Backtest Registry & History

Append-only registry of every LEAN backtest in randomKnap/lean-strategy · all KPIs pulled from LEAN result JSON · last updated 2026-07-31

764

backtest records

distinct strategies

4.98

best OOS Sharpe (edge)
BandGridSmaExit__kill_crash_cost_stress__OOS

2026-07-31

last updated

Verdicts: PASS cleared OOS bar · MIXED promising but not validated OOS · FAIL killed · REF in-sample/full (informational) · BENCHMARK buy&hold baseline. Click a column header to sort; type in a filter box to filter. IS→OOS shows the paired in-sample vs out-of-sample Sharpe.

H1 — Time-Series Momentum (Trend) H1

What it does. Absolute (time-series) momentum on a single ETF/stock: long when the trailing 12-month return is positive (price > long SMA), flat/short otherwise; optional realized-vol targeting and a Faber 10-month-MA overlay.
Thesis / edge. Trend persistence (initial under-reaction then delayed over-reaction, plus trend-follower demand / hedging-pressure risk premium). Low-turnover and cost-robust; the vol-target and MA overlays exist to cut drawdown at sharp reversals.
Class H1TrendTsmomAlgorithm (C#) · 112 backtests · best OOS Sharpe (excl. buy&hold): 1.21 · verdicts BENCHMARK:15 · FAIL:9 · MIXED:6 · PASS:16 · REF:66

Pre-registered kill criteria: OOS net-of-cost Sharpe >= 0.40 (SPY/index) or >= 0.25 (single name); positive in >=70% of walk-forward folds; the vol-target/MA overlay must materially cut max DD vs the raw trend. KILL if the edge is concentrated in one cycle, negative net of cost, or OOS Sharpe < 0.40 (index) / < 0.25 (single).

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
trend_ls	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.21	-0.04→1.21	45.6%	44.6%	1.82	50.2%	0.82%	—	REF	.cs · cfg	—
trend	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.02	1.43→1.02	34.0%	32.1%	1.31	44.6%	0.24%	1.00@60bps	PASS	.cs · cfg	—
trend	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.01	1.43→1.01	33.8%	32.1%	1.31	44.4%	0.24%	1.00@60bps	PASS	.cs · cfg	—
trend	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.01	1.43→1.01	33.7%	32.1%	1.30	44.1%	0.24%	1.00@60bps	PASS	.cs · cfg	—
trend	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.00	1.43→1.00	33.4%	32.1%	1.29	43.6%	0.24%	1.00@60bps	PASS	.cs · cfg	view · gh
trend	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.00	1.43→1.00	33.2%	32.1%	1.29	43.5%	0.24%	1.00@60bps	PASS	.cs · cfg	—
trend_ma	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.76	1.52→0.76	22.9%	30.4%	0.83	32.0%	0.61%	0.70@60bps	PASS	.cs · cfg	—
trend_ma	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.75	1.52→0.75	22.6%	30.5%	0.82	31.5%	0.61%	0.70@60bps	PASS	.cs · cfg	—
trend_ma	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.73	1.52→0.73	22.2%	30.7%	0.81	30.7%	0.61%	0.70@60bps	PASS	.cs · cfg	—
trend_ma	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.71	1.52→0.71	21.6%	31.1%	0.78	29.5%	0.61%	0.70@60bps	PASS	.cs · cfg	—
trend_ma	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.70	1.52→0.70	21.3%	31.2%	0.78	29.0%	0.61%	0.70@60bps	PASS	.cs · cfg	—
buyhold	AAPL	Daily	2013-01-01→2026-06-26	OOS	0.70	0.70→0.70	23.1%	38.5%	0.79	12.0%	0.02%	—	BENCHMARK	.cs · cfg	view · gh
trend_vt	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.62	1.35→0.61	11.8%	15.4%	0.78	41.8%	0.17%	0.58@60bps	MIXED	.cs · cfg	—
trend_vt	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.61	1.35→0.61	11.8%	15.4%	0.77	41.4%	0.17%	0.58@60bps	MIXED	.cs · cfg	—
buyhold	SPY	Daily	2014-01-01→2021-03-31	OOS	0.61	0.11→0.61	13.4%	33.7%	0.58	14.9%	0.04%	—	BENCHMARK	.cs · cfg	view · gh
trend_vt	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.60	1.35→0.60	11.7%	15.4%	0.76	40.8%	0.17%	0.58@60bps	MIXED	.cs · cfg	—
trend_vt	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.59	1.35→0.59	11.5%	15.5%	0.75	39.9%	0.17%	0.58@60bps	MIXED	.cs · cfg	—
trend_vt	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.58	1.35→0.58	11.4%	15.5%	0.74	39.5%	0.17%	0.58@60bps	MIXED	.cs · cfg	—
trend_ma	AAPL	Daily	2013-01-01→2026-06-26	OOS	0.53	0.60→0.53	15.0%	36.2%	0.48	4.7%	0.42%	—	PASS	.cs · cfg	view · gh
trend	AAPL	Daily	2013-01-01→2026-06-26	OOS	0.46	0.71→0.46	14.1%	43.0%	0.46	2.1%	0.34%	—	PASS	.cs · cfg	view · gh
trend_ma	SPY	Daily	2014-01-01→2021-03-31	OOS	0.46	0.23→0.46	8.3%	22.1%	0.41	8.5%	0.49%	—	PASS	.cs · cfg	view · gh
trend_combo	AAPL	Daily	2013-01-01→2026-06-26	OOS	0.45	0.61→0.45	10.1%	21.3%	0.42	5.5%	0.41%	—	PASS	.cs · cfg	view · gh
trend_combo	SPY	Daily	2014-01-01→2021-03-31	OOS	0.42	0.20→0.42	7.4%	20.0%	0.39	7.5%	0.50%	—	PASS	.cs · cfg	view · gh
buyhold	BAC	Daily	2013-01-01→2026-06-26	OOS	0.41	0.10→0.41	13.4%	49.0%	0.48	1.0%	0.02%	—	BENCHMARK	.cs · cfg	view · gh
trend_vt	AAPL	Daily	2013-01-01→2026-06-26	OOS	0.38	0.68→0.38	9.3%	24.9%	0.38	2.3%	0.38%	—	PASS	.cs · cfg	view · gh
trend	SPY	Daily	2014-01-01→2021-03-31	OOS	0.36	0.26→0.36	7.8%	33.6%	0.31	4.0%	0.41%	—	FAIL	.cs · cfg	view · gh
trend_vt	SPY	Daily	2014-01-01→2021-03-31	OOS	0.36	0.23→0.36	7.0%	27.1%	0.33	4.5%	0.43%	—	FAIL	.cs · cfg	view · gh
trend_combo	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.32	1.42→0.32	7.6%	11.0%	0.34	24.8%	0.29%	—	MIXED	.cs · cfg	—
buyhold	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.29	2.34→0.29	4.6%	67.0%	0.41	8.2%	0.06%	—	BENCHMARK	.cs · cfg	—
buyhold	IBM	Daily	2013-01-01→2026-06-26	OOS	0.16	0.19→0.16	4.8%	43.5%	0.16	0.1%	0.02%	—	BENCHMARK	.cs · cfg	view · gh
trend	BAC	Daily	2013-01-01→2026-06-26	OOS	0.07	0.07→0.07	2.9%	47.7%	0.06	0.0%	0.47%	—	FAIL	.cs · cfg	view · gh
trend_ls	SPY	Daily	2014-01-01→2021-03-31	OOS	0.05	—→0.05	1.5%	46.1%	0.04	0.3%	0.83%	—	FAIL	.cs · cfg	view · gh
trend_ma	BAC	Daily	2013-01-01→2026-06-26	OOS	-0.01	0.05→-0.01	1.4%	42.7%	-0.01	0.0%	0.67%	—	FAIL	.cs · cfg	view · gh
trend_vt	BAC	Daily	2013-01-01→2026-06-26	OOS	-0.03	-0.05→-0.03	2.0%	38.2%	-0.02	0.0%	0.39%	—	FAIL	.cs · cfg	view · gh
trend_ma	IBM	Daily	2013-01-01→2026-06-26	OOS	-0.22	-0.18→-0.22	-2.2%	59.0%	-0.14	0.0%	0.61%	—	FAIL	.cs · cfg	view · gh
trend	IBM	Daily	2013-01-01→2026-06-26	OOS	-0.24	-0.04→-0.24	-3.0%	62.4%	-0.17	0.0%	0.73%	—	FAIL	.cs · cfg	view · gh
trend_vt	IBM	Daily	2013-01-01→2026-06-26	OOS	-0.34	-0.12→-0.34	-2.4%	58.1%	-0.24	0.0%	0.62%	—	FAIL	.cs · cfg	view · gh
buyhold	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	1.41	2.34→0.29	57.1%	83.8%	1.84	52.6%	0.02%	—	BENCHMARK	.cs · cfg	—
trend_lb126	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	1.00	1.43→1.00	30.2%	66.3%	0.59	37.3%	0.05%	—	REF	.cs · cfg	—
trend_ma	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.98	1.52→0.71	29.5%	65.3%	0.56	36.2%	0.05%	0.98@60bps	REF	.cs · cfg	—
trend_ma	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.98	1.52→0.71	29.4%	65.3%	0.56	36.2%	0.05%	0.98@60bps	REF	.cs · cfg	—
trend_ma	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.98	1.52→0.71	29.4%	65.3%	0.56	36.1%	0.05%	0.98@60bps	REF	.cs · cfg	—
trend_ma	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.98	1.52→0.71	29.4%	65.3%	0.56	35.9%	0.05%	0.98@60bps	REF	.cs · cfg	—
trend_ma	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.98	1.52→0.71	29.3%	65.3%	0.56	35.9%	0.05%	0.98@60bps	REF	.cs · cfg	—
trend_lb63	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.94	1.43→1.00	27.6%	67.1%	0.53	33.8%	0.15%	—	REF	.cs · cfg	—
trend	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.92	1.43→1.00	28.3%	70.1%	0.58	29.9%	0.05%	0.92@60bps	REF	.cs · cfg	—
trend	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.92	1.43→1.00	28.3%	70.1%	0.58	29.8%	0.05%	0.92@60bps	REF	.cs · cfg	—
trend	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.92	1.43→1.00	28.2%	70.1%	0.58	29.7%	0.05%	0.92@60bps	REF	.cs · cfg	—
trend	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.92	1.43→1.00	28.2%	70.1%	0.58	29.6%	0.05%	0.92@60bps	REF	.cs · cfg	view · gh
trend	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.92	1.43→1.00	28.1%	70.1%	0.58	29.5%	0.05%	0.92@60bps	REF	.cs · cfg	—
trend_combo	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.83	1.42→0.32	9.5%	12.7%	0.46	62.8%	0.07%	—	REF	.cs · cfg	—
trend_vt	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.80	1.35→0.59	9.4%	15.0%	0.49	57.9%	0.08%	0.78@60bps	REF	.cs · cfg	—
trend_vt	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.80	1.35→0.59	9.4%	15.0%	0.49	57.4%	0.08%	0.78@60bps	REF	.cs · cfg	—
trend_vt	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.79	1.35→0.59	9.4%	15.1%	0.48	56.8%	0.08%	0.78@60bps	REF	.cs · cfg	—
trend_vt	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.79	1.35→0.59	9.3%	15.2%	0.48	55.7%	0.08%	0.78@60bps	REF	.cs · cfg	—
trend_vt	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.78	1.35→0.59	9.3%	15.2%	0.48	55.2%	0.08%	0.78@60bps	REF	.cs · cfg	—
trend_lb126	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.71	—	24.4%	63.3%	0.69	4.5%	0.32%	—	REF	.cs · cfg	view · gh
buyhold	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.68	0.70→0.70	26.9%	82.1%	0.72	2.3%	0.01%	—	BENCHMARK	.cs · cfg	view · gh
trend	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.58	0.71→0.46	20.4%	71.7%	0.53	0.9%	0.28%	—	REF	.cs · cfg	view · gh
trend_lb252	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.58	—	20.4%	71.7%	0.53	0.9%	0.28%	—	REF	.cs · cfg	view · gh
trend_ma	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.55	0.60→0.53	18.4%	79.8%	0.46	0.8%	0.39%	—	REF	.cs · cfg	view · gh
trend_combo	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.52	0.61→0.45	11.2%	26.1%	0.49	3.0%	0.29%	—	REF	.cs · cfg	view · gh
trend_vt	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.51	0.68→0.38	11.5%	28.6%	0.52	2.1%	0.27%	0.50@20bps	REF	.cs · cfg	view · gh
trend_vt	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.51	0.68→0.38	11.4%	28.7%	0.51	2.0%	0.27%	0.50@20bps	REF	.cs · cfg	view · gh
trend_lb63	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.51	—	17.1%	80.6%	0.43	0.4%	0.68%	—	REF	.cs · cfg	view · gh
trend_vt	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.51	0.68→0.38	11.4%	28.7%	0.51	1.9%	0.27%	0.50@20bps	REF	.cs · cfg	view · gh
trend_vt	AAPL	Daily	1998-01-02→2026-06-26	FULL	0.50	0.68→0.38	11.3%	28.8%	0.50	1.8%	0.27%	0.50@20bps	REF	.cs · cfg	view · gh
trend_lb63	SPY	Daily	1998-01-02→2021-03-31	FULL	0.33	—	6.8%	19.6%	0.28	0.3%	0.74%	—	REF	.cs · cfg	view · gh
trend	SPY	Daily	1998-01-02→2021-03-31	FULL	0.30	0.26→0.36	7.0%	31.6%	0.26	0.1%	0.18%	—	REF	.cs · cfg	view · gh
trend_lb252	SPY	Daily	1998-01-02→2021-03-31	FULL	0.30	—	7.0%	31.6%	0.26	0.1%	0.18%	—	REF	.cs · cfg	view · gh
trend_ma	SPY	Daily	1998-01-02→2021-03-31	FULL	0.26	0.23→0.46	6.1%	31.2%	0.21	0.1%	0.34%	—	REF	.cs · cfg	view · gh
buyhold	SPY	Daily	1998-01-02→2021-03-31	FULL	0.25	0.11→0.61	6.8%	54.7%	0.26	0.0%	0.01%	—	BENCHMARK	.cs · cfg	view · gh
trend_vt	SPY	Daily	1998-01-02→2021-03-31	FULL	0.24	0.23→0.36	5.8%	29.8%	0.21	0.1%	0.22%	0.23@20bps	REF	.cs · cfg	view · gh
trend_vt	SPY	Daily	1998-01-02→2021-03-31	FULL	0.24	0.23→0.36	5.7%	29.9%	0.21	0.1%	0.22%	0.23@20bps	REF	.cs · cfg	view · gh
trend_vt	SPY	Daily	1998-01-02→2021-03-31	FULL	0.23	0.23→0.36	5.7%	29.9%	0.20	0.1%	0.22%	0.23@20bps	REF	.cs · cfg	view · gh
trend_vt	SPY	Daily	1998-01-02→2021-03-31	FULL	0.23	0.23→0.36	5.6%	30.0%	0.20	0.1%	0.22%	0.23@20bps	REF	.cs · cfg	view · gh
trend_combo	SPY	Daily	1998-01-02→2021-03-31	FULL	0.22	0.20→0.42	5.4%	30.0%	0.18	0.1%	0.35%	—	REF	.cs · cfg	view · gh
buyhold	BAC	Daily	1998-01-02→2026-06-26	FULL	0.21	0.10→0.41	4.7%	93.6%	0.21	0.0%	0.01%	—	BENCHMARK	.cs · cfg	view · gh
trend_lb126	SPY	Daily	1998-01-02→2021-03-31	FULL	0.20	—	5.4%	34.2%	0.18	0.0%	0.46%	—	REF	.cs · cfg	view · gh
trend_ls	SPY	Daily	1998-01-02→2021-03-31	FULL	0.20	—→0.05	5.6%	44.4%	0.20	0.0%	0.42%	—	REF	.cs · cfg	view · gh
buyhold	IBM	Daily	1998-01-02→2026-06-26	FULL	0.18	0.19→0.16	5.5%	59.2%	0.19	0.0%	0.01%	—	BENCHMARK	.cs · cfg	view · gh
trend	BAC	Daily	1998-01-02→2026-06-26	FULL	0.06	0.07→0.07	3.1%	47.7%	0.05	0.0%	0.36%	—	REF	.cs · cfg	view · gh
trend_ma	BAC	Daily	1998-01-02→2026-06-26	FULL	0.01	0.05→-0.01	2.4%	42.7%	0.01	0.0%	0.49%	—	REF	.cs · cfg	view · gh
trend_vt	BAC	Daily	1998-01-02→2026-06-26	FULL	-0.04	-0.05→-0.03	2.2%	38.2%	-0.03	0.0%	0.30%	—	REF	.cs · cfg	view · gh
trend_ls	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	-0.04	-0.04→1.21	0.0%	108.7%	-0.03	2.0%	0.31%	—	REF	.cs · cfg	—
trend	IBM	Daily	1998-01-02→2026-06-26	FULL	-0.15	-0.04→-0.24	-1.8%	79.8%	-0.11	0.0%	0.50%	—	REF	.cs · cfg	view · gh
trend_ma	IBM	Daily	1998-01-02→2026-06-26	FULL	-0.21	-0.18→-0.22	-2.3%	80.3%	-0.14	0.0%	0.58%	—	REF	.cs · cfg	view · gh
trend_vt	IBM	Daily	1998-01-02→2026-06-26	FULL	-0.24	-0.12→-0.34	-0.9%	64.8%	-0.19	0.0%	0.43%	—	REF	.cs · cfg	view · gh
buyhold	BTCUSD	Daily	2015-07-20→2021-12-31	IS	2.34	2.34→0.29	108.4%	83.8%	2.96	82.4%	0.04%	—	BENCHMARK	.cs · cfg	—
trend_ma	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.52	1.52→0.71	54.7%	65.3%	1.13	66.6%	0.08%	—	REF	.cs · cfg	—
trend	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.43	1.43→1.00	52.4%	70.1%	1.18	59.8%	0.08%	—	REF	.cs · cfg	—
trend_combo	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.42	1.42→0.32	16.6%	12.7%	1.02	86.7%	0.12%	—	REF	.cs · cfg	—
trend_vt	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.35	1.35→0.59	16.3%	15.2%	1.07	82.4%	0.13%	—	REF	.cs · cfg	—
trend	AAPL	Daily	1998-01-02→2012-12-31	IS	0.71	0.71→0.46	28.0%	71.7%	0.63	10.0%	0.13%	—	REF	.cs · cfg	view · gh
buyhold	AAPL	Daily	1998-01-02→2012-12-31	IS	0.70	0.70→0.70	30.0%	82.1%	0.75	7.2%	0.02%	—	BENCHMARK	.cs · cfg	view · gh
trend_vt	AAPL	Daily	1998-01-02→2012-12-31	IS	0.68	0.68→0.38	14.1%	23.4%	0.71	24.4%	0.11%	—	REF	.cs · cfg	view · gh
trend_combo	AAPL	Daily	1998-01-02→2012-12-31	IS	0.61	0.61→0.45	12.4%	26.1%	0.60	17.1%	0.16%	—	REF	.cs · cfg	view · gh
trend_ma	AAPL	Daily	1998-01-02→2012-12-31	IS	0.60	0.60→0.53	22.1%	79.8%	0.51	5.2%	0.33%	—	REF	.cs · cfg	view · gh
trend	SPY	Daily	1998-01-02→2013-12-31	IS	0.26	0.26→0.36	6.7%	20.4%	0.25	0.5%	0.12%	—	REF	.cs · cfg	view · gh
trend_ma	SPY	Daily	1998-01-02→2013-12-31	IS	0.23	0.23→0.46	5.9%	17.3%	0.20	0.6%	0.33%	—	REF	.cs · cfg	view · gh
trend_vt	SPY	Daily	1998-01-02→2013-12-31	IS	0.23	0.23→0.36	5.8%	18.5%	0.21	0.6%	0.17%	—	REF	.cs · cfg	view · gh
trend_combo	SPY	Daily	1998-01-02→2013-12-31	IS	0.20	0.20→0.42	5.3%	17.3%	0.17	0.6%	0.33%	—	REF	.cs · cfg	view · gh
buyhold	IBM	Daily	1998-01-02→2012-12-31	IS	0.19	0.19→0.16	6.0%	59.2%	0.21	0.0%	0.02%	—	BENCHMARK	.cs · cfg	view · gh
buyhold	SPY	Daily	1998-01-02→2013-12-31	IS	0.11	0.11→0.61	4.1%	54.7%	0.12	0.0%	0.02%	—	BENCHMARK	.cs · cfg	view · gh
buyhold	BAC	Daily	1998-01-02→2012-12-31	IS	0.10	0.10→0.41	-2.8%	93.6%	0.10	0.0%	0.02%	—	BENCHMARK	.cs · cfg	view · gh
trend	BAC	Daily	1998-01-02→2012-12-31	IS	0.07	0.07→0.07	3.5%	42.2%	0.05	0.0%	0.27%	—	REF	.cs · cfg	view · gh
trend_ma	BAC	Daily	1998-01-02→2012-12-31	IS	0.05	0.05→-0.01	3.4%	26.8%	0.04	0.0%	0.35%	—	REF	.cs · cfg	view · gh
trend_ls	BTCUSD	Daily	2015-07-20→2021-12-31	IS	-0.04	-0.04→1.21	0.0%	108.7%	-0.03	2.0%	0.31%	—	REF	.cs · cfg	—
trend	IBM	Daily	1998-01-02→2012-12-31	IS	-0.04	-0.04→-0.24	0.3%	67.4%	-0.04	0.0%	0.49%	—	REF	.cs · cfg	view · gh
trend_vt	BAC	Daily	1998-01-02→2012-12-31	IS	-0.05	-0.05→-0.03	2.5%	20.1%	-0.04	0.0%	0.23%	—	REF	.cs · cfg	view · gh
trend_vt	IBM	Daily	1998-01-02→2012-12-31	IS	-0.12	-0.12→-0.34	1.0%	45.3%	-0.11	0.0%	0.40%	—	REF	.cs · cfg	view · gh
trend_ma	IBM	Daily	1998-01-02→2012-12-31	IS	-0.18	-0.18→-0.22	-2.0%	71.3%	-0.14	0.0%	0.62%	—	REF	.cs · cfg	view · gh

