio": -0.2999416778993501, "dd_ratio": 0.8293649342886499, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold BNBUSDT": { "cagr_ratio": -5.062824975218868, "mar_ratio": -4.986481220771875, "dd_ratio": 1.0153101457855638, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold ADAUSDT": { "cagr_ratio": 0.4473655181053203, "mar_ratio": 0.6684648561682067, "dd_ratio": 0.6692431381803999, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold DOGEUSDT": { "cagr_ratio": 0.31997561877667013, "mar_ratio": 0.46128337457066887, "dd_ratio": 0.6936638873544524, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold LINKUSDT": { "cagr_ratio": 0.7387288704622353, "mar_ratio": 0.9427834976434545, "dd_ratio": 0.7835615200188948, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold AVAXUSDT": { "cagr_ratio": 0.22755119315482403, "mar_ratio": 0.3430641136128449, "dd_ratio": 0.6632905749262378, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold LTCUSDT": { "cagr_ratio": 0.5676201271070858, "mar_ratio": 0.6739858049676029, "dd_ratio": 0.8421840978303247, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 1.06371863565228, "mar_ratio": 1.2378024233393683, "dd_ratio": 0.8593606019792388, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.45273641697717176, "mar_ratio": 0.5608974711299012, "dd_ratio": 0.8071643041377168, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.6712207323619618, "cagr": -0.4684034197332091, "max_dd_monthly": -0.8433503673276935, "max_dd": -0.8645322871928134, "sharpe": -2.2703298736906343, "mar": -0.5417997993506318 }, "hold": { "total": -0.5983696278198887, "cagr": -0.4043962003965834, "max_dd_monthly": -0.790218154303673, "max_dd": -0.834675028782689, "sharpe": -1.8536216737791102, "mar": -0.48449538617007026 }, "gate": { "cagr_ratio": 1.1582784884572483, "mar_ratio": 1.1182764889332635, "dd_ratio": 1.0357711173576967, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9962721342031687, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "315d3a6dfeec02d8" } ], "notes": "" }, { "id": "vol-regime-filter-spy", "registered": "2026-08-09", "source": "The volatility-regime literature (Ang & Bekaert 2002 and successors): returns are worse and more correlated in high-volatility regimes.", "mechanism": "volatility", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold SPY 100% while its annualised 21-day realised volatility closes BELOW its own trailing 2-year 80th percentile, filled at the next open.", "exit": "Volatility closes above that percentile -> flat at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Distinct from vol-managed-spy: this is a binary switch, that one is a dial. Running both prices what the dial is worth.", "rule_sha": "a373c9063a95fcc1", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "vol-regime-filter-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "a373c9063a95fcc1", "code_sha": "9d2ad83658ec8d2a", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.7072766058307656, "exposure_test": 0.792654028436019, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.7477467197412726, "cagr": 0.04404146917250196, "max_dd_monthly": -0.48013704597986595, "max_dd": -0.5074676962041558, "sharpe": 0.37405702682521347, "mar": 0.08678674426358746 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 2.0696479390211704, "cagr": 0.11785199900148946, "max_dd_monthly": -0.21500765513614162, "max_dd": -0.23130529552766876, "sharpe": 0.9455519612812385, "mar": 0.5095084344378618, "excess_t_vs_primary": -0.9620800981331029 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.7659521132435336, "mar_ratio": 1.116542870623549, "dd_ratio": 0.6860033173789172, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.9015007753879256, "cagr": 0.06591773348784935, "max_dd_monthly": -0.1396786397018972, "max_dd": -0.1535605496871182, "sharpe": 0.6121290809871421, "mar": 0.4292621615522846 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.6599476839609606, "mar_ratio": 1.4137092947268992, "dd_ratio": 0.46681993704260777, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "exposure": 0.8398100172711571, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "9d2ad83658ec8d2a" } ], "notes": "" }, { "id": "xs-momentum-sectors", "registered": "2026-08-09", "source": "Jegadeesh & Titman (1993), Journal of Finance \u2014 the original cross-sectional momentum paper, and the 12-1 formation is theirs, not a search over this data.", "mechanism": "cross-sectional", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 12 names by return over the trailing 12 months EXCLUDING the most recent month, and hold the top 3 equally at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Momentum's classic skip-a-month construction is used exactly as published, including the skip, which exists to avoid the 1-month reversal effect below.", "rule_sha": "d34adb57f1520e45", "verdict": "MIXED", "tested": "2026-08-09", "result": { "idea": "xs-momentum-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "d34adb57f1520e45", "code_sha": "220baacaa8f5c966", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 4.054908761678594, "cagr": 0.10443594346926988, "max_dd_monthly": -0.5410585734976046, "max_dd": -0.5705039220344967, "sharpe": 0.6069008943654447, "mar": 0.18305911569693809 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, "cagr": 0.13620298350578786, "max_dd_monthly": -0.4974442952738466, "max_dd": -0.534089585114746, "sharpe": 0.7238635393608474, "mar": 0.25501898427119757 }, "hold IWM": { "total": 3.9400557353120114, "cagr": 0.10288092826111361, "max_dd_monthly": -0.524773110359257, "max_dd": -0.5864493956190976, "sharpe": 0.5088742497068914, "mar": 0.17543018891255777 }, "hold DIA": { "total": 3.5691783745065564, "cagr": 0.09761693909652247, "max_dd_monthly": -0.470377631103023, "max_dd": -0.5187389652528842, "sharpe": 0.7086753339600276, "mar": 0.18818123494720396 }, "hold MDY": { "total": 4.4401570006909274, "cagr": 0.10942006975775764, "max_dd_monthly": -0.4972761723587422, "max_dd": -0.5533322150368457, "sharpe": 0.6150901862662903, "mar": 0.19774751367127882 }, "hold EFA": { "total": 2.041965756925882, "cagr": 0.07058056427028236, "max_dd_monthly": -0.5737855338151402, "max_dd": -0.6104154358501126, "sharpe": 0.3926326947963405, "mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, "mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 2.1861481477139515, "cagr": 0.17994022132251075, "max_dd_monthly": -0.15859946334319275, "max_dd": -0.3090667118130922, "sharpe": 0.9198246253550523, "mar": 0.5822051176812902, "excess_t_vs_primary": 0.2501511763502723 }, "hold SPY": { "total": 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XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 1.0679428428954014, "mar_ratio": 1.1651040390614862, "dd_ratio": 0.9166072789136069, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold QQQ": { "cagr_ratio": 0.8037832513789902, "mar_ratio": 0.9133355582869969, "dd_ratio": 0.880052510915619, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 1.5077663464555902, "mar_ratio": 2.003766048953166, "dd_ratio": 0.7524662608408288, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 1.381807300999519, "mar_ratio": 1.6407088705227582, "dd_ratio": 0.8422013958876516, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 1.4648625550617267, "mar_ratio": 2.0012536613575107, "dd_ratio": 0.7319724547402284, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold EFA": { "cagr_ratio": 1.5749972227525335, "mar_ratio": 1.7291702082474871, "dd_ratio": 0.9108399018444763, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 1.8086586614519404, "mar_ratio": 2.330468130937821, "dd_ratio": 0.7760924242821998, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.6792268564751885, "mar_ratio": 0.7375275470672447, "dd_ratio": 0.9209511687747977, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 1.336632807100814, "mar_ratio": 1.8538470914163134, "dd_ratio": 0.7210048840002469, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLE": { "cagr_ratio": 1.183980361697702, "mar_ratio": 2.321771152579579, "dd_ratio": 0.5099470550240291, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLV": { "cagr_ratio": 1.6381069105197046, "mar_ratio": 1.5055356580158956, "dd_ratio": 1.088055870213344, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 1.1497546753656447, "mar_ratio": 1.5749190459574005, "dd_ratio": 0.7300404921236466, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold basket (monthly)": { "cagr_ratio": 1.1472054652712451, "mar_ratio": 1.3791965837173583, "dd_ratio": 0.8317925659148416, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 1.0764750677745207, "mar_ratio": 1.2359905277311343, "dd_ratio": 0.8709411954398788, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.624836195987114, "cagr": 0.07176837642990463, "max_dd_monthly": -0.1975639066706092, "max_dd": -0.3608081843644073, "sharpe": 0.3750487487209162, "mar": 0.19891005675586437 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.7004457334139793, "mar_ratio": 0.6341478177720616, "dd_ratio": 1.104546469740826, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "MIXED", "code_sha": "220baacaa8f5c966" } ], "notes": "" }, { "id": "xs-reversal-1m-sectors", "registered": "2026-08-09", "source": "Jegadeesh (1990) and Lehmann (1990) \u2014 the 1-month reversal, the effect that the momentum literature deliberately skips over.", "mechanism": "cross-sectional", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 12 names by the most recent month's return and hold the 3 WORST equally at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Deliberately the exact opposite selection to xs-momentum-sectors over the same names and dates. Two opposite rules both passing would be the trap-3 tell that something is being deleted rather than selected.", "rule_sha": "c2c84487d735fa80", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "xs-reversal-1m-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "c2c84487d735fa80", "code_sha": "2652169a2c63489e", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.8438832544502017, "cagr": 0.06617050854774975, "max_dd_monthly": -0.6034573368953401, "max_dd": -0.6661009146459114, "sharpe": 0.374830660796724, "mar": 0.0993400655858954 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 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"mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 0.9726231825435019, "cagr": 0.10186544873479852, "max_dd_monthly": -0.3226626699200189, "max_dd": -0.4586041838597942, "sharpe": 0.48541589765661464, "mar": 0.222120626718794, "excess_t_vs_primary": -1.4303463997096886 }, "hold SPY": { "total": 1.975860747016645, "cagr": 0.1684923706540864, "max_dd_monthly": 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(monthly)": { "cagr_ratio": 0.6494412347165948, "mar_ratio": 0.5261857036980218, "dd_ratio": 1.2342434052319091, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.609400249842619, "mar_ratio": 0.4715502875198362, "dd_ratio": 1.2923335346646012, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.5792352297033345, "cagr": 0.06742087756918869, "max_dd_monthly": -0.3492877772857427, "max_dd": -0.3695002643703561, "sharpe": 0.3090519431509014, "mar": 0.18246503201852016 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.6580149696222859, "mar_ratio": 0.5817192140077276, "dd_ratio": 1.1311556396580444, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "2652169a2c63489e" } ], "notes": "" }, { "id": "xs-momentum-crypto", "registered": "2026-08-09", "source": "Jegadeesh & Titman (1993) out-of-sample on coins. Prior evidence in this repo: 10-coin concentration lost to holding BTC on the test years, so this is a re-test with the published formation period rather than a searched one.", "mechanism": "cross-sectional", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "signal": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 10 coins by trailing 12-week return and hold the top 3 equally, at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. 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"pass": false }, "hold basket (monthly)": { "cagr_ratio": 2.5422103427039935, "mar_ratio": 2.2642285459870477, "dd_ratio": 1.1227710856351583, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 1.0820071804536378, "mar_ratio": 1.026011939836114, "dd_ratio": 1.054575622800713, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.6818952482865623, "cagr": -0.47827729770685945, "max_dd_monthly": -0.8713567748971183, "max_dd": -0.8953666207931026, "sharpe": -1.5119866695658617, "mar": -0.5341692292294842 }, "hold": { "total": -0.5983696278198887, "cagr": -0.4043962003965834, "max_dd_monthly": -0.790218154303673, "max_dd": -0.834675028782689, "sharpe": -1.8536216737791102, "mar": -0.48449538617007026 }, "gate": { "cagr_ratio": 1.1826948355049387, "mar_ratio": 1.1025269682175614, "dd_ratio": 1.0727128402282835, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9962721342031687, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "af1e017980de3c22" } ], "notes": "" }, { "id": "xs-reversal-1w-crypto", "registered": "2026-08-09", "source": "Short-horizon cross-sectional reversal (Lehmann 1990) at the weekly frequency, where crypto's retail flow makes overreaction most plausible.", "mechanism": "cross-sectional", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "signal": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Every Friday close, rank the 10 coins by that week's return and hold the 3 WORST equally, filled at the next open.", "exit": "Positions replaced at the following Friday close.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Weekly turnover at 10bp per side is roughly 10% a year in costs \u2014 the effect has to be big, and the cost model is what makes that verdict honest.", "rule_sha": "f0823656b55443aa", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "xs-reversal-1w-crypto", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "rule_sha": "f0823656b55443aa", "code_sha": "f24ea6a04b977518", "window": [ "2020-09-22", "2026-08-07" ], "split": "2024-11-02", "cost_per_side": 0.001, "bars": 2146, "exposure": 0.9986020503261882, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 3.4983613500105077, "cagr": 0.4414745825791788, "max_dd_monthly": -0.8711116803124119, "max_dd": -0.8933860494453837, "sharpe": 0.3279723610861646, "mar": 0.4941588049793786 }, "hold BTCUSDT": { "total": 5.587538416902424, "cagr": 0.5815889844336466, "max_dd_monthly": 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false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 3.167935513848648, "mar_ratio": 2.8760100863168176, "dd_ratio": 1.1015036174319146, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 1.3483262638104354, "mar_ratio": 1.3032344693648379, "dd_ratio": 1.0345999093068603, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.6536186829766192, "cagr": -0.4524190706848641, "max_dd_monthly": -0.8495385779808112, "max_dd": -0.8700374314483954, "sharpe": -2.145704964760778, "mar": -0.5199995475271669 }, "hold": { "total": -0.5983696278198887, "cagr": -0.4043962003965834, "max_dd_monthly": -0.790218154303673, "max_dd": -0.834675028782689, "sharpe": -1.8536216737791102, "mar": -0.48449538617007026 }, "gate": { "cagr_ratio": 1.118752031401842, "mar_ratio": 1.0732807006435223, "dd_ratio": 1.0423666713945903, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9986020503261882, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "f24ea6a04b977518" } ], "notes": "" }, { "id": "xs-momentum-vn", "registered": "2026-08-09", "source": "Jegadeesh & Titman (1993) on HOSE. Prior evidence in this repo: quarterly HOSE momentum worked only on the survivor basket and collapsed once delisted names were included.", "mechanism": "cross-sectional", "market": "vn", "trade": [ "FPT_VN", "HPG_VN", "MWG_VN", "SSI_VN", "VCB_VN", "VIC_VN", "VNM_VN" ], "signal": [ "FPT_VN", "HPG_VN", "MWG_VN", "SSI_VN", "VCB_VN", "VIC_VN", "VNM_VN" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 7 basket names by trailing 12-month return and hold the top 3 equally, at the next open.", "exit": "Positions replaced at the next month end. Monthly rebalancing cannot breach HOSE's T+2.5 settlement.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Survivorship is the known weakness: Yahoo cannot serve FLC or ROS at all, so every HOSE backtest here keeps an unfixable upward bias. Stated before the test.", "rule_sha": "1a45d39043df68bf", "verdict": "MIXED", "tested": "2026-08-09", "result": { "idea": "xs-momentum-vn", "market": "vn", "trade": [ "FPT_VN", "HPG_VN", "MWG_VN", "SSI_VN", "VCB_VN", "VIC_VN", "VNM_VN" ], "rule_sha": "1a45d39043df68bf", "code_sha": "bef79b19cb8ac42d", "window": [ "2014-07-14", "2026-08-07" ], "split": "2023-01-03", "cost_per_side": 0.005, "bars": 3127, "exposure": 0.9958426606971538, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 7.594873393646758, "cagr": 0.2889982663815809, "max_dd_monthly": -0.37277240679923374, "max_dd": -0.39778884240773416, "sharpe": 0.9332458710269267, "mar": 0.7265117458607782 }, "hold FPT_VN": { "total": 5.527419225862355, "cagr": 0.2478144987322244, "max_dd_monthly": -0.29556105119452236, "max_dd": -0.3382905110695149, "sharpe": 0.9251842758977237, "mar": 0.7325493640030042 }, "hold HPG_VN": { "total": 3.0590753009761134, "cagr": 0.17978334817742403, 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1.463813240897346, "cagr": 0.2853469865596494, "max_dd_monthly": -0.19242778378202363, "max_dd": -0.2161386178879462, "sharpe": 0.9484680888926785, "mar": 1.3202036237114427 } }, "gates": { "hold FPT_VN": { "cagr_ratio": 3.168527649142693, "mar_ratio": 7.186481592884403, "dd_ratio": 0.4409011013511768, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold HPG_VN": { "cagr_ratio": 2.182990814773895, "mar_ratio": 2.6659033026278083, "dd_ratio": 0.8188559624882485, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold MWG_VN": { "cagr_ratio": 1.7699872291364172, "mar_ratio": 3.0019115237681055, "dd_ratio": 0.5896200521308724, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold SSI_VN": { "cagr_ratio": 2.4301954926317246, "mar_ratio": 4.977395422742345, "dd_ratio": 0.48824641930754714, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold VCB_VN": { "cagr_ratio": -22.27892324838985, "mar_ratio": -40.25874799718304, "dd_ratio": 0.5533933457133028, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold VIC_VN": { "cagr_ratio": 0.4535583731570882, "mar_ratio": 0.9333198960846192, "dd_ratio": 0.4859623962371487, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold VNM_VN": { "cagr_ratio": 21.59336000842827, "mar_ratio": 26.104377641078916, "dd_ratio": 0.827193059544468, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 1.6888487167244366, "mar_ratio": 1.5593890140096638, "dd_ratio": 1.0830195041466224, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 1.2042045426976524, "mar_ratio": 1.132720434665477, "dd_ratio": 1.0631083415152536, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold market basket (drift)": { "cagr_ratio": 1.2042045426976524, "mar_ratio": 1.132720434665477, "dd_ratio": 1.0631083415152536, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "VHM_VN", "TCB_VN", "MBB_VN", "STB_VN", "VRE_VN", "GAS_VN", "CTG_VN", "VJC_VN" ], "strategy": { "total": 0.3526052966937734, "cagr": 0.08771958910006794, "max_dd_monthly": -0.28409440012055653, "max_dd": -0.37486427824383983, "sharpe": 0.2535853670017227, "mar": 0.23400359594415274 }, "hold": { "total": 1.005339399639066, "cagr": 0.21374266992506485, "max_dd_monthly": -0.16101966894901965, "max_dd": -0.2021417494288208, "sharpe": 0.7966275581718585, "mar": 1.057390027191434 }, "gate": { "cagr_ratio": 0.4103981162526939, "mar_ratio": 0.2213030101727901, "dd_ratio": 1.854462422053189, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9958426606971538, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "MIXED", "code_sha": "bef79b19cb8ac42d" } ], "notes": "" }, { "id": "52w-high-sectors", "registered": "2026-08-09", "source": "George & Hwang (2004), 'The 52-Week High and Momentum Investing', Journal of Finance \u2014 the claim is that nearness to the 52-week high predicts returns better than past return itself, which makes it a direct competitor to xs-momentum-sectors.", "mechanism": "other", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 12 names by (close / highest close of the trailing 252 days) and hold the 3 CLOSEST to their high, equally, at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Paired against xs-momentum-sectors on identical dates and names: if the 52-week high version wins, the anchor matters more than the return, which is the paper's claim.", "rule_sha": "8c91f3b4f1fd4882", "verdict": "MIXED", "tested": "2026-08-09", "result": { "idea": "52w-high-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "8c91f3b4f1fd4882", "code_sha": "8b3b99266d8d84bb", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 2.753917271798508, "cagr": 0.08447185144334513, "max_dd_monthly": -0.5354909162348256, "max_dd": -0.5654429293296259, "sharpe": 0.5514294010445449, "mar": 0.14939058755848747 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, "cagr": 0.13620298350578786, "max_dd_monthly": -0.4974442952738466, "max_dd": -0.534089585114746, "sharpe": 0.7238635393608474, "mar": 0.25501898427119757 }, "hold IWM": { "total": 3.9400557353120114, "cagr": 0.10288092826111361, "max_dd_monthly": -0.524773110359257, "max_dd": -0.5864493956190976, "sharpe": 0.5088742497068914, "mar": 0.17543018891255777 }, "hold DIA": { "total": 3.5691783745065564, "cagr": 0.09761693909652247, "max_dd_monthly": -0.470377631103023, "max_dd": -0.5187389652528842, "sharpe": 0.7086753339600276, "mar": 0.18818123494720396 }, "hold MDY": { "total": 4.4401570006909274, "cagr": 0.10942006975775764, "max_dd_monthly": -0.4972761723587422, "max_dd": -0.5533322150368457, "sharpe": 0.6150901862662903, "mar": 0.19774751367127882 }, "hold EFA": { "total": 2.041965756925882, "cagr": 0.07058056427028236, "max_dd_monthly": -0.5737855338151402, "max_dd": -0.6104154358501126, "sharpe": 0.3926326947963405, "mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, "mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 1.7520273396862573, "cagr": 0.15551834078686677, "max_dd_monthly": -0.1598970921728663, "max_dd": -0.3235861142398866, "sharpe": 0.9151206061406142, "mar": 0.48060882078387074, "excess_t_vs_primary": -0.33942017511470357 }, "hold SPY": { "total": 1.975860747016645, "cagr": 0.1684923706540864, "max_dd_monthly": -0.23927782234709005, "max_dd": -0.3371855307317745, "sharpe": 0.9276503753013849, "mar": 0.4997022567617805 }, "hold QQQ": { "total": 3.1156537088152456, "cagr": 0.2238665971377245, "max_dd_monthly": -0.3257736254786545, "max_dd": -0.3511912164099559, "sharpe": 0.9744086992067448, "mar": 0.6374493058972136 }, "hold IWM": { "total": 1.2024589904520675, "cagr": 0.11934224539863791, "max_dd_monthly": -0.3064483583547086, "max_dd": -0.41073829870821266, "sharpe": 0.5059797376644425, "mar": 0.2905554358431482 }, "hold DIA": { "total": 1.3568141656509494, "cagr": 0.13022092240528216, "max_dd_monthly": -0.22625605038261376, "max_dd": -0.3669748273064145, "sharpe": 0.7392724623203809, "mar": 0.3548497409511717 }, "hold MDY": { "total": 1.251079688869004, "cagr": 0.12283761415072036, "max_dd_monthly": -0.2964485063858351, "max_dd": -0.4222381727776596, "sharpe": 0.577688916578942, "mar": 0.290920201133505 }, "hold EFA": { "total": 1.1332105501242014, "cagr": 0.11424796102690227, "max_dd_monthly": -0.2762376639125026, "max_dd": -0.33932056686056844, "sharpe": 0.6537453247696157, "mar": 0.336696245924428 }, "hold EEM": { "total": 0.9430099167659491, "cagr": 0.09948821475140024, "max_dd_monthly": -0.36550439363642384, "max_dd": -0.3982344140247792, "sharpe": 0.5129962687548624, "mar": 0.2498232479355986 }, "hold XLK": { "total": 4.185477257231366, "cagr": 0.264919179221359, "max_dd_monthly": -0.31211492511307815, "max_dd": -0.33559511328300295, "sharpe": 1.021273700104359, "mar": 0.7894011823645243 }, "hold XLF": { "total": 1.4218441855466657, "cagr": 0.1346220296004892, "max_dd_monthly": -0.31787778912566256, "max_dd": -0.4286610516399586, "sharpe": 0.6204228029708991, "mar": 0.3140523942762149 }, "hold XLE": { "total": 1.6935334534949233, "cagr": 0.15197905906521592, "max_dd_monthly": -0.505184512119967, "max_dd": -0.6060760794050055, "sharpe": 0.4315798731539802, "mar": 0.25075904532384147 }, "hold XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 0.9229993036666615, "mar_ratio": 0.9617903747290618, "dd_ratio": 0.9596678527030094, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold QQQ": { "cagr_ratio": 0.6946920298752326, "mar_ratio": 0.7539561441790434, "dd_ratio": 0.9213958069559318, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 1.3031289990178259, "mar_ratio": 1.6541036975929093, "dd_ratio": 0.7878157825982555, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 1.1942653908014282, "mar_ratio": 