Fixed-Risk Bands (Top-Cap) H3 (diagnostic)

What it does. Pine-v6 port: SMA/stdev bands x7 + Kaufman Efficiency-Ratio + daily-trend/index/basis gates, 1% fixed-risk sizing, band take-profits and a ratcheting trailing stop, on a fixed mega-cap basket (or weekly top-N by market cap).
Thesis / edge. Band mean-reversion/breakout, filtered by an Efficiency-Ratio gate to trade only when price is efficiently trending (suppresses intraday chop). Marginal edge at best; strongly knob-sensitive; all archived cells are whole-period with NO out-of-sample split.
Class FixedRiskBandsTopCapAlgorithm (C#) · 15 backtests · best OOS Sharpe (excl. buy&hold): 0.03 · verdicts FAIL:11 · MIXED:2 · REF:2

Pre-registered kill criteria: Diagnostic (H3): OOS Sharpe >= 0.30 on a held-out window AND on names outside the tuned top-10. No OOS split was run for these archived cells -> they CANNOT PASS; the best full-period cell (1h ext3 ER0.2) reaches Sharpe 0.45 in-sample/whole-period only.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
1h ext3 ER0.2 — OOS (held-out ~38%)	NVDA,AAPL,MSFT,GOOG…	Hour	2025-03-01→2026-06-27	OOS	0.03	0.70→0.03	7.5%	12.0%	0.03	23.4%	2.53%	—	FAIL	.cs · cfg	view · gh
1h ext3 ER0.2 — off-basket BAC/IBM/AIG (off era)	BAC,IBM,AIG	Hour	2015-01-01→2021-03-31	OOS	-0.64	0.70→-0.64	-2.9%	20.7%	-0.74	0.0%	2.29%	—	FAIL	.cs · cfg	view · gh
1h ext3 ER0.2 — off-basket QQQ (same era)	QQQ	Hour	2024-12-31→2026-06-27	OOS	-1.37	0.70→-1.37	2.6%	3.1%	-1.37	32.7%	0.35%	—	FAIL	.cs · cfg	view · gh
5min ext4 ER0.5	NVDA,AAPL,MSFT,GOOG…	5min (Minute bars)	2026-01-02→2026-06-27	FULL	0.80	—	15.8%	5.9%	1.08	56.0%	17.85%	—	MIXED	.cs · cfg	view · gh
1h ext3 ER0.2 — FULL (H3 reproduce)	NVDA,AAPL,MSFT,GOOG…	Hour	2023-01-01→2026-06-27	FULL	0.45	0.70→0.03	14.3%	17.7%	0.45	41.9%	1.88%	—	REF	.cs · cfg	view · gh
1h ext3 ER0.2 (best archived)	NVDA,AAPL,MSFT,GOOG…	Hour	2023-01-01→2026-06-27	FULL	0.45	—	14.3%	17.7%	0.45	41.9%	1.88%	—	MIXED	.cs · cfg	view · gh
1h ext3 ER0.3	NVDA,AAPL,MSFT,GOOG…	Hour	2023-01-01→2026-06-27	FULL	0.28	—	11.5%	21.0%	0.27	29.5%	1.77%	—	FAIL	.cs · cfg	view · gh
1min ext4	NVDA,AAPL,MSFT,GOOG…	1min (Minute bars)	2026-01-02→2026-06-27	FULL	0.20	—	6.0%	9.8%	0.23	36.5%	63.98%	—	FAIL	.cs · cfg	view · gh
Daily ext1 trail3 ER0.3	NVDA,AAPL,MSFT,GOOG…	Daily	2023-01-01→2026-06-27	FULL	0.06	—	8.1%	9.1%	0.12	7.4%	0.93%	—	FAIL	.cs · cfg	view · gh
Daily ext2 trail10 (trail optimum)	NVDA,AAPL,MSFT,GOOG…	Daily	2023-01-01→2026-06-27	FULL	-0.01	—	7.4%	8.2%	-0.01	27.4%	0.30%	—	FAIL	.cs · cfg	view · gh
Daily ext2 multiTP no-filter	NVDA,AAPL,MSFT,GOOG…	Daily	2023-01-01→2026-06-27	FULL	-0.04	—	6.9%	12.2%	-0.04	20.5%	0.43%	—	FAIL	.cs · cfg	view · gh
Daily top50 cap10	NVDA,AAPL,MSFT,GOOG…	Daily	2023-01-01→2026-06-27	FULL	-0.54	—	1.3%	20.7%	-0.48	3.1%	0.96%	—	FAIL	.cs · cfg	view · gh
Daily top50 cap10 trail10	NVDA,AAPL,MSFT,GOOG…	Daily	2023-01-01→2026-06-27	FULL	-1.54	—	-5.7%	22.5%	-1.17	0.0%	0.53%	—	FAIL	.cs · cfg	view · gh
5min ext0.5	NVDA,AAPL,MSFT,GOOG…	5min (Minute bars)	2026-01-02→2026-06-27	FULL	-1.80	—	4.1%	1.2%	0.00	49.6%	5.34%	—	FAIL	.cs · cfg	view · gh
1h ext3 ER0.2 — IS (first ~62%)	NVDA,AAPL,MSFT,GOOG…	Hour	2023-01-01→2025-03-01	IS	0.70	0.70→0.03	19.6%	17.7%	0.68	54.3%	2.14%	—	REF	.cs · cfg	view · gh

VSA Bands Breakout (prior work)

What it does. Pine-v6 port: SMA/stdev bands x7 + Volume-Spread-Analysis volume filter + trend/risk-reward filters, 1% risk, OCO bracket orders.
Thesis / edge. Volume-confirmed breakout beyond statistical bands. Tiny trade samples; no demonstrated edge.
Class VsaBandsBreakoutAlgorithm (C#) · 2 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts FAIL:2

Pre-registered kill criteria: Reject on negative Sharpe or a tiny (<~10) trade sample. Both runs show negative Sharpe and <10 trades -> no edge.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
QQQ 1h	QQQ	Hour	2025-06-27→2026-06-27	FULL	-1.95	—	0.8%	2.8%	-1.09	20.0%	2.57%	—	FAIL	.cs · cfg	view · gh
BTCUSD daily	SPY	Daily	2025-06-28→2026-06-27	FULL	-5.26	—	-2.4%	3.2%	-3.64	0.2%	0.27%	—	FAIL	.cs · cfg	view · gh

Alpaca Data Backtest (SPY buy & hold) (baseline)

What it does. SPY buy-and-hold baseline over Alpaca daily data — a benchmark, not an edge.
Thesis / edge. Passive long SPY. Used only as the benchmark other strategies must beat.
Class AlpacaDataBacktestAlgorithm (C#) · 1 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts BENCHMARK:1

Pre-registered kill criteria: Buy & hold benchmark, not an edge; used as the SPY reference bar.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
SPY buy & hold	SPY	Daily	2025-01-15→2026-06-20	FULL	0.50	—	17.4%	19.0%	0.54	39.3%	0.19%	—	BENCHMARK	.cs	view · gh

Band Breakout Pyramid (BTC 5-min, scale-IN, exit-only-at-SMA) BandBreakout

What it does. Volatility-band breakout that scales IN: break beyond band-1 -> enter (StopMarket), ADD on each higher band 2-7 (StopMarket pyramid up), exit the WHOLE stack ONLY at the trailing SMA basis (no band take-profits). Both sides. Per-level size = basePct/7 so a full 7-band build caps ~basePct% exposure.
Thesis / edge. Ride a continuation by pyramiding into it as it breaks successive bands, cutting only when price fails back to the SMA. Scale-IN sibling of BandBreakoutScaleOut (#2) and mirror of BandGrid.
Class BandBreakoutPyramidAlgorithm (C#) · 6 backtests · best OOS Sharpe (excl. buy&hold): -9.77 · verdicts FAIL:5 · REF:1

Pre-registered kill criteria: PASS needs full-span net-of-fee CAGR>0 on a param PLATEAU with OOS no worse than IS; KILL if uniformly negative across the plateau.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
OOS window, basePct=7	BTCUSDT	5min (minute base)	2025-01-01→2026-06-28	OOS	-9.77	—→-9.77	-12.0%	17.4%	-18.76	0.0%	57.39%	—	FAIL	.cs · cfg	—
binance wf1mo w10 ext2-10 pnl	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→-3.02	—	—	—	—	—	—	FAIL	.cs · cfg	page
binance wf1mo w10 ext2-10 sharpe	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→0.86	—	—	—	—	—	—	FAIL	.cs · cfg	page
binance wf1mo w10 ext2-10 sharpeflat	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→-4.15	—	—	—	—	—	—	FAIL	.cs · cfg	page
scale-IN pyramid, exit-only-at-SMA, Binance BTCUSDT 5-min, basePct=7 (per-add 1%), both sides	BTCUSDT	5min (minute base)	2021-02-01→2026-06-28	FULL	-7.38	-6.85→-9.77	-14.4%	57.2%	-14.26	0.0%	63.20%	—	FAIL	.cs · cfg	—
IS window, basePct=7	BTCUSDT	5min (minute base)	2021-02-01→2024-12-31	IS	-6.85	-6.85→—	-15.4%	48.3%	-13.52	0.0%	65.42%	—	REF	.cs · cfg	—

Band Breakout Scale-Out + ENTRY FILTERS (BTC 5-min) BandBreakout

What it does. Scale-out band breakout (#2) with optional entry filters: basis-SMA-slope trend, stdev-expanding, Kaufman ER, and daily-SMA MTF; filters gate the band-1 breakout arming. This record = the best-by-PF filter combo (dev+ER0.5+MTF) on the L400x2 base, judged against the churn guard.
Thesis / edge. Filter out the ~98% of 5-min BTC breakouts that revert, to isolate a positive-expectancy continuation subset. Tested: no combo yields a real edge.
Class BandBreakoutScaleOutAlgorithm (C#) · 7 backtests · best OOS Sharpe (excl. buy&hold): -36.87 · verdicts FAIL:6 · REF:1

Pre-registered kill criteria: PASS only if a filter combo yields a surviving-breakout subset with PF>1 AND positive GROSS-of-fee per-trade expectancy that holds in BOTH IS and OOS, survives the 48-trial count (DSR>0), and is net-of-fee tradeable. KILL if positives are churn-reduction / multiple-testing noise.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
OOS window, basePct=1.0	BTCUSDT	5min (minute base)	2025-01-01→2026-06-28	OOS	-36.87	—→-36.87	-5.0%	7.4%	-44.55	0.0%	26.74%	—	FAIL	.cs · cfg	—
binance wf1mo w10 ext2-10 pnl	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→-0.80	—	—	—	—	—	—	FAIL	.cs · cfg	page
binance wf1mo w10 ext2-10 sharpe	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→-3.23	—	—	—	—	—	—	FAIL	.cs · cfg	page
binance wf1mo w10 ext2-10 sharpeflat	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→-2.28	—	—	—	—	—	—	FAIL	.cs · cfg	page
momentum breakout scale-out, Binance BTCUSDT 5-min, basePct=1.0, both sides	BTCUSDT	5min (minute base)	2021-02-01→2026-06-28	FULL	-26.68	-24.44→-36.87	-6.5%	30.4%	-30.91	0.0%	30.75%	—	FAIL	.cs · cfg	—
filter combo dev+ER(0.5)+MTF on L400x2 base (best-by-PF of a 48-trial filter sweep)	BTCUSDT	5min (minute base)	2021-02-01→2026-06-28	FULL	-47.29	-36.54→-93.10	-0.0%	0.5%	-46.12	0.1%	0.27%	—	FAIL	.cs · cfg	—
IS window, basePct=1.0	BTCUSDT	5min (minute base)	2021-02-01→2024-12-31	IS	-24.44	-24.44→—	-7.0%	24.8%	-28.30	0.0%	32.28%	—	REF	.cs · cfg	—

Band Grid + SMA Exit (BTC 5-min, Pine port) BandGrid

What it does. 7-band stdev grid of chained limit entries (martingale sizing) around SMA(hl2); every entry exits at the SMA basis; Kaufman-ER + daily-trend filters gate the first entry.
Thesis / edge. BTC 5-min price mean-reverts to its SMA basis; a scaled limit grid harvests the reversion while filters avoid trending regimes. (User-supplied TradingView strategy; walk-forward re-optimization tested as the actual edge.)
Class BandGridSmaExitAlgorithm (C#) · 20 backtests · best OOS Sharpe (excl. buy&hold): 4.98 · verdicts FAIL:14 · MIXED:2 · REF:4

Pre-registered kill criteria: KILL if: ON-regime windows reproduce <50% of thin-venue magnitude (Feb23-Mar24 >= +75%, Nov25-Apr26 >= +10%), OR full-span Sharpe < 0.6 / CAGR < 10% at 2/4.5bps, OR off-regime bleed > 5%/yr

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
cost-stress: crash window fee ladder	BTCUSD	5min (minute base)	2025-11-17→2026-04-13	OOS	4.98	—	60.8%	2.3%	9.52	100.0%	35.88%	—	REF	.cs · cfg	—
oosfix Pine defaults held fixed	BTCUSD	5min (minute base)	2025-01-01→2026-06-28	OOS	-5.08	—	-31.2%	42.9%	-5.77	0.0%	104.11%	—	FAIL	.cs · cfg	—
oosfix IS-winner held fixed	BTCUSD	5min (minute base)	2025-01-01→2026-06-28	OOS	-6.34	0.70→-6.34	-0.8%	1.5%	-3.52	0.5%	3.86%	—	FAIL	.cs · cfg	view · gh
oosfix defensive L70 x10 long-only	BTCUSD	5min (minute base)	2025-01-01→2026-06-28	OOS	-51.46	—	-0.4%	0.6%	-36.79	0.0%	0.97%	—	REF	.cs · cfg	—
binance wf1mo w10 ext2-10 pnl	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→-1.42	—	—	—	—	—	—	FAIL	.cs · cfg	page
binance wf1mo w10 ext2-10 sharpe	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→-1.69	—	—	—	—	—	—	FAIL	.cs · cfg	page
binance wf1mo w10 ext2-10 sharpeflat	BTCUSDT (binance)	5min (minute base)	2026-04-20→2026-06-28	OOS	—	—→-1.69	—	—	—	—	—	—	FAIL	.cs · cfg	page
binance wf1mo w15 devgate pnl	BTCUSDT (binance)	5min (minute base)	2026-03-16→2026-06-28	OOS	—	—→-2.65	—	—	—	—	—	—	FAIL	.cs · cfg	—
binance wf1mo w15 devgate sharpe	BTCUSDT (binance)	5min (minute base)	2026-03-16→2026-06-28	OOS	—	—→-2.32	—	—	—	—	—	—	FAIL	.cs · cfg	—
binance wf1mo w15 devgate sharpeflat	BTCUSDT (binance)	5min (minute base)	2026-03-16→2026-06-28	OOS	—	—→-2.92	—	—	—	—	—	—	FAIL	.cs · cfg	—
bnb wf 1mo-reopt (MM+trail menu)	BTCUSD	5min (minute base)	2025-01-01→2026-06-28	OOS	—	—→0.82	—	—	—	—	—	—	FAIL	.cs · cfg	—
wf monthly 1mo-reopt	BTCUSD	5min (minute base)	2025-01-01→2026-06-28	OOS	—	—→1.15	—	—	—	—	—	—	MIXED	.cs · cfg	—
wf weekly 1mo-reopt	BTCUSD	5min (minute base)	2025-01-01→2026-06-28	OOS	—	—→1.53	—	—	—	—	—	—	MIXED	.cs · cfg	—
binance-prints replication: agg-bs-noMTF full span	BTCUSD	5min (minute base)	2021-02-01→2026-06-28	FULL	-1.71	—	-4.5%	22.5%	-1.46	0.0%	18.01%	—	FAIL	.cs · cfg	—
binance trail-exit sweep + full-span	BTCUSD	5min (minute base)	2021-02-01→2026-06-28	FULL	—	—	—	—	—	—	—	—	FAIL	.cs · cfg	—
15-minute repeat (broad+trail+WF)	BTCUSD	5min (minute base)	2022-07-01→2026-06-28	FULL	—	—	—	—	—	—	—	—	FAIL	.cs · cfg	—
isfull L400 x2 b0.75 s2.0 long-only ERoff MTF	BTCUSD	5min (minute base)	2021-02-01→2024-12-31	IS	0.70	0.70→—	15.2%	5.0%	2.58	39.5%	5.71%	—	REF	.cs · cfg	view · gh
mechanism-confirm: agg-bs-noMTF full IS	BTCUSD	5min (minute base)	2021-02-01→2024-12-31	IS	0.64	—	16.6%	23.4%	1.67	27.6%	21.07%	—	REF	.cs · cfg	—
isfull Pine defaults L100 x1 b2 s1.5 ER0.3 MTF	BTCUSD	5min (minute base)	2021-02-01→2024-12-31	IS	-5.31	—	-47.2%	92.0%	-5.12	0.0%	112.54%	—	FAIL	.cs · cfg	—
binance-prints parameter re-sweep	BTCUSD	5min (minute base)	2022-07-01→2024-06-30	IS	—	—	—	—	—	—	—	—	FAIL	.cs · cfg	—

BR1 — Intraday VWAP-band mean-reversion, VIX-gated BR1

What it does. Fade a 30-min bar close beyond session VWAP +/- k*sigma_vw back to VWAP; flat by 15:55; VIX-gated (Nagel).
Thesis / edge. H13's negative first30->last30 intraday autocorrelation + HKS2010 periodicity + Nagel2012 (reversal = liquidity-provision return that spikes with VIX). Single-instrument intraday timing -> immune to the correlated-universe problem that killed H2/H11.
Class Br1VwapReversionAlgorithm (C#) · 7 backtests · best OOS Sharpe (excl. buy&hold): -2.42 · verdicts FAIL:6 · REF:1

Pre-registered kill criteria: KILL if raw-stat reversion magnitude < ~2-4bps round-trip cost (sec 8.6.1); or OOS net Sharpe<0.30/negative; net-negative at cost bar; reversion concentrated in low-VIX. PASS needs OOS net Sharpe>=0.70 at >=2bps/side, >=2/3 ETF replication, >=65% folds +, DSR>0.95 (N=24), Nagel high-VIX>=low-VIX.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
IWM revert k2.0 rvol1.5 vixHigh (traded)	IWM	Minute (30-min VWAP bands, RTH 09:30-16:00)	2023-01-01→2026-06-30	OOS	-2.42	-0.20→-2.42	-0.5%	5.6%	-0.47	0.4%	7.81%	-2.59@5bps	FAIL	.cs · cfg	—
QQQ revert k2.0 rvol1.5 vixHigh (traded)	QQQ	Minute (30-min VWAP bands, RTH 09:30-16:00)	2023-01-01→2026-06-30	OOS	-2.98	—→-2.98	-0.8%	4.5%	-0.65	0.1%	7.02%	—	FAIL	.cs · cfg	—
SPY revert k2.0 rvol1.5 vixHigh (traded)	SPY	Minute (30-min VWAP bands, RTH 09:30-16:00)	2023-01-01→2026-06-30	OOS	-3.20	—→-3.20	-1.0%	6.1%	-0.74	0.1%	8.11%	—	FAIL	.cs · cfg	—
IWM rawstat-gate k1.5-2.5 rvol-all/1.5 vix-all/lo/hi	IWM	Minute (30-min VWAP bands, RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	0.00	—	0.0%	0.0%	0.00	0.0%	0.00%	—	FAIL	.cs · cfg	—
QQQ rawstat-gate k1.5-2.5 rvol-all/1.5 vix-all/lo/hi	QQQ	Minute (30-min VWAP bands, RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	0.00	—	0.0%	0.0%	0.00	0.0%	0.00%	—	FAIL	.cs · cfg	—
SPY rawstat-gate k1.5-2.5 rvol-all/1.5 vix-all/lo/hi	SPY	Minute (30-min VWAP bands, RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	0.00	—	0.0%	0.0%	0.00	0.0%	0.00%	—	FAIL	.cs · cfg	—
IWM revert k2.0 rvol1.5 vixHigh (traded)	IWM	Minute (30-min VWAP bands, RTH 09:30-16:00)	2016-01-04→2022-12-31	IS	-0.20	-0.20→—	1.3%	7.9%	-0.09	1.7%	11.94%	—	REF	.cs · cfg	—

H11 Equal-Weight 22-ETF Buy&Hold (benchmark) H11

What it does. Passive equal-weight buy&hold of the 22-ETF panel.
Thesis / edge. passive benchmark (not an edge)
Class H11CrossAssetTrendAlgorithm (C#) · 22 backtests · best OOS Sharpe (excl. buy&hold): 1.55 · verdicts BENCHMARK:2 · FAIL:5 · REF:15