1.3544009345916468, "dd_ratio": 0.8817665141094284, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 1.2660482040627028, "mar_ratio": 1.6520297281223058, "dd_ratio": 0.7663592140691627, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 1.3612351536868694, "mar_ratio": 1.427425540383792, "dd_ratio": 0.9536295345541276, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 1.5631835506896352, "mar_ratio": 1.923795422385053, "dd_ratio": 0.8125518610246281, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.5870407014092401, "mar_ratio": 0.6088270850371471, "dd_ratio": 0.9642158107558935, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 1.1552220780535734, "mar_ratio": 1.530345985393655, "dd_ratio": 0.7548764064332892, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLE": { "cagr_ratio": 1.0232879565344073, "mar_ratio": 1.916616089215011, "dd_ratio": 0.5339034573968935, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLV": { "cagr_ratio": 1.4157794565502995, "mar_ratio": 1.2428157968257263, "dd_ratio": 1.1391707927806676, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 0.9937074552349603, "mar_ratio": 1.3000916043510233, "dd_ratio": 0.7643364912974704, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.9915042295120821, "mar_ratio": 1.1385232173318014, "dd_ratio": 0.8708686958845976, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.9303735163172215, "mar_ratio": 1.0203069880228643, "dd_ratio": 0.9118564581431374, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 1.0223896296340058, "cagr": 0.10579245803719473, "max_dd_monthly": -0.2592469638346212, "max_dd": -0.29997872902321343, "sharpe": 0.574499058820703, "mar": 0.35266653199603404 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 1.0325143126500145, "mar_ratio": 1.1243408971574405, "dd_ratio": 0.9183285205229287, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": true }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "MIXED", "code_sha": "8b3b99266d8d84bb" } ], "notes": "" }, { "id": "max-effect-sectors", "registered": "2026-08-09", "source": "Bali, Cakici & Whitelaw (2011), 'Maxing Out', JFE \u2014 assets with extreme recent single-day gains subsequently underperform, read as a lottery preference.", "mechanism": "other", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 12 names by their single largest daily return of the past month and hold the 4 with the SMALLEST maximum, equally, at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Buying the boring names is the published prescription; it should look dull and win on the drawdown gate if it wins at all.", "rule_sha": "da6b42e07dea1efc", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "max-effect-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "da6b42e07dea1efc", "code_sha": "6e13e14098f23417", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 3.486261607358184, "cagr": 0.09638533338115018, "max_dd_monthly": -0.5115862315978493, "max_dd": -0.5484589942997851, "sharpe": 0.661092572501176, "mar": 0.1757384496979667 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 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"mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, 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0.48102678434830437, "mar_ratio": 0.4468570634104589, "dd_ratio": 1.0764667803996621, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 0.9023278302201777, "mar_ratio": 0.9803593041709098, "dd_ratio": 0.9204052293697327, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 0.8269472167384131, "mar_ratio": 0.8027305420675511, "dd_ratio": 1.0301678750237762, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 0.8766519122719825, "mar_ratio": 0.9791300975195787, "dd_ratio": 0.8953375189801608, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 0.9425623737722537, "mar_ratio": 0.8460109916705127, "dd_ratio": 1.1141254464213202, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 1.0823978459482944, "mar_ratio": 1.140201031169424, "dd_ratio": 0.9493043913827679, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.40648559179695215, "mar_ratio": 0.3608415230048752, "dd_ratio": 1.1264933935872459, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 0.799912389255537, "mar_ratio": 0.9070101998831903, "dd_ratio": 0.8819221540822297, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLE": { "cagr_ratio": 0.7085570209902914, "mar_ratio": 1.1359459617434648, "dd_ratio": 0.6237594435414769, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold XLV": { "cagr_ratio": 0.980330578217651, "mar_ratio": 0.7365959169075899, "dd_ratio": 1.3308933103149947, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 0.6880745441407451, "mar_ratio": 0.7705423199614245, "dd_ratio": 0.8929743718361789, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.6865489608043998, "mar_ratio": 0.6747834677778034, "dd_ratio": 1.0174359532923094, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.6442201170456431, "mar_ratio": 0.6047187067379299, "dd_ratio": 1.065321958569461, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.5620854644831215, "cagr": 0.0657579739278964, "max_dd_monthly": -0.19609762956576193, "max_dd": -0.34917053570912926, "sharpe": 0.37689190198170813, "mar": 0.1883262394816583 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.6417853456769904, "mar_ratio": 0.6004054080739247, "dd_ratio": 1.0689199948011974, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "6e13e14098f23417" } ], "notes": "" }, { "id": "idio-vol-sectors", "registered": "2026-08-09", "source": "Ang, Hodrick, Xing & Zhang (2006), 'The Cross-Section of Volatility and Expected Returns', Journal of Finance \u2014 high idiosyncratic volatility predicts LOW returns.", "mechanism": "other", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, regress each name's daily returns on SPY's over the trailing 60 days, take the standard deviation of the residuals, and hold the 4 LOWEST equally at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Distinct from low-vol-sectors: that ranks total volatility, this strips out the market component first. Running both prices whether the beta part matters.", "rule_sha": "72b6cc44a58e8d8c", "verdict": "MIXED", "tested": "2026-08-09", "result": { "idea": "idio-vol-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "72b6cc44a58e8d8c", "code_sha": "399510e4fb46c85b", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 4.645946730159452, "cagr": 0.11194823093015671, "max_dd_monthly": -0.4604370330462684, "max_dd": -0.5084445733762213, "sharpe": 0.7728598421879274, "mar": 0.22017784590911765 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, 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"max_dd": -0.33932056686056844, "sharpe": 0.6537453247696157, "mar": 0.336696245924428 }, "hold EEM": { "total": 0.9430099167659491, "cagr": 0.09948821475140024, "max_dd_monthly": -0.36550439363642384, "max_dd": -0.3982344140247792, "sharpe": 0.5129962687548624, "mar": 0.2498232479355986 }, "hold XLK": { "total": 4.185477257231366, "cagr": 0.264919179221359, "max_dd_monthly": -0.31211492511307815, "max_dd": -0.33559511328300295, "sharpe": 1.021273700104359, "mar": 0.7894011823645243 }, "hold XLF": { "total": 1.4218441855466657, "cagr": 0.1346220296004892, "max_dd_monthly": -0.31787778912566256, "max_dd": -0.4286610516399586, "sharpe": 0.6204228029708991, "mar": 0.3140523942762149 }, "hold XLE": { "total": 1.6935334534949233, "cagr": 0.15197905906521592, "max_dd_monthly": -0.505184512119967, "max_dd": -0.6060760794050055, "sharpe": 0.4315798731539802, "mar": 0.25075904532384147 }, "hold XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 0.9943473390847927, "mar_ratio": 1.0110001068352101, "dd_ratio": 0.9835284213742109, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold QQQ": { "cagr_ratio": 0.748391866218914, "mar_ratio": 0.7925320967459287, "dd_ratio": 0.9443048039211902, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 1.4038611378254795, "mar_ratio": 1.7387354447730223, "dd_ratio": 0.8074035311385408, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 1.286582350373395, "mar_ratio": 1.423698474790411, "dd_ratio": 0.9036901936435653, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 1.3639139898175636, "mar_ratio": 1.7365553612418851, "dd_ratio": 0.7854134801911355, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 1.4664589101640804, "mar_ratio": 1.5004593638544705, "dd_ratio": 0.977339970338785, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 1.6840179596611105, "mar_ratio": 2.022225870276852, "dd_ratio": 0.8327546316231039, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.6324190679904975, "mar_ratio": 0.6399775503992953, "dd_ratio": 0.9881894569519167, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 1.2445209815449894, "mar_ratio": 1.6086457042821452, "dd_ratio": 0.7736451713588197, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLE": { "cagr_ratio": 1.1023883253816313, "mar_ratio": 2.014679208558634, "dd_ratio": 0.5471780920250402, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLV": { "cagr_ratio": 1.525219498822199, "mar_ratio": 1.306404115055997, "dd_ratio": 1.1674944079281495, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 1.070521245266778, "mar_ratio": 1.3666104230505645, "dd_ratio": 0.7833404657321049, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 1.0681477097437888, "mar_ratio": 1.1967754352720263, "dd_ratio": 0.8925214190254496, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 1.002291579885193, "mar_ratio": 1.0725107060739834, "dd_ratio": 0.9345282748310892, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.6104070986202856, "cagr": 0.07040417288602163, "max_dd_monthly": -0.2616753384238616, "max_dd": -0.28373013280994397, "sharpe": 0.3860016609359698, "mar": 0.24813780682639627 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.6871313657306815, "mar_ratio": 0.7910914675311675, "dd_ratio": 0.8685864959144055, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "MIXED", "code_sha": "399510e4fb46c85b" } ], "notes": "" }, { "id": "long-term-reversal-sectors", "registered": "2026-08-09", "source": "De Bondt & Thaler (1985), 'Does the Stock Market Overreact?', Journal of Finance \u2014 the 3-to-5 year reversal, the longest-horizon published effect in this queue.", "mechanism": "other", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, rank the 12 names by trailing 3-year (756 trading day) return and hold the 3 WORST equally at the next open.", "exit": "Positions replaced at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Very low turnover, so costs are near-irrelevant and the verdict is almost pure signal. Also the only idea here whose formation window exceeds the train segment length.", "rule_sha": "c0529032df61eaa8", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "long-term-reversal-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "c0529032df61eaa8", "code_sha": "62e4ba4252b7215c", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.4190186585182385, "cagr": 0.05564687906684518, "max_dd_monthly": -0.5587852862213927, "max_dd": -0.6287919929281216, "sharpe": 0.3207217872880882, "mar": 0.08849807200583465 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, "cagr": 0.13620298350578786, "max_dd_monthly": -0.4974442952738466, "max_dd": -0.534089585114746, "sharpe": 0.7238635393608474, "mar": 0.25501898427119757 }, "hold IWM": { "total": 3.9400557353120114, "cagr": 0.10288092826111361, "max_dd_monthly": -0.524773110359257, "max_dd": -0.5864493956190976, "sharpe": 0.5088742497068914, "mar": 0.17543018891255777 }, "hold DIA": { "total": 3.5691783745065564, "cagr": 0.09761693909652247, "max_dd_monthly": -0.470377631103023, "max_dd": -0.5187389652528842, "sharpe": 0.7086753339600276, "mar": 0.18818123494720396 }, "hold MDY": { "total": 4.4401570006909274, "cagr": 0.10942006975775764, "max_dd_monthly": -0.4972761723587422, "max_dd": -0.5533322150368457, "sharpe": 0.6150901862662903, "mar": 0.19774751367127882 }, "hold EFA": { "total": 2.041965756925882, "cagr": 0.07058056427028236, "max_dd_monthly": -0.5737855338151402, "max_dd": -0.6104154358501126, "sharpe": 0.3926326947963405, "mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, "mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 1.4855586900696789, "cagr": 0.13883692990915475, "max_dd_monthly": -0.35918866597276333, "max_dd": -0.4673160462962168, "sharpe": 0.6217809893992704, "mar": 0.2970942919883184, "excess_t_vs_primary": -0.4809851002879186 }, "hold SPY": { "total": 1.975860747016645, "cagr": 0.1684923706540864, "max_dd_monthly": -0.23927782234709005, "max_dd": -0.3371855307317745, "sharpe": 0.9276503753013849, "mar": 0.4997022567617805 }, "hold QQQ": { "total": 3.1156537088152456, "cagr": 0.2238665971377245, "max_dd_monthly": -0.3257736254786545, "max_dd": -0.3511912164099559, "sharpe": 0.9744086992067448, "mar": 0.6374493058972136 }, "hold IWM": { "total": 1.2024589904520675, "cagr": 0.11934224539863791, "max_dd_monthly": -0.3064483583547086, "max_dd": -0.41073829870821266, "sharpe": 0.5059797376644425, "mar": 0.2905554358431482 }, "hold DIA": { "total": 1.3568141656509494, "cagr": 0.13022092240528216, "max_dd_monthly": -0.22625605038261376, "max_dd": -0.3669748273064145, "sharpe": 0.7392724623203809, "mar": 0.3548497409511717 }, "hold MDY": { "total": 1.251079688869004, "cagr": 0.12283761415072036, "max_dd_monthly": -0.2964485063858351, "max_dd": -0.4222381727776596, "sharpe": 0.577688916578942, "mar": 0.290920201133505 }, "hold EFA": { "total": 1.1332105501242014, "cagr": 0.11424796102690227, "max_dd_monthly": -0.2762376639125026, "max_dd": -0.33932056686056844, "sharpe": 0.6537453247696157, "mar": 0.336696245924428 }, "hold EEM": { "total": 0.9430099167659491, "cagr": 0.09948821475140024, "max_dd_monthly": -0.36550439363642384, "max_dd": -0.3982344140247792, "sharpe": 0.5129962687548624, "mar": 0.2498232479355986 }, "hold XLK": { "total": 4.185477257231366, "cagr": 0.264919179221359, "max_dd_monthly": -0.31211492511307815, "max_dd": -0.33559511328300295, "sharpe": 1.021273700104359, "mar": 0.7894011823645243 }, "hold XLF": { "total": 1.4218441855466657, "cagr": 0.1346220296004892, "max_dd_monthly": -0.31787778912566256, "max_dd": -0.4286610516399586, "sharpe": 0.6204228029708991, "mar": 0.3140523942762149 }, "hold XLE": { "total": 1.6935334534949233, "cagr": 0.15197905906521592, "max_dd_monthly": -0.505184512119967, "max_dd": -0.6060760794050055, "sharpe": 0.4315798731539802, "mar": 0.25075904532384147 }, "hold XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 0.8239953498795857, "mar_ratio": 0.5945426260701281, "dd_ratio": 1.385931493804101, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold QQQ": { "cagr_ratio": 0.6201770683267284, "mar_ratio": 0.4660673236911858, "dd_ratio": 1.3306598356113355, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 1.1633510786176253, "mar_ratio": 1.0225046766934351, "dd_ratio": 1.1377464623239257, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 1.0661645405724993, "mar_ratio": 0.837239703746041, "dd_ratio": 1.2734280706017473, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 1.1302476921995848, "mar_ratio": 1.0212226267916682, "dd_ratio": 1.1067593515337943, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 1.2152245752242568, "mar_ratio": 0.8823807677826074, "dd_ratio": 1.3772110857289812, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 1.395511320170721, "mar_ratio": 1.1892179548674577, "dd_ratio": 1.1734697701619006, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.5240727769020699, "mar_ratio": 0.3763539992408172, "dd_ratio": 1.3924995561605074, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 1.0313091425019656, "mar_ratio": 0.9460023149099716, "dd_ratio": 1.0901761298545158, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLE": { "cagr_ratio": 0.9135267106080599, "mar_ratio": 1.184779961195966, "dd_ratio": 0.7710517906514119, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLV": { "cagr_ratio": 1.2639182760140049, "mar_ratio": 0.7682619695319342, "dd_ratio": 1.645165745720891, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 0.8871191115762691, "mar_ratio": 0.8036677189666486, "dd_ratio": 1.1038381791879384, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.8851522111212257, "mar_ratio": 0.7037922204876967, "dd_ratio": 1.2576896779391147, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.8305785801257475, "mar_ratio": 0.6307153949504862, "dd_ratio": 1.3168833150028807, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 1.8382496253357563, "cagr": 0.1606195606632801, "max_dd_monthly": -0.2618903381592548, "max_dd": -0.3715828692767966, "sharpe": 0.7143825950196075, "mar": 0.4322577113845165 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 1.56761642893378, "mar_ratio": 1.3780866028612964, "dd_ratio": 1.1375311433105628, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "62e4ba4252b7215c" } ], "notes": "" }, { "id": "btc-halving-cycle", "registered": "2026-08-09", "source": "The Bitcoin halving cycle is the most widely asserted claim in crypto and has essentially no out-of-sample evidence \u2014 three events total. Registered to be refuted honestly rather than left as folklore.", "mechanism": "other", "market": "crypto", "trade": [ "BTCUSDT" ], "signal": [ "BTCUSDT" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold BTC 100% during the 12 months FOLLOWING each halving (2016-07-09, 2020-05-11, 2024-04-19), entered at the next open after the halving date.", "exit": "Flat at the next open after 365 calendar days have elapsed since the halving.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Expected to be uninterpretable: n=3 events, and the dates were chosen with full knowledge of the price history. Registered so the folklore has a ledger entry.", "rule_sha": "a6736611e98c3cb2", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "btc-halving-cycle", "market": "crypto", "trade": [ "BTCUSDT" ], "rule_sha": "a6736611e98c3cb2", "code_sha": "3f1d61ecc836218d", "window": [ "2017-08-17", "2026-08-07" ], "split": "2023-11-28", "cost_per_side": 0.001, "bars": 3278, "exposure": 0.2226967663209274, "exposure_test": 0.3709349593495935, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 5.6111333210309695, "cagr": 0.3508405472651277, "max_dd_monthly": -0.07498702021514725, "max_dd": -0.2518015863182984, "sharpe": 1.0242475652236445, "mar": 1.3933214337324933 }, "hold BTCUSDT": { "total": 7.8247092049622715, "cagr": 0.4144061560021759, "max_dd_monthly": -0.7498690066958884, "max_dd": -0.8320571811248119, "sharpe": 0.44752587784800535, "mar": 0.49805009247316784 } }, "test": { "strategy": { "total": 0.33078585480806955, "cagr": 0.1120247595899353, "max_dd_monthly": -0.19420120065111246, "max_dd": -0.2811217895981114, "sharpe": 0.38884929271406693, "mar": 0.3984919125268968, "excess_t_vs_primary": -0.42061388192307314 }, "hold BTCUSDT": { "total": 0.7167689413315377, "cagr": 0.22239366612391875, "max_dd_monthly": -0.4936028958887515, "max_dd": -0.5297358685620388, "sharpe": 0.4287286210467432, "mar": 0.4198199127569056 } }, "gates": { "hold BTCUSDT": { "cagr_ratio": 0.503722797246908, "mar_ratio": 0.949197263917401, "dd_ratio": 0.530682942729955, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.43939278378365076, "cagr": -0.19348963447090428, "max_dd_monthly": -0.575464424901945, "max_dd": -0.6880902373550541, "sharpe": -0.4027431250542329, "mar": -0.28119805218376287 }, "hold": { "total": -0.5687026779014703, "cagr": -0.2683637230126039, "max_dd_monthly": -0.8041458966071853, "max_dd": -0.8346705953899486, "sharpe": -0.43215113227428525, "mar": -0.3215205189865679 }, "gate": { "cagr_ratio": 0.7209977276318263, "mar_ratio": 0.8745882006849784, "dd_ratio": 0.8243853816769312, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.2450486740516952, "transfers": true }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "3f1d61ecc836218d" } ], "notes": "" }, { "id": "sma200-spy", "registered": "2026-08-09", "source": "Faber (2007), 'A Quantitative Approach to Tactical Asset Allocation' \u2014 the 200-day rule, published with its parameter and since replicated across asset classes.", "mechanism": "trend", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "SPY's close rises above its 200-day simple moving average -> hold SPY at the next open.", "exit": "The close falls below the 200-day SMA -> flat at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. The plain unlevered ancestor of trend3x. Running it says how much of trend3x's result is the trend rule and how much is the 3x fund.", "rule_sha": "2f9811334a027b25", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "sma200-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "2f9811334a027b25", "code_sha": "302a40d385c37956", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "exposure": 0.7543256695899502, "exposure_test": 0.8416271721958926, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 3.6283202243641597, "cagr": 0.06751337332168506, "max_dd_monthly": -0.22313282554562475, "max_dd": -0.27708360223868556, "sharpe": 0.5976963164556106, "mar": 0.243657050710376 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 1.9532664681491054, "cagr": 0.11356840134580937, "max_dd_monthly": -0.1484378917985253, "max_dd": -0.19382625618812366, "sharpe": 0.9149107114355376, "mar": 0.5859288807373046, "excess_t_vs_primary": -1.2336308392388426 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.7381118499942717, "mar_ratio": 1.2840115496840894, "dd_ratio": 0.5748482949206122, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.402566405565876, "cagr": 0.034175982451821074, "max_dd_monthly": -0.21733926289463923, "max_dd": -0.22303784905211588, "sharpe": 0.33946345655838067, "mar": 0.15322951955044806 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.3421592229096773, "mar_ratio": 0.5046379937883734, "dd_ratio": 0.6780290567126149, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.8894645941278065, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "302a40d385c37956" } ], "notes": "" }, { "id": "dual-momentum-spy-efa", "registered": "2026-08-09", "source": "Antonacci (2014), 'Dual Momentum Investing' \u2014 the only rule in this queue whose author claims it beats buy-and-hold on return AND drawdown, which is this programme's exact bar.", "mechanism": "trend", "market": "us", "trade": [ "SPY", "EFA" ], "signal": [ "SPY", "EFA" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, if the better of SPY and EFA has a positive trailing 12-month return, hold that one 100% at the next open.", "exit": "If the better of the two has a NEGATIVE trailing 12-month return, go flat at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Antonacci's safe asset is short Treasuries; this cache has no bill series, so 'flat' is cash at 0%, which is slightly UNKIND to the rule. Stated in advance.", "rule_sha": "933459bf35b7520c", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "dual-momentum-spy-efa", "market": "us", "trade": [ "SPY", "EFA" ], "rule_sha": "933459bf35b7520c", "code_sha": "5c66b456d1376b5f", "window": [ "2001-08-27", "2026-08-07" ], "split": "2019-02-12", "cost_per_side": 0.0002, "bars": 6273, "exposure": 0.806631595727722, "exposure_test": 0.861317747077577, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 2.804932786944093, "cagr": 0.07953028075222046, "max_dd_monthly": -0.22201790403793398, "max_dd": -0.22970913821060968, "sharpe": 0.7253177752359002, "mar": 0.3462216669817586 }, "hold SPY": { "total": 2.2557228540538543, "cagr": 0.06993616303347339, "max_dd_monthly": -0.5079182368945189, "max_dd": -0.5519695265612085, "sharpe": 0.48624148371558307, "mar": 0.12670294222432602 }, "hold EFA": { "total": 1.3005045131595372, "cagr": 0.048867391665325055, "max_dd_monthly": -0.5737973997039163, "max_dd": -0.610428059245514, "sharpe": 0.28487392419137364, "mar": 0.08005430111735837 }, "hold basket (monthly)": { "total": 1.894013131736207, "cagr": 0.06274440370563417, "max_dd_monthly": -0.5410092675075491, "max_dd": -0.578801387381557, "sharpe": 0.40019622764883084, "mar": 0.10840403128521157 }, "hold basket (drift)": { "total": 1.7781136836066955, "cagr": 0.06025982785654138, "max_dd_monthly": -0.5476978549872458, "max_dd": -0.5851677451208568, "sharpe": 0.3894579039330934, "mar": 0.10297872423589531 } }, "test": { "strategy": { "total": 1.3208141407896985, "cagr": 0.11909193876222024, "max_dd_monthly": -0.22520403686770396, "max_dd": -0.33722768889622323, "sharpe": 0.7949705808882108, "mar": 0.35314994196360017, "excess_t_vs_primary": -0.9945711505010482 }, "hold SPY": { "total": 2.1536653486337416, "cagr": 0.1659069359298131, "max_dd_monthly": -0.239279664318637, "max_dd": -0.3371892921002402, "sharpe": 0.9186564104649594, "mar": 0.4920290762984609 }, "hold EFA": { "total": 1.174041130953341, "cagr": 0.10936364376648489, "max_dd_monthly": -0.2762416545237275, "max_dd": -0.3393263971378977, "sharpe": 0.6224252910998233, "mar": 0.3222963043515915 }, "hold basket (monthly)": { "total": 1.6379826324555085, "cagr": 0.13841500716532584, "max_dd_monthly": -0.2556394806616006, "max_dd": -0.3346437318863913, "sharpe": 0.8104815269656418, "mar": 0.4136190042618714 }, "hold basket (drift)": { "total": 1.748061008668727, "cagr": 0.14465179193427535, "max_dd_monthly": -0.2507809897570532, "max_dd": -0.33481159987956466, "sharpe": 0.8401583415240994, "mar": 0.4320393677707348 } }, "gates": { "hold SPY": { "cagr_ratio": 0.7178237491686428, "mar_ratio": 0.7177420176473113, "dd_ratio": 1.0001138731178083, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 1.0889536473062966, "mar_ratio": 1.095730659009824, "dd_ratio": 0.9938150752214495, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.8603975912812278, "mar_ratio": 0.8538049227061459, "dd_ratio": 1.0077215162383772, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.8233008189510116, "mar_ratio": 0.8174022283798037, "dd_ratio": 1.0072162643633842, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.4617605678779073, "cagr": 0.052046116877711546, "max_dd_monthly": -0.37311511629594507, "max_dd": -0.4030048643124228, "sharpe": 0.28811932714236865, "mar": 0.12914513318966708 }, "hold": { "total": 1.157131031233885, "cagr": 0.1082065438660107, "max_dd_monthly": -0.20529380566266564, "max_dd": -0.32714139572116774, "sharpe": 0.6491613994134022, "mar": 0.3307638387599175 }, "gate": { "cagr_ratio": 0.4809886261791974, "mar_ratio": 0.3904451395710343, "dd_ratio": 1.2318981015044508, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9188586003507094, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "5c66b456d1376b5f" } ], "notes": "" }, { "id": "donchian55-btc", "registered": "2026-08-09", "source": "The Turtle system's channel breakout (Dennis & Eckhardt 1983; documented in Faith, 'Way of the Turtle', 2007). Parameters are the original 55/20, not searched here.", "mechanism": "trend", "market": "crypto", "trade": [ "BTCUSDT" ], "signal": [ "BTCUSDT" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "BTC's close exceeds the highest close of the trailing 55 days -> hold BTC at the next open.", "exit": "The close falls below the lowest close of the trailing 20 days -> flat at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. A different trend construction from btc-trend's moving average. If both pass, that is one bet in two costumes and they must not be counted as two survivors.", "rule_sha": "231ada88a5ace70d", "verdict": "FAIL", "tested": "2026-08-09", "result": { "idea": "donchian55-btc", "market": "crypto", "trade": [ "BTCUSDT" ], "rule_sha": "231ada88a5ace70d", "code_sha": "40c51e6ca05d500b", "window": [ "2017-08-17", "2026-08-07" ], "split": "2023-11-28", "cost_per_side": 0.001, "bars": 3278, "exposure": 0.34441732763880417, "exposure_test": 0.3434959349593496, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 14.215236328694576, "cagr": 0.542559996507588, "max_dd_monthly": -0.3222497204077811, "max_dd": -0.5514773232855437, "sharpe": 1.0405222731388735, "mar": 0.9838301115903937 }, "hold BTCUSDT": { "total": 7.8247092049622715, "cagr": 0.4144061560021759, "max_dd_monthly": -0.7498690066958884, "max_dd": -0.8320571811248119, "sharpe": 0.44752587784800535, "mar": 0.49805009247316784 } }, "test": { "strategy": { "total": 0.43359964219506164, "cagr": 0.14320307011624078, "max_dd_monthly": -0.29262111361831666, "max_dd": -0.3696887570145564, "sharpe": 0.41981405738406447, "mar": 0.3873611717940403, "excess_t_vs_primary": -0.34496811167106 }, "hold BTCUSDT": { "total": 0.7167689413315377, "cagr": 0.22239366612391875, "max_dd_monthly": -0.4936028958887515, "max_dd": -0.5297358685620388, "sharpe": 0.4287286210467432, "mar": 0.4198199127569056 } }, "gates": { "hold BTCUSDT": { "cagr_ratio": 0.6439170351031822, "mar_ratio": 0.9226841319895648, "dd_ratio": 0.6978737498332362, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": 0.2566076159668751, "cagr": 0.08857735036470227, "max_dd_monthly": -0.26141495087572353, "max_dd": -0.4220828222646712, "sharpe": 0.22082612283727363, "mar": 0.20985774756111483 }, "hold": { "total": -0.5687026779014703, "cagr": -0.2683637230126039, "max_dd_monthly": -0.8041458966071853, "max_dd": -0.8346705953899486, "sharpe": -0.43215113227428525, "mar": -0.3215205189865679 }, "gate": { "cagr_ratio": -0.3300645458721042, "mar_ratio": -0.652704058274682, "dd_ratio": 0.5056879020249646, "cagr_ok": true, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.4471299093655589, "transfers": true }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "FAIL", "code_sha": "40c51e6ca05d500b" } ], "notes": "" }, { "id": "absolute-momentum-sectors", "registered": "2026-08-09", "source": "Moskowitz, Ooi & Pedersen (2012), 'Time Series Momentum', JFE \u2014 each asset is asked about its own past return rather than ranked against the others.", "mechanism": "trend", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, hold equally every basket name whose trailing 12-month return is positive, filled at the next open; capital is split across the WHOLE basket of 12, so a name that is flat sits in cash rather than concentrating the others.", "exit": "Any name whose trailing 12-month return turns negative is sold at the next open.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Sized across the full basket deliberately: concentrating into the positive names would be a leveraged version of the published rule.", "rule_sha": "19d3795485bad693", "verdict": "MIXED", "tested": "2026-08-09", "result": { "idea": "absolute-momentum-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "19d3795485bad693", "code_sha": "7a7a34b540540eaf", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9442645304244077, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 2.5981876746660317, "cagr": 0.08165866492327867, "max_dd_monthly": -0.1917174350590647, "max_dd": -0.20525312317435196, "sharpe": 0.7880165716405502, "mar": 0.3978437144360227 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, "cagr": 0.13620298350578786, "max_dd_monthly": -0.4974442952738466, "max_dd": -0.534089585114746, "sharpe": 0.7238635393608474, "mar": 0.25501898427119757 }, "hold IWM": { "total": 3.9400557353120114, "cagr": 0.10288092826111361, "max_dd_monthly": -0.524773110359257, "max_dd": -0.5864493956190976, "sharpe": 0.5088742497068914, "mar": 0.17543018891255777 }, "hold DIA": { "total": 3.5691783745065564, "cagr": 0.09761693909652247, "max_dd_monthly": -0.470377631103023, "max_dd": -0.5187389652528842, "sharpe": 0.7086753339600276, "mar": 0.18818123494720396 }, "hold MDY": { "total": 4.4401570006909274, "cagr": 0.10942006975775764, "max_dd_monthly": -0.4972761723587422, "max_dd": -0.5533322150368457, "sharpe": 0.6150901862662903, "mar": 0.19774751367127882 }, "hold EFA": { "total": 2.041965756925882, "cagr": 0.07058056427028236, "max_dd_monthly": -0.5737855338151402, "max_dd": -0.6104154358501126, "sharpe": 0.3926326947963405, "mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, "mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 0.9479083456335664, "cagr": 0.09988357523367886, "max_dd_monthly": -0.152703860514098, "max_dd": -0.2353701015239933, "sharpe": 0.8909415081387141, "mar": 0.42436815290873664, "excess_t_vs_primary": -1.5932894260526584 }, "hold SPY": { "total": 1.975860747016645, "cagr": 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1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 0.5928077030783733, "mar_ratio": 0.8492420179543889, "dd_ratio": 0.6980433027869939, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold QQQ": { "cagr_ratio": 0.4461745365800584, "mar_ratio": 0.6657284728099845, "dd_ratio": 0.6702049781599287, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold IWM": { "cagr_ratio": 0.836950695037106, "mar_ratio": 1.460541089783036, "dd_ratio": 0.5730415261110081, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold DIA": { "cagr_ratio": 0.7670316980462986, "mar_ratio": 1.1959094341487229, "dd_ratio": 0.64137941899613, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold MDY": { "cagr_ratio": 0.813135096478859, "mar_ratio": 1.4587098154589533, "dd_ratio": 0.5574344450565191, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold EFA": { "cagr_ratio": 0.8742700905634456, "mar_ratio": 1.260388727363437, "dd_ratio": 0.6936511503020981, "cagr_ok": true, "mar_ok": false, "dd_ok": true, "pass": false }, "hold EEM": { "cagr_ratio": 1.0039739428762144, "mar_ratio": 1.6986735878885604, "dd_ratio": 0.5910340574166147, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLK": { "cagr_ratio": 0.3770341412322547, "mar_ratio": 0.5375823629217403, "dd_ratio": 0.7013513969898267, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold XLF": { "cagr_ratio": 0.741955648195902, "mar_ratio": 1.351265459659247, "dd_ratio": 0.549082079240746, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold XLE": { "cagr_ratio": 0.6572193290841318, "mar_ratio": 1.6923343776520148, "dd_ratio": 0.3883507525244353, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold XLV": { "cagr_ratio": 0.9093018427739095, "mar_ratio": 1.0973819482641363, "dd_ratio": 0.8286101700618129, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 0.6382208867650845, "mar_ratio": 1.147955361807033, "dd_ratio": 0.555963156755887, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.6368058378317276, "mar_ratio": 1.00529364815816, "dd_ratio": 0.6334525628391724, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.5975438822347648, "mar_ratio": 0.900911038630006, "dd_ratio": 0.6632662456255787, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.5262328676791854, "cagr": 0.062230396088005735, "max_dd_monthly": -0.17072917533060517, "max_dd": -0.2637717469285902, "sharpe": 0.4960813943951378, "mar": 0.23592517702380425 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.6073568554400629, "mar_ratio": 0.7521562187816423, "dd_ratio": 0.8074876472122663, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9406851883415716, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "MIXED", "code_sha": "7a7a34b540540eaf" } ], "notes": "" }, { "id": "sma200-sectors", "registered": "2026-08-09", "source": "Faber (2007) applied per-name across the basket instead of to the index alone.", "mechanism": "trend", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "At each month end, hold equally every basket name trading above its own 200-day SMA, filled at the next open; capital split across all 12 so a name below its average is cash.", "exit": "A name closing below its own 200-day SMA is sold at the next month end.", "benchmarks": [], "success": "On the held-out test window, clear all three gates against EVERY benchmark: MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. Paired with absolute-momentum-sectors: same family, different trigger, same dates. Near-identical results would say the trigger is cosmetic.", "rule_sha": "b229e57bf50d7106", "verdict": "MIXED", "tested": "2026-08-09", "result": { "idea": "sma200-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "b229e57bf50d7106", "code_sha": "f0ba972ddb657ae6", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "exposure": 0.9321629452871996, "exposure_test": 0.9761499148211243, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 2.6249338168761653, "cagr": 0.0821498518042243, "max_dd_monthly": -0.14712676951298487, "max_dd": -0.18120095496914534, "sharpe": 0.8335430577535765, "mar": 0.45336323872141104 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 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"total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 1.1520465746998427, "cagr": 0.11564751384600869, "max_dd_monthly": -0.10658656328434368, "max_dd": -0.13933772038973435, "sharpe": 1.0964845955071838, "mar": 0.8299799474437861, "excess_t_vs_primary": -1.0445783294820004 }, "hold SPY": { "total": 1.975860747016645, "cagr": 0.1684923706540864, "max_dd_monthly": -0.23927782234709005, "max_dd": 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"max_dd": -0.33932056686056844, "sharpe": 0.6537453247696157, "mar": 0.336696245924428 }, "hold EEM": { "total": 0.9430099167659491, "cagr": 0.09948821475140024, "max_dd_monthly": -0.36550439363642384, "max_dd": -0.3982344140247792, "sharpe": 0.5129962687548624, "mar": 0.2498232479355986 }, "hold XLK": { "total": 4.185477257231366, "cagr": 0.264919179221359, "max_dd_monthly": -0.31211492511307815, "max_dd": -0.33559511328300295, "sharpe": 1.021273700104359, "mar": 0.7894011823645243 }, "hold XLF": { "total": 1.4218441855466657, "cagr": 0.1346220296004892, "max_dd_monthly": -0.31787778912566256, "max_dd": -0.4286610516399586, "sharpe": 0.6204228029708991, "mar": 0.3140523942762149 }, "hold XLE": { "total": 1.6935334534949233, "cagr": 0.15197905906521592, "max_dd_monthly": -0.505184512119967, "max_dd": -0.6060760794050055, "sharpe": 0.4315798731539802, "mar": 0.25075904532384147 }, "hold XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 0.6863664710578035, "mar_ratio": 1.6609489675357951, "dd_ratio": 0.4132375434003282, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold QQQ": { "cagr_ratio": 0.5165911990651353, "mar_ratio": 1.3020328671871162, "dd_ratio": 0.39675741840616346, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold IWM": { "cagr_ratio": 0.9690408745009972, "mar_ratio": 2.8565287207080092, "dd_ratio": 0.3392372243541854, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold DIA": { "cagr_ratio": 0.8880870424652872, "mar_ratio": 2.3389616833847247, "dd_ratio": 0.37969285635330774, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold MDY": { "cagr_ratio": 0.9414666236036666, "mar_ratio": 2.852947111303912, "dd_ratio": 0.32999792385684235, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold EFA": { "cagr_ratio": 1.012250133888839, "mar_ratio": 2.465070393538265, "dd_ratio": 0.4106374148755627, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold EEM": { "cagr_ratio": 1.1624242543198415, "mar_ratio": 3.3222686611525636, "dd_ratio": 0.349888697416955, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLK": { "cagr_ratio": 0.43653885002179055, "mar_ratio": 1.0514044898662487, "dd_ratio": 0.4151959157767374, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold XLF": { "cagr_ratio": 0.8590534119059846, "mar_ratio": 2.6428072594593988, "dd_ratio": 0.3250533722545127, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLE": { "cagr_ratio": 0.7609437415741799, "mar_ratio": 3.309870423106424, "dd_ratio": 0.22990136902701125, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold XLV": { "cagr_ratio": 1.0528107069293156, "mar_ratio": 2.1462614607225308, "dd_ratio": 0.4905323634590591, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLI": { "cagr_ratio": 0.7389469055978501, "mar_ratio": 2.245173028017764, "dd_ratio": 0.329126929807391, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.7373085292108384, "mar_ratio": 1.9661550084398522, "dd_ratio": 0.37500020397470807, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.691850128839221, "mar_ratio": 1.7620033251045242, "dd_ratio": 0.39264972941988047, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.4014030150195187, "cagr": 0.049366865190999754, "max_dd_monthly": -0.20872452359685334, "max_dd": -0.21656107663968538, "sharpe": 0.42515250565272883, "mar": 0.22795816292110707 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.4818112351870131, "mar_ratio": 0.7267564743454641, "dd_ratio": 0.6629610498082524, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.9413669677859212, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-09", "verdict": "MIXED", "code_sha": "f0ba972ddb657ae6" } ], "notes": "" }, { "id": "high-volume-premium-sectors", "registered": "2026-08-11", "source": "Gervais, Kaniel & Mingelgrin (2001), 'The High-Volume Return Premium', Journal of Finance 56(3), 877-919 \u2014 securities that trade abnormally high volume over a day or a week outperform over the following month.", "mechanism": "flow", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [], "timeframe": "daily bars, full cached history, 70/30 chronological split, rebalanced at each month end", "entry": "At each month end, for each of the twelve names compute the ratio of its mean dollar volume (that day's Close times that day's Volume) over the last 5 sessions to its mean dollar volume over the preceding 50 sessions. Hold the three highest ratios at one third of the account each, bought at the next open.", "exit": "At the following month end any name no longer in the top three is sold. Between month ends nothing is traded and positions drift with their prices.", "benchmarks": [ "SPY", "QQQ" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "86c47640845d905d", "verdict": "MIXED", "tested": "2026-08-11", "result": { "idea": "high-volume-premium-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "86c47640845d905d", "code_sha": "af89f8ea3f2d0874", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "aux": [ "VOL_SPY", "VOL_QQQ", "VOL_IWM", "VOL_DIA", "VOL_MDY", "VOL_EFA", "VOL_EEM", "VOL_XLK", "VOL_XLF", "VOL_XLE", "VOL_XLV", "VOL_XLI", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB" ], "aux_window_start": null, "aux_window_end": null, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 4.284189925454162, "cagr": 0.10744345850217063, "max_dd_monthly": -0.5458401126071322, "max_dd": -0.5781999905030789, "sharpe": 0.6383028656676225, "mar": 0.18582404058617585 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, "cagr": 0.13620298350578786, "max_dd_monthly": -0.4974442952738466, "max_dd": -0.534089585114746, "sharpe": 0.7238635393608474, "mar": 0.25501898427119757 }, "hold IWM": { "total": 3.9400557353120114, "cagr": 0.10288092826111361, "max_dd_monthly": -0.524773110359257, "max_dd": -0.5864493956190976, "sharpe": 0.5088742497068914, "mar": 0.17543018891255777 }, "hold DIA": { "total": 3.5691783745065564, "cagr": 0.09761693909652247, "max_dd_monthly": -0.470377631103023, "max_dd": -0.5187389652528842, "sharpe": 0.7086753339600276, "mar": 0.18818123494720396 }, "hold MDY": { "total": 4.4401570006909274, "cagr": 0.10942006975775764, "max_dd_monthly": -0.4972761723587422, "max_dd": -0.5533322150368457, "sharpe": 0.6150901862662903, "mar": 0.19774751367127882 }, "hold EFA": { "total": 2.041965756925882, "cagr": 0.07058056427028236, "max_dd_monthly": -0.5737855338151402, "max_dd": -0.6104154358501126, "sharpe": 0.3926326947963405, "mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, "mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 1.6843919449415274, "cagr": 0.1514199939746681, "max_dd_monthly": -0.26823690893296315, "max_dd": -0.3534553055385016, "sharpe": 0.8142731339667159, "mar": 0.428399267466008, "excess_t_vs_primary": -0.4788492142908159 }, "hold SPY": { "total": 1.975860747016645, "cagr": 0.1684923706540864, "max_dd_monthly": -0.23927782234709005, "max_dd": -0.3371855307317745, "sharpe": 0.9276503753013849, "mar": 0.4997022567617805 }, "hold QQQ": { "total": 3.1156537088152456, "cagr": 0.2238665971377245, "max_dd_monthly": -0.3257736254786545, "max_dd": -0.3511912164099559, "sharpe": 0.9744086992067448, "mar": 0.6374493058972136 }, "hold IWM": { "total": 1.2024589904520675, "cagr": 0.11934224539863791, "max_dd_monthly": -0.3064483583547086, "max_dd": -0.41073829870821266, "sharpe": 0.5059797376644425, "mar": 0.2905554358431482 }, "hold DIA": { "total": 1.3568141656509494, "cagr": 0.13022092240528216, "max_dd_monthly": -0.22625605038261376, "max_dd": -0.3669748273064145, "sharpe": 0.7392724623203809, "mar": 0.3548497409511717 }, "hold MDY": { "total": 1.251079688869004, "cagr": 0.12283761415072036, "max_dd_monthly": -0.2964485063858351, "max_dd": -0.4222381727776596, "sharpe": 0.577688916578942, "mar": 0.290920201133505 }, "hold EFA": { "total": 1.1332105501242014, "cagr": 0.11424796102690227, "max_dd_monthly": -0.2762376639125026, "max_dd": -0.33932056686056844, "sharpe": 0.6537453247696157, "mar": 0.336696245924428 }, "hold EEM": { "total": 0.9430099167659491, "cagr": 0.09948821475140024, "max_dd_monthly": -0.36550439363642384, "max_dd": -0.3982344140247792, "sharpe": 0.5129962687548624, "mar": 0.2498232479355986 }, "hold XLK": { "total": 4.185477257231366, "cagr": 0.264919179221359, "max_dd_monthly": -0.31211492511307815, "max_dd": -0.33559511328300295, "sharpe": 1.021273700104359, "mar": 0.7894011823645243 }, "hold XLF": { "total": 1.4218441855466657, "cagr": 0.1346220296004892, "max_dd_monthly": -0.31787778912566256, "max_dd": -0.4286610516399586, "sharpe": 0.6204228029708991, "mar": 0.3140523942762149 }, "hold XLE": { "total": 1.6935334534949233, "cagr": 0.15197905906521592, "max_dd_monthly": -0.505184512119967, "max_dd": -0.6060760794050055, "sharpe": 0.4315798731539802, "mar": 0.25075904532384147 }, "hold XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 0.8986756693306442, "mar_ratio": 0.8573090508779425, "dd_ratio": 1.0482516992096835, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold QQQ": { "cagr_ratio": 0.6763849359871822, "mar_ratio": 0.672052292633739, "dd_ratio": 1.0064468842691747, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 1.2687878753150752, "mar_ratio": 1.4744149123311279, "dd_ratio": 0.8605365183868458, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 1.1627931301500751, "mar_ratio": 1.2072694947379343, "dd_ratio": 0.9631595391238525, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 1.2326842638678857, "mar_ratio": 1.4725662425532735, "dd_ratio": 0.8370993631706116, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 1.3253627689601641, "mar_ratio": 1.272361283060349, "dd_ratio": 1.0416560033737692, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 1.5219892562454183, "mar_ratio": 1.7148094543084482, "dd_ratio": 0.8875559044892304, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.5715705235827634, "mar_ratio": 0.542688910324161, "dd_ratio": 1.0532194646125177, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 1.1247787187879232, "mar_ratio": 1.3641012623174682, "dd_ratio": 0.8245566145705631, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLE": { "cagr_ratio": 0.9963214334001903, "mar_ratio": 1.7084100272943454, "dd_ratio": 0.5831863647967995, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLV": { "cagr_ratio": 1.3784696756384698, "mar_ratio": 1.1078060866360033, "dd_ratio": 1.244323977154135, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 0.9675204617214327, "mar_ratio": 1.1588599019765993, "dd_ratio": 0.8348899293790301, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.9653752972090344, "mar_ratio": 1.0148430307676846, "dd_ratio": 0.9512557784219793, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.9058555506839696, "mar_ratio": 0.9094688806304845, "dd_ratio": 0.996026988912463, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.8829385765361519, "cagr": 0.09456894330100729, "max_dd_monthly": -0.2184015551947257, "max_dd": -0.3392274467632219, "sharpe": 0.5122364843677985, "mar": 0.27877739317189054 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 0.9229749388765307, "mar_ratio": 0.8887739433965363, "dd_ratio": 1.0384810960470916, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "MIXED", "code_sha": "af89f8ea3f2d0874" } ], "notes": "Volume is the series this entry exists to test \u2014 it could not be registered at all before 2026-08-11. GKM measured single stocks; sector and country ETFs stand in because no free price source serves the US single stocks that died (fetch.py --verify: 0 of 11 casualties). That substitution is a real deviation from the paper and is why a PASS here would be evidence about ETFs, not about the published anomaly.", "aux": [ "VOL_SPY", "VOL_QQQ", "VOL_IWM", "VOL_DIA", "VOL_MDY", "VOL_EFA", "VOL_EEM", "VOL_XLK", "VOL_XLF", "VOL_XLE", "VOL_XLV", "VOL_XLI", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB" ] }, { "id": "volume-shock-reversion-spy", "registered": "2026-08-11", "source": "Campbell, Grossman & Wang (1993), 'Trading Volume and Serial Correlation in Stock Returns', Quarterly Journal of Economics 108(4), 905-939 \u2014 price declines accompanied by high volume are reversed more strongly than declines on low volume, because the high-volume seller is paying for liquidity rather than trading on information.", "mechanism": "mean-reversion", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Buy SPY at the next open when SPY closes down 1.0% or more on a day whose volume is at least 1.5 times its own trailing 50-session mean volume.", "exit": "Sell at the open 5 sessions after entry. A fresh signal while the position is already open is ignored.", "benchmarks": [ "SPY" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "e90a2b4527037e00", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "volume-shock-reversion-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "e90a2b4527037e00", "code_sha": "23bc620982b9ac25", "window": [ "1998-12-22", "2026-08-07" ], "split": "2018-04-23", "cost_per_side": 0.0002, "bars": 6948, "aux": [ "VOL_SPY", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB" ], "aux_window_start": "1998-12-22", "aux_window_end": null, "exposure": 0.1288140472078296, "exposure_test": 0.13908872901678657, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.9671696783379702, "cagr": 0.035613346589896455, "max_dd_monthly": -0.1373357060353788, "max_dd": -0.24122420208752304, "sharpe": 0.4186231028391587, "mar": 0.14763587683865534 }, "hold SPY": { "total": 2.1272183997067735, "cagr": 0.060742130184248566, "max_dd_monthly": -0.5079180689640457, "max_dd": -0.55196934620078, "sharpe": 0.4003425818532415, "mar": 0.11004620202614203 } }, "test": { "strategy": { "total": 0.13568939720100737, "cagr": 0.01546659224399205, "max_dd_monthly": -0.1515220406705785, "max_dd": -0.26573037830867974, "sharpe": 0.21307334068616912, "mar": 0.0582040801749269, "excess_t_vs_primary": -2.622188878464758 }, "hold SPY": { "total": 2.291171523349388, "cagr": 0.15452935285277403, "max_dd_monthly": -0.23927964492386267, "max_dd": -0.33718925249531706, "sharpe": 0.8733124535728624, "mar": 0.4582867090490085 } }, "gates": { "hold SPY": { "cagr_ratio": 0.10008837776424043, "mar_ratio": 0.12700363991726116, "dd_ratio": 0.7880748758810758, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.3048842221358723, "cagr": 0.0326205762618621, "max_dd_monthly": -0.08600999929746478, "max_dd": -0.19415108660340974, "sharpe": 0.7005027098398683, "mar": 0.1680164496245946 }, "hold": { "total": 1.2723197700162157, "cagr": 0.10407565244417061, "max_dd_monthly": -0.20648771978334923, "max_dd": -0.328950281472452, "sharpe": 0.6414075084384108, "mar": 0.3163871816078274 }, "gate": { "cagr_ratio": 0.31343138856958674, "mar_ratio": 0.5310469557292516, "dd_ratio": 0.5902140765295834, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.34988485895221644, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "23bc620982b9ac25" } ], "notes": "The volume condition is the whole point: the same rule without it is three-down-days/bollinger territory, which already failed. If this passes and a volume-blind twin would not, that is a finding about volume.", "aux": [ "VOL_SPY", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB" ] }, { "id": "amihud-illiquidity-sectors", "registered": "2026-08-11", "source": "Amihud (2002), 'Illiquidity and stock returns: cross-section and time-series effects', Journal of Financial Markets 5(1), 31-56 \u2014 expected return rises with illiquidity, measured as the average ratio of absolute daily return to dollar volume.", "mechanism": "flow", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [], "timeframe": "daily bars, full cached history, 70/30 chronological split, rebalanced at each month end", "entry": "At each month end rank the twelve names by ILLIQ, the mean over the last 60 sessions of |daily return| divided by that day's dollar volume. Hold the three MOST illiquid at one third each, bought at the next open.", "exit": "At the following month end any name no longer in the top three by ILLIQ is sold; otherwise positions are held and drift.", "benchmarks": [ "SPY", "QQQ" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "0cab271ad84aca07", "verdict": "MIXED", "tested": "2026-08-11", "result": { "idea": "amihud-illiquidity-sectors", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "0cab271ad84aca07", "code_sha": "a9f25885cf638786", "window": [ "2003-04-14", "2026-08-07" ], "split": "2019-08-06", "cost_per_side": 0.0002, "bars": 5867, "aux": [ "VOL_SPY", "VOL_QQQ", "VOL_IWM", "VOL_DIA", "VOL_MDY", "VOL_EFA", "VOL_EEM", "VOL_XLK", "VOL_XLF", "VOL_XLE", "VOL_XLV", "VOL_XLI", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB" ], "aux_window_start": null, "aux_window_end": null, "exposure": 0.9981251065280382, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 3.568265562949999, "cagr": 0.09760349522763634, "max_dd_monthly": -0.45025158942431887, "max_dd": -0.4905472735279889, "sharpe": 0.6519484443084728, "mar": 0.19896858161228254 }, "hold SPY": { "total": 3.471555676314779, "cagr": 0.0961646701635015, "max_dd_monthly": -0.507902288479769, "max_dd": -0.551952397663104, "sharpe": 0.6586349534335341, "mar": 0.17422638359874953 }, "hold QQQ": { "total": 7.027927301074559, "cagr": 0.13620298350578786, "max_dd_monthly": -0.4974442952738466, "max_dd": -0.534089585114746, "sharpe": 0.7238635393608474, "mar": 0.25501898427119757 }, "hold IWM": { "total": 3.9400557353120114, "cagr": 0.10288092826111361, "max_dd_monthly": -0.524773110359257, "max_dd": -0.5864493956190976, "sharpe": 0.5088742497068914, "mar": 0.17543018891255777 }, "hold DIA": { "total": 3.5691783745065564, "cagr": 0.09761693909652247, "max_dd_monthly": -0.470377631103023, "max_dd": -0.5187389652528842, "sharpe": 0.7086753339600276, "mar": 0.18818123494720396 }, "hold MDY": { "total": 4.4401570006909274, "cagr": 0.10942006975775764, "max_dd_monthly": -0.4972761723587422, "max_dd": -0.5533322150368457, "sharpe": 0.6150901862662903, "mar": 0.19774751367127882 }, "hold EFA": { "total": 2.041965756925882, "cagr": 0.07058056427028236, "max_dd_monthly": -0.5737855338151402, "max_dd": -0.6104154358501126, "sharpe": 0.3926326947963405, "mar": 0.1156270961136268 }, "hold EEM": { "total": 3.6637673039456615, "cagr": 0.09899655610579217, "max_dd_monthly": -0.6042770770051284, "max_dd": -0.6643685805030634, "sharpe": 0.41702507794261656, "mar": 0.149008485667446 }, "hold XLK": { "total": 5.599743564674233, "cagr": 0.12263969082977555, "max_dd_monthly": -0.4946038481919053, "max_dd": -0.5304109723764161, "sharpe": 0.6842015318915333, "mar": 0.2312163533878443 }, "hold XLF": { "total": 1.0743975464300273, "cagr": 0.0457473853676047, "max_dd_monthly": -0.7864950077907769, "max_dd": -0.8269549040691452, "sharpe": 0.1965088467805048, "mar": 0.05532029031147697 }, "hold XLE": { "total": 2.646976492615271, "cagr": 0.08255211005417284, "max_dd_monthly": -0.5312558776216232, "max_dd": -0.5736201409731099, "sharpe": 0.3649369449032059, "mar": 0.1439142459574876 }, "hold XLV": { "total": 3.312990682017544, "cagr": 0.0937411304912319, "max_dd_monthly": -0.3550397750819493, "max_dd": -0.3917573570768592, "sharpe": 0.681256839962598, "mar": 0.23928365044805205 }, "hold XLI": { "total": 4.038914807226373, "cagr": 0.10422139838088684, "max_dd_monthly": -0.5715441681669196, "max_dd": -0.6226835112162337, "sharpe": 0.552821516082243, "mar": 0.16737459159199547 }, "hold basket (monthly)": { "total": 3.614899583221847, "cagr": 0.09828711499033149, "max_dd_monthly": -0.5287065647488187, "max_dd": -0.5685528182806654, "sharpe": 0.6154220882999601, "mar": 0.17287244356216028 }, "hold basket (drift)": { "total": 3.735635853477815, "cagr": 0.10002733782545681, "max_dd_monthly": -0.5310264977950161, "max_dd": -0.5654594090088532, "sharpe": 0.5959816426369146, "mar": 0.17689569972986463 } }, "test": { "strategy": { "total": 2.1972575030771058, "cagr": 0.1805267975607765, "max_dd_monthly": -0.30548830024185947, "max_dd": -0.4225946587060101, "sharpe": 0.8052809391495218, "mar": 0.4271866523669554, "excess_t_vs_primary": 0.3576340874590142 }, "hold SPY": { "total": 1.975860747016645, "cagr": 0.1684923706540864, "max_dd_monthly": -0.23927782234709005, "max_dd": -0.3371855307317745, "sharpe": 0.9276503753013849, "mar": 0.4997022567617805 }, "hold QQQ": { "total": 3.1156537088152456, "cagr": 0.2238665971377245, "max_dd_monthly": -0.3257736254786545, "max_dd": -0.3511912164099559, "sharpe": 0.9744086992067448, "mar": 0.6374493058972136 }, "hold IWM": { "total": 1.2024589904520675, "cagr": 0.11934224539863791, "max_dd_monthly": -0.3064483583547086, "max_dd": -0.41073829870821266, "sharpe": 0.5059797376644425, "mar": 0.2905554358431482 }, "hold DIA": { "total": 1.3568141656509494, "cagr": 0.13022092240528216, "max_dd_monthly": -0.22625605038261376, "max_dd": -0.3669748273064145, "sharpe": 0.7392724623203809, "mar": 0.3548497409511717 }, "hold MDY": { "total": 1.251079688869004, "cagr": 0.12283761415072036, "max_dd_monthly": -0.2964485063858351, "max_dd": -0.4222381727776596, "sharpe": 0.577688916578942, "mar": 0.290920201133505 }, "hold EFA": { "total": 1.1332105501242014, "cagr": 0.11424796102690227, "max_dd_monthly": -0.2762376639125026, "max_dd": -0.33932056686056844, "sharpe": 0.6537453247696157, "mar": 0.336696245924428 }, "hold EEM": { "total": 0.9430099167659491, "cagr": 0.09948821475140024, "max_dd_monthly": -0.36550439363642384, "max_dd": -0.3982344140247792, "sharpe": 0.5129962687548624, "mar": 0.2498232479355986 }, "hold XLK": { "total": 4.185477257231366, "cagr": 0.264919179221359, "max_dd_monthly": -0.31211492511307815, "max_dd": -0.33559511328300295, "sharpe": 1.021273700104359, "mar": 0.7894011823645243 }, "hold XLF": { "total": 1.4218441855466657, "cagr": 0.1346220296004892, "max_dd_monthly": -0.31787778912566256, "max_dd": -0.4286610516399586, "sharpe": 0.6204228029708991, "mar": 0.3140523942762149 }, "hold XLE": { "total": 1.6935334534949233, "cagr": 0.15197905906521592, "max_dd_monthly": -0.505184512119967, "max_dd": -0.6060760794050055, "sharpe": 0.4315798731539802, "mar": 0.25075904532384147 }, "hold XLV": { "total": 1.074890450244256, "cagr": 0.10984644541022237, "max_dd_monthly": -0.15618540944385717, "max_dd": -0.28405408239973096, "sharpe": 0.6977368699356048, "mar": 0.38670961699343775 }, "hold XLI": { "total": 1.7684955643827656, "cagr": 0.15650314382525665, "max_dd_monthly": -0.27153863101192544, "max_dd": -0.423355574310727, "sharpe": 0.7210362343418756, "mar": 0.369673043941992 }, "hold basket (monthly)": { "total": 1.7743311822441483, "cagr": 0.1568509101200679, "max_dd_monthly": -0.2482853910008357, "max_dd": -0.3715670522652089, "sharpe": 0.8582982564555351, "mar": 0.4221335265434523 }, "hold basket (drift)": { "total": 1.9521226471425708, "cagr": 0.16715688705593057, "max_dd_monthly": -0.23079939698492813, "max_dd": -0.35486518886845686, "sharpe": 0.8919647616722878, "mar": 0.47104334913474166 } }, "gates": { "hold SPY": { "cagr_ratio": 1.0714241651415581, "mar_ratio": 0.8548823756275431, "dd_ratio": 1.2533000979872329, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold QQQ": { "cagr_ratio": 0.8064034557585873, "mar_ratio": 0.6701500000312773, "dd_ratio": 1.2033178478265325, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold IWM": { "cagr_ratio": 1.5126814227247387, "mar_ratio": 1.4702414743242507, "dd_ratio": 1.0288659714350625, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold DIA": { "cagr_ratio": 1.3863117709988957, "mar_ratio": 1.2038522311496838, "dd_ratio": 1.1515630698918606, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold MDY": { "cagr_ratio": 1.469637771857667, "mar_ratio": 1.468398037339858, "dd_ratio": 1.0008442768828913, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold EFA": { "cagr_ratio": 1.5801314608867931, "mar_ratio": 1.2687597724592337, "dd_ratio": 1.2454142188193977, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold EEM": { "cagr_ratio": 1.8145545983700113, "mar_ratio": 1.7099555621704148, "dd_ratio": 1.0611706166602546, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLK": { "cagr_ratio": 0.6814410270006664, "mar_ratio": 0.5411527901280645, "dd_ratio": 1.2592396074302834, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLF": { "cagr_ratio": 1.3409900155013001, "mar_ratio": 1.3602400750724315, "dd_ratio": 0.9858480426184281, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false }, "hold XLE": { "cagr_ratio": 1.187839947629301, "mar_ratio": 1.7035742491971424, "dd_ratio": 0.6972633850207023, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLV": { "cagr_ratio": 1.6434468761059844, "mar_ratio": 1.1046703614154094, "dd_ratio": 1.4877260525033396, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XLI": { "cagr_ratio": 1.153502691053564, "mar_ratio": 1.1555796652405856, "dd_ratio": 0.9982026559920564, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 1.150945170943445, "mar_ratio": 1.0119704441977861, "dd_ratio": 1.1373308158775601, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 1.0799842037042264, "mar_ratio": 0.9068945632109093, "dd_ratio": 1.1908597178932068, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 1.2247928029889286, "cagr": 0.12095596386595564, "max_dd_monthly": -0.26183999420988213, "max_dd": -0.3715114388097923, "sharpe": 0.5591043425586405, "mar": 0.32557803402624996 }, "hold": { "total": 0.9801023989824031, "cagr": 0.10246100876381226, "max_dd_monthly": -0.1940567503077527, "max_dd": -0.3266573152409499, "sharpe": 0.6102380873099256, "mar": 0.3136651285100861 }, "gate": { "cagr_ratio": 1.1805072517368727, "mar_ratio": 1.0379796937350043, "dd_ratio": 1.137312472355799, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9981251065280382, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "MIXED", "code_sha": "a9f25885cf638786" } ], "notes": "Among ETFs the ILLIQ ranking is expected to be nearly static, so this measures the illiquidity PREMIUM and not any timing. If it turns out to be a fixed basket of the three smallest funds, that is the finding and it should be reported as such rather than as a strategy.", "aux": [ "VOL_SPY", "VOL_QQQ", "VOL_IWM", "VOL_DIA", "VOL_MDY", "VOL_EFA", "VOL_EEM", "VOL_XLK", "VOL_XLF", "VOL_XLE", "VOL_XLV", "VOL_XLI", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB" ] }, { "id": "high-volume-premium-crypto", "registered": "2026-08-11", "source": "Gervais, Kaniel & Mingelgrin (2001) as above, applied out of sample to crypto. The paper's market is US equities; nothing in it claims this holds for coins, which is exactly why it is worth one test.", "mechanism": "flow", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "signal": [], "timeframe": "daily bars, full cached history, 70/30 chronological split, rebalanced at each month end (crypto trades every calendar day)", "entry": "At each month end, for each of the ten coins compute the ratio of its mean dollar volume over the last 5 days to its mean dollar volume over the preceding 50 days. Hold the three highest at one third each, bought at the next open.", "exit": "At the following month end any coin no longer in the top three is sold.", "benchmarks": [ "BTCUSDT" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "770479c132bc84cb", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "high-volume-premium-crypto", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "rule_sha": "770479c132bc84cb", "code_sha": "de719735b155ce3a", "window": [ "2020-10-14", "2026-08-07" ], "split": "2024-11-08", "cost_per_side": 0.001, "bars": 2124, "aux": [ "VOL_BTCUSDT", "VOL_ETHUSDT", "VOL_SOLUSDT", "VOL_XRPUSDT", "VOL_BNBUSDT", "VOL_ADAUSDT", "VOL_DOGEUSDT", "VOL_LINKUSDT", "VOL_AVAXUSDT", "VOL_LTCUSDT", "VOL_DOTUSDT", "VOL_ATOMUSDT", "VOL_UNIUSDT", "VOL_NEARUSDT", "VOL_ETCUSDT" ], "aux_window_start": "2020-10-14", "aux_window_end": null, "exposure": 0.9919962335216572, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 4.802228629275589, "cagr": 0.5405900518041897, "max_dd_monthly": -0.7907327850589712, "max_dd": -0.8132722461275463, "sharpe": 0.5372864999448854, "mar": 0.6647098242664098 }, "hold BTCUSDT": { "total": 5.699868549267837, "cagr": 0.5960342256142117, "max_dd_monthly": -0.7302754365365643, "max_dd": -0.766422136886767, "sharpe": 0.6390679356437917, "mar": 0.7776839902293574 }, "hold ETHUSDT": { "total": 6.820040956983245, "cagr": 0.6578509766599614, "max_dd_monthly": -0.7687562081370074, "max_dd": -0.7930878111854082, "sharpe": 0.6327799192362336, "mar": 0.8294806292340924 }, "hold SOLUSDT": { "total": 85.48419993075952, "cagr": 1.9928681749852073, "max_dd_monthly": -0.9521996851437801, "max_dd": -0.9627078804572442, "sharpe": 0.8114441333944092, "mar": 2.0700652975216967 }, "hold XRPUSDT": { "total": 1.2221590781337817, "cagr": 0.2168450428219526, "max_dd_monthly": -0.7951576444601756, "max_dd": -0.8325088542172099, "sharpe": 0.16530561540756197, "mar": 0.2604717556137554 }, "hold BNBUSDT": { "total": 18.384822686296065, "cagr": 1.0722898232920048, "max_dd_monthly": -0.6553765526413404, "max_dd": -0.7086768530308272, "sharpe": 0.6986708488518075, "mar": 1.5130871266728965 }, "hold ADAUSDT": { "total": 3.1539098383630435, "cagr": 0.4191002753486719, "max_dd_monthly": -0.9112025753565743, "max_dd": -0.9184080570513646, "sharpe": 0.34463008564619413, "mar": 0.4563334044501229 }, "hold DOGEUSDT": { "total": 75.53177756726073, "cagr": 1.9042711356578126, "max_dd_monthly": -0.818207074167216, "max_dd": -0.9233168603884992, "sharpe": 0.6618042668314071, "mar": 2.062424306707193 }, "hold LINKUSDT": { "total": 0.25616279753158633, "cagr": 0.0576571322060313, "max_dd_monthly": -0.8539186045153739, "max_dd": -0.9019843932206171, "sharpe": 0.059568025879538085, "mar": 0.06392253861528721 }, "hold AVAXUSDT": { "total": 5.933939759036161, "cagr": 0.6095627756366369, "max_dd_monthly": -0.9232940093857565, "max_dd": -0.9349145646354438, "sharpe": 0.3516449028068549, "mar": 0.6519983736421167 }, "hold LTCUSDT": { "total": 0.46073930508134286, "cagr": 0.09761743979586912, "max_dd_monthly": -0.8028988910699156, "max_dd": -0.8879427815139027, "sharpe": 0.09358669785885419, "mar": 0.10993663311214237 }, "hold basket (monthly)": { "total": 25.743955086284096, "cagr": 1.2428674538412423, "max_dd_monthly": -0.7582674906633221, "max_dd": -0.7850135653608005, "sharpe": 0.8319218346067814, "mar": 1.583243282260998 }, "hold basket (drift)": { "total": 20.294762046871405, "cagr": 1.1207114744440743, "max_dd_monthly": -0.8101127705656455, "max_dd": -0.8572161961186988, "sharpe": 0.7136137027369631, "mar": 1.3073848575405231 } }, "test": { "strategy": { "total": -0.3557203187897634, "cagr": -0.22281390915330967, "max_dd_monthly": -0.674812137602757, "max_dd": -0.7095925253000339, "sharpe": -1.080357308502578, "mar": -0.3140026158802874, "excess_t_vs_primary": -1.2307283896010937 }, "hold BTCUSDT": { "total": -0.15146193565999677, "cagr": -0.08987553345885835, "max_dd_monthly": -0.4936333122576517, "max_dd": -0.5297661821804905, "sharpe": -0.6059632928248073, "mar": -0.16965132256826068 }, "hold ETHUSDT": { "total": -0.3537449007027781, "cagr": -0.22144845636043342, "max_dd_monthly": -0.6421157382705907, "max_dd": -0.675587447659193, "sharpe": -0.5583453189642354, "mar": -0.3277865169456869 }, "hold SOLUSDT": { "total": -0.6314308687037846, "cagr": -0.43578332400170594, "max_dd_monthly": -0.69331482370326, "max_dd": -0.7625749595687162, "sharpe": -1.1670340553989618, "mar": -0.5714629342775281 }, "hold XRPUSDT": { "total": 0.8443386147288896, "cagr": 0.42046524911342886, "max_dd_monthly": -0.663767767201376, "max_dd": -0.7124767489463412, "sharpe": -0.6608386779344397, "mar": 0.5901459236883748 }, "hold BNBUSDT": { "total": -0.008782360627675456, "cagr": -0.005045198740535106, "max_dd_monthly": -0.4981131057139814, "max_dd": -0.581993228933145, "sharpe": -0.12845697509690435, "mar": -0.008668827212618071 }, "hold ADAUSDT": { "total": -0.548591670264152, "cagr": -0.3662275800827751, "max_dd_monthly": -0.8662583092000312, "max_dd": -0.8829569171516882, "sharpe": -1.3708414829951308, "mar": -0.41477400875252307 }, "hold DOGEUSDT": { "total": -0.6551553644353453, "cagr": -0.4569028668666941, "max_dd_monthly": -0.8348723985490032, "max_dd": -0.8518542897897946, "sharpe": -1.68161027657425, "mar": -0.5363626999864501 }, "hold LINKUSDT": { "total": -0.40214603429182116, "cagr": -0.25543661948534113, "max_dd_monthly": -0.7142144421767791, "max_dd": -0.7541767834415918, "sharpe": -0.7225701162707895, "mar": -0.33869594648576684 }, "hold AVAXUSDT": { "total": -0.776519199259101, "cagr": -0.5764933181865565, "max_dd_monthly": -0.8575665900769655, "max_dd": -0.890842849163098, "sharpe": -1.675043049877346, "mar": -0.647132452966472 }, "hold LTCUSDT": { "total": -0.37453487347279746, "cagr": -0.2359096528233946, "max_dd_monthly": -0.6729136104978272, "max_dd": -0.7016559796499326, "sharpe": -0.9292158176628342, "mar": -0.33621840284336163 }, "hold basket (monthly)": { "total": -0.30440405053284025, "cagr": -0.18790102073351467, "max_dd_monthly": -0.6486886491641222, "max_dd": -0.6876048998387709, "sharpe": -1.076865334634901, "mar": -0.2732688798139361 }, "hold basket (drift)": { "total": -0.5425722001534873, "cagr": -0.3613953950896742, "max_dd_monthly": -0.7166065004376039, "max_dd": -0.7413299612324302, "sharpe": -1.3538915716637636, "mar": -0.4874960058121345 } }, "gates": { "hold BTCUSDT": { "cagr_ratio": 2.4791386551859027, "mar_ratio": 1.8508704272196033, "dd_ratio": 1.339444738392676, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold ETHUSDT": { "cagr_ratio": 1.0061660072746401, "mar_ratio": 0.9579485416488822, "dd_ratio": 1.0503340874059506, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold SOLUSDT": { "cagr_ratio": 0.5112951709745494, "mar_ratio": 0.5494715353275976, "dd_ratio": 0.9305216705533483, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold XRPUSDT": { "cagr_ratio": -0.5299222935144426, "mar_ratio": -0.532076226025236, "dd_ratio": 0.9959518347081885, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold BNBUSDT": { "cagr_ratio": 44.16355442316579, "mar_ratio": 36.22204113414962, "dd_ratio": 1.219245327992547, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold ADAUSDT": { "cagr_ratio": 0.6084028655158878, "mar_ratio": 0.7570450637075443, "dd_ratio": 0.8036547554201096, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold DOGEUSDT": { "cagr_ratio": 0.48766143815490176, "mar_ratio": 0.5854296279145061, "dd_ratio": 0.8329975370261203, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold LINKUSDT": { "cagr_ratio": 0.8722864779616941, "mar_ratio": 0.9270929254935233, "dd_ratio": 0.9408835446536776, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold AVAXUSDT": { "cagr_ratio": 0.3864986845887533, "mar_ratio": 0.48522155617585117, "dd_ratio": 0.7965406311187887, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold LTCUSDT": { "cagr_ratio": 0.9444883093448975, "mar_ratio": 0.9339245360301583, "dd_ratio": 1.0113111637045564, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 1.1858046767575001, "mar_ratio": 1.1490610130728613, "dd_ratio": 1.0319771215510807, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.6165377649541498, "mar_ratio": 0.6441132073629626, "dd_ratio": 0.9571885157863657, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.7415515805898314, "cagr": -0.5396792697361579, "max_dd_monthly": -0.8537869487287906, "max_dd": -0.8803069449503773, "sharpe": -2.199169318838221, "mar": -0.6130580621133002 }, "hold": { "total": -0.6497722616484446, "cagr": -0.4520578011423697, "max_dd_monthly": -0.7903326098103197, "max_dd": -0.8347749071378731, "sharpe": -1.8535915614852354, "mar": -0.5415325703695439 }, "gate": { "cagr_ratio": 1.1938280201610612, "mar_ratio": 1.1320797596623726, "dd_ratio": 1.054544090177095, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9919962335216572, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "de719735b155ce3a" } ], "notes": "Month end rather than a weekday rebalance on purpose: crypto top-K test CAGR moved by 48 points with the choice of rebalance WEEKDAY in the 2026-08-08 lab, which is a phase-sensitivity tell, and a monthly rule cannot be tuned by that dial.", "aux": [ "VOL_BTCUSDT", "VOL_ETHUSDT", "VOL_SOLUSDT", "VOL_XRPUSDT", "VOL_BNBUSDT", "VOL_ADAUSDT", "VOL_DOGEUSDT", "VOL_LINKUSDT", "VOL_AVAXUSDT", "VOL_LTCUSDT", "VOL_DOTUSDT", "VOL_ATOMUSDT", "VOL_UNIUSDT", "VOL_NEARUSDT", "VOL_ETCUSDT" ] }, { "id": "vix-term-structure-spy", "registered": "2026-08-11", "source": "Simon & Campasano (2014), 'The VIX Futures Basis: Evidence and Trading Strategies', Journal of Derivatives 21(3), 54-69; Johnson (2017), 'Risk Premia and the VIX Term Structure', JFQA 52(6), 2461-2490 \u2014 the slope of the VIX curve is the price of the volatility risk premium and predicts subsequent returns; backwardation marks the stressed regime.", "mechanism": "carry", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars from 2006-07-17 (VIX3M's first print) to 2026-07-17 (where Yahoo's VIX3M history stops), 70/30 chronological split", "entry": "Hold SPY from the next open whenever the VIX closes BELOW the 3-month VIX \u2014 a curve in contango.", "exit": "Flat from the next open whenever the VIX closes at or above the 3-month VIX \u2014 backwardation.", "benchmarks": [ "SPY" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "d2cd9529e9b4cac5", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "vix-term-structure-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "d2cd9529e9b4cac5", "code_sha": "b4a35be7127b639d", "window": [ "2006-07-17", "2026-07-17" ], "split": "2020-07-14", "cost_per_side": 0.0002, "bars": 5032, "aux": [ "VIX", "VIX3M" ], "aux_window_start": "2006-07-17", "aux_window_end": "2026-07-17", "exposure": 0.8897058823529411, "exposure_test": 0.9516556291390729, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 2.474043267406658, "cagr": 0.09307505501309943, "max_dd_monthly": -0.34572550876428776, "max_dd": -0.34903785255093367, "sharpe": 0.7106597019038094, "mar": 0.26666177989826295 }, "hold SPY": { "total": 2.42834579168976, "cagr": 0.09204120394480131, "max_dd_monthly": -0.5079278359946398, "max_dd": -0.5519798361696371, "sharpe": 0.5610831198116556, "mar": 0.16674740255641288 } }, "test": { "strategy": { "total": 0.9382993042502628, "cagr": 0.11647470652780756, "max_dd_monthly": -0.2852863255768139, "max_dd": -0.29611675297754503, "sharpe": 0.7043751531370493, "mar": 0.39334048261916477, "excess_t_vs_primary": -2.1091253613299155 }, "hold SPY": { "total": 1.530886974410293, "cagr": 0.16717382312192708, "max_dd_monthly": -0.23928077293026417, "max_dd": -0.24497327594564144, "sharpe": 0.9701743045751243, "mar": 0.6824165716713616 } }, "gates": { "hold SPY": { "cagr_ratio": 0.6967281381299603, "mar_ratio": 0.5763935094011606, "dd_ratio": 1.208771658192023, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.6784973316639547, "cagr": 0.09004408036341993, "max_dd_monthly": -0.19496504908630596, "max_dd": -0.21283470518273218, "sharpe": 0.5901737809506401, "mar": 0.4230704775619716 }, "hold": { "total": 0.7982937403960539, "cagr": 0.10262636070856135, "max_dd_monthly": -0.2020634340412506, "max_dd": -0.22746627062195124, "sharpe": 0.6479630003354372, "mar": 0.45117177341482106 }, "gate": { "cagr_ratio": 0.8773971886144086, "mar_ratio": 0.9377148627003926, "dd_ratio": 0.9356758898837503, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.8897058823529411, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "b4a35be7127b639d" } ], "notes": "The first carry entry in this ledger; every mechanism tested so far has been trend, reversion, seasonality, volatility or cross-sectional. The window ends 2026-07-17 because Yahoo's ^VIX3M daily history stopped there while its live quote kept printing \u2014 found by fetch.py --verify, and the reason score.py now trims a window at BOTH ends to where its inputs exist.", "aux": [ "VIX", "VIX3M" ] }, { "id": "vrp-spy", "registered": "2026-08-11", "source": "Bollerslev, Tauchen & Zhou (2009), 'Expected Stock Returns and Variance Risk Premia', Review of Financial Studies 22(11), 4463-4492 \u2014 the difference between implied and realised variance predicts positive market returns, most strongly at a quarterly horizon.", "mechanism": "volatility", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, full cached history from 1993, 70/30 chronological split", "entry": "Hold SPY from the next open while VRP is above its own trailing 252-session median, where VRP = VIX squared minus the annualised realised variance of SPY's last 21 daily log returns, both in squared percentage points.", "exit": "Flat while VRP is at or below that median.", "benchmarks": [ "SPY" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "51157b206b8e5d10", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "vrp-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "51157b206b8e5d10", "code_sha": "54b6bb5f5c7062cd", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "aux": [ "VIX" ], "aux_window_start": null, "aux_window_end": null, "exposure": 0.4709646835743067, "exposure_test": 0.49644549763033174, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 3.1739110316590393, "cagr": 0.06281984351883163, "max_dd_monthly": -0.3610380009133807, "max_dd": -0.39400934179856695, "sharpe": 0.5488503548154301, "mar": 0.15943744691959005 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.7781554810706546, "cagr": 0.058840190338738996, "max_dd_monthly": -0.17849351572338457, "max_dd": -0.1978330855277155, "sharpe": 0.5468973136091639, "mar": 0.2974234071201187, "excess_t_vs_primary": -2.8548736772674914 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.3824183595989686, "mar_ratio": 0.651777207855102, "dd_ratio": 0.5867317159761513, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.3334699057247772, "cagr": 0.028999218806019966, "max_dd_monthly": -0.24188152425880005, "max_dd": -0.2581380961104428, "sharpe": 0.2815257436761212, "mar": 0.11233994223623943 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.2903310880862996, "mar_ratio": 0.36997442293573946, "dd_ratio": 0.7847328628355668, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.7885722510074842, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "54b6bb5f5c7062cd" } ], "notes": "Uses the VIX as the implied-variance leg, which is what the paper's own empirical section does before it moves to model-free measures.", "aux": [ "VIX" ] }, { "id": "vix-spike-reversion-spy", "registered": "2026-08-11", "source": "Whaley (2000), 'The Investor Fear Gauge', Journal of Portfolio Management 26(3), 12-17; Giot (2005), 'Relationships Between Implied Volatility Indices and Stock Index Returns', JPM 31(3), 92-100 \u2014 very high VIX levels are followed by positive index returns.", "mechanism": "mean-reversion", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, full cached history from 1993, 70/30 chronological split", "entry": "Buy SPY at the next open when the VIX closes at least 20% above its own 10-session mean.", "exit": "Sell at the open 10 sessions after entry. A fresh signal while already in is ignored.", "benchmarks": [ "SPY" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "f854c96f1314f887", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "vix-spike-reversion-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "f854c96f1314f887", "code_sha": "1e1bde854275cc6e", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "aux": [ "VIX" ], "aux_window_start": null, "aux_window_end": null, "exposure": 0.14813936951884332, "exposure_test": 0.2093206951026856, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.772438216658395, "cagr": 0.044439795875409915, "max_dd_monthly": -0.13233644922141907, "max_dd": -0.2870343464981717, "sharpe": 0.5551137818582471, "mar": 0.1548239659036518 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.2980342095687041, "cagr": 0.026249907132856576, "max_dd_monthly": -0.29265637221773877, "max_dd": -0.3157437768438016, "sharpe": 0.2468432014304286, "mar": 0.08313673636026214, "excess_t_vs_primary": -2.712563910807714 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.1706052677189115, "mar_ratio": 0.1821868373432806, "dd_ratio": 0.9364302614104508, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.1053862030812236, "cagr": 0.010002410726825728, "max_dd_monthly": -0.291694363690453, "max_dd": -0.3090877116758781, "sharpe": 0.10319860895382836, "mar": 0.032361075348458564 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.10014100066731944, "mar_ratio": 0.10657625363958641, "dd_ratio": 0.9396183225390025, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.15544041450777202, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "1e1bde854275cc6e" } ], "notes": "A relative spike, not a level: an absolute VIX threshold would be fitted to the sample's volatility regime and would trade almost never before 1997 and almost always in 2008.", "aux": [ "VIX" ] }, { "id": "yield-curve-gate-spy", "registered": "2026-08-11", "source": "Estrella & Hardouvelis (1991), 'The Term Structure as a Predictor of Real Economic Activity', Journal of Finance 46(2), 555-576; Estrella & Mishkin (1998), 'Predicting U.S. Recessions', Review of Economics and Statistics 80(1), 45-61 \u2014 the 10-year minus 3-month spread is the single best financial predictor of US recessions.", "mechanism": "other", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, full cached history from 1993, 70/30 chronological split", "entry": "Hold SPY from the next open while the most recently published 10-year minus 3-month Treasury spread is positive.", "exit": "Flat from the next open while that spread is zero or negative.", "benchmarks": [ "SPY" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "05ec6e2fc5790314", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "yield-curve-gate-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "05ec6e2fc5790314", "code_sha": "57b436ca7f960546", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "aux": [ "T10Y3M" ], "aux_window_start": null, "aux_window_end": null, "exposure": 0.8647783835031998, "exposure_test": 0.7030015797788309, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 6.078618767632685, "cagr": 0.08702963544834552, "max_dd_monthly": -0.5079435109492639, "max_dd": -0.5519966713467095, "sharpe": 0.5787078690066585, "mar": 0.15766333379514558 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 1.2614695610261104, "cagr": 0.08443354358826727, "max_dd_monthly": -0.23930137142887964, "max_dd": -0.27433718030877396, "sharpe": 0.5860496448484303, "mar": 0.3077728782268412, "excess_t_vs_primary": -2.4747911101986886 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.548756505515498, "mar_ratio": 0.6744571624895814, "dd_ratio": 0.8136269225608155, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.7642657765090404, "cagr": 0.05801570507873133, "max_dd_monthly": -0.19632968022522435, "max_dd": -0.2772007774194485, "sharpe": 0.45777039218356047, "mar": 0.20929127839690154 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.5808350526361529, "mar_ratio": 0.6892688246852073, "dd_ratio": 0.8426829008281685, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.8364997121473805, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "57b436ca7f960546" } ], "notes": "The papers predict RECESSIONS, not returns, and the lead is 6-18 months; this is the literal trading reading of that claim and is registered as that reading rather than as the paper's own result. Paired with credit-spread-gate-spy: both gate SPY on one macro series, so if BOTH pass that is one family result, not two findings \u2014 the same paired tell that xs-momentum/xs-reversal provided in batch 1.", "aux": [ "T10Y3M" ] }, { "id": "credit-spread-gate-spy", "registered": "2026-08-11", "source": "Chen, Roll & Ross (1986), 'Economic Forces and the Stock Market', Journal of Business 59(3), 383-403 (the default spread as a priced state variable); Gilchrist & Zakrajsek (2012), 'Credit Spreads and Business Cycle Fluctuations', American Economic Review 102(4), 1692-1720.", "mechanism": "other", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, full cached history from 1993, 70/30 chronological split", "entry": "Hold SPY from the next open while the Moody's Baa yield minus the 10-year Treasury (FRED BAA10Y), as most recently published, is BELOW its own trailing 250-observation median.", "exit": "Flat while that spread is at or above its trailing 250-observation median.", "benchmarks": [ "SPY" ], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same rule must not lose to buy-and-hold on the instruments it was never searched on.", "rule_sha": "dcc8538ba16b7c2b", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "credit-spread-gate-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "dcc8538ba16b7c2b", "code_sha": "666f2e5f41a4f05b", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "aux": [ "BAA10Y" ], "aux_window_start": null, "aux_window_end": null, "exposure": 0.5438492533775776, "exposure_test": 0.6208530805687204, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 2.943356874993476, "cagr": 0.060247933891730776, "max_dd_monthly": -0.22273137621501016, "max_dd": -0.2320813653573478, "sharpe": 0.7210945079095252, "mar": 0.25959832578097725 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 1.3579511598328393, "cagr": 0.088943279794788, "max_dd_monthly": -0.1649721598726549, "max_dd": -0.19015357652656684, "sharpe": 0.8204046528971891, "mar": 0.4677444485634563, "excess_t_vs_primary": -1.530460431692589 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.5780665045551561, "mar_ratio": 1.0250207729995162, "dd_ratio": 0.56395589219481, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.47138891043121656, "cagr": 0.03910872239508767, "max_dd_monthly": -0.17864429632840917, "max_dd": -0.18808138500146254, "sharpe": 0.3998623764242113, "mar": 0.20793510423577302 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.3915442689191942, "mar_ratio": 0.6848024724450686, "dd_ratio": 0.5717623470622061, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.5552677029360967, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "666f2e5f41a4f05b" } ], "notes": "BAA10Y rather than the ICE BofA high-yield OAS because FRED serves only the last three years of the ICE indices (793 rows, verified), which cannot carry a train/test split. Family pair with yield-curve-gate-spy.", "aux": [ "BAA10Y" ] }, { "id": "vix-down-day-spy", "registered": "2026-08-11", "source": "No published source. This is the deliberate CALIBRATION entry for the new data layer, in the role monday-effect-spy played for the price-only batch: a rule that must fail, chosen so that a PASS means the equipment is broken rather than that an edge was found.", "mechanism": "volatility", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, full cached history from 1993, 70/30 chronological split", "entry": "Hold SPY for the next session whenever the VIX closes lower than it closed the session before.", "exit": "Flat for the next session whenever the VIX closes at or above its previous close.", "benchmarks": [ "SPY" ], "success": "THIS MUST FAIL. No published work claims yesterday's VIX direction predicts tomorrow's return. But VIX changes are about -0.7 correlated with the SAME day's SPY return, so if the VIX series were shifted one row early \u2014 the most likely single way a new feed lies, and the one failure score.check_lookahead structurally cannot see, because it perturbs by index and the error IS the index \u2014 then 'the VIX fell on day t' would really mean 'SPY rose on day t+1', which is exactly the session this rule is long. A PASS or a suspiciously strong MIXED means the data layer is lying and every other result from it must be discarded until it is fixed.", "rule_sha": "35ae8b75d593cdde", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "vix-down-day-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "35ae8b75d593cdde", "code_sha": "91367d850ccb7911", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "aux": [ "VIX" ], "aux_window_start": null, "aux_window_end": null, "exposure": 0.5304574543730742, "exposure_test": 0.5489731437598736, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.33795074121674684, "cagr": 0.012491402969882603, "max_dd_monthly": -0.5883848245251249, "max_dd": -0.6159524185760301, "sharpe": 0.11046342496791675, "mar": 0.02027981803977725 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.2901425834121578, "cagr": 0.025628434370234654, "max_dd_monthly": -0.20264018450747834, "max_dd": -0.26658944444826604, "sharpe": 0.2309591192463264, "mar": 0.09613446782664371, "excess_t_vs_primary": -3.9122681028746724 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.16656614763705746, "mar_ratio": 0.21067022137023847, "dd_ratio": 0.7906487521287068, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.15100574761877827, "cagr": 0.01406794103003084, "max_dd_monthly": -0.1779162122658522, "max_dd": -0.2331853798021437, "sharpe": 0.16742325876011543, "mar": 0.06032942992381168 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.14084381561115972, "mar_ratio": 0.19868575306160427, "dd_ratio": 0.7088772770108476, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.5377086931491076, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "91367d850ccb7911" } ], "notes": "Run FIRST, before any other batch-3 candidate is scored.", "aux": [ "VIX" ] }, { "id": "combo-junk-calendar", "registered": "2026-08-11", "source": "No published source. The deliberate CALIBRATION for the combination method: equal-weighting many noisy series mechanically smooths the curve, so a ratio bar can in principle be gamed by combining enough mediocre things. This entry tries exactly that and must fail.", "mechanism": "other", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, full cached history, 70/30 chronological split", "entry": "Hold SPY at the equal-weighted average of nine calendar sleeves, each worth 1/9: the four refuted batch-1 seasonality rules (Mondays, turn-of-month days 1-3, November-April, the Santa window) and five arbitrary calendar gates written for this entry (odd calendar day of month; even week-of-year, dayofyear//7; odd month; day-of-year divisible by 3; Mon/Wed/Fri). Every sleeve decides at the prior close, exactly as the originals did.", "exit": "A sleeve is out whenever its calendar condition does not hold; the combined weight is whatever the nine sleeves sum to.", "benchmarks": [], "success": "THIS MUST FAIL. Its components are pure calendar noise and already-refuted seasonality \u2014 there is no mechanism by which averaging them creates information. What averaging DOES create is a smoother curve (a near-constant fractional SPY holding), which is precisely how a ratio-based bar could be gamed by dilution. If this passes any gate combination that yields a PASS or MIXED-looking-strong verdict, the combination method is manufacturing an edge from nothing and every combination verdict after it is void.", "rule_sha": "fc2ef7f9de47ea78", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "combo-junk-calendar", "market": "us", "trade": [ "SPY" ], "rule_sha": "fc2ef7f9de47ea78", "code_sha": "e0d86af54d533e25", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.9838824365963499, "exposure_test": 0.985781990521327, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.6706364692694895, "cagr": 0.022123977606422374, "max_dd_monthly": -0.275883004687135, "max_dd": -0.3058981123642326, "sharpe": 0.38087168881256833, "mar": 0.07232466207597703 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 0.8029922595861962, "cagr": 0.06030013445196736, "max_dd_monthly": -0.09738857481716778, "max_dd": -0.1479733286914624, "sharpe": 0.9676186346380564, "mar": 0.40750677831745286, "excess_t_vs_primary": -2.600034792923338 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.39190693245491637, "mar_ratio": 0.8930152227276099, "dd_ratio": 0.4388580647683505, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.4464784122615719, "cagr": 0.03734777350534202, "max_dd_monthly": -0.06594169126758409, "max_dd": -0.1426138443747198, "sharpe": 0.6970001798710103, "mar": 0.26188042029923997 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.3739142006527317, "mar_ratio": 0.862463122641032, "dd_ratio": 0.43354224758936094, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.9840241796200345, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "e0d86af54d533e25" } ], "notes": "Run FIRST, before any real combination.", "aux": [] }, { "id": "combo-us-spy-gates", "registered": "2026-08-11", "source": "Direction 2 of the 2026-08-09 sweep conclusion (test combination, not selection); DeMiguel, Garlappi & Uppal (2009), 'Optimal Versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?', RFS 22(5), 1915-1953, for the 1/N weighting itself.", "mechanism": "other", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, 70/30 chronological split, window = the span where all declared inputs exist (VIX3M bounds it: 2006-07-17..2026-07-17)", "entry": "Hold, at every session, the equal-weighted (1/N) average of the component rules' target-weight streams. Each component's targets are carried forward between its decision days and are zero before its first decision. The combined target changes whenever any sleeve changes, so the account re-trues near-daily and pays cost on the NET change \u2014 sleeves trading against each other net out, as one book running N strategies would. COMPONENTS, fixed by form and not by score: every batch-3 entry whose trade list is exactly ['SPY'], excluding the entry registered in advance as a calibration check. That is 6 sleeves: volume-shock-reversion-spy, vix-term-structure-spy, vrp-spy, vix-spike-reversion-spy, yield-curve-gate-spy, credit-spread-gate-spy.", "exit": "Flat only when every sleeve is flat; there is no separate exit rule.", "benchmarks": [], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same combination (of the components' holdout twins) must not lose to buy-and-hold on instruments never searched. The inclusion rule was fixed before any combination was measured; components were NOT chosen on their scores.", "rule_sha": "bf70c0c519873fef", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "combo-us-spy-gates", "market": "us", "trade": [ "SPY" ], "rule_sha": "bf70c0c519873fef", "code_sha": "96ea80765d169df7", "window": [ "2006-07-17", "2026-07-17" ], "split": "2020-07-14", "cost_per_side": 0.0002, "bars": 5032, "aux": [ "VOL_SPY", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB", "VIX", "VIX3M", "T10Y3M", "BAA10Y" ], "aux_window_start": "2006-07-17", "aux_window_end": "2026-07-17", "exposure": 0.9992050874403816, "exposure_test": 0.9973509933774835, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.2386363992476692, "cagr": 0.059280685814971035, "max_dd_monthly": -0.1582852117348259, "max_dd": -0.2060773294116055, "sharpe": 0.7437289447120518, "mar": 0.2876623352225593 }, "hold SPY": { "total": 2.42834579168976, "cagr": 0.09204120394480131, "max_dd_monthly": -0.5079278359946398, "max_dd": -0.5519798361696371, "sharpe": 0.5610831198116556, "mar": 0.16674740255641288 } }, "test": { "strategy": { "total": 0.6214274824602444, "cagr": 0.08378480956585999, "max_dd_monthly": -0.13099168134008288, "max_dd": -0.13349307995827597, "sharpe": 0.9389206029976348, "mar": 0.6276341035209272, "excess_t_vs_primary": -2.1549129160270604 }, "hold SPY": { "total": 1.530886974410293, "cagr": 0.16717382312192708, "max_dd_monthly": -0.23928077293026417, "max_dd": -0.24497327594564144, "sharpe": 0.9701743045751243, "mar": 0.6824165716713616 } }, "gates": { "hold SPY": { "cagr_ratio": 0.5011837858415914, "mar_ratio": 0.9197228343733473, "dd_ratio": 0.5449291537738897, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.4144902836649622, "cagr": 0.05942787111062242, "max_dd_monthly": -0.10235233253549603, "max_dd": -0.10600033556072075, "sharpe": 0.7427202149232931, "mar": 0.5606385187014812 }, "hold": { "total": 0.7982937403960539, "cagr": 0.10262636070856135, "max_dd_monthly": -0.2020634340412506, "max_dd": -0.22746627062195124, "sharpe": 0.6479630003354372, "mar": 0.45117177341482106 }, "gate": { "cagr_ratio": 0.579070237902968, "mar_ratio": 1.2426276459143935, "dd_ratio": 0.4660046312400014, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 0.9998012718600954, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "96ea80765d169df7" } ], "notes": "The narrow question: do six differently-driven signals, combined, time ONE instrument better than holding it? Membership is by form (trades SPY alone, batch 3) so the three drawdown-cutters the sweep noticed are in it WITHOUT having been picked for that.", "aux": [ "VOL_SPY", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB", "VIX", "VIX3M", "T10Y3M", "BAA10Y" ] }, { "id": "combo-us-all", "registered": "2026-08-11", "source": "Direction 2 of the 2026-08-09 sweep conclusion (test combination, not selection); DeMiguel, Garlappi & Uppal (2009), 'Optimal Versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?', RFS 22(5), 1915-1953, for the 1/N weighting itself.", "mechanism": "other", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "signal": [], "timeframe": "daily bars, 70/30 chronological split, window = the span where all declared inputs exist (VIX3M bounds it: 2006-07-17..2026-07-17)", "entry": "Hold, at every session, the equal-weighted (1/N) average of the component rules' target-weight streams. Each component's targets are carried forward between its decision days and are zero before its first decision. The combined target changes whenever any sleeve changes, so the account re-trues near-daily and pays cost on the NET change \u2014 sleeves trading against each other net out, as one book running N strategies would. COMPONENTS: every US-market candidate in the batch 1-3 sweep queue that received a fully-scored verdict (FAIL or MIXED \u2014 INVALID and REJECTED produced no valid curve), excluding the two entries registered in advance as calibration checks (monday-effect-spy, vix-down-day-spy) and nothing else. Failures included on purpose: excluding them would be scoring-based selection. 