Pre-registered kill criteria: PASS only if book OOS Sharpe>=0.7 net AND OOS PSR>43.6% (beat single-BTC) AND >=70% walk-forward folds positive. KILL if diversified PSR<=single-BTC (breadth didn't help) OR edge concentrated in one asset/era OR OOS Sharpe<0.4.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
wf fold 2019 mg1.25	SPY,QQQ,IWM,DIA,XLK…	Daily	2019-01-01→2019-12-31	OOS	1.55	—	19.1%	3.3%	1.75	84.0%	1.56%	—	REF	.cs · cfg	view · gh
wf fold 2021 mg1.25	SPY,QQQ,IWM,DIA,XLK…	Daily	2021-01-01→2021-12-31	OOS	1.53	—	26.8%	6.8%	1.71	69.0%	0.58%	—	REF	.cs · cfg	view · gh
wf fold 2024 mg1.25	SPY,QQQ,IWM,DIA,XLK…	Daily	2024-01-01→2024-12-31	OOS	0.62	—	16.9%	7.4%	0.69	54.1%	0.94%	—	REF	.cs · cfg	view · gh
wf fold 2026H1 mg1.25	SPY,QQQ,IWM,DIA,XLK…	Daily	2026-01-01→2026-06-30	OOS	0.44	—	13.8%	9.9%	0.56	47.8%	2.17%	—	REF	.cs · cfg	view · gh
etf22+btceth 252d lf mg3.0	SPY,QQQ,IWM,DIA,XLK…	Daily	2022-01-01→2026-06-30	OOS	0.37	0.76→0.37	10.6%	39.8%	0.39	13.6%	2.56%	—	FAIL	.cs · cfg	view · gh
wf fold 2020 mg1.25	SPY,QQQ,IWM,DIA,XLK…	Daily	2020-01-01→2020-12-31	OOS	0.27	—	5.8%	29.2%	0.22	20.2%	1.29%	—	REF	.cs · cfg	view · gh
etf22 252d lf mg3.0	SPY,QQQ,IWM,DIA,XLK…	Daily	2022-01-01→2026-06-30	OOS	0.20	—→0.20	8.8%	33.9%	0.18	5.7%	2.77%	—	FAIL	.cs · cfg	view · gh
etf22 252d lf mg2.0	SPY,QQQ,IWM,DIA,XLK…	Daily	2022-01-01→2026-06-30	OOS	0.16	—→0.16	8.4%	24.2%	0.15	6.8%	2.03%	—	FAIL	.cs · cfg	view · gh
spy_only 252d lf fullinvest	SPY	Daily	2022-01-01→2026-06-30	OOS	0.09	0.39→0.09	7.3%	16.0%	0.09	12.5%	0.30%	—	REF	.cs · cfg	view · gh
etf22 252d lf mg1.25 (~12% vol)	SPY,QQQ,IWM,DIA,XLK…	Daily	2022-01-01→2026-06-30	OOS	-0.02	0.32→-0.02	5.2%	17.2%	-0.02	5.5%	1.40%	-0.05@10bps	FAIL	.cs · cfg	view · gh
buyhold_etf22	SPY,QQQ,IWM,DIA,XLK…	Daily	2022-01-01→2026-06-30	OOS	-0.04	—	5.0%	17.8%	-0.04	5.2%	0.06%	—	BENCHMARK	.cs · cfg	view · gh
wf fold 2023 mg1.25	SPY,QQQ,IWM,DIA,XLK…	Daily	2023-01-01→2023-12-31	OOS	-0.08	—	5.9%	10.6%	-0.11	26.6%	2.55%	—	REF	.cs · cfg	view · gh
etf22 252d lf mg1.0	SPY,QQQ,IWM,DIA,XLK…	Daily	2022-01-01→2026-06-30	OOS	-0.14	—→-0.14	4.0%	15.9%	-0.14	4.7%	1.14%	—	FAIL	.cs · cfg	view · gh
wf fold 2025 mg1.25	SPY,QQQ,IWM,DIA,XLK…	Daily	2025-01-01→2025-12-31	OOS	-0.36	—	-2.7%	18.9%	-0.26	10.7%	1.38%	—	REF	.cs · cfg	view · gh
wf fold 2022 mg1.25	SPY,QQQ,IWM,DIA,XLK…	Daily	2022-01-01→2022-12-31	OOS	-0.69	—	-10.9%	15.5%	-0.83	3.0%	1.80%	—	REF	.cs · cfg	view · gh
etf22+btceth 252d lf mg3.0	SPY,QQQ,IWM,DIA,XLK…	Daily	2016-01-04→2026-06-30	FULL	0.55	—	15.2%	52.0%	0.57	7.4%	2.52%	—	REF	.cs · cfg	view · gh
buyhold_etf22	SPY,QQQ,IWM,DIA,XLK…	Daily	2016-01-04→2026-06-30	FULL	0.31	—	8.5%	29.8%	0.28	3.4%	0.03%	—	BENCHMARK	.cs · cfg	view · gh
spy_only 252d lf fullinvest	SPY	Daily	2016-01-04→2026-06-30	FULL	0.25	—	7.0%	28.7%	0.21	3.4%	0.28%	—	REF	.cs · cfg	view · gh
etf22 252d lf mg1.25 (~12% vol)	SPY,QQQ,IWM,DIA,XLK…	Daily	2016-01-04→2026-06-30	FULL	0.10	—	4.8%	32.9%	0.09	0.5%	1.15%	—	REF	.cs · cfg	view · gh
etf22+btceth 252d lf mg3.0	SPY,QQQ,IWM,DIA,XLK…	Daily	2016-01-04→2021-12-31	IS	0.76	—	22.4%	52.0%	0.79	21.7%	2.62%	—	REF	.cs · cfg	view · gh
spy_only 252d lf fullinvest	SPY	Daily	2016-01-04→2021-12-31	IS	0.39	—	7.2%	28.7%	0.30	8.7%	0.31%	—	REF	.cs · cfg	view · gh
etf22 252d lf mg1.25 (~12% vol)	SPY,QQQ,IWM,DIA,XLK…	Daily	2016-01-04→2021-12-31	IS	0.32	—	6.6%	32.9%	0.27	4.9%	1.06%	—	REF	.cs · cfg	view · gh

H13 Market Intraday Momentum H13

What it does. First-half-hour (09:30->10:00) return predicts the last-half-hour (15:30->16:00 MOC) return of the SAME day; enter last-30 in the sign of the first-30, flatten at the close.
Thesis / edge. Gao, Han, Li & Zhou (2018, JFE 129(2):394-414) — market intraday momentum, one of the rare anomalies with a published positive OUT-OF-SAMPLE result (1993-2013 SPY + 10 ETFs), stronger on high-vol/high-volume/news days. Mechanism: infrequent rebalancing + late-informed trading near the close. Single-instrument intraday TIMING edge (immune to the correlated-universe problem that killed H2/H11).
Class H13IntradayMomentumAlgorithm (C#) · 47 backtests · best OOS Sharpe (excl. buy&hold): -1.31 · verdicts BENCHMARK:3 · FAIL:20 · REF:24

Pre-registered kill criteria: PASS iff OOS Sharpe >= 0.5 net of >=2 bps/side AND replicates across >=2 of SPY/QQQ/IWM AND beats the always-long-last-30 control. KILL if it dies at realistic cost (>=2 bps), does not replicate, or OOS Sharpe < 0.3 net. McLean-Pontiff x0.74 discount applied.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
signal long/short	IWM	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-1.31	-1.55→-3.06	-0.5%	7.8%	-1.50	0.3%	135.18%	-5.37@5bps	FAIL	.cs · cfg	—
signal long/short	QQQ	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-1.52	-1.66→-3.10	-2.4%	12.6%	-1.66	0.0%	135.38%	-5.21@5bps	FAIL	.cs · cfg	—
signal long/flat	QQQ	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-1.72	-1.66→-3.10	-0.5%	7.4%	-1.35	0.2%	72.31%	—	FAIL	.cs · cfg	—
signal long/short	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-1.73	-1.98→-3.60	-2.0%	10.3%	-1.87	0.0%	135.57%	-6.08@5bps	FAIL	.cs · cfg	—
signal long/flat	IWM	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-1.89	-1.55→-3.06	-0.1%	5.8%	-1.50	0.5%	68.26%	—	FAIL	.cs · cfg	—
signal long/short	IWM	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-2.20	-1.55→-3.06	-5.3%	22.0%	-2.52	0.0%	135.19%	-5.37@5bps	FAIL	.cs · cfg	—
signal long/flat	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-2.26	-1.98→-3.60	-0.9%	6.8%	-1.77	0.1%	72.16%	—	FAIL	.cs · cfg	—
signal long/short	QQQ	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-2.32	-1.66→-3.10	-7.1%	28.2%	-2.56	0.0%	135.37%	-5.21@5bps	FAIL	.cs · cfg	—
always-long control	QQQ	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-2.56	-1.66→—	-8.4%	33.6%	-2.89	0.0%	135.71%	—	REF	.cs · cfg	—
signal long/short	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-2.69	-1.98→-3.60	-6.7%	26.9%	-2.93	0.0%	135.55%	-6.08@5bps	FAIL	.cs · cfg	—
signal long/flat	QQQ	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-2.94	-1.66→-3.10	-5.6%	23.0%	-2.35	0.0%	72.32%	—	FAIL	.cs · cfg	—
always-long control	IWM	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-2.95	-1.55→—	-9.3%	37.0%	-3.37	0.0%	135.92%	—	REF	.cs · cfg	—
random control	QQQ	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.00	-1.66→—	-11.0%	43.9%	-3.12	0.0%	135.71%	—	REF	.cs · cfg	—
signal long/short	IWM	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.06	-1.55→-3.06	-9.9%	37.5%	-3.49	0.0%	135.20%	-5.37@5bps	FAIL	.cs · cfg	—
signal long/short	QQQ	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.10	-1.66→-3.10	-11.5%	42.4%	-3.43	0.0%	135.35%	-5.21@5bps	FAIL	.cs · cfg	—
always-long control	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.21	-1.98→—	-9.3%	35.8%	-3.57	0.0%	135.65%	—	REF	.cs · cfg	—
signal long/flat	IWM	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.23	-1.55→-3.06	-5.0%	20.9%	-2.56	0.0%	68.28%	—	FAIL	.cs · cfg	—
signal L/S, \|first30\|>20bps gate	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.30	-1.98→-3.60	-5.2%	21.7%	-2.37	0.0%	58.69%	—	FAIL	.cs · cfg	—
random control	IWM	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.34	-1.55→—	-11.4%	44.2%	-3.81	0.0%	135.93%	—	REF	.cs · cfg	—
signal L/S, \|first30\|>50bps gate	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.44	-1.98→-3.60	-2.2%	10.0%	-1.25	0.0%	14.47%	—	FAIL	.cs · cfg	—
random control	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.53	-1.98→—	-10.8%	41.5%	-3.64	0.0%	135.63%	—	REF	.cs · cfg	—
signal long/short	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.60	-1.98→-3.60	-11.2%	41.4%	-3.96	0.0%	135.50%	-6.08@5bps	FAIL	.cs · cfg	view · gh
signal long/flat	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-3.76	-1.98→-3.60	-6.0%	24.2%	-3.00	0.0%	72.16%	—	FAIL	.cs · cfg	—
signal long/short	QQQ	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-5.21	-1.66→-3.10	-23.7%	70.4%	-5.84	0.0%	135.20%	-5.21@5bps	FAIL	.cs · cfg	—
signal long/short	IWM	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-5.37	-1.55→-3.06	-22.3%	67.8%	-6.11	0.0%	135.19%	-5.37@5bps	FAIL	.cs · cfg	—
signal long/short	SPY	Minute (RTH 09:30-16:00)	2022-01-01→2026-06-30	OOS	-6.07	-1.98→-3.60	-23.4%	69.9%	-6.79	0.0%	135.35%	-6.08@5bps	FAIL	.cs · cfg	—
buy & hold	QQQ	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	0.69	-1.66→—	20.4%	37.0%	0.73	20.3%	0.03%	—	BENCHMARK	.cs · cfg	—
buy & hold	SPY	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	0.55	-1.98→—	14.4%	33.8%	0.55	12.5%	0.03%	—	BENCHMARK	.cs · cfg	—
buy & hold	IWM	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	0.34	-1.55→—	10.7%	42.3%	0.38	2.0%	0.03%	—	BENCHMARK	.cs · cfg	—
signal long/short	IWM	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-0.58	-1.55→-3.06	0.2%	14.3%	-0.59	0.0%	135.61%	—	REF	.cs · cfg	—
signal long/short	QQQ	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-0.79	-1.66→-3.10	-1.5%	16.5%	-0.78	0.0%	135.73%	—	REF	.cs · cfg	—
signal long/flat	QQQ	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-0.95	-1.66→-3.10	-0.6%	12.6%	-0.69	0.0%	72.19%	—	REF	.cs · cfg	—
signal long/short	SPY	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-0.96	-1.98→-3.60	-1.8%	21.4%	-0.93	0.0%	135.66%	—	REF	.cs · cfg	—
signal long/flat	IWM	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-1.18	-1.55→-3.06	-1.1%	18.9%	-0.84	0.0%	67.08%	—	REF	.cs · cfg	—
signal long/flat	SPY	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-1.46	-1.98→-3.60	-1.4%	16.7%	-1.10	0.0%	70.43%	—	REF	.cs · cfg	—
always-long control	QQQ	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-2.02	-1.66→—	-9.5%	65.5%	-2.15	0.0%	136.19%	—	REF	.cs · cfg	—
signal long/short	IWM	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-2.09	-1.55→-3.06	-9.2%	64.6%	-2.18	0.0%	135.57%	—	REF	.cs · cfg	—
signal long/short	QQQ	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-2.19	-1.66→-3.10	-10.8%	69.9%	-2.26	0.0%	135.56%	—	REF	.cs · cfg	—
always-long control	SPY	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-2.46	-1.98→—	-10.4%	68.8%	-2.75	0.0%	136.06%	—	REF	.cs · cfg	—
always-long control	IWM	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-2.50	-1.55→—	-11.7%	73.5%	-2.76	0.0%	136.36%	—	REF	.cs · cfg	—
signal long/short	SPY	Minute (RTH 09:30-16:00)	2016-01-04→2026-06-30	FULL	-2.55	-1.98→-3.60	-11.1%	71.0%	-2.60	0.0%	135.43%	—	REF	.cs · cfg	view · gh
signal long/short	IWM	Minute (RTH 09:30-16:00)	2016-01-04→2021-12-31	IS	-0.16	-1.55→-3.06	0.8%	13.0%	-0.15	0.6%	135.93%	—	REF	.cs · cfg	—
signal long/short	QQQ	Minute (RTH 09:30-16:00)	2016-01-04→2021-12-31	IS	-0.35	-1.66→-3.10	-0.8%	14.8%	-0.33	0.1%	136.00%	—	REF	.cs · cfg	—
signal long/short	SPY	Minute (RTH 09:30-16:00)	2016-01-04→2021-12-31	IS	-0.54	-1.98→-3.60	-1.7%	21.4%	-0.50	0.0%	135.76%	—	REF	.cs · cfg	—
signal long/short	IWM	Minute (RTH 09:30-16:00)	2016-01-04→2021-12-31	IS	-1.55	-1.55→-3.06	-8.8%	43.6%	-1.56	0.0%	135.95%	—	REF	.cs · cfg	—
signal long/short	QQQ	Minute (RTH 09:30-16:00)	2016-01-04→2021-12-31	IS	-1.66	-1.66→-3.10	-10.2%	47.9%	-1.67	0.0%	135.99%	—	REF	.cs · cfg	—
signal long/short	SPY	Minute (RTH 09:30-16:00)	2016-01-04→2021-12-31	IS	-1.98	-1.98→-3.60	-11.0%	50.6%	-1.96	0.0%	135.71%	—	REF	.cs · cfg	—