30 sleeves, listed in notes.", "exit": "Flat only when every sleeve is flat; there is no separate exit rule.", "benchmarks": [], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same combination (of the components' holdout twins) must not lose to buy-and-hold on instruments never searched. The inclusion rule was fixed before any combination was measured; components were NOT chosen on their scores.", "rule_sha": "4015b0754e9cd905", "verdict": "MIXED", "tested": "2026-08-11", "result": { "idea": "combo-us-all", "market": "us", "trade": [ "SPY", "QQQ", "IWM", "DIA", "MDY", "EFA", "EEM", "XLK", "XLF", "XLE", "XLV", "XLI" ], "rule_sha": "4015b0754e9cd905", "code_sha": "96ea80765d169df7", "window": [ "2006-07-17", "2026-07-17" ], "split": "2020-07-14", "cost_per_side": 0.0002, "bars": 5032, "aux": [ "VOL_SPY", "VOL_QQQ", "VOL_IWM", "VOL_DIA", "VOL_MDY", "VOL_EFA", "VOL_EEM", "VOL_XLK", "VOL_XLF", "VOL_XLE", "VOL_XLV", "VOL_XLI", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB", "VIX", "VIX3M", "T10Y3M", "BAA10Y" ], "aux_window_start": "2006-07-17", "aux_window_end": "2026-07-17", "exposure": 1.0, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 1.3224411569171153, "cagr": 0.062066460165748794, "max_dd_monthly": -0.268203901744853, "max_dd": -0.3022630967638743, "sharpe": 0.6485635935228866, "mar": 0.2053391923468403 }, "hold SPY": { "total": 2.42834579168976, "cagr": 0.09204120394480131, "max_dd_monthly": -0.5079278359946398, "max_dd": -0.5519798361696371, "sharpe": 0.5610831198116556, "mar": 0.16674740255641288 }, "hold QQQ": { "total": 7.12439648286187, "cagr": 0.16149372035770448, "max_dd_monthly": -0.49746343925994263, "max_dd": -0.5341101393832115, "sharpe": 0.8304844936364132, "mar": 0.30236033441379123 }, "hold IWM": { "total": 1.5405404964561762, "cagr": 0.06890089817523459, "max_dd_monthly": -0.5248121241890382, "max_dd": -0.586492588822594, "sharpe": 0.31765299641845807, "mar": 0.11747957175990194 }, "hold DIA": { "total": 2.4644937911940867, "cagr": 0.09286005745778803, "max_dd_monthly": -0.47039721730833717, "max_dd": -0.5187601887982718, "sharpe": 0.5865287703403804, "mar": 0.17900382385337235 }, "hold MDY": { "total": 1.9330928743099451, "cagr": 0.07993282784603095, "max_dd_monthly": -0.4973104282194808, "max_dd": -0.553369987982958, "sharpe": 0.40411090698031626, "mar": 0.14444734911878276 }, "hold EFA": { "total": 0.5502757493788752, "cagr": 0.03182796037769742, "max_dd_monthly": -0.5738263177083627, "max_dd": -0.6104588233468162, "sharpe": 0.14779810459140375, "mar": 0.05213776779112126 }, "hold EEM": { "total": 0.9308353323729552, "cagr": 0.04814256412761586, "max_dd_monthly": -0.6043168343908206, "max_dd": -0.6644122915073387, "sharpe": 0.18254139164348027, "mar": 0.07245887040770393 }, "hold XLK": { "total": 5.927904287273485, "cagr": 0.14834493937100102, "max_dd_monthly": -0.4946207262505097, "max_dd": -0.5304290723315803, "sharpe": 0.7847459076626606, "mar": 0.2796696996997707 }, "hold XLF": { "total": 0.22292185430924083, "cagr": 0.014485439867507832, "max_dd_monthly": -0.7865393391821672, "max_dd": -0.8270013688703424, "sharpe": 0.04793784250914278, "mar": 0.01751561776408482 }, "hold XLE": { "total": -0.07209159668553966, "cagr": -0.005332790846068969, "max_dd_monthly": -0.6397877951514125, "max_dd": -0.7126974642503803, "sharpe": -0.031095295634148094, "mar": -0.00748254499779655 }, "hold XLV": { "total": 3.4014026272069966, "cagr": 0.11171452246720448, "max_dd_monthly": -0.35504730757316316, "max_dd": -0.391765589547585, "sharpe": 0.7249313933027024, "mar": 0.28515654628119225 }, "hold XLI": { "total": 1.926776129000919, "cagr": 0.07976645469041221, "max_dd_monthly": -0.5715782145902522, "max_dd": -0.6227198779245184, "sharpe": 0.3965366062163229, "mar": 0.12809363811585428 }, "hold basket (monthly)": { "total": 1.8600911221318923, "cagr": 0.07798944227297522, "max_dd_monthly": -0.5287065647488186, "max_dd": -0.5685528182806653, "sharpe": 0.4410993281417757, "mar": 0.13717185064497533 }, "hold basket (drift)": { "total": 2.364907818280735, "cagr": 0.09058457928707986, "max_dd_monthly": -0.5242260479225322, "max_dd": -0.5602936421388979, "sharpe": 0.5043649758594527, "mar": 0.1616734020776623 } }, "test": { "strategy": { "total": 0.8498425748697584, "cagr": 0.10782644935451668, "max_dd_monthly": -0.11115137882209314, "max_dd": -0.1186619938723601, "sharpe": 1.1354123114344807, "mar": 0.9086856358616494, "excess_t_vs_primary": -1.6314174125308911 }, "hold SPY": { "total": 1.530886974410293, "cagr": 0.16717382312192708, "max_dd_monthly": -0.23928077293026417, "max_dd": -0.24497327594564144, "sharpe": 0.9701743045751243, "mar": 0.6824165716713616 }, "hold QQQ": { "total": 1.7634670053045944, "cagr": 0.18438221293672896, "max_dd_monthly": -0.32577515522149625, "max_dd": -0.3511928424953167, "sharpe": 0.8143144734691761, "mar": 0.5250170009919487 }, "hold IWM": { "total": 1.2292537323383184, "cagr": 0.14277429788878337, "max_dd_monthly": -0.2695399921815882, "max_dd": -0.31913092593971903, "sharpe": 0.6188803907281003, "mar": 0.4473847135571943 }, "hold DIA": { "total": 1.1722362446069279, "cagr": 0.13785571020841725, "max_dd_monthly": -0.1976561054058733, "max_dd": -0.20758025399072588, "sharpe": 0.8702972822248646, "mar": 0.6641080139278386 }, "hold MDY": { "total": 1.2731412685396477, "cagr": 0.14648931131317489, "max_dd_monthly": -0.21633260139008637, "max_dd": -0.24035250189309032, "sharpe": 0.7260564817164513, "mar": 0.6094769563843936 }, "hold EFA": { "total": 0.9701907376969883, "cagr": 0.11951207327869429, "max_dd_monthly": -0.27625137971523317, "max_dd": -0.2953465482418707, "sharpe": 0.7428529128667211, "mar": 0.40465031330185464 }, "hold EEM": { "total": 0.6795556334785076, "cagr": 0.09015846625375401, "max_dd_monthly": -0.36552268964763823, "max_dd": -0.3982534649340329, "sharpe": 0.5030300136208873, "mar": 0.2263846374034384 }, "hold XLK": { "total": 2.4347531039795305, "cagr": 0.22804462289692617, "max_dd_monthly": -0.3121163264297221, "max_dd": -0.3355965963073372, "sharpe": 0.879085594672248, "mar": 0.6795200708414945 }, "hold XLF": { "total": 1.64148648186498, "cagr": 0.17551439406821356, "max_dd_monthly": -0.23126809468718246, "max_dd": -0.25807688885489743, "sharpe": 0.8671484294549546, "mar": 0.6800856707742464 }, "hold XLE": { "total": 2.97775687854138, "cagr": 0.25842062469530713, "max_dd_monthly": -0.18981405524108153, "max_dd": -0.2699907202735059, "sharpe": 0.8436693853545482, "mar": 0.9571463213014209 }, "hold XLV": { "total": 0.7175684669465587, "cagr": 0.09422776417706658, "max_dd_monthly": -0.1561859841699752, "max_dd": -0.17109477006393226, "sharpe": 0.6024462869876972, "mar": 0.5507343336202322 }, "hold XLI": { "total": 1.8130655127655135, "cagr": 0.18789486000483646, "max_dd_monthly": -0.2072664185203541, "max_dd": -0.2164493660050092, "sharpe": 0.9044223483561652, "mar": 0.8680776639488429 }, "hold basket (monthly)": { "total": 1.537693575133285, "cagr": 0.1676958109969129, "max_dd_monthly": -0.20004920804103188, "max_dd": -0.20937123898948007, "sharpe": 1.0111374594690654, "mar": 0.8009496041877023 }, "hold basket (drift)": { "total": 1.5704511516913815, "cagr": 0.17019173627079875, "max_dd_monthly": -0.24006540371335827, "max_dd": -0.2448585107688911, "sharpe": 0.9545619510001155, "mar": 0.6950615510009112 } }, "gates": { "hold SPY": { "cagr_ratio": 0.6449960127781142, "mar_ratio": 1.3315702953052766, "dd_ratio": 0.4843875047770137, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold QQQ": { "cagr_ratio": 0.5847985423166469, "mar_ratio": 1.7307737352215464, "dd_ratio": 0.3378827228631304, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold IWM": { "cagr_ratio": 0.7552231105244871, "mar_ratio": 2.0311056867290165, "dd_ratio": 0.3718285638502308, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold DIA": { "cagr_ratio": 0.7821689010306443, "mar_ratio": 1.3682798833991883, "dd_ratio": 0.5716439381448178, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold MDY": { "cagr_ratio": 0.736070423076793, "mar_ratio": 1.4909269765542155, "dd_ratio": 0.49369984892082125, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold EFA": { "cagr_ratio": 0.9022222307454453, "mar_ratio": 2.245607147680132, "dd_ratio": 0.4017720693833307, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold EEM": { "cagr_ratio": 1.1959658791336971, "mar_ratio": 4.0139015009321835, "dd_ratio": 0.29795596101597105, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLK": { "cagr_ratio": 0.4728304837218334, "mar_ratio": 1.3372462048639184, "dd_ratio": 0.3535852126571934, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold XLF": { "cagr_ratio": 0.6143453357598124, "mar_ratio": 1.3361340709136724, "dd_ratio": 0.4597931817872978, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold XLE": { "cagr_ratio": 0.41725171696976704, "mar_ratio": 0.9493696163676626, "dd_ratio": 0.4395039716630007, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold XLV": { "cagr_ratio": 1.144317179721004, "mar_ratio": 1.6499527637734828, "dd_ratio": 0.6935454182966562, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold XLI": { "cagr_ratio": 0.5738658809067008, "mar_ratio": 1.046779192230431, "dd_ratio": 0.5482205656800767, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.6429883293656135, "mar_ratio": 1.1345103750731103, "dd_ratio": 0.5667540319533683, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.6335586657565428, "mar_ratio": 1.3073455646526737, "dd_ratio": 0.48461453718616637, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.5013087456652832, "cagr": 0.06998614793587565, "max_dd_monthly": -0.10761530159735888, "max_dd": -0.12234862269658664, "sharpe": 0.7286759006010853, "mar": 0.5720223603124236 }, "hold": { "total": 0.7982937403960539, "cagr": 0.10262636070856135, "max_dd_monthly": -0.2020634340412506, "max_dd": -0.22746627062195124, "sharpe": 0.6479630003354372, "mar": 0.45117177341482106 }, "gate": { "cagr_ratio": 0.6819509865951744, "mar_ratio": 1.2678593697981386, "dd_ratio": 0.5378758897398461, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "exposure": 1.0, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "MIXED", "code_sha": "96ea80765d169df7" } ], "notes": "components: turn-of-month-spy, halloween-spy, january-smallcap-iwm, rsi2-connors-spy, ibs-reversion-spy, three-down-days-spy, xs-momentum-sectors, xs-reversal-1m-sectors, vol-managed-spy, low-vol-sectors, vol-regime-filter-spy, 52w-high-sectors, max-effect-sectors, idio-vol-sectors, long-term-reversal-sectors, bollinger-reversion-spy, vol-spike-reversion-spy, halloween-sectors, sma200-spy, sma200-sectors, absolute-momentum-sectors, dual-momentum-spy-efa, high-volume-premium-sectors, volume-shock-reversion-spy, amihud-illiquidity-sectors, vix-term-structure-spy, vrp-spy, vix-spike-reversion-spy, yield-curve-gate-spy, credit-spread-gate-spy", "aux": [ "VOL_SPY", "VOL_QQQ", "VOL_IWM", "VOL_DIA", "VOL_MDY", "VOL_EFA", "VOL_EEM", "VOL_XLK", "VOL_XLF", "VOL_XLE", "VOL_XLV", "VOL_XLI", "VOL_XLY", "VOL_XLP", "VOL_XLU", "VOL_XLB", "VIX", "VIX3M", "T10Y3M", "BAA10Y" ] }, { "id": "combo-crypto-all", "registered": "2026-08-11", "source": "Direction 2 of the 2026-08-09 sweep conclusion (test combination, not selection); DeMiguel, Garlappi & Uppal (2009), 'Optimal Versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?', RFS 22(5), 1915-1953, for the 1/N weighting itself.", "mechanism": "other", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "signal": [], "timeframe": "daily bars, 70/30 chronological split, window = the span where all declared inputs exist (VOL_NEARUSDT bounds it: 2020-10-14 onward)", "entry": "Hold, at every session, the equal-weighted (1/N) average of the component rules' target-weight streams. Each component's targets are carried forward between its decision days and are zero before its first decision. The combined target changes whenever any sleeve changes, so the account re-trues near-daily and pays cost on the NET change \u2014 sleeves trading against each other net out, as one book running N strategies would. COMPONENTS: every crypto candidate in the sweep queue that received a fully-scored verdict (FAIL or MIXED), with no exclusions \u2014 crypto has no registered calibration entry. 9 sleeves, listed in notes.", "exit": "Flat only when every sleeve is flat; there is no separate exit rule.", "benchmarks": [], "success": "MAR at least 1.30x, |drawdown| at most 0.75x and CAGR at least 0.80x EVERY benchmark on the test window, with a positive train window, and the same combination (of the components' holdout twins) must not lose to buy-and-hold on instruments never searched. The inclusion rule was fixed before any combination was measured; components were NOT chosen on their scores.", "rule_sha": "af3460e200eed032", "verdict": "FAIL", "tested": "2026-08-11", "result": { "idea": "combo-crypto-all", "market": "crypto", "trade": [ "BTCUSDT", "ETHUSDT", "SOLUSDT", "XRPUSDT", "BNBUSDT", "ADAUSDT", "DOGEUSDT", "LINKUSDT", "AVAXUSDT", "LTCUSDT" ], "rule_sha": "af3460e200eed032", "code_sha": "96ea80765d169df7", "window": [ "2020-10-14", "2026-08-07" ], "split": "2024-11-08", "cost_per_side": 0.001, "bars": 2124, "aux": [ "VOL_BTCUSDT", "VOL_ETHUSDT", "VOL_SOLUSDT", "VOL_XRPUSDT", "VOL_BNBUSDT", "VOL_ADAUSDT", "VOL_DOGEUSDT", "VOL_LINKUSDT", "VOL_AVAXUSDT", "VOL_LTCUSDT", "VOL_DOTUSDT", "VOL_ATOMUSDT", "VOL_UNIUSDT", "VOL_NEARUSDT", "VOL_ETCUSDT" ], "aux_window_start": "2020-10-14", "aux_window_end": null, "exposure": 1.0, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 5.594206996346537, "cagr": 0.5898103137460606, 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"dd_ratio": 0.522266004568386, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold LTCUSDT": { "cagr_ratio": 0.5136458986493572, "mar_ratio": 0.7746315824370585, "dd_ratio": 0.6630841167531312, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.6448822105994945, "mar_ratio": 0.9530737404725567, "dd_ratio": 0.6766341188665491, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.3352948799872314, "mar_ratio": 0.5342513381317446, "dd_ratio": 0.627597641888449, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "DOTUSDT", "ATOMUSDT", "UNIUSDT", "NEARUSDT", "ETCUSDT" ], "strategy": { "total": -0.35739864491353457, "cagr": -0.22397540932836968, "max_dd_monthly": -0.5889939891133347, "max_dd": -0.6426596455686784, "sharpe": -1.7916604313050073, "mar": -0.34851326183734116 }, "hold": { "total": -0.6497722616484446, "cagr": -0.4520578011423697, "max_dd_monthly": -0.7903326098103197, "max_dd": -0.8347749071378731, "sharpe": -1.8535915614852354, "mar": -0.5415325703695439 }, "gate": { "cagr_ratio": 0.49545745867535984, "mar_ratio": 0.6435684221163546, "dd_ratio": 0.7698598030121855, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 1.0, "transfers": true }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-11", "verdict": "FAIL", "code_sha": "96ea80765d169df7" } ], "notes": "components: vol-managed-btc, low-vol-crypto, xs-momentum-crypto, xs-reversal-1w-crypto, btc-3day-drop-reversion, turn-of-month-btc, btc-halving-cycle, donchian55-btc, high-volume-premium-crypto", "aux": [ "VOL_BTCUSDT", "VOL_ETHUSDT", "VOL_SOLUSDT", "VOL_XRPUSDT", "VOL_BNBUSDT", "VOL_ADAUSDT", "VOL_DOGEUSDT", "VOL_LINKUSDT", "VOL_AVAXUSDT", "VOL_LTCUSDT", "VOL_DOTUSDT", "VOL_ATOMUSDT", "VOL_UNIUSDT", "VOL_NEARUSDT", "VOL_ETCUSDT" ] }, { "registered": "2026-08-18", "source": "Harry's question after watching trend3x's open TQQQ profit round-trip on the Alpaca paper account (2026-08): would a take-profit or stop-loss overlay on the published Gayed & Bilello gate have kept the gain? Overlay parameters fixed at registration by judgement, not searched.", "mechanism": "trend", "market": "us", "trade": [ "TQQQ" ], "signal": [ "QQQ" ], "timeframe": "daily bars, full cached TQQQ history, 70/30 chronological split", "benchmarks": [ "QQQ" ], "id": "trend3x-tp50", "entry": "Base gate, identical to trend3x-150d: QQQ closes more than 1% above its trailing 150-day simple moving average -> hold TQQQ at 100%, filled at the NEXT session's open. Between the bands the previous state is carried.", "exit": "Flat at the NEXT open when EITHER (a) QQQ closes more than 1% below its 150-day SMA (the base exit), OR (b) take profit: TQQQ closes at or above 1.5x its entry fill price (the open after the entry signal day). After a take-profit exit, stay flat until the gate has turned fully OFF and then ON again (no re-entry inside the same gate-on stretch).", "success": "Two bars, both required: (1) clear the fixed score.py gates on the test window vs every benchmark (hold TQQQ, QQQ, SPY); (2) beat plain trend3x-150d itself on test-window MAR (recorded 0.78). Clearing the benchmarks while losing to plain trend3x means the overlay subtracts value and is a FAIL for the overlay.", "reads": [ { "on": "2026-08-18", "verdict": "MIXED", "code_sha": "aed1384a34fb2db4" } ], "verdict": "MIXED", "result": { "idea": "trend3x-tp50", "market": "us", "trade": [ "TQQQ" ], "rule_sha": "274aaec84a1c0c29", "code_sha": "aed1384a34fb2db4", "window": [ "2010-02-11", "2026-08-07" ], "split": "2021-08-23", "cost_per_side": 0.0002, "bars": 4147, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.3537496985772848, "exposure_test": 0.2755020080321285, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 8.720373500963683, "cagr": 0.21806025333047696, "max_dd_monthly": -0.35526900334512, "max_dd": -0.3777437717451174, "sharpe": 0.6359553095035715, "mar": 0.577270281183122 }, "hold TQQQ": { "total": 167.97730175245752, "cagr": 0.5603980906862029, "max_dd_monthly": -0.4912447807087743, "max_dd": -0.6992227702469042, "sharpe": 0.8761606331900555, "mar": 0.8014585830611888 }, "hold QQQ": { "total": 8.652672074193788, "cagr": 0.21732205373045144, "max_dd_monthly": -0.16968452293487757, "max_dd": -0.2856029042628966, "sharpe": 1.2377228097057487, "mar": 0.7609238228558319 }, "hold SPY": { "total": 4.235106222808046, "cagr": 0.15440320837627697, "max_dd_monthly": -0.1944877566830332, "max_dd": -0.3371902841753116, "sharpe": 1.0280790948119323, "mar": 0.45791120213890807 } }, "test": { "strategy": { "total": 6.663013379221472, "cagr": 0.5082312225532162, "max_dd_monthly": -0.14804618235825773, "max_dd": -0.22411749241131607, "sharpe": 1.5386826765588106, "mar": 2.267699933124697, "excess_t_vs_primary": 1.0590553679435992 }, "hold TQQQ": { "total": 1.2036822361749193, "cagr": 0.17285938038956017, "max_dd_monthly": -0.7909009716710624, "max_dd": -0.8165992601193829, "sharpe": 0.23071501389691088, "mar": 0.21168201935951908 }, "hold QQQ": { "total": 0.996151428323514, "cagr": 0.14968196382777754, "max_dd_monthly": -0.32577625859936765, "max_dd": -0.351194015363299, "sharpe": 0.6410519798491158, "mar": 0.4262087543631298 }, "hold SPY": { "total": 0.8498346962465093, "cagr": 0.13215592246948416, "max_dd_monthly": -0.23928015014343462, "max_dd": -0.24497264201333602, "sharpe": 0.7645815560801851, "mar": 0.5394721687423764 } }, "gates": { "hold TQQQ": { "cagr_ratio": 2.9401425679523654, "mar_ratio": 10.712765968437088, "dd_ratio": 0.27445223545579894, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold QQQ": { "cagr_ratio": 3.395407232483812, "mar_ratio": 5.32063199056821, "dd_ratio": 0.6381586320013845, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold SPY": { "cagr_ratio": 3.845693882319733, "mar_ratio": 4.203553147906008, "dd_ratio": 0.9148674340505148, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": -0.17953981797354934, "cagr": -0.03914648066021098, "max_dd_monthly": -0.31032750260696085, "max_dd": -0.3274756784098135, "sharpe": -0.2713377754266133, "mar": -0.11954011623184371 }, "hold": { "total": 0.3929096970389496, "cagr": 0.06916077608924853, "max_dd_monthly": -0.20594159809042822, "max_dd": -0.23335368259498213, "sharpe": 0.42859289016093405, "mar": 0.29637747868451986 }, "gate": { "cagr_ratio": -0.5660214195643843, "mar_ratio": -0.4033373816473034, "dd_ratio": 1.403344805910748, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9452616349168074, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "rule_sha": "274aaec84a1c0c29", "tested": "2026-08-18" }, { "registered": "2026-08-18", "source": "Harry's question after watching trend3x's open TQQQ profit round-trip on the Alpaca paper account (2026-08): would a take-profit or stop-loss overlay on the published Gayed & Bilello gate have kept the gain? Overlay parameters fixed at registration by judgement, not searched.", "mechanism": "trend", "market": "us", "trade": [ "TQQQ" ], "signal": [ "QQQ" ], "timeframe": "daily bars, full cached TQQQ history, 70/30 chronological split", "benchmarks": [ "QQQ" ], "id": "trend3x-trail15", "entry": "Base gate, identical to trend3x-150d: QQQ closes more than 1% above its trailing 150-day simple moving average -> hold TQQQ at 100%, filled at the NEXT session's open. Between the bands the previous state is carried.", "exit": "Flat at the NEXT open when EITHER (a) the base gate exit fires, OR (b) trailing stop: TQQQ closes more than 15% below its highest close since entry. After a stop, stay flat until the gate has turned fully OFF and then ON again.", "success": "Same two bars as trend3x-tp50: clear the fixed gates vs all benchmarks AND beat plain trend3x-150d's test-window MAR of 0.78, else the overlay is a FAIL.", "reads": [ { "on": "2026-08-18", "verdict": "MIXED", "code_sha": "aed1384a34fb2db4" } ], "verdict": "MIXED", "result": { "idea": "trend3x-trail15", "market": "us", "trade": [ "TQQQ" ], "rule_sha": "f9d8a2b6ab715f2f", "code_sha": "aed1384a34fb2db4", "window": [ "2010-02-11", "2026-08-07" ], "split": "2021-08-23", "cost_per_side": 0.0002, "bars": 4147, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.3858210754762479, "exposure_test": 0.26024096385542167, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 9.99020039735285, "cagr": 0.2311014011701582, "max_dd_monthly": -0.3851076186528536, "max_dd": -0.43225778488305655, "sharpe": 0.6119950440499567, "mar": 0.5346379157351223 }, "hold TQQQ": { "total": 167.97730175245752, "cagr": 0.5603980906862029, "max_dd_monthly": -0.4912447807087743, "max_dd": -0.6992227702469042, "sharpe": 0.8761606331900555, "mar": 0.8014585830611888 }, "hold QQQ": { "total": 8.652672074193788, "cagr": 0.21732205373045144, "max_dd_monthly": -0.16968452293487757, "max_dd": -0.2856029042628966, "sharpe": 1.2377228097057487, "mar": 0.7609238228558319 }, "hold SPY": { "total": 4.235106222808046, "cagr": 0.15440320837627697, "max_dd_monthly": -0.1944877566830332, "max_dd": -0.3371902841753116, "sharpe": 1.0280790948119323, "mar": 0.45791120213890807 } }, "test": { "strategy": { "total": 1.6798311179339667, "cagr": 0.22008527670848044, "max_dd_monthly": -0.1845563383549086, "max_dd": -0.223345687101706, "sharpe": 0.7090599261762207, "mar": 0.9854019549894382, "excess_t_vs_primary": 0.1952492314329188 }, "hold TQQQ": { "total": 1.2036822361749193, "cagr": 0.17285938038956017, "max_dd_monthly": -0.7909009716710624, "max_dd": -0.8165992601193829, "sharpe": 0.23071501389691088, "mar": 0.21168201935951908 }, "hold QQQ": { "total": 0.996151428323514, "cagr": 0.14968196382777754, "max_dd_monthly": -0.32577625859936765, "max_dd": -0.351194015363299, "sharpe": 0.6410519798491158, "mar": 0.4262087543631298 }, "hold SPY": { "total": 0.8498346962465093, "cagr": 0.13215592246948416, "max_dd_monthly": -0.23928015014343462, "max_dd": -0.24497264201333602, "sharpe": 0.7645815560801851, "mar": 0.5394721687423764 } }, "gates": { "hold TQQQ": { "cagr_ratio": 1.273204128190734, "mar_ratio": 4.655104661089987, "dd_ratio": 0.2735070897187121, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold QQQ": { "cagr_ratio": 1.4703526803116251, "mar_ratio": 2.3120171627208665, "dd_ratio": 0.6359609712331289, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold SPY": { "cagr_ratio": 1.6653455448377643, "mar_ratio": 1.826603877057492, "dd_ratio": 0.9117168564869678, "cagr_ok": true, "mar_ok": true, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": -0.17652833999675321, "cagr": -0.03843583067141276, "max_dd_monthly": -0.3209945741315898, "max_dd": -0.3402714093605228, "sharpe": -0.28265539212394586, "mar": -0.11295639190975756 }, "hold": { "total": 0.3929096970389496, "cagr": 0.06916077608924853, "max_dd_monthly": -0.20594159809042822, "max_dd": -0.23335368259498213, "sharpe": 0.42859289016093405, "mar": 0.29637747868451986 }, "gate": { "cagr_ratio": -0.555746086796557, "mar_ratio": -0.3811233984819556, "dd_ratio": 1.4581788707020806, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9500843983602604, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "rule_sha": "f9d8a2b6ab715f2f", "tested": "2026-08-18" }, { "registered": "2026-08-18", "source": "Harry's question after watching trend3x's open TQQQ profit round-trip on the Alpaca paper account (2026-08): would a take-profit or stop-loss overlay on the published Gayed & Bilello gate have kept the gain? Overlay parameters fixed at registration by judgement, not searched.", "mechanism": "trend", "market": "us", "trade": [ "TQQQ" ], "signal": [ "QQQ" ], "timeframe": "daily bars, full cached TQQQ history, 70/30 chronological split", "benchmarks": [ "QQQ" ], "id": "trend3x-trail15-reentry", "entry": "Base gate, identical to trend3x-150d: QQQ closes more than 1% above its trailing 150-day simple moving average -> hold TQQQ at 100%, filled at the NEXT session's open. Between the bands the previous state is carried. Re-entry after a trailing stop: while the gate is still ON, re-enter at the NEXT open when TQQQ closes above its highest close of the prior 20 sessions.", "exit": "Flat at the NEXT open when EITHER (a) the base gate exit fires, OR (b) trailing stop: TQQQ closes more than 15% below its highest close since entry (or since re-entry).", "success": "Same two bars as trend3x-tp50: clear the fixed gates vs all benchmarks AND beat plain trend3x-150d's test-window MAR of 0.78, else the overlay is a FAIL.", "reads": [ { "on": "2026-08-18", "verdict": "MIXED", "code_sha": "aed1384a34fb2db4" } ], "verdict": "MIXED", "result": { "idea": "trend3x-trail15-reentry", "market": "us", "trade": [ "TQQQ" ], "rule_sha": "91001773708eb56c", "code_sha": "aed1384a34fb2db4", "window": [ "2010-02-11", "2026-08-07" ], "split": "2021-08-23", "cost_per_side": 0.0002, "bars": 4147, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.6804919218712322, "exposure_test": 0.5357429718875502, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 22.819080063820895, "cagr": 0.3165292229260215, "max_dd_monthly": -0.49450959457536814, "max_dd": -0.5444477416858391, "sharpe": 0.6665102711745525, "mar": 0.5813766844654621 }, "hold TQQQ": { "total": 167.97730175245752, "cagr": 0.5603980906862029, "max_dd_monthly": -0.4912447807087743, "max_dd": -0.6992227702469042, "sharpe": 0.8761606331900555, "mar": 0.8014585830611888 }, "hold QQQ": { "total": 8.652672074193788, "cagr": 0.21732205373045144, "max_dd_monthly": -0.16968452293487757, "max_dd": -0.2856029042628966, "sharpe": 1.2377228097057487, "mar": 0.7609238228558319 }, "hold SPY": { "total": 4.235106222808046, "cagr": 0.15440320837627697, "max_dd_monthly": -0.1944877566830332, "max_dd": -0.3371902841753116, "sharpe": 1.0280790948119323, "mar": 0.45791120213890807 } }, "test": { "strategy": { "total": 1.483454065007808, "cagr": 0.2014911639167054, "max_dd_monthly": -0.38834768405546494, "max_dd": -0.4422513375032826, "sharpe": 0.44705042757400537, "mar": 0.4556032889673507, "excess_t_vs_primary": 0.10600775361619656 }, "hold TQQQ": { "total": 1.2036822361749193, "cagr": 0.17285938038956017, "max_dd_monthly": -0.7909009716710624, "max_dd": -0.8165992601193829, "sharpe": 0.23071501389691088, "mar": 0.21168201935951908 }, "hold QQQ": { "total": 0.996151428323514, "cagr": 0.14968196382777754, "max_dd_monthly": -0.32577625859936765, "max_dd": -0.351194015363299, "sharpe": 0.6410519798491158, "mar": 0.4262087543631298 }, "hold SPY": { "total": 0.8498346962465093, "cagr": 0.13215592246948416, "max_dd_monthly": -0.23928015014343462, "max_dd": -0.24497264201333602, "sharpe": 0.7645815560801851, "mar": 0.5394721687423764 } }, "gates": { "hold TQQQ": { "cagr_ratio": 1.1656362730366148, "mar_ratio": 2.1523003717833853, "dd_ratio": 0.5415769510232321, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold QQQ": { "cagr_ratio": 1.3461285432394445, "mar_ratio": 1.0689674585594662, "dd_ratio": 1.2592792535083144, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold SPY": { "cagr_ratio": 1.5246472511531317, "mar_ratio": 0.844535298325877, "dd_ratio": 1.8053090903073452, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": -0.17652833999675321, "cagr": -0.03843583067141276, "max_dd_monthly": -0.3209945741315898, "max_dd": -0.3402714093605228, "sharpe": -0.28265539212394586, "mar": -0.11295639190975756 }, "hold": { "total": 0.3929096970389496, "cagr": 0.06916077608924853, "max_dd_monthly": -0.20594159809042822, "max_dd": -0.23335368259498213, "sharpe": 0.42859289016093405, "mar": 0.29637747868451986 }, "gate": { "cagr_ratio": -0.555746086796557, "mar_ratio": -0.3811233984819556, "dd_ratio": 1.4581788707020806, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9500843983602604, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "rule_sha": "91001773708eb56c", "tested": "2026-08-18" }, { "registered": "2026-08-18", "mechanism": "trend", "market": "us", "trade": [ "SPY", "EFA", "EEM", "IEF", "TLT", "GLD", "DBC", "VNQ", "FXE", "FXY" ], "signal": [], "timeframe": "daily bars, decisions at month end only, common history of the 10 ETFs (window opens at FXY inception 2007-02), 70/30 chronological split", "benchmarks": [], "universe_notes": "Declared before any measurement, on structure: one liquid, oldest-in-class, physically-backed-or-diversified ETF per market. Equities: SPY (US), EFA (developed ex-US), EEM (emerging). Government bonds: IEF (7-10y), TLT (20y+) - two duration points, both pure Treasuries. Real assets: GLD (physical gold), DBC (diversified commodity futures basket, optimum-yield roll), VNQ (REITs, in Faber's original five). Currencies: FXE and FXY (CurrencyShares euro/yen deposit trusts, the two largest USD pairs by BIS turnover; physical deposits, no futures roll). REJECTED, with reasons: USO and UNG (single-commodity front-month futures funds whose persistent contango makes the fund a structural roll-decay vehicle - the BDRY objection); UUP (futures-based and a near-mirror of FXE since the euro is 58% of the dollar index, so including both counts one bet twice); SLV (second precious metal double-counts the GLD bet); AGG and BND (credit blend, not government bonds); GSG (second broad commodity basket, same bet as DBC, DBC kept for the roll methodology and liquidity); BDRY (already rejected in this project, and 2018 inception is too young); AOR as a declared benchmark (2008-11 inception does not span the window). Window starts at the youngest member, FXY (2007-02), which still contains 2008 - the decade trend-following literature leans on.", "id": "gtaa10-junk-months", "source": "Calibration canary for the new multi-asset machinery, in the spirit of combo-junk-calendar and the shifted-VIX check. Registered to FAIL.", "entry": "Pure calendar noise on the identical universe and sizing: at each month end, hold market i (i = its 0-based position in the declared trade list) at a fixed 1/10 of equity for the coming month if (calendar month number + i) is even, else its share sits in cash. Roughly five sleeves on at any time, phases staggered so the dilution smoothing is maximal.", "exit": "At each month end, any sleeve whose (month + i) parity turned odd goes to cash at the next session's open.", "success": "MUST FAIL. There is no information in calendar parity. If this clears the gates, the multi-asset dilution or the new data is manufacturing results and NOTHING scored on this universe can be trusted until the leak is found. Run and read BEFORE the real candidate.", "reads": [ { "on": "2026-08-18", "verdict": "MIXED", "code_sha": "1ee7fe0407f2a6db" } ], "verdict": "MIXED", "result": { "idea": "gtaa10-junk-months", "market": "us", "trade": [ "SPY", "EFA", "EEM", "IEF", "TLT", "GLD", "DBC", "VNQ", "FXE", "FXY" ], "rule_sha": "ee9b3879b2f8c3ba", "code_sha": "1ee7fe0407f2a6db", "window": [ "2007-02-13", "2026-08-07" ], "split": "2020-09-29", "cost_per_side": 0.0002, "bars": 4902, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.9979600163198694, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.385225461910369, "cagr": 0.02420253143588713, "max_dd_monthly": -0.12271539959344024, "max_dd": -0.1518816140259096, "sharpe": 0.5061778195544514, "mar": 0.1593512920646103 }, "hold SPY": { "total": 2.0344064890489095, "cagr": 0.08487131924308255, "max_dd_monthly": -0.5079423070383238, "max_dd": -0.5519953783256072, "sharpe": 0.535092090449325, "mar": 0.1537536772509339 }, "hold EFA": { "total": 0.26215858222970234, "cagr": 0.017233154291364627, "max_dd_monthly": -0.5738464994070176, "max_dd": -0.6104802934251896, "sharpe": 0.10175655582183707, "mar": 0.02822884616745854 }, "hold EEM": { "total": 0.477436150069392, "cagr": 0.029057957511400723, "max_dd_monthly": -0.6043369663620177, "max_dd": -0.6644344254747454, "sharpe": 0.13940901384994733, "mar": 0.04373337141680837 }, "hold IEF": { "total": 1.094305517862971, "cagr": 0.05574820650145318, "max_dd_monthly": -0.07604603461352932, "max_dd": -0.10403042306003707, "sharpe": 0.8464321450157254, "mar": 0.5358836853838448 }, "hold TLT": { "total": 1.8722948279761562, "cagr": 0.08050882896598721, "max_dd_monthly": -0.21809149824927132, "max_dd": -0.2658892503764535, "sharpe": 0.5544894565104339, "mar": 0.3027908381102303 }, "hold GLD": { "total": 1.6902724959938, "cagr": 0.0753298697805933, "max_dd_monthly": -0.42913395183997005, "max_dd": -0.4555828195276995, "sharpe": 0.4119873237361912, "mar": 0.1653483550119107 }, "hold DBC": { "total": -0.4328840033869309, "cagr": -0.040770390791874056, "max_dd_monthly": -0.7456047440645677, "max_dd": -0.7637045931528981, "sharpe": -0.2194608761848071, "mar": -0.053385027610684525 }, "hold VNQ": { "total": 0.6536445598821192, "cagr": 0.03760234023792419, "max_dd_monthly": -0.6743640076472818, "max_dd": -0.7272668633396391, "sharpe": 0.1674332404543239, "mar": 0.05170363470879549 }, "hold FXE": { "total": -0.0996505017318896, "cagr": -0.007674063262889774, "max_dd_monthly": -0.33734190734799885, "max_dd": -0.35458977419358095, "sharpe": -0.08587357752462857, "mar": -0.021642088467842498 }, "hold FXY": { "total": 0.08215575471676329, "cagr": 0.0058111450472015935, "max_dd_monthly": -0.39407202138863917, "max_dd": -0.40592443760050945, "sharpe": 0.043824637938653245, "mar": 0.014315829521258417 }, "hold basket (monthly)": { "total": 0.8023716609950391, "cagr": 0.044181028782291465, "max_dd_monthly": -0.28863019508481735, "max_dd": -0.3206291575845298, "sharpe": 0.4433322723758115, "mar": 0.13779479419504664 }, "hold basket (drift)": { "total": 0.7634139872660983, "cagr": 0.04250787730206107, "max_dd_monthly": -0.2462563748847063, "max_dd": -0.28012011963980654, "sharpe": 0.4636376484691603, "mar": 0.15174874748989817 } }, "test": { "strategy": { "total": 0.2122242367375362, "cagr": 0.03342528176673709, "max_dd_monthly": -0.09902614421095024, "max_dd": -0.10586984271022648, "sharpe": 0.6147999807082015, "mar": 0.315720519753907, "excess_t_vs_primary": -2.5413933936301496 }, "hold SPY": { "total": 1.5163261400938546, "cagr": 0.17075470685649008, "max_dd_monthly": -0.239282444148734, "max_dd": -0.24497497707236615, "sharpe": 1.0066104579151918, "mar": 0.6970291778251653 }, "hold EFA": { "total": 1.0335123752564068, "cagr": 0.1289118535921252, "max_dd_monthly": -0.2762581666919147, "max_dd": -0.2953536726957071, "sharpe": 0.7796144297095856, "mar": 0.4364660592012977 }, "hold EEM": { "total": 0.7266892189510357, "cagr": 0.0978045166070165, "max_dd_monthly": -0.3655319539901938, "max_dd": -0.3982631114934644, "sharpe": 0.5282830935001358, "mar": 0.2455776439857938 }, "hold IEF": { "total": -0.1094143124534318, "cagr": -0.019601274791002377, "max_dd_monthly": -0.22655677449770728, "max_dd": -0.23415752952241242, "sharpe": -0.26595595848607506, "mar": -0.08370977790456334 }, "hold TLT": { "total": -0.3946414344601832, "cagr": -0.08217548839066058, "max_dd_monthly": -0.4525603769313207, "max_dd": -0.46306326804308984, "sharpe": -0.5888430505807261, "mar": -0.1774606064910634 }, "hold GLD": { "total": 1.2363004197607848, "cagr": 0.1473944958317066, "max_dd_monthly": -0.2384974764959622, "max_dd": -0.26405223167794245, "sharpe": 0.8189187578894666, "mar": 0.5582020454630348 }, "hold DBC": { "total": 1.5741117185951126, "cagr": 0.1753046288646194, "max_dd_monthly": -0.229788503188309, "max_dd": -0.2734395405874589, "sharpe": 0.9297580741479194, "mar": 0.6411092868573215 }, "hold VNQ": { "total": 0.5597683189599956, "cagr": 0.07890163701875563, "max_dd_monthly": -0.3275661707523526, "max_dd": -0.3448123564688267, "sharpe": 0.40365001125942834, "mar": 0.2288248536878894 }, "hold FXE": { "total": 0.017228188591853266, "cagr": 0.0029224123212079345, "max_dd_monthly": -0.2118281728799718, "max_dd": -0.23462715407127144, "sharpe": 0.042546775927137986, "mar": 0.01245555883237713 }, "hold FXY": { "total": -0.34933827573304765, "cagr": -0.0707894556337696, "max_dd_monthly": -0.38296888637669024, "max_dd": -0.39084489423036683, "sharpe": -0.7168514075366614, "mar": -0.18111904921558417 }, "hold basket (monthly)": { "total": 0.44597076482431075, "cagr": 0.06502844611733827, "max_dd_monthly": -0.18736203833540277, "max_dd": -0.2017408366687472, "sharpe": 0.6448353947628078, "mar": 0.322336554121232 }, "hold basket (drift)": { "total": 0.5896737574964266, "cagr": 0.08240777247021147, "max_dd_monthly": -0.21030070319048033, "max_dd": -0.22012183897864646, "sharpe": 0.7284668652839725, "mar": 0.37437345086965984 } }, "gates": { "hold SPY": { "cagr_ratio": 0.19575028051688906, "mar_ratio": 0.4529516551071822, "dd_ratio": 0.43216594598946445, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold EFA": { "cagr_ratio": 0.2592878842041484, "mar_ratio": 0.7233564056083844, "dd_ratio": 0.35845107915519503, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold EEM": { "cagr_ratio": 0.3417560142037363, "mar_ratio": 1.2856240276178026, "dd_ratio": 0.2658288946551452, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold IEF": { "cagr_ratio": -1.7052606079519066, "mar_ratio": -3.771608617978377, "dd_ratio": 0.45213084937374665, "cagr_ok": true, "mar_ok": false, "dd_ok": true, "pass": false }, "hold TLT": { "cagr_ratio": -0.406754890312717, "mar_ratio": -1.7791019990107277, "dd_ratio": 0.22862932565917726, "cagr_ok": true, "mar_ok": false, "dd_ok": true, "pass": false }, "hold GLD": { "cagr_ratio": 0.2267742874530519, "mar_ratio": 0.5656025847988668, "dd_ratio": 0.4009428060405607, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold DBC": { "cagr_ratio": 0.190669704406665, "mar_ratio": 0.49245975097560934, "dd_ratio": 0.38717824965173353, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold VNQ": { "cagr_ratio": 0.4236322974996273, "mar_ratio": 1.3797474997385593, "dd_ratio": 0.30703610449005997, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold FXE": { "cagr_ratio": 11.437565303215415, "mar_ratio": 25.34776030548058, "dd_ratio": 0.45122587421431604, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold FXY": { "cagr_ratio": -0.47217882193731414, "mar_ratio": -1.7431657306135044, "dd_ratio": 0.2708743142690922, "cagr_ok": true, "mar_ok": false, "dd_ok": true, "pass": false }, "hold basket (monthly)": { "cagr_ratio": 0.514010156515566, "mar_ratio": 0.9794747623788375, "dd_ratio": 0.5247814198573083, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold basket (drift)": { "cagr_ratio": 0.4056083639297442, "mar_ratio": 0.8433304205212641, "dd_ratio": 0.48096019550562036, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false } }, "holdout": null, "verdict": "MIXED", "reads": 1 }, "rule_sha": "ee9b3879b2f8c3ba", "tested": "2026-08-18" }, { "registered": "2026-08-18", "mechanism": "trend", "market": "us", "trade": [ "SPY", "EFA", "EEM", "IEF", "TLT", "GLD", "DBC", "VNQ", "FXE", "FXY" ], "signal": [], "timeframe": "daily bars, decisions at month end only, common history of the 10 ETFs (window opens at FXY inception 2007-02), 70/30 chronological split", "benchmarks": [], "universe_notes": "Declared before any measurement, on structure: one liquid, oldest-in-class, physically-backed-or-diversified ETF per market. Equities: SPY (US), EFA (developed ex-US), EEM (emerging). Government bonds: IEF (7-10y), TLT (20y+) - two duration points, both pure Treasuries. Real assets: GLD (physical gold), DBC (diversified commodity futures basket, optimum-yield roll), VNQ (REITs, in Faber's original five). Currencies: FXE and FXY (CurrencyShares euro/yen deposit trusts, the two largest USD pairs by BIS turnover; physical deposits, no futures roll). REJECTED, with reasons: USO and UNG (single-commodity front-month futures funds whose persistent contango makes the fund a structural roll-decay vehicle - the BDRY objection); UUP (futures-based and a near-mirror of FXE since the euro is 58% of the dollar index, so including both counts one bet twice); SLV (second precious metal double-counts the GLD bet); AGG and BND (credit blend, not government bonds); GSG (second broad commodity basket, same bet as DBC, DBC kept for the roll methodology and liquidity); BDRY (already rejected in this project, and 2018 inception is too young); AOR as a declared benchmark (2008-11 inception does not span the window). Window starts at the youngest member, FXY (2007-02), which still contains 2008 - the decade trend-following literature leans on.", "id": "gtaa10-faber", "source": "Faber, 'A Quantitative Approach to Tactical Asset Allocation' (2007, SSRN 962461): buy/sell rules quoted verbatim from the paper, monthly cadence, equal weight per asset class, each class timed independently against its own 10-month SMA. Breadth rationale from Moskowitz, Ooi & Pedersen, 'Time Series Momentum' (JFE 2012): the published edge is the average of many independent single-market trends, not any one market. MOP's own sizing (40%/sigma ex-ante vol per leg) requires leverage and shorting this simulator deliberately refuses to price (no borrow or margin model), so the ETF-implementable long-or-cash canonical form is Faber's, adopted unmodified rather than inventing a hybrid. Faber holds T-bills when out; cash earns 0 here, which is conservative against this strategy.", "entry": "At each month end, for each of the 10 markets INDEPENDENTLY: if the month-end close is above the average of the last 10 month-end closes (10-month SMA, current month included), hold that market at a fixed 1/10 of equity from the next session's open. Faber's buy rule: 'Buy when monthly price > 10-month SMA.' A market without 10 month-ends of history yet stays in cash.", "exit": "Faber's sell rule: 'Sell and move to cash when monthly price < 10-month SMA', at the next session's open, that market's 1/10 share sitting in cash until its own signal turns back on. Targets are restated at each month end; consecutive identical target rows collapse to a hold (positions drift between signal changes), which Faber reports as near-identical to monthly re-truing and which avoids charging a pointless monthly rebalance.", "success": "Two tests, BOTH required, stated before any number exists. (1) The fixed gates, unchanged, vs every benchmark score.py forces in: each of the 10 ETFs held alone, the equal-weight basket both monthly-rebalanced and drift, and SPY. (2) The purpose test: this exists to be a THIRD independent bet next to trend3x-150d and btc-trend-100d, so pairwise return correlations with both are measured and the effective-bets number N/(1+(N-1)rho) for the three-strategy set must read at least 2.5 of 3. High correlation with the existing pair is failure of purpose even on a gate PASS, and is to be reported as the headline, not a footnote.", "reads": [ { "on": "2026-08-18", "verdict": "MIXED", "code_sha": "370bea781fcbbe3b" } ], "verdict": "MIXED", "result": { "idea": "gtaa10-faber", "market": "us", "trade": [ "SPY", "EFA", "EEM", "IEF", "TLT", "GLD", "DBC", "VNQ", "FXE", "FXY" ], "rule_sha": "83688974725e6856", "code_sha": "370bea781fcbbe3b", "window": [ "2007-02-13", "2026-08-07" ], "split": "2020-09-29", "cost_per_side": 0.0002, "bars": 4902, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.9851081191350469, "exposure_test": 0.9714479945615228, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.5740265585768847, "cagr": 0.03385168183765552, "max_dd_monthly": -0.08816711492068263, "max_dd": -0.11066269660739614, "sharpe": 0.6219828931808095, "mar": 0.3058996651577443 }, "hold SPY": { "total": 2.0344064890489095, "cagr": 0.08487131924308255, "max_dd_monthly": -0.5079423070383238, "max_dd": -0.5519953783256072, "sharpe": 0.535092090449325, "mar": 0.1537536772509339 }, "hold EFA": { "total": 0.26215858222970234, "cagr": 0.017233154291364627, "max_dd_monthly": -0.5738464994070176, "max_dd": -0.6104802934251896, "sharpe": 0.10175655582183707, "mar": 0.02822884616745854 }, "hold EEM": { "total": 0.477436150069392, "cagr": 0.029057957511400723, "max_dd_monthly": -0.6043369663620177, "max_dd": -0.6644344254747454, "sharpe": 0.13940901384994733, "mar": 0.04373337141680837 }, "hold IEF": { "total": 1.094305517862971, "cagr": 0.05574820650145318, "max_dd_monthly": -0.07604603461352932, "max_dd": -0.10403042306003707, "sharpe": 0.8464321450157254, "mar": 0.5358836853838448 }, "hold TLT": { "total": 1.8722948279761562, "cagr": 0.08050882896598721, "max_dd_monthly": -0.21809149824927132, "max_dd": -0.2658892503764535, "sharpe": 0.5544894565104339, "mar": 0.3027908381102303 }, "hold GLD": { "total": 1.6902724959938, "cagr": 0.0753298697805933, "max_dd_monthly": -0.42913395183997005, "max_dd": -0.4555828195276995, "sharpe": 0.4119873237361912, "mar": 0.1653483550119107 }, "hold DBC": { "total": -0.4328840033869309, "cagr": -0.040770390791874056, "max_dd_monthly": -0.7456047440645677, "max_dd": -0.7637045931528981, "sharpe": -0.2194608761848071, "mar": -0.053385027610684525 }, "hold VNQ": { "total": 0.6536445598821192, "cagr": 0.03760234023792419, "max_dd_monthly": -0.6743640076472818, "max_dd": -0.7272668633396391, "sharpe": 0.1674332404543239, "mar": 0.05170363470879549 }, "hold FXE": { "total": -0.0996505017318896, "cagr": -0.007674063262889774, "max_dd_monthly": -0.33734190734799885, "max_dd": -0.35458977419358095, "sharpe": -0.08587357752462857, "mar": -0.021642088467842498 }, "hold FXY": { "total": 0.08215575471676329, "cagr": 0.0058111450472015935, "max_dd_monthly": -0.39407202138863917, "max_dd": -0.40592443760050945, "sharpe": 0.043824637938653245, "mar": 0.014315829521258417 }, "hold basket (monthly)": { "total": 0.8023716609950391, "cagr": 0.044181028782291465, "max_dd_monthly": -0.28863019508481735, "max_dd": -0.3206291575845298, "sharpe": 0.4433322723758115, "mar": 0.13779479419504664 }, "hold basket (drift)": { "total": 0.7634139872660983, "cagr": 0.04250787730206107, "max_dd_monthly": -0.2462563748847063, "max_dd": -0.28012011963980654, "sharpe": 0.4636376484691603, "mar": 0.15174874748989817 } }, "test": { "strategy": { "total": 0.3626185217718021, "cagr": 0.054280396590663305, "max_dd_monthly": -0.05713975158181395, "max_dd": -0.06877673231041315, "sharpe": 0.9083486139970192, "mar": 0.7892261636635647, "excess_t_vs_primary": -1.9176470748110266 }, "hold SPY": { "total": 1.5163261400938546, "cagr": 0.17075470685649008, "max_dd_monthly": -0.239282444148734, "max_dd": -0.24497497707236615, "sharpe": 1.0066104579151918, "mar": 0.6970291778251653 }, "hold EFA": { "total": 1.0335123752564068, "cagr": 0.1289118535921252, "max_dd_monthly": -0.2762581666919147, "max_dd": -0.2953536726957071, "sharpe": 0.7796144297095856, "mar": 0.4364660592012977 }, "hold EEM": { "total": 0.7266892189510357, "cagr": 0.0978045166070165, "max_dd_monthly": -0.3655319539901938, "max_dd": -0.3982631114934644, "sharpe": 0.5282830935001358, "mar": 0.2455776439857938 }, "hold IEF": { "total": -0.1094143124534318, "cagr": -0.019601274791002377, "max_dd_monthly": -0.22655677449770728, "max_dd": -0.23415752952241242, "sharpe": -0.26595595848607506, "mar": -0.08370977790456334 }, "hold TLT": { "total": -0.3946414344601832, "cagr": -0.08217548839066058, "max_dd_monthly": -0.4525603769313207, "max_dd": -0.46306326804308984, "sharpe": -0.5888430505807261, "mar": -0.1774606064910634 }, "hold GLD": { "total": 1.2363004197607848, "cagr": 0.1473944958317066, "max_dd_monthly": -0.2384974764959622, "max_dd": -0.26405223167794245, "sharpe": 0.8189187578894666, "mar": 0.5582020454630348 }, "hold DBC": { "total": 1.5741117185951126, "cagr": 0.1753046288646194, "max_dd_monthly": -0.229788503188309, "max_dd": -0.2734395405874589, "sharpe": 0.9297580741479194, "mar": 0.6411092868573215 }, "hold VNQ": { "total": 0.5597683189599956, "cagr": 0.07890163701875563, "max_dd_monthly": -0.3275661707523526, "max_dd": -0.3448123564688267, "sharpe": 0.40365001125942834, "mar": 0.2288248536878894 }, "hold FXE": { "total": 0.017228188591853266, "cagr": 0.0029224123212079345, "max_dd_monthly": -0.2118281728799718, "max_dd": -0.23462715407127144, "sharpe": 0.042546775927137986, "mar": 0.01245555883237713 }, "hold FXY": { "total": -0.34933827573304765, "cagr": -0.0707894556337696, "max_dd_monthly": -0.38296888637669024, "max_dd": -0.39084489423036683, "sharpe": -0.7168514075366614, "mar": -0.18111904921558417 }, "hold basket (monthly)": { "total": 0.44597076482431075, "cagr": 0.06502844611733827, "max_dd_monthly": -0.18736203833540277, "max_dd": -0.2017408366687472, "sharpe": 0.6448353947628078, "mar": 0.322336554121232 }, "hold basket (drift)": { "total": 0.5896737574964266, "cagr": 0.08240777247021147, "max_dd_monthly": -0.21030070319048033, "max_dd": -0.22012183897864646, "sharpe": 0.7284668652839725, "mar": 0.37437345086965984 } }, "gates": { "hold SPY": { "cagr_ratio": 0.3178852143518538, "mar_ratio": 1.1322713435412672, "dd_ratio": 0.28075003060453946, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold EFA": { "cagr_ratio": 0.42106598484267793, "mar_ratio": 1.8082188683990532, "dd_ratio": 0.23286228907426346, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold EEM": { "cagr_ratio": 0.5549886495402322, "mar_ratio": 3.213754113991011, "dd_ratio": 0.17269169633236744, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold IEF": { "cagr_ratio": -2.7692278777490418, "mar_ratio": -9.428123970933878, "dd_ratio": 0.2937199262850532, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold TLT": { "cagr_ratio": -0.6605424275985489, "mar_ratio": -4.447331603723042, "dd_ratio": 0.14852556239466871, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold GLD": { "cagr_ratio": 0.3682661030479731, "mar_ratio": 1.4138718589053052, "dd_ratio": 0.26046639285479817, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold DBC": { "cagr_ratio": 0.3096347024161116, "mar_ratio": 1.231032181006616, "dd_ratio": 0.2515244582500865, "cagr_ok": false, "mar_ok": false, "dd_ok": true, "pass": false }, "hold VNQ": { "cagr_ratio": 0.6879501952254852, "mar_ratio": 3.44904039462447, "dd_ratio": 0.19946133315738937, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false }, "hold FXE": { "cagr_ratio": 18.573832377023148, "mar_ratio": 63.36336845939346, "dd_ratio": 0.29313202294360696, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold FXY": { "cagr_ratio": -0.7667864670620413, "mar_ratio": -4.357499484905957, "dd_ratio": 0.17596937640913798, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold basket (monthly)": { "cagr_ratio": 0.8347177248049104, "mar_ratio": 2.4484538088309207, "dd_ratio": 0.34091626388633756, "cagr_ok": true, "mar_ok": true, "dd_ok": true, "pass": true }, "hold basket (drift)": { "cagr_ratio": 0.6586805463075031, "mar_ratio": 2.1081253540554563, "dd_ratio": 0.31244847230757977, "cagr_ok": false, "mar_ok": true, "dd_ok": true, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.31191817623462526, "cagr": 0.047473060960599556, "max_dd_monthly": -0.2098317743736634, "max_dd": -0.21807027758510245, "sharpe": 0.42713279522509073, "mar": 0.21769615504833337 }, "hold": { "total": 0.7159563457711624, "cagr": 0.09663574046788592, "max_dd_monthly": -0.19811314158083326, "max_dd": -0.22276314263356445, "sharpe": 0.630984895494143, "mar": 0.43380488946884477 }, "gate": { "cagr_ratio": 0.49125779686425486, "mar_ratio": 0.501829648150999, "dd_ratio": 0.9789333864077256, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.9300285597715219, "transfers": false }, "verdict": "MIXED", "reads": 1 }, "rule_sha": "83688974725e6856", "tested": "2026-08-18" }, { "id": "momentum-pyramid", "registered": "2026-08-25", "source": "Tom Hougaard (tradertom.com; 'Best Loser Wins', 2022): add to winning positions, never to losing ones. Hougaard publishes the PRINCIPLE, not parameters \u2014 the 1/3 increments, the new-monthly-high add trigger and the 1.0 cap are mine, fixed here before any measurement, and the monthly cadence is a translation of his intraday discretion into this repo's TSMOM framework. A failure refutes this translation, not necessarily his practice.", "mechanism": "trend", "market": "us", "trade": [ "SPY" ], "signal": [ "SPY" ], "timeframe": "daily bars, decisions only at completed calendar month ends, full cached SPY history, 70/30 chronological split", "entry": "At each completed calendar month end, compute the 12-month return: month-end close over the close 12 month-ends earlier, minus 1. If it is positive and the position is flat, buy a 1/3-size position, filled at the NEXT session's open (the harness's fill convention). While invested, at each later month end whose 12-month return is still positive: if that month-end close is strictly above the highest month-end close since the position was opened, add another 1/3, filled at the NEXT session's open, capped at 1.0 total. Size never decreases while invested. No adds on any other condition.", "exit": "At any month end where the 12-month return is zero or negative, sell the entire position \u2014 whatever its size \u2014 filled at the NEXT session's open. No stops, no intra-month action of any kind.", "benchmarks": [ "SPY" ], "success": "On the held-out test window, against the SAME-window plain 12-month TSMOM rule (identical signal, always 1.0 size \u2014 the 'momentum' strategy in strategies.py), computed by the same harness in the same run: MAR >= 1.10x the plain rule's, |maxDD| <= 1.00x, and CAGR >= 0.80x. The null hypothesis is flat sizing, not buy-and-hold: the claim under test is Hougaard's management principle. Beating hold-SPY is reported but not required.", "rule_sha": "54dd80fe97d3fd2e", "verdict": "FAIL", "tested": "2026-08-25", "result": { "idea": "momentum-pyramid", "market": "us", "trade": [ "SPY" ], "rule_sha": "54dd80fe97d3fd2e", "code_sha": "138a969dbc6df02f", "window": [ "1993-01-29", "2026-08-07" ], "split": "2016-07-13", "cost_per_side": 0.0002, "bars": 8438, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.7967527850201469, "exposure_test": 0.8854660347551343, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 7.552623016630408, "cagr": 0.09583269561823982, "max_dd_monthly": -0.16222153791875737, "max_dd": -0.19030510593574967, "sharpe": 0.8503122198065137, "mar": 0.5035739590223849 }, "hold SPY": { "total": 6.586561382911702, "cagr": 0.0902464523896076, "max_dd_monthly": -0.5078707860045759, "max_dd": -0.5519185633738846, "sharpe": 0.5896468834385197, "mar": 0.1635140732319819 } }, "test": { "strategy": { "total": 1.8669892739113791, "cagr": 0.11029356300262871, "max_dd_monthly": -0.24770590427314176, "max_dd": -0.3371916812345416, "sharpe": 0.7901149684927709, "mar": 0.32709455523581393, "excess_t_vs_primary": -1.3575749427570656 }, "hold SPY": { "total": 3.223895299044848, "cagr": 0.15386340342143368, "max_dd_monthly": -0.2392741836935771, "max_dd": -0.33717810055414965, "sharpe": 0.9291999614643082, "mar": 0.4563267993044635 } }, "gates": { "hold SPY": { "cagr_ratio": 0.716827787180382, "mar_ratio": 0.7167989163344641, "dd_ratio": 1.0000402774687016, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.47444101683308637, "cagr": 0.039322629117486185, "max_dd_monthly": -0.1846517474584929, "max_dd": -0.26369762427509125, "sharpe": 0.38581569061435633, "mar": 0.14912014935889045 }, "hold": { "total": 1.6075904769954468, "cagr": 0.09988327118933982, "max_dd_monthly": -0.20648771978334934, "max_dd": -0.3289502814724521, "sharpe": 0.6655308889168977, "mar": 0.30364245545631047 }, "gate": { "cagr_ratio": 0.393685835968926, "mar_ratio": 0.4911044113867225, "dd_ratio": 0.8016336787879434, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.8808290155440415, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-25", "verdict": "FAIL", "code_sha": "138a969dbc6df02f" } ], "notes": "Registered as a management-overlay test, like the take-profit overlay (run_tpsl.py): the harness's binary long/flat walk cannot express fractional path-dependent sizing, so this needs its own small run script. Known cost of the rule, stated in advance: scaling in gives up early-trend gains, and the 12-month exit still leaves it at full size at tops \u2014 its case rests entirely on failed signals being cheap (1/3-size whipsaws). Also: this is another trend rule; --balance already warns trend is over-represented, and this entry makes that worse, not better. Amended 2026-08-25, BEFORE any measurement (verdict None, zero reads): fills changed from month-end close to next session's open \u2014 the close-fill wording could not be simulated by harness.simulate, whose convention is decide-at-close, fill-at-next-open. rule_sha moves accordingly. Head-to-head vs plain TSMOM on the test window (2016-07-13->2026-08-07): pyramid +11.0%/yr at -33.7% (MAR 0.33) against plain +12.1%/yr at -33.7% (MAR 0.36); MAR 0.91x, DD 1.00x, CAGR 0.91x \u2014 declared bar NOT CLEARED." }, { "id": "svxy-contango", "registered": "2026-08-25", "source": "Simon & Campasano (2014), 'The VIX Futures Basis: Evidence and Trading Strategies', J. Derivatives 21(3): shorting VIX futures when the basis is in contango harvests the volatility risk premium. The ledger already tested this SIGNAL pointed at SPY (vix-term-structure-spy, FAIL); this entry points it at the instrument the paper actually means \u2014 a short-VIX-futures ETF. Also the direction FINDINGS \u00a78 pre-named as the missing third stream (short volatility), before this entry existed. Signal wording copied verbatim from the failed sibling so the two entries differ ONLY in what is traded.", "mechanism": "carry", "market": "us", "trade": [ "SVXY" ], "signal": [], "timeframe": "daily bars, full cached SVXY history (2011-10-04 onward; window end trimmed to VIX3M's span), 70/30 chronological split", "entry": "Hold SVXY from the next open whenever the VIX closes BELOW the 3-month VIX \u2014 a curve in contango. No band, no threshold: the published form.", "exit": "Flat from the next open whenever the VIX closes at or above the 3-month VIX \u2014 backwardation. On a day either index is missing, carry the prior state (a decision cannot be made on a price that did not print).", "benchmarks": [], "success": "The standard fixed gates on the held-out test window against every benchmark (hold SVXY, plus the forced hold SPY): MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. No custom bar.", "rule_sha": "f3f5b038ffd7e6f4", "verdict": "FAIL", "tested": "2026-08-25", "result": { "idea": "svxy-contango", "market": "us", "trade": [ "SVXY" ], "rule_sha": "f3f5b038ffd7e6f4", "code_sha": "5a8baefcfcfd28d0", "window": [ "2011-10-04", "2026-07-17" ], "split": "2022-02-03", "cost_per_side": 0.0002, "bars": 3717, "aux": [ "VIX", "VIX3M" ], "aux_window_start": null, "aux_window_end": "2026-07-17", "exposure": 0.9313962873284907, "exposure_test": 0.9435483870967742, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 28.41683305187825, "cagr": 0.38705585270586473, "max_dd_monthly": -0.44317142048252844, "max_dd": -0.5514412141507765, "sharpe": 0.7224604472571674, "mar": 0.701898666210384 }, "hold SVXY": { "total": 1.5437926710137644, "cagr": 0.09454184507221175, "max_dd_monthly": -0.9395407753210733, "max_dd": -0.9524892319724888, "sharpe": 0.08210329927817171, "mar": 0.0992576523688642 }, "hold SPY": { "total": 3.8329036752825747, "cagr": 0.1646636897575351, "max_dd_monthly": -0.19448869783349687, "max_dd": -0.3371918363989308, "sharpe": 1.0915180651444727, "mar": 0.4883383047349993 } }, "test": { "strategy": { "total": 0.4564486884170631, "cagr": 0.08818750277313048, "max_dd_monthly": -0.4154745142565166, "max_dd": -0.4371150796550909, "sharpe": 0.413560608667142, "mar": 0.20174893724260332, "excess_t_vs_primary": -1.1147901236728597 }, "hold SVXY": { "total": 1.044510490988876, "cagr": 0.17438616893721903, "max_dd_monthly": -0.39063121012320834, "max_dd": -0.4644864559230525, "sharpe": 0.6792576362861128, "mar": 0.37543865211455835 }, "hold SPY": { "total": 0.7688667134771612, "cagr": 0.13677428074563336, "max_dd_monthly": -0.202478248175602, "max_dd": -0.22095729988345492, "sharpe": 0.8470511437779535, "mar": 0.6190077486363912 } }, "gates": { "hold SVXY": { "cagr_ratio": 0.5057023920565568, "mar_ratio": 0.5373685850039842, "dd_ratio": 0.9410717451091922, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold SPY": { "cagr_ratio": 0.6447667082756415, "mar_ratio": 0.32592312081235647, "dd_ratio": 1.97827851754909, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": null, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-25", "verdict": "FAIL", "code_sha": "5a8baefcfcfd28d0" } ], "notes": "Declared before measurement, three catches. (1) SVXY is one ticker but two instruments: -1x short VIX futures until 2018-02-27, -0.5x after Volmageddon halved it \u2014 so train-half results mix leverages and the backtest cannot be cleanly extrapolated. (2) The Feb 2018 crash sits in the TRAIN half; the rule holds through any intraday collapse because it only decides at closes. (3) No instrument holdout exists for a single special-purpose ETF, so the best possible verdict is PASS (time-split only). Registered 2026-08-25 at the user's request to test the remaining pre-named stream; this is the 57th idea and the denominator argument applies in full.", "aux": [ "VIX", "VIX3M" ] }, { "id": "fvg-sweep-qqq", "registered": "2026-08-26", "source": "ICT/price-action retail concepts (fair value gaps, liquidity sweeps), pinned down as mechanical daily-bar rules. No published academic evidence; registered partly to test whether the concept survives measurement at all. Parameters below are first-guess, written before any data was touched, and will not be tuned.", "mechanism": "other", "market": "us", "trade": [ "QQQ" ], "signal": [], "timeframe": "daily bars, full cached QQQ history, 70/30 chronological split", "entry": "Definitions, all on daily OHLC of QQQ. SWING LOW: a day whose low is below the lows of the 2 days before and the 2 days after it (confirmed only 2 sessions later, so it is never known ahead of time). LIQUIDITY SWEEP: a day whose low trades below the most recent confirmed swing low's low, but whose CLOSE is back above that swing low's low. BULLISH FVG: three consecutive days where day 1's high is below day 3's low, leaving a gap. ENTRY: if a bullish FVG completes within 5 sessions after a sweep day (the FVG's day 3 close is the decision close), buy QQQ at 100% at the NEXT session's open. Only one position at a time; signals while in a position are ignored.", "exit": "Initial risk R = entry decision close minus the sweep day's low. Exit to cash at the NEXT open after the FIRST of: (a) a close below the sweep day's low (the stop), (b) a close at or above the entry decision close + 2R (the target), (c) 20 sessions in the position (the time stop). Flat between trades.", "benchmarks": [], "success": "The standard fixed gates on the held-out test window against every benchmark (hold QQQ, plus the forced market index): MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. No custom bar. If the pattern fires so rarely that the strategy is in the market a trivial fraction of the test window, that is an INVALID, not a near-miss.", "rule_sha": "157c1531a634d91b", "verdict": "FAIL (lost money in the train window: -0.9%/yr \u2014 a rule that only works in the test half is a coin flip)", "tested": "2026-08-26", "result": { "idea": "fvg-sweep-qqq", "market": "us", "trade": [ "QQQ" ], "rule_sha": "157c1531a634d91b", "code_sha": "63701cc1309e9bb0", "window": [ "1999-03-10", "2026-08-07" ], "split": "2018-05-15", "cost_per_side": 0.0002, "bars": 6896, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 0.24898491879350348, "exposure_test": 0.22812953117448043, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": -0.16525842031113736, "cagr": -0.00937290258172041, "max_dd_monthly": -0.6888468231057778, "max_dd": -0.7114620604016479, "sharpe": -0.07797196018994769, "mar": -0.013174142520585066 }, "hold QQQ": { "total": 2.672729251311812, "cagr": 0.07017565510448809, "max_dd_monthly": -0.8108523757336863, "max_dd": -0.8297115577197565, "sharpe": 0.2693666727394199, "mar": 0.08457837479972845 }, "hold SPY": { "total": 1.9719011397298063, "cagr": 0.05842750931774132, "max_dd_monthly": -0.5079229550858342, "max_dd": -0.5519745939852174, "sharpe": 0.39441041709800534, "mar": 0.10585180904051915 } }, "test": { "strategy": { "total": 0.24856022380616194, "cagr": 0.02734054234787897, "max_dd_monthly": -0.28882762469117373, "max_dd": -0.32509167565118546, "sharpe": 0.2607240280986878, "mar": 0.0841010225596014, "excess_t_vs_primary": -2.4683706455242027 }, "hold QQQ": { "total": 3.5419533549854894, "cagr": 0.20187575913595301, "max_dd_monthly": -0.32577723821435534, "max_dd": -0.35119505667378925, "sharpe": 0.8978093533303607, "mar": 0.5748251727912764 }, "hold SPY": { "total": 2.2361837239702647, "cagr": 0.15338046967451624, "max_dd_monthly": -0.2392802092321853, "max_dd": -0.33719040483719465, "sharpe": 0.8603652028039279, "mar": 0.45487791904568814 } }, "gates": { "hold QQQ": { "cagr_ratio": 0.1354325178263058, "mar_ratio": 0.14630713222111996, "dd_ratio": 0.9256726980446933, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "hold SPY": { "cagr_ratio": 0.17825308793158254, "mar_ratio": 0.18488701921614767, "dd_ratio": 0.9641189991991297, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": -0.04166250699007101, "cagr": -0.005157417687190802, "max_dd_monthly": -0.28152583291224975, "max_dd": -0.3116164289508965, "sharpe": -0.025463866986134807, "mar": -0.01655053202603606 }, "hold": { "total": 1.2703050737600208, "cagr": 0.10475689386259468, "max_dd_monthly": -0.20037993606122684, "max_dd": -0.32889521601843474, "sharpe": 0.6458783025279317, "mar": 0.3185114552007439 }, "gate": { "cagr_ratio": -0.049232250948138795, "mar_ratio": -0.051962124927673256, "dd_ratio": 0.947464158108734, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.6368909512761021, "transfers": false }, "verdict": "FAIL (lost money in the train window: -0.9%/yr \u2014 a rule that only works in the test half is a coin flip)", "reads": 1 }, "reads": [ { "on": "2026-08-26", "verdict": "FAIL (lost money in the train window: -0.9%/yr \u2014 a rule that only works in the test half is a coin flip)", "code_sha": "63701cc1309e9bb0" } ], "notes": "" }, { "id": "nanc-congress-clone", "registered": "2026-08-27", "source": "The STOCK Act makes US Congress members' trades public within 45 days; NANC (Unusual Whales Subversive Democratic Trading ETF, inception 2023-02-07) mechanically rebuilds Democratic members' disclosed positions. Academic evidence is mixed: Ziobrowski (2004) found abnormal Senate returns pre-STOCK Act, later studies find the effect weaker or gone after disclosure rules tightened. The ETF's price history is point-in-time by construction, which sidesteps the filing-lag backtest problem entirely. Fully aware the history is thin: about 3.5 years total, roughly one year of test window, so whatever the verdict, it is weak evidence.", "mechanism": "flow", "market": "us", "trade": [ "NANC" ], "signal": [], "timeframe": "daily bars, full cached NANC history (2023-02-07 onward, ~880 bars), 70/30 chronological split", "entry": "Hold NANC at 100% from the first bar of the window. No signal and no timing: the flow information (Congressional disclosed trades) is inside the fund itself.", "exit": "Never. Held to the end of the window. This entry is a pure comparison of disclosed-trades cloning against the market.", "benchmarks": [], "success": "Written in advance: this entry CANNOT print PASS, because the strategy is identical to its own forced buy-and-hold benchmark (hold NANC) and nothing can beat itself by 1.3x. The question on record is the OTHER gate line: does hold-NANC clear all three standard gates (MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x) against the forced hold SPY on the held-out test window. A MIXED verdict whose hold-SPY line passes all three gates is the win; a MIXED that only passes some, or a FAIL, means Congressional cloning added nothing over the index. The ~1-year test window makes any outcome weak evidence, and that caveat is part of the record.", "rule_sha": "c1420bc1d89a9f46", "verdict": "FAIL", "tested": "2026-08-27", "result": { "idea": "nanc-congress-clone", "market": "us", "trade": [ "NANC" ], "rule_sha": "c1420bc1d89a9f46", "code_sha": "4ec0512373d9fb21", "window": [ "2023-02-07", "2026-08-07" ], "split": "2025-07-22", "cost_per_side": 0.0002, "bars": 878, "aux": [], "aux_window_start": null, "aux_window_end": null, "exposure": 1.0, "exposure_test": 1.0, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.6667967412643707, "cagr": 0.23154240343289656, "max_dd_monthly": -0.1005126862918716, "max_dd": -0.2094076741567772, "sharpe": 1.590530763184501, "mar": 1.1057016146387633 }, "hold NANC": { "total": 0.6667967412643707, "cagr": 0.23154240343289656, "max_dd_monthly": -0.1005126862918716, "max_dd": -0.2094076741567772, "sharpe": 1.590530763184501, "mar": 1.1057016146387633 }, "hold SPY": { "total": 0.5742909799690827, "cagr": 0.20320806786151602, "max_dd_monthly": -0.08327333505153534, "max_dd": -0.18757685488203946, "sharpe": 1.6519946047361438, "mar": 1.0833323119171951 } }, "test": { "strategy": { "total": 0.24303557014287702, "cagr": 0.23190648115802537, "max_dd_monthly": -0.08607556872810773, "max_dd": -0.12215795610641345, "sharpe": 1.324329487582315, "mar": 1.8984148765227251, "excess_t_vs_primary": 0.0 }, "hold NANC": { "total": 0.24303557014287702, "cagr": 0.23190648115802537, "max_dd_monthly": -0.08607556872810773, "max_dd": -0.12215795610641345, "sharpe": 1.324329487582315, "mar": 1.8984148765227251 }, "hold SPY": { "total": 0.24327726990053855, "cagr": 0.232136113947931, "max_dd_monthly": -0.057601483990053715, "max_dd": -0.08885982961901351, "sharpe": 1.5774134584818884, "mar": 2.612385314525298 } }, "gates": { "hold NANC": { "cagr_ratio": 1.0, "mar_ratio": 1.0, "dd_ratio": 1.0, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false }, "hold SPY": { "cagr_ratio": 0.9990107838629662, "mar_ratio": 0.7266978825700872, "dd_ratio": 1.3747264273425421, "cagr_ok": true, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": null, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-27", "verdict": "FAIL", "code_sha": "4ec0512373d9fb21" } ], "notes": "" }, { "id": "insider-breadth-spy", "registered": "2026-08-27", "source": "Seyhun (1988, 1992) and Lakonishok & Lee (2001): AGGREGATE insider trading predicts market returns \u2014 when unusually many companies' insiders are buying their own stock on the open market, subsequent market returns are higher. Data: SEC EDGAR structured insider-transactions data sets (Forms 3/4/5, quarterly zips, 2006Q1 onward), aggregated by FILING date so the series is point-in-time by construction. Breadth (count of distinct issuers) rather than dollars, so one mega-cap founder's selling program cannot dominate the signal. All parameters below are first-guess, written before the series was ever built, and will not be tuned.", "mechanism": "flow", "market": "us", "trade": [ "SPY" ], "signal": [], "timeframe": "daily bars, SPY history intersected with the aux series span (filings from 2006, minus a 504-session burn-in for the baseline), 70/30 chronological split", "entry": "Definitions. From Form 4 non-derivative transactions: a BUYING issuer on day t is an issuer with at least one open-market purchase (transaction code P) FILED on t; a SELLING issuer likewise for code S sales. The aux series is the daily count of buying issuers and of selling issuers, served lagged one business day (a filing accepted after hours cannot be traded on that day's close). BUY RATIO = buying-issuer count summed over the trailing 63 sessions, divided by (buying + selling counts over the same 63 sessions). ENTRY: at a close where the buy ratio is ABOVE its own trailing 504-session median, hold SPY at 100% from the next open.", "exit": "At a close where the buy ratio is AT OR BELOW its trailing 504-session median, flat from the next open. On a day the series is missing, carry the prior state.", "benchmarks": [], "success": "The standard fixed gates on the held-out test window against every benchmark (hold SPY, which is both the traded instrument and the forced index): MAR >= 1.30x, |maxDD| <= 0.75x, CAGR >= 0.80x. No custom bar.", "rule_sha": "dc90f57a484ff85f", "verdict": "FAIL", "tested": "2026-08-27", "result": { "idea": "insider-breadth-spy", "market": "us", "trade": [ "SPY" ], "rule_sha": "dc90f57a484ff85f", "code_sha": "e65bd12bec9cd04e", "window": [ "2006-01-04", "2026-03-31" ], "split": "2020-03-03", "cost_per_side": 0.0002, "bars": 5091, "aux": [ "INSIDER_BREADTH" ], "aux_window_start": "2006-01-04", "aux_window_end": "2026-03-31", "exposure": 0.40247495580436066, "exposure_test": 0.39790575916230364, "dropped_benchmarks": [], "notes": [], "train": { "strategy": { "total": 0.4070810087191514, "cagr": 0.02441137287016537, "max_dd_monthly": -0.46331168547034873, "max_dd": -0.5149098602610895, "sharpe": 0.20794838326725185, "mar": 0.04740902195539113 }, "hold SPY": { "total": 2.1343191755311604, "cagr": 0.08402165126701822, "max_dd_monthly": -0.5079293635534199, "max_dd": -0.5519814767951797, "sharpe": 0.5595035077524241, "mar": 0.15221824426944602 } }, "test": { "strategy": { "total": 0.49204455190262975, "cagr": 0.06808222215850845, "max_dd_monthly": -0.23931771009870162, "max_dd": -0.26486979286784684, "sharpe": 0.7088702672003552, "mar": 0.25704034205394327, "excess_t_vs_primary": -1.5873696660956063 }, "hold SPY": { "total": 1.3703070498128604, "cagr": 0.15263891413586084, "max_dd_monthly": -0.23928094934695054, "max_dd": -0.28320798436332784, "sharpe": 1.065746960462464, "mar": 0.5389640213675622 } }, "gates": { "hold SPY": { "cagr_ratio": 0.44603450269509803, "mar_ratio": 0.47691558594529476, "dd_ratio": 0.9352483245247956, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false } }, "holdout": { "instruments": [ "XLY", "XLP", "XLU", "XLB" ], "strategy": { "total": 0.4123805585367921, "cagr": 0.05847896214232051, "max_dd_monthly": -0.17745617334954522, "max_dd": -0.2732455710282016, "sharpe": 0.7363448356932379, "mar": 0.21401613911716402 }, "hold": { "total": 0.8273623793698108, "cagr": 0.10432435184997724, "max_dd_monthly": -0.19868333700994678, "max_dd": -0.284999645467215, "sharpe": 0.835194032052274, "mar": 0.3660508127262853 }, "gate": { "cagr_ratio": 0.5605494892162445, "mar_ratio": 0.5846623793106961, "dd_ratio": 0.9587575822427976, "cagr_ok": false, "mar_ok": false, "dd_ok": false, "pass": false }, "exposure": 0.40247495580436066, "transfers": false }, "verdict": "FAIL", "reads": 1 }, "reads": [ { "on": "2026-08-27", "verdict": "FAIL", "code_sha": "e65bd12bec9cd04e" } ], "notes": "", "aux": [ "INSIDER_BREADTH" ] } ] }