H14 Overnight vs Intraday Decomposition H14

What it does. Decompose each day into overnight (open_t/close_{t-1}-1) and intraday (close_t/open_t-1); trade the overnight leg (buy at close via MOC, sell at next open via MOO), flat intraday. Variants: long-overnight/short-intraday, short-overnight control, intraday-leg control, buy&hold benchmark.
Thesis / edge. Lou, Polk & Skouras (2019, JFE) and Hendershott, Livdan & Rösch (2020, JFE 'A Tale of Night and Day') — the equity/market (beta) premium accrues almost entirely OVERNIGHT while the intraday leg is roughly flat/negative; distinct open/close-auction clienteles vs intraday dealers. Tradeable form: hold overnight, flat intraday.
Class H14OvernightIntradayAlgorithm (C#) · 54 backtests · best OOS Sharpe (excl. buy&hold): 0.14 · verdicts BENCHMARK:3 · FAIL:15 · REF:36

Pre-registered kill criteria: PASS iff overnight-strategy OOS Sharpe >= 0.5 net of >=2 bps/side AND replicates across >=2 of SPY/QQQ/IWM AND the decomposition confirms overnight >> intraday in-sample. KILL if it dies at realistic cost (>=2 bps), does not replicate, or OOS Sharpe < 0.3 net. McLean-Pontiff x0.74 discount applied.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	0.14	0.19→-0.48	8.0%	26.7%	0.15	11.3%	136.80%	-1.34@5bps	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	0.05	0.36→-0.56	6.5%	19.9%	0.05	7.5%	136.97%	-1.40@5bps	FAIL	.cs · cfg	—
hold intraday / flat overnight (buy MOO, sell MOC) — intraday leg / control	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	0.04	—	5.7%	21.2%	0.05	4.0%	136.80%	—	REF	.cs · cfg	—
hold intraday / flat overnight (buy MOO, sell MOC) — intraday leg / control	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.03	—	5.1%	13.5%	-0.04	4.5%	136.72%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.10	-0.04→-0.89	5.0%	21.2%	-0.10	7.2%	136.74%	-1.98@5bps	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.18	0.19→-0.48	2.8%	30.9%	-0.20	2.4%	136.79%	-1.34@5bps	FAIL	.cs · cfg	—
hold intraday / flat overnight (buy MOO, sell MOC) — intraday leg / control	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.22	—	-0.1%	28.7%	-0.28	0.9%	136.91%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.26	0.36→-0.56	1.3%	24.5%	-0.30	1.4%	136.97%	-1.40@5bps	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.48	0.19→-0.48	-2.2%	35.2%	-0.54	0.3%	136.77%	-1.34@5bps	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.50	-0.04→-0.89	-0.1%	25.8%	-0.54	0.7%	136.73%	-1.98@5bps	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.56	0.36→-0.56	-3.6%	30.9%	-0.64	0.1%	136.98%	-1.40@5bps	FAIL	.cs · cfg	—
long overnight / short intraday (always in market) — variant	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.70	—	-16.1%	61.8%	-0.81	0.0%	274.05%	—	FAIL	.cs · cfg	—
SHORT overnight / flat intraday — control (should lose)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.82	—	-7.9%	43.9%	-1.00	0.0%	137.00%	—	REF	.cs · cfg	—
long overnight / short intraday (always in market) — variant	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.83	—	-19.6%	69.5%	-0.95	0.0%	273.33%	—	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.89	-0.04→-0.89	-5.0%	31.2%	-0.96	0.0%	136.68%	-1.98@5bps	FAIL	.cs · cfg	—
SHORT overnight / flat intraday — control (should lose)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.91	—	-9.2%	51.2%	-1.09	0.0%	136.83%	—	REF	.cs · cfg	—
SHORT overnight / flat intraday — control (should lose)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-0.95	—	-5.8%	38.2%	-1.16	0.0%	136.76%	—	REF	.cs · cfg	—
long overnight / short intraday (always in market) — variant	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-1.17	—	-20.0%	67.9%	-1.26	0.0%	273.06%	—	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-1.34	0.19→-0.48	-15.9%	57.6%	-1.50	0.0%	136.67%	-1.34@5bps	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-1.40	0.36→-0.56	-17.1%	60.0%	-1.60	0.0%	136.98%	-1.40@5bps	FAIL	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2022-01-01→2026-06-30	OOS	-1.98	-0.04→-0.89	-18.2%	60.9%	-2.16	0.0%	136.52%	-1.98@5bps	FAIL	.cs · cfg	—
buy & hold 24h — benchmark	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.69	—	20.0%	36.4%	0.73	20.3%	0.03%	—	BENCHMARK	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.59	0.36→-0.56	13.5%	32.8%	0.57	21.1%	137.57%	-0.86@5bps	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.54	0.19→-0.48	12.2%	29.0%	0.51	18.4%	137.53%	-0.99@5bps	REF	.cs · cfg	—
buy & hold 24h — benchmark	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.54	—	13.7%	31.8%	0.54	12.8%	0.03%	—	BENCHMARK	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.37	-0.04→-0.89	8.6%	31.1%	0.32	9.5%	137.47%	-1.38@5bps	REF	.cs · cfg	—
buy & hold 24h — benchmark	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.33	—	10.3%	40.4%	0.37	2.0%	0.03%	—	BENCHMARK	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.28	0.36→-0.56	7.9%	33.3%	0.27	2.8%	137.58%	-0.86@5bps	REF	.cs · cfg	—
hold intraday / flat overnight (buy MOO, sell MOC) — intraday leg / control	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.22	—	7.2%	24.1%	0.25	1.0%	137.53%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.22	0.19→-0.48	6.7%	32.2%	0.20	1.9%	137.52%	-0.99@5bps	REF	.cs · cfg	—
hold intraday / flat overnight (buy MOO, sell MOC) — intraday leg / control	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	0.13	—	5.2%	24.7%	0.13	0.7%	137.45%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.00	-0.04→-0.89	3.3%	31.4%	-0.00	0.3%	137.43%	-1.38@5bps	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.02	0.36→-0.56	2.6%	34.2%	-0.02	0.1%	137.58%	-0.86@5bps	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.10	0.19→-0.48	1.5%	36.7%	-0.10	0.1%	137.49%	-0.99@5bps	REF	.cs · cfg	—
hold intraday / flat overnight (buy MOO, sell MOC) — intraday leg / control	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.23	—	-2.5%	56.1%	-0.28	0.0%	137.55%	—	REF	.cs · cfg	—
long overnight / short intraday (always in market) — variant	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.34	—	-7.9%	63.0%	-0.39	0.0%	275.14%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.37	-0.04→-0.89	-1.7%	32.4%	-0.33	0.0%	137.38%	-1.38@5bps	REF	.cs · cfg	—
long overnight / short intraday (always in market) — variant	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.73	—	-16.9%	88.1%	-0.80	0.0%	273.91%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.86	0.36→-0.56	-11.7%	74.9%	-0.86	0.0%	137.50%	-0.86@5bps	REF	.cs · cfg	—
SHORT overnight / flat intraday — control (should lose)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.91	—	-9.2%	66.6%	-1.15	0.0%	137.20%	—	REF	.cs · cfg	—
long overnight / short intraday (always in market) — variant	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.96	—	-17.0%	87.5%	-0.97	0.0%	273.51%	—	REF	.cs · cfg	—
SHORT overnight / flat intraday — control (should lose)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.98	—	-12.4%	77.2%	-1.24	0.0%	137.20%	—	REF	.cs · cfg	—
SHORT overnight / flat intraday — control (should lose)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.98	—	-13.7%	81.5%	-1.16	0.0%	137.40%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-0.99	0.19→-0.48	-12.7%	78.0%	-0.97	0.0%	137.17%	-0.99@5bps	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2026-06-30	FULL	-1.38	-0.04→-0.89	-15.4%	83.3%	-1.28	0.0%	136.87%	-1.38@5bps	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	0.98	0.36→-0.56	18.9%	32.8%	0.85	52.9%	137.91%	—	REF	.cs · cfg	—
hold overnight — TotalReturn-normalized (dividend-caveat quantifier)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	0.98	—	18.1%	31.2%	0.86	53.7%	137.91%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	0.86	0.19→-0.48	15.3%	29.0%	0.72	43.2%	137.90%	—	REF	.cs · cfg	—
hold overnight — TotalReturn-normalized (dividend-caveat quantifier)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	0.86	—	15.0%	28.3%	0.72	43.4%	137.90%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	0.67	-0.04→-0.89	11.4%	31.1%	0.53	27.8%	137.84%	—	REF	.cs · cfg	—
hold overnight — TotalReturn-normalized (dividend-caveat quantifier)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	0.66	—	10.8%	29.3%	0.53	28.1%	137.83%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	IWM	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	0.36	0.36→-0.56	7.5%	34.2%	0.32	6.4%	137.94%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	QQQ	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	0.19	0.19→-0.48	4.3%	29.7%	0.16	2.5%	137.92%	—	REF	.cs · cfg	—
hold overnight / flat intraday (buy MOC, sell MOO)	SPY	Minute (RTH 09:30-16:00; trades the open/close auctions)	2016-01-04→2021-12-31	IS	-0.04	-0.04→-0.89	0.8%	32.4%	-0.03	0.5%	137.83%	—	REF	.cs · cfg	—

H16 VIX-slope / VRP Regime-Gate Overlay on SPY H16

What it does. Overlay/timing signal on SPY: scale SPY exposure down (to 0 or 0.5) when the VIX term structure is in backwardation (slope=VIX/VIX3M>=1) and/or the variance risk premium (VIX^2 - realized var) is negative; full exposure otherwise. Compared to unconditional SPY buy & hold. Gates: slope, vrp, combo.
Thesis / edge. Bollerslev-Tauchen-Zhou (2009, RFS): the variance risk premium positively predicts aggregate market returns; VIX term-structure slope (VIX vs VIX3M) is a risk-on/off regime signal — contango=calm/risk-on, backwardation=stress/risk-off. Price-based term-structure regime signal (deliberately NOT sentiment; the F&G sentiment overlay HURT in iter-1). Overlay should improve SPY risk-adjusted return or cut drawdown.
Class H16VixRegimeAlgorithm (C#) · 20 backtests · best OOS Sharpe (excl. buy&hold): 0.24 · verdicts BENCHMARK:3 · FAIL:7 · REF:10

Pre-registered kill criteria: PASS iff the overlay improves SPY OOS Sharpe OR Calmar net of cost (materially cuts drawdown at <= small CAGR give-up) AND the signal shows POSITIVE OOS predictive value in the de-risking direction (backwardation/negative-VRP -> lower forward SPY return). KILL if the signal has no OOS predictive value in that direction, or the overlay does not beat unconditional SPY buy&hold OOS, or it is IS-only. McLean-Pontiff x0.74 discount applied.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
buyhold riskOff=0.0 thr=1.0 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.24	0.78→0.24	10.3%	25.5%	0.28	11.8%	0.06%	—	BENCHMARK	.cs · cfg	—
vrp riskOff=0.5 thr=1.0 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.15	0.67→0.15	8.3%	22.2%	0.17	8.9%	1.64%	—	FAIL	.cs · cfg	—
slope riskOff=0.0 thr=1.05 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.14	1.09→0.01	8.2%	25.5%	0.16	8.8%	1.04%	—	REF	.cs · cfg	—
slope riskOff=0.5 thr=1.0 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.13	0.98→0.13	8.0%	28.0%	0.15	8.7%	1.64%	—	FAIL	.cs · cfg	—
slope riskOff=0.0 thr=1.10 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.13	1.09→0.01	8.0%	25.5%	0.15	8.1%	0.43%	—	REF	.cs · cfg	—
slope riskOff=0.0 thr=0.95 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.12	1.09→0.01	7.7%	24.7%	0.12	11.2%	5.51%	—	REF	.cs · cfg	—
combo riskOff=0.5 thr=1.0 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.04	—→0.04	6.4%	24.6%	0.05	6.6%	3.16%	—	FAIL	.cs · cfg	—
vrp riskOff=0.0 thr=1.0 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.04	0.67→0.04	6.2%	19.1%	0.04	5.7%	3.22%	—	FAIL	.cs · cfg	—
slope riskOff=0.0 thr=1.0 0bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.01	1.09→0.01	5.7%	30.4%	0.01	5.1%	3.21%	—	REF	.cs · cfg	—
slope riskOff=0.0 thr=1.0 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.01	1.09→0.01	5.5%	30.5%	0.01	5.0%	3.21%	-0.05@10bps	FAIL	.cs · cfg	—
slope riskOff=0.0 thr=1.00 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	0.01	1.09→0.01	5.5%	30.5%	0.01	5.0%	3.21%	—	FAIL	.cs · cfg	—
slope riskOff=0.0 thr=1.0 2bps	SPY	Daily	2022-01-01→2026-06-30	OOS	-0.00	1.09→0.01	5.4%	30.6%	-0.00	4.8%	3.21%	—	REF	.cs · cfg	—
slope riskOff=0.0 thr=1.0 5bps	SPY	Daily	2022-01-01→2026-06-30	OOS	-0.02	1.09→0.01	5.0%	31.0%	-0.02	4.3%	3.21%	—	REF	.cs · cfg	—
slope riskOff=0.0 thr=1.0 10bps	SPY	Daily	2022-01-01→2026-06-30	OOS	-0.05	1.09→0.01	4.4%	31.5%	-0.06	3.7%	3.21%	—	REF	.cs · cfg	—
combo riskOff=0.0 thr=1.0 1bps	SPY	Daily	2022-01-01→2026-06-30	OOS	-0.20	—→-0.20	2.4%	23.9%	-0.21	2.1%	6.24%	—	FAIL	.cs · cfg	—
buyhold riskOff=0.0 thr=1.0 1bps	SPY	Daily	2016-01-01→2026-06-30	FULL	0.55	0.78→0.24	14.4%	33.8%	0.56	13.0%	0.03%	—	BENCHMARK	.cs · cfg	—
slope riskOff=0.0 thr=1.0 1bps	SPY	Daily	2016-01-01→2021-12-31	IS	1.09	1.09→0.01	17.3%	12.6%	1.07	68.2%	3.41%	—	REF	.cs · cfg	—
slope riskOff=0.5 thr=1.0 1bps	SPY	Daily	2016-01-01→2021-12-31	IS	0.98	0.98→0.13	17.4%	20.1%	0.98	55.1%	1.73%	—	REF	.cs · cfg	—
buyhold riskOff=0.0 thr=1.0 1bps	SPY	Daily	2016-01-01→2021-12-31	IS	0.78	0.78→0.24	17.3%	33.8%	0.72	31.2%	0.05%	—	BENCHMARK	.cs · cfg	—
vrp riskOff=0.0 thr=1.0 1bps	SPY	Daily	2016-01-01→2021-12-31	IS	0.67	0.67→0.04	13.3%	27.3%	0.55	24.4%	3.09%	—	REF	.cs · cfg	—

H17 Contrarian Buy-the-Stress (VRP / VIX mean-reversion) on SPY H17

What it does. Buy (or 1.5x overweight) SPY when a stress signal fires — negative VRP (VIX^2<realized var), VIX/VIX3M backwardation, VIX spike (>1.5x 1y median), or SPY drawdown>10% — and hold H in {5,10,20} days (refresh on re-trigger), else flat (timing) or 1.0x (overweight). Contrarian short-horizon mean-reversion / variance-risk-premium harvest.
Thesis / edge. H16 surfaced that VIX backwardation & negative VRP are followed by HIGHER forward SPY returns in 2016-2026 (stress precedes rebound; slope h20 OOS t+7). Literature: Bollerslev-Tauchen-Zhou (2009, RFS: VRP predicts market returns), Nagel (2012: short-horizon reversal spikes with VIX). Question: is 'buy the stress' a real, tradeable, TAIL-AWARE edge, or a mean-reversion signal that blows up in a genuine crash (2008 GFC)?
Class H17BuyStressAlgorithm (C#) · 130 backtests · best OOS Sharpe (excl. buy&hold): 0.28 · verdicts BENCHMARK:13 · FAIL:42 · REF:75

Pre-registered kill criteria: PASS iff, on the FRESH out-of-DISCOVERY window 2007-2015 (incl. surviving 2008 GFC without catastrophic drawdown), the strategy beats unconditional SPY buy&hold on BOTH Sharpe AND Calmar net of cost, on a parameter plateau, DSR-significant for N=24 trials, AND replicates in the confirmation window. WEAK-PASS if it improves return but with tail risk only a leveraged/hedged version could run. KILL if discovery-window-only, blows up in 2008, or doesn't beat buy&hold OOS. McLean-Pontiff x0.74 discount applied before believing any number.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
buyhold timing h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.28	—	6.3%	54.2%	0.29	1.1%	0.03%	—	BENCHMARK	.cs · cfg	—
slope overweight h20 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.28	0.56→0.28	6.7%	67.8%	0.27	0.9%	0.95%	0.28@5bps	FAIL	.cs · cfg	—
slope overweight h5 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.27	0.54→0.27	6.3%	64.2%	0.26	0.8%	1.43%	—	FAIL	.cs · cfg	—
vrp overweight h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.24	0.54→0.24	5.6%	65.6%	0.24	0.7%	1.08%	—	FAIL	.cs · cfg	—
drawdown overweight h20 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.24	0.53→0.24	5.5%	69.5%	0.24	0.7%	0.39%	—	FAIL	.cs · cfg	—
drawdown overweight h5 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.24	0.54→0.24	5.5%	69.0%	0.24	0.7%	0.51%	—	FAIL	.cs · cfg	—
slope overweight h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.24	0.57→0.24	5.4%	66.7%	0.24	0.6%	1.05%	—	FAIL	.cs · cfg	—
drawdown overweight h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.24	0.55→0.24	5.3%	69.5%	0.23	0.6%	0.45%	—	FAIL	.cs · cfg	—
vrp overweight h20 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.23	0.59→0.23	5.0%	66.0%	0.23	0.6%	0.97%	—	FAIL	.cs · cfg	—
vixspike overweight h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.23	0.57→0.23	5.0%	66.3%	0.22	0.6%	0.56%	—	FAIL	.cs · cfg	—
vixspike overweight h5 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.22	0.53→0.22	4.8%	65.8%	0.22	0.6%	0.75%	—	FAIL	.cs · cfg	—
vrp overweight h10 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.22	—	6.5%	66.0%	0.23	0.0%	0.89%	—	FAIL	.cs · cfg	—
vixspike overweight h20 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.21	0.56→0.21	4.3%	68.0%	0.20	0.5%	0.49%	—	FAIL	.cs · cfg	—
buyhold timing h10 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.21	—	6.0%	55.2%	0.23	0.0%	0.02%	—	BENCHMARK	.cs · cfg	—
vrp overweight h20 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.20	—	6.0%	66.9%	0.22	0.0%	0.79%	—	FAIL	.cs · cfg	—
vrp overweight h5 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.19	0.54→0.19	3.9%	66.7%	0.19	0.4%	1.39%	—	FAIL	.cs · cfg	—
vixspike overweight h10 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.19	—	5.6%	67.6%	0.20	0.0%	0.39%	—	FAIL	.cs · cfg	—
vixspike overweight h5 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.18	—	5.5%	67.1%	0.19	0.0%	0.50%	—	FAIL	.cs · cfg	—
vrp overweight h5 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.18	—	5.4%	67.0%	0.19	0.0%	1.10%	—	FAIL	.cs · cfg	—
drawdown overweight h20 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.18	—	5.2%	71.9%	0.19	0.0%	0.28%	—	FAIL	.cs · cfg	—
vixspike overweight h20 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.18	—	5.3%	69.4%	0.19	0.0%	0.32%	—	FAIL	.cs · cfg	—
drawdown overweight h10 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.18	—	5.2%	71.6%	0.19	0.0%	0.34%	—	FAIL	.cs · cfg	—
drawdown overweight h5 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	0.18	—	5.1%	70.9%	0.18	0.0%	0.36%	—	FAIL	.cs · cfg	—
slope timing h20 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.17	0.21→0.17	3.5%	45.6%	0.12	0.4%	1.53%	—	FAIL	.cs · cfg	—
slope timing h5 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.11	0.06→0.11	2.2%	39.4%	0.06	0.2%	2.58%	—	FAIL	.cs · cfg	—
drawdown timing h20 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.06	0.07→0.06	1.0%	51.3%	0.04	0.1%	0.41%	—	FAIL	.cs · cfg	—
drawdown timing h5 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.05	0.05→0.05	0.8%	50.6%	0.03	0.1%	0.68%	—	FAIL	.cs · cfg	—
slope timing h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.05	0.18→0.05	0.8%	41.4%	0.03	0.1%	1.76%	—	FAIL	.cs · cfg	—
drawdown timing h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.04	0.10→0.04	0.6%	51.3%	0.03	0.1%	0.54%	—	FAIL	.cs · cfg	—
vrp timing h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.02	0.08→0.02	0.6%	45.0%	0.01	0.1%	1.87%	—	FAIL	.cs · cfg	—
vrp timing h20 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	0.00	0.28→0.00	-0.1%	46.3%	0.00	0.1%	1.59%	—	FAIL	.cs · cfg	—
vixspike timing h10 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	-0.01	0.18→-0.01	-0.2%	45.6%	-0.00	0.1%	0.82%	—	FAIL	.cs · cfg	—
vrp timing h10 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.01	—	2.2%	44.9%	-0.01	0.0%	1.60%	—	FAIL	.cs · cfg	—
vrp timing h20 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.03	—	1.6%	46.2%	-0.02	0.0%	1.35%	—	FAIL	.cs · cfg	—
vixspike timing h5 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	-0.04	0.05→-0.04	-0.8%	45.5%	-0.02	0.0%	1.22%	—	FAIL	.cs · cfg	—
vixspike timing h20 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	-0.07	0.18→-0.07	-1.5%	47.2%	-0.04	0.0%	0.65%	—	FAIL	.cs · cfg	—
drawdown timing h20 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.09	—	0.3%	64.3%	-0.06	0.0%	0.30%	—	FAIL	.cs · cfg	—
drawdown timing h10 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.10	—	0.1%	63.2%	-0.07	0.0%	0.43%	—	FAIL	.cs · cfg	—
drawdown timing h5 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.11	—	-0.0%	62.5%	-0.07	0.0%	0.49%	—	FAIL	.cs · cfg	—
vixspike timing h10 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.12	—	0.5%	45.5%	-0.06	0.0%	0.61%	—	FAIL	.cs · cfg	—
vixspike timing h20 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.15	—	-0.1%	48.5%	-0.07	0.0%	0.44%	—	FAIL	.cs · cfg	—
vixspike timing h5 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.16	—	-0.0%	45.6%	-0.07	0.0%	0.85%	—	FAIL	.cs · cfg	—
vrp timing h5 1bps [ext]	SPY	Daily	1998-01-02→2015-12-31	OOS	-0.18	—	-0.1%	49.0%	-0.09	0.0%	2.06%	—	FAIL	.cs · cfg	—
vrp timing h5 1bps [fresh]	SPY	Daily	2007-12-04→2015-12-31	OOS	-0.18	-0.03→-0.18	-2.9%	49.0%	-0.09	0.0%	2.55%	—	FAIL	.cs · cfg	—
fold: slope timing h20 1bps [fold_f1213_tm_h20]	SPY	Daily	2012-01-01→2013-12-31	FULL	2.25	—	15.4%	2.1%	1.61	99.5%	1.37%	—	REF	.cs · cfg	—
fold: slope overweight h20 1bps [fold_f1213_ow_h20]	SPY	Daily	2012-01-01→2013-12-31	FULL	1.90	—	31.9%	9.6%	2.48	91.2%	0.84%	—	REF	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_f1213_buyhold]	SPY	Daily	2012-01-01→2013-12-31	FULL	1.52	—	22.9%	9.6%	1.88	79.2%	0.14%	—	BENCHMARK	.cs · cfg	—
fold: slope overweight h20 1bps [fold_f1617_ow_h20]	SPY	Daily	2016-01-01→2017-12-31	FULL	1.28	—	22.0%	12.2%	1.27	68.9%	0.72%	—	REF	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_f1617_buyhold]	SPY	Daily	2016-01-01→2017-12-31	FULL	1.27	—	17.5%	9.2%	1.31	71.6%	0.14%	—	BENCHMARK	.cs · cfg	—
fold: slope timing h20 1bps [fold_f1415_tm_h20]	SPY	Daily	2014-01-01→2015-12-31	FULL	1.14	—	15.0%	9.1%	0.88	61.2%	2.06%	—	REF	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_covid2021_buyhold]	SPY	Daily	2020-01-01→2021-12-31	FULL	0.86	—	23.0%	33.5%	0.79	37.6%	0.14%	—	BENCHMARK	.cs · cfg	—
fold: slope overweight h20 1bps [fold_f2426_ow_h20]	SPY	Daily	2024-01-01→2026-06-30	FULL	0.77	—	25.9%	25.4%	0.81	49.2%	0.95%	—	REF	.cs · cfg	—
fold: slope timing h20 1bps [fold_f1617_tm_h20]	SPY	Daily	2016-01-01→2017-12-31	FULL	0.73	—	8.4%	6.3%	0.37	43.9%	1.10%	—	REF	.cs · cfg	—
fold: slope overweight h20 1bps [fold_covid2021_ow_h20]	SPY	Daily	2020-01-01→2021-12-31	FULL	0.73	—	24.4%	46.6%	0.64	29.3%	0.99%	—	REF	.cs · cfg	—
fold: slope overweight h20 1bps [fold_f1415_ow_h20]	SPY	Daily	2014-01-01→2015-12-31	FULL	0.71	—	14.8%	16.0%	0.79	31.8%	1.24%	—	REF	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_f2426_buyhold]	SPY	Daily	2024-01-01→2026-06-30	FULL	0.69	—	20.2%	18.9%	0.74	52.5%	0.11%	—	BENCHMARK	.cs · cfg	—
vrp overweight h20 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.59	—	18.0%	43.5%	0.58	11.7%	0.78%	—	REF	.cs · cfg	—
vixspike overweight h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.57	—	17.2%	45.4%	0.55	10.3%	0.69%	—	REF	.cs · cfg	—
slope overweight h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.57	—	17.1%	45.4%	0.55	10.3%	0.90%	—	REF	.cs · cfg	—
slope overweight h20 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.56	—	17.4%	46.6%	0.55	9.7%	0.70%	—	REF	.cs · cfg	—
vixspike overweight h20 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.56	—	17.1%	45.4%	0.54	9.4%	0.58%	—	REF	.cs · cfg	—
buyhold timing h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.55	—	14.4%	33.8%	0.56	13.0%	0.03%	—	BENCHMARK	.cs · cfg	—
drawdown overweight h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.55	—	16.6%	42.1%	0.54	9.2%	0.38%	—	REF	.cs · cfg	—
vrp overweight h5 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.54	—	15.7%	42.2%	0.53	9.6%	1.01%	—	REF	.cs · cfg	—
vrp overweight h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.54	—	16.3%	44.1%	0.53	8.9%	0.85%	—	REF	.cs · cfg	—
slope overweight h5 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.54	—	16.2%	45.4%	0.52	8.8%	0.99%	—	REF	.cs · cfg	—
drawdown overweight h5 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.54	—	16.1%	42.1%	0.52	8.5%	0.43%	—	REF	.cs · cfg	—
vixspike overweight h5 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.53	—	16.1%	45.4%	0.51	8.4%	0.74%	—	REF	.cs · cfg	—
drawdown overweight h20 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.53	—	16.2%	42.1%	0.51	8.1%	0.30%	—	REF	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_f1819_buyhold]	SPY	Daily	2018-01-01→2019-12-31	FULL	0.49	—	11.4%	19.3%	0.49	29.1%	0.14%	—	BENCHMARK	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_f1415_buyhold]	SPY	Daily	2014-01-01→2015-12-31	FULL	0.46	—	7.6%	11.9%	0.51	20.3%	0.14%	—	BENCHMARK	.cs · cfg	—
fold: slope overweight h20 1bps [fold_f1819_ow_h20]	SPY	Daily	2018-01-01→2019-12-31	FULL	0.45	—	12.8%	25.9%	0.43	23.6%	0.77%	—	REF	.cs · cfg	—
buyhold timing h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.41	—	10.8%	54.2%	0.42	0.6%	0.01%	—	BENCHMARK	.cs · cfg	—
slope overweight h20 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.41	—	12.4%	67.8%	0.40	0.3%	0.79%	—	REF	.cs · cfg	—
vrp overweight h20 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.40	—	11.9%	66.0%	0.39	0.3%	0.84%	—	REF	.cs · cfg	—
slope overweight h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.40	—	11.8%	66.7%	0.38	0.3%	0.95%	—	REF	.cs · cfg	—
slope overweight h5 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.40	—	11.7%	64.2%	0.38	0.3%	1.17%	—	REF	.cs · cfg	—
vixspike overweight h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.40	—	11.7%	66.3%	0.38	0.3%	0.62%	—	REF	.cs · cfg	—
drawdown overweight h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.39	—	11.5%	69.5%	0.38	0.2%	0.39%	—	REF	.cs · cfg	—
vrp overweight h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.38	—	11.2%	65.6%	0.37	0.2%	0.94%	—	REF	.cs · cfg	—
drawdown overweight h5 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.38	—	11.3%	69.0%	0.37	0.2%	0.44%	—	REF	.cs · cfg	—
drawdown overweight h20 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.38	—	11.4%	69.5%	0.37	0.2%	0.33%	—	REF	.cs · cfg	—
vixspike overweight h20 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.38	—	11.1%	68.0%	0.36	0.2%	0.52%	—	REF	.cs · cfg	—
vixspike overweight h5 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.37	—	11.0%	65.8%	0.36	0.2%	0.73%	—	REF	.cs · cfg	—
random: random timing h20 1bps [rand_tm_s2]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.36	—	8.2%	51.8%	0.36	2.0%	1.32%	—	REF	.cs · cfg	—
vrp overweight h5 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.35	—	10.2%	66.7%	0.34	0.2%	1.16%	—	REF	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_f1011_buyhold]	SPY	Daily	2010-01-01→2011-12-31	FULL	0.34	—	7.4%	18.6%	0.37	14.5%	0.14%	—	BENCHMARK	.cs · cfg	—
cost: slope overweight h20 0bps [cost_ow_h20_c0]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.28	—	6.7%	67.8%	0.27	0.9%	0.95%	—	REF	.cs · cfg	—
cost: slope overweight h20 2bps [cost_ow_h20_c2]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.28	—	6.7%	67.7%	0.27	0.9%	0.95%	—	REF	.cs · cfg	—
vrp timing h20 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.28	—	7.7%	27.9%	0.17	3.0%	1.35%	—	REF	.cs · cfg	—
cost: slope overweight h20 5bps [cost_ow_h20_c5]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.28	—	6.6%	67.8%	0.27	0.8%	0.95%	—	REF	.cs · cfg	—
fold: slope overweight h20 1bps [fold_f1011_ow_h20]	SPY	Daily	2010-01-01→2011-12-31	FULL	0.27	—	6.2%	27.0%	0.27	11.6%	1.13%	—	REF	.cs · cfg	—
fold: slope timing h20 1bps [fold_covid2021_tm_h20]	SPY	Daily	2020-01-01→2021-12-31	FULL	0.26	—	5.0%	33.9%	0.15	11.2%	1.37%	—	REF	.cs · cfg	—
fold: slope timing h20 1bps [fold_f2426_tm_h20]	SPY	Daily	2024-01-01→2026-06-30	FULL	0.24	—	11.0%	14.7%	0.16	30.1%	1.53%	—	REF	.cs · cfg	—
slope timing h20 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.21	—	6.6%	33.8%	0.12	1.4%	1.20%	—	REF	.cs · cfg	—
random: random timing h20 1bps [rand_tm_s1]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.20	—	4.2%	53.4%	0.20	0.5%	1.25%	—	REF	.cs · cfg	—
vixspike timing h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.18	—	6.1%	33.1%	0.09	1.4%	1.20%	—	REF	.cs · cfg	—
vixspike timing h20 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.18	—	6.2%	31.5%	0.10	1.2%	0.94%	—	REF	.cs · cfg	—
random: random timing h20 1bps [rand_tm_s3]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.18	—	3.7%	58.6%	0.18	0.4%	1.05%	—	REF	.cs · cfg	—
slope timing h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.18	—	6.0%	31.1%	0.09	1.4%	1.62%	—	REF	.cs · cfg	—
cost: slope timing h20 0bps [cost_tm_h20_c0]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.18	—	3.6%	45.6%	0.12	0.4%	1.53%	—	REF	.cs · cfg	—
slope timing h20 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.18	—	5.0%	45.6%	0.11	0.0%	1.33%	—	REF	.cs · cfg	—
cost: slope timing h20 2bps [cost_tm_h20_c2]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.17	—	3.5%	45.7%	0.12	0.4%	1.53%	—	REF	.cs · cfg	—
cost: slope timing h20 5bps [cost_tm_h20_c5]	SPY	Daily	2007-12-04→2015-12-31	FULL	0.16	—	3.3%	45.7%	0.11	0.4%	1.53%	—	REF	.cs · cfg	—
vrp timing h20 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.12	—	3.9%	46.3%	0.08	0.0%	1.44%	—	REF	.cs · cfg	—
slope timing h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.11	—	3.7%	41.4%	0.06	0.0%	1.68%	—	REF	.cs · cfg	—
drawdown timing h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.10	—	4.8%	28.4%	0.05	0.6%	0.57%	—	REF	.cs · cfg	—
vixspike timing h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.09	—	3.3%	45.6%	0.04	0.0%	1.03%	—	REF	.cs · cfg	—
slope timing h5 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.09	—	3.3%	39.4%	0.04	0.0%	2.15%	—	REF	.cs · cfg	—
vrp timing h10 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.08	—	4.5%	28.0%	0.04	0.5%	1.51%	—	REF	.cs · cfg	—
drawdown timing h20 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.07	—	4.3%	28.3%	0.04	0.4%	0.42%	—	REF	.cs · cfg	—
drawdown timing h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.07	—	3.0%	51.3%	0.04	0.0%	0.56%	—	REF	.cs · cfg	—
drawdown timing h20 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.07	—	2.9%	51.3%	0.04	0.0%	0.41%	—	REF	.cs · cfg	—
slope timing h5 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.06	—	4.2%	31.5%	0.03	0.4%	1.82%	—	REF	.cs · cfg	—
drawdown timing h5 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.05	—	4.0%	28.3%	0.02	0.4%	0.68%	—	REF	.cs · cfg	—
vixspike timing h5 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	0.05	—	4.0%	32.6%	0.02	0.4%	1.30%	—	REF	.cs · cfg	—
drawdown timing h5 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.05	—	2.6%	50.6%	0.03	0.0%	0.68%	—	REF	.cs · cfg	—
vixspike timing h20 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.04	—	2.5%	47.2%	0.03	0.0%	0.80%	—	REF	.cs · cfg	—
fold: slope timing h20 1bps [fold_f1819_tm_h20]	SPY	Daily	2018-01-01→2019-12-31	FULL	0.04	—	3.6%	17.8%	0.03	11.2%	1.10%	—	REF	.cs · cfg	—
fold: slope timing h20 1bps [fold_f1011_tm_h20]	SPY	Daily	2010-01-01→2011-12-31	FULL	0.03	—	0.2%	18.1%	0.03	6.0%	1.65%	—	REF	.cs · cfg	—
vrp timing h10 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.03	—	2.4%	45.0%	0.02	0.0%	1.68%	—	REF	.cs · cfg	—
vixspike timing h5 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	0.00	—	1.9%	45.5%	0.00	0.0%	1.27%	—	REF	.cs · cfg	—
fold: slope timing h20 1bps [fold_f2223_tm_h20]	SPY	Daily	2022-01-01→2023-12-31	FULL	-0.00	—	4.2%	9.7%	-0.00	12.4%	0.83%	—	REF	.cs · cfg	—
vrp timing h5 1bps [conf]	SPY	Daily	2016-01-01→2026-06-30	FULL	-0.03	—	3.2%	22.9%	-0.01	0.3%	1.87%	—	REF	.cs · cfg	—
fold: slope overweight h20 1bps [fold_f2223_ow_h20]	SPY	Daily	2022-01-01→2023-12-31	FULL	-0.03	—	1.2%	26.8%	-0.04	7.2%	0.61%	—	REF	.cs · cfg	—
vrp timing h5 1bps [full]	SPY	Daily	2007-12-04→2026-06-30	FULL	-0.13	—	0.2%	49.0%	-0.06	0.0%	2.18%	—	REF	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_f2223_buyhold]	SPY	Daily	2022-01-01→2023-12-31	FULL	-0.15	—	-0.4%	25.5%	-0.19	5.6%	0.14%	—	BENCHMARK	.cs · cfg	—
fold: buyhold buyhold h20 1bps [fold_gfc0809_buyhold]	SPY	Daily	2007-12-04→2009-12-31	FULL	-0.20	—	-10.6%	54.2%	-0.22	2.4%	0.13%	—	BENCHMARK	.cs · cfg	—
fold: slope overweight h20 1bps [fold_gfc0809_ow_h20]	SPY	Daily	2007-12-04→2009-12-31	FULL	-0.21	—	-19.4%	67.8%	-0.23	2.0%	1.01%	—	REF	.cs · cfg	—
fold: slope timing h20 1bps [fold_gfc0809_tm_h20]	SPY	Daily	2007-12-04→2009-12-31	FULL	-0.30	—	-13.0%	45.6%	-0.27	1.5%	1.05%	—	REF	.cs · cfg	—

H18 — Curated cross-asset trend book (asset-class bucket equal-risk) H18

What it does. Param-averaged {63/126/189/252} long/flat trend, vol-targeted per leg, weighted EQUAL-RISK PER ASSET-CLASS BUCKET across ~11 low-correlation buckets.
Thesis / edge. MOP2012/HOP2017: time-series momentum's Sharpe comes from spanning genuinely low-correlation asset classes. Bucket-equal-risk weighting (vs H11 per-instrument) prevents cluster domination and maximizes effective breadth.
Class H11CrossAssetTrendAlgorithm (C#) · 8 backtests · best OOS Sharpe (excl. buy&hold): 0.75 · verdicts BENCHMARK:1 · KILL:1 · REF:6

Pre-registered kill criteria: n/a

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
single_BTC_raw252_incumbent	BTCUSD	Daily	2021-01-01→2026-06-30	OOS	0.75	—→0.75	13.8%	18.7%	0.97	44.2%	0.13%	—	REF	.cs · cfg	view · gh
matched_vol_lev	SPY,EFA,EEM,TLT,IEF…	Daily	2021-01-01→2026-06-30	OOS	0.61	—→0.61	26.5%	50.3%	0.76	15.7%	3.06%	—	REF	.cs · cfg	view · gh
curated_book_11buckets	SPY,EFA,EEM,TLT,IEF…	Daily	2021-01-01→2026-06-30	OOS	0.31	-0.11→0.31	10.0%	22.1%	0.37	12.8%	1.84%	0.29@100bps	KILL	.cs · cfg	view · gh
book_minus_crypto	SPY,EFA,EEM,TLT,IEF…	Daily	2021-01-01→2026-06-30	OOS	0.16	—→0.16	7.3%	22.5%	0.18	7.0%	1.93%	—	REF	.cs · cfg	view · gh
H11_22ETF_book	SPY,QQQ,IWM,DIA,XLK…	Daily	2021-01-01→2026-06-30	OOS	0.11	—→0.11	6.4%	21.8%	0.10	5.3%	1.15%	—	REF	.cs · cfg	view · gh
equal_weight_buyhold	SPY,EFA,EEM,TLT,IEF…	Daily	2021-01-01→2026-06-30	OOS	0.11	—→0.11	6.3%	28.0%	0.15	3.9%	0.05%	—	BENCHMARK	.cs · cfg	view · gh
curated_book_11buckets	SPY,EFA,EEM,TLT,IEF…	Daily	2017-06-01→2026-06-30	FULL	0.20	—→0.20	7.2%	40.0%	0.23	1.5%	1.90%	—	REF	.cs · cfg	view · gh
curated_book_11buckets	SPY,EFA,EEM,TLT,IEF…	Daily	2017-06-01→2020-12-31	IS	-0.11	-0.11→0.31	-0.8%	40.0%	-0.09	1.4%	2.28%	—	REF	.cs · cfg	view · gh

H19 BTC Trend + Perp-Funding Crash-Exit Overlay H19

What it does. Cut-only overlay on the H1 252d BTC trend: scales the trend target by lambda (never shorts) when the BTC perpetual funding rate is extreme (rolling z-score > threshold, or a level threshold); restores when funding normalizes. Fork of H1TrendBubbleOverlayAlgorithm.
Thesis / edge. Extreme positive funding = crowded leveraged longs paying to hold = euphoria that may LEAD spot stress, so funding (a forward, non-price positioning signal) could de-risk BEFORE the trend's lagging 252d exit and cut the residual ~32% OOS crash drawdown the price-based overlay couldn't.
Class H19FundingOverlayAlgorithm (C#) · 13 backtests · best OOS Sharpe (excl. buy&hold): 1.00 · verdicts BENCHMARK:1 · FAIL:11 · REF:1

Pre-registered kill criteria: Pre-registered VERDICT: PASS if OOS Calmar/maxDD beats BOTH raw trend (Calmar 1.039) AND the price-trailing-stop (best 0.966) at <= small CAGR give-up, the de-risk is FORWARD (LEADS the 2022 crash), the DD-reduction sits in the random-timer tail, on a plateau. KILL if it only matches raw trend, de-risks coincidentally (not forward), costs more CAGR than DD saved, or is IS-only.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
ctrl(never-cut)=rawtrend	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.00	—→1.00	33.4%	32.1%	1.29	43.6%	0.24%	—	REF	.cs · cfg	—
lvl>0.0015 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.95	—→0.95	31.2%	32.1%	1.24	41.6%	0.41%	—	FAIL	.cs · cfg	—
lvl>0.0010 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.91	—→0.91	29.4%	32.0%	1.17	39.2%	0.67%	—	FAIL	.cs · cfg	—
z60 thr2.0 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.67	—→0.67	20.7%	32.0%	0.83	25.7%	0.91%	—	FAIL	.cs · cfg	—
z60 thr1.5 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.59	—→0.59	18.0%	29.5%	0.72	22.0%	1.28%	—	FAIL	.cs · cfg	—
z60 thr2.0 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.52	—→0.52	15.6%	32.0%	0.63	18.5%	1.17%	—	FAIL	.cs · cfg	—
z90 thr1.5 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.49	—→0.49	14.5%	32.0%	0.58	17.2%	1.09%	—	FAIL	.cs · cfg	—
z30 thr1.5 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.48	—→0.48	14.1%	27.3%	0.56	17.3%	2.20%	—	FAIL	.cs · cfg	—
z60 thr1.5 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.41	—→0.41	11.8%	28.8%	0.48	13.9%	1.68%	—	FAIL	.cs · cfg	—
z60 thr2.0 lam0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.29	—→0.29	8.1%	35.2%	0.34	9.8%	1.58%	—	FAIL	.cs · cfg	—
BTCUSD buy&hold	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.29	—→0.29	4.6%	67.0%	0.41	8.2%	0.06%	—	BENCHMARK	.cs · cfg	—
z60 thr1.5 lam0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.26	—→0.26	7.1%	38.5%	0.29	8.9%	2.31%	—	FAIL	.cs · cfg	—
z60 thr1.5 lam0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.12	—→0.12	2.7%	40.9%	0.14	5.5%	2.31%	—	FAIL	.cs · cfg	—

H1 Trend + Bubble Crash-Exit Overlay H1-bubble

What it does. Cut-only crash-hazard overlay on the H1 252d BTC trend: multiplies the trend target by lambda (never shorts) when an in-algo Layer-C burst trigger fires (drawdown-outlier / trailing stop / parabola-crack). Fork of H1TrendTsmomAlgorithm.
Thesis / edge. The 252d trend lags the first leg of a crash (Daniel-Moskowitz momentum crash); a surgical crash-exit at detected parabolic tops should cut the ~32% OOS first-leg drawdown WITHOUT the chronic CAGR give-up of vol-targeting. Step-1 tests whether the CHEAP in-algo trigger (no LPPLS/GSADF) beats raw trend before investing in econophysics.
Class H1TrendBubbleOverlayAlgorithm (C#) · 61 backtests · best OOS Sharpe (excl. buy&hold): 1.00 · verdicts FAIL:31 · REF:30

Pre-registered kill criteria: Pre-registered DECISION GATE (Step-1 Layer-C cheap-stop ablation): PASS requires OOS Calmar strictly > max(raw-trend 1.039, vol-target 0.742, best plain trailing stop) AND maxDD ~15-22% AND CAGR give-up <~15% (CAGR >=~28%) AND OOS Sharpe >=~1.0, on a parameter plateau (not a lone cell). KILL if it helps IS only, is beaten by a plain trailing stop or by raw trend on OOS Calmar, costs more CAGR than DD it saves, or the OOS win rides on one event with no plateau. If NO cheap variant clears the gate, the residual crash-DD is not cheaply harvestable -> do NOT build LPPLS/GSADF (Step 2).

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
ctrl(never-cut)=rawtrend	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.00	—→1.00	33.4%	32.1%	1.29	43.6%	0.24%	—	REF	.cs · cfg	view · gh
accel lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.98	1.48→0.98	32.1%	32.0%	1.26	43.1%	0.48%	—	FAIL	.cs · cfg	—
accel lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.95	1.48→0.95	30.9%	32.0%	1.21	41.1%	0.48%	—	FAIL	.cs · cfg	view · gh
accel lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.92	1.48→0.92	29.9%	33.5%	1.17	39.8%	0.58%	—	FAIL	.cs · cfg	—
accel lam0.0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.88	1.42→0.88	28.4%	36.4%	1.10	37.4%	0.73%	—	FAIL	.cs · cfg	—
trail th0.25 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.69	1.46→0.69	20.4%	32.0%	0.83	28.9%	0.30%	—	FAIL	.cs · cfg	—
trail th0.25 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.67	1.46→0.67	19.7%	32.3%	0.80	27.6%	0.30%	—	FAIL	.cs · cfg	—
dd th0.25 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.62	1.55→0.62	18.2%	32.0%	0.74	25.1%	0.42%	—	FAIL	.cs · cfg	—
either th0.15 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.59	1.74→0.59	16.3%	32.5%	0.72	25.7%	0.73%	—	FAIL	.cs · cfg	—
dd th0.25 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.59	1.55→0.59	17.3%	32.5%	0.70	23.5%	0.42%	—	FAIL	.cs · cfg	—
dd th0.15 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.56	1.69→0.56	15.6%	35.1%	0.66	23.4%	0.61%	—	FAIL	.cs · cfg	—
trail th0.20 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.54	1.46→0.55	15.7%	41.2%	0.65	21.7%	0.43%	—	FAIL	.cs · cfg	—
dd th0.12 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.51	1.68→0.51	14.0%	30.7%	0.61	21.2%	0.79%	—	FAIL	.cs · cfg	—
dd th0.20 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.50	1.59→0.50	14.3%	37.4%	0.60	20.0%	0.61%	—	FAIL	.cs · cfg	—
either th0.20 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.50	1.70→0.50	14.1%	37.5%	0.60	20.4%	0.79%	—	FAIL	.cs · cfg	—
trail th0.25 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.49	1.44→0.49	14.2%	34.7%	0.56	19.2%	0.33%	—	FAIL	.cs · cfg	—
trail th0.15 lam0.5	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.49	1.65→0.49	13.8%	42.5%	0.57	19.4%	0.54%	—	FAIL	.cs · cfg	—
dd th0.25 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.38	1.56→0.38	10.9%	35.0%	0.43	14.2%	0.49%	—	FAIL	.cs · cfg	—
either th0.15 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.34	1.84→0.34	9.7%	35.1%	0.38	14.8%	0.93%	—	FAIL	.cs · cfg	—
trail th0.20 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.30	1.45→0.30	8.8%	46.5%	0.34	11.7%	0.50%	—	FAIL	.cs · cfg	—
dd th0.15 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.30	1.77→0.30	8.6%	38.7%	0.32	12.6%	0.75%	—	FAIL	.cs · cfg	view · gh
dd th0.20 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.23	1.62→0.23	7.0%	42.7%	0.26	9.7%	0.75%	—	FAIL	.cs · cfg	—
either th0.20 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.22	1.79→0.22	6.7%	42.7%	0.24	9.6%	1.01%	—	FAIL	.cs · cfg	—
dd th0.12 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.21	1.75→0.21	6.5%	32.7%	0.23	9.7%	1.01%	—	FAIL	.cs · cfg	—
trail th0.25 lam0.0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.20	1.33→0.20	5.9%	38.4%	0.19	8.1%	0.36%	—	FAIL	.cs · cfg	—
trail th0.15 lam0.3	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.20	1.71→0.20	6.2%	48.2%	0.21	8.8%	0.67%	—	FAIL	.cs · cfg	—
dd th0.25 lam0.0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.04	1.49→0.04	1.5%	40.8%	0.03	4.3%	0.61%	—	FAIL	.cs · cfg	—
trail th0.20 lam0.0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	-0.10	1.32→-0.10	-1.4%	53.9%	-0.09	2.5%	0.61%	—	FAIL	.cs · cfg	—
dd th0.15 lam0.0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	-0.16	1.75→-0.16	-1.5%	46.6%	-0.12	2.1%	0.97%	—	FAIL	.cs · cfg	—
dd th0.20 lam0.0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	-0.22	1.56→-0.21	-3.7%	51.4%	-0.18	1.5%	0.97%	—	FAIL	.cs · cfg	—
trail th0.15 lam0.0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	-0.28	1.67→-0.28	-4.8%	57.4%	-0.22	1.1%	0.85%	—	FAIL	.cs · cfg	—
dd th0.12 lam0.0	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	-0.33	1.70→-0.33	-4.3%	39.9%	-0.24	1.0%	1.34%	—	FAIL	.cs · cfg	—
either th0.15 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.84	1.84→0.34	53.2%	34.9%	1.51	89.8%	0.80%	—	REF	.cs · cfg	—
either th0.20 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.79	1.79→0.22	52.6%	44.7%	1.46	87.6%	0.92%	—	REF	.cs · cfg	—
dd th0.15 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.77	1.77→0.30	51.5%	34.9%	1.44	87.1%	0.74%	—	REF	.cs · cfg	—
dd th0.12 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.75	1.75→0.21	49.1%	34.8%	1.42	87.4%	0.80%	—	REF	.cs · cfg	—
dd th0.15 lam0.0	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.75	1.75→-0.16	48.7%	36.8%	1.02	87.4%	1.02%	—	REF	.cs · cfg	—
either th0.15 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.74	1.74→0.59	53.5%	46.8%	1.47	84.1%	0.60%	—	REF	.cs · cfg	—
trail th0.15 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.71	1.71→0.20	51.0%	39.3%	1.37	84.0%	0.56%	—	REF	.cs · cfg	—
dd th0.12 lam0.0	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.70	1.70→-0.33	45.2%	31.9%	0.91	86.8%	1.10%	—	REF	.cs · cfg	—
either th0.20 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.70	1.70→0.50	53.0%	52.9%	1.43	82.0%	0.69%	—	REF	.cs · cfg	—
dd th0.15 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.69	1.69→0.56	52.3%	46.8%	1.42	81.8%	0.56%	—	REF	.cs · cfg	—
dd th0.12 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.68	1.68→0.51	51.0%	46.8%	1.42	82.4%	0.60%	—	REF	.cs · cfg	—
trail th0.15 lam0.0	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.67	1.67→-0.28	47.9%	44.0%	1.02	83.3%	0.76%	—	REF	.cs · cfg	—
trail th0.15 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.65	1.65→0.49	52.0%	46.8%	1.38	79.5%	0.43%	—	REF	.cs · cfg	—
dd th0.20 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.62	1.62→0.23	48.9%	44.7%	1.30	79.5%	0.68%	—	REF	.cs · cfg	—
dd th0.20 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.59	1.59→0.50	50.4%	52.9%	1.32	75.9%	0.51%	—	REF	.cs · cfg	—
dd th0.25 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.56	1.56→0.38	49.4%	43.8%	1.20	74.2%	0.44%	—	REF	.cs · cfg	—
dd th0.20 lam0.0	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.56	1.56→-0.21	45.2%	36.5%	0.97	77.3%	0.93%	—	REF	.cs · cfg	—
dd th0.25 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.55	1.55→0.59	50.8%	52.4%	1.24	72.1%	0.34%	—	REF	.cs · cfg	—
dd th0.25 lam0.0	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.49	1.49→0.04	45.9%	34.9%	0.93	71.1%	0.59%	—	REF	.cs · cfg	—
accel lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.48	1.48→0.95	49.5%	64.3%	1.24	67.8%	0.59%	—	REF	.cs · cfg	—
accel lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.48	1.48→0.92	48.0%	62.1%	1.21	68.5%	0.79%	—	REF	.cs · cfg	—
trail th0.20 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.46	1.46→0.55	46.6%	59.4%	1.16	68.1%	0.43%	—	REF	.cs · cfg	—
trail th0.25 lam0.5	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.46	1.46→0.67	47.8%	58.1%	1.14	66.7%	0.34%	—	REF	.cs · cfg	—
trail th0.20 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.45	1.45→0.30	44.1%	54.1%	1.09	68.9%	0.56%	—	REF	.cs · cfg	—
trail th0.25 lam0.3	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.44	1.44→0.49	45.8%	52.0%	1.07	67.1%	0.44%	—	REF	.cs · cfg	—
ctrl(never-cut)=rawtrend	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.43	—→1.00	52.4%	70.1%	1.18	59.8%	0.08%	—	REF	.cs · cfg	—
accel lam0.0	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.42	1.42→0.88	45.5%	59.1%	1.06	65.9%	1.10%	—	REF	.cs · cfg	—
trail th0.25 lam0.0	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.33	1.33→0.20	40.9%	45.1%	0.82	60.6%	0.59%	—	REF	.cs · cfg	—
trail th0.20 lam0.0	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.32	1.32→-0.10	38.7%	48.7%	0.79	61.5%	0.76%	—	REF	.cs · cfg	—

H1 Trend — Diversified Crypto H1

What it does. Multi-crypto equal-weight (1/N) time-series-momentum sleeves (per-asset 252d trailing-return sign, long/flat) with an optional crypto Fear & Greed overlay; Coinbase daily.
Thesis / edge. De-risk the single-BTC H1 trend PASS (OOS Sharpe 1.00 but only ~2 effective round-trips / PSR 43.6%) by holding N crypto trend sleeves to raise the number of independent bets. Tests (a) whether trend generalizes across cryptos and (b) whether a Fear & Greed overlay (edge E11) improves risk-adjusted return. Trend (E1) is the literature's least-decayed edge and is strongest in Bitcoin (Liu-Tsyvinski).
Class H1TrendPortfolioAlgorithm (C#) · 81 backtests · best OOS Sharpe (excl. buy&hold): 1.31 · verdicts BENCHMARK:10 · FAIL:2 · MIXED:6 · PASS:2 · REF:61

Pre-registered kill criteria: F&G overlay verdict = IMPROVES/NEUTRAL/HURTS vs the no-overlay baseline (Sharpe & DD). Literature (E11) expects a weak/null effect; a null result is an accepted finding.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
perasset_DOGEUSD_trend	DOGEUSD	Daily	2024-01-01→2026-07-01	OOS	1.31	-0.04→1.31	53.4%	69.5%	1.78	45.3%	0.22%	—	PASS	.cs · cfg	—
fg_BTC_oos_none	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.00	—	33.3%	32.1%	1.29	43.6%	0.24%	—	REF	.cs · cfg	—
perasset_BTCUSD_trend	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.00	1.44→1.00	33.3%	32.1%	1.29	43.6%	0.24%	—	PASS	.cs · cfg	—
fg_BTC_oos_risk_off_greed	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.84	—	27.3%	32.0%	1.08	34.9%	1.58%	—	REF	.cs · cfg	—
port_top3_oos_cost0bps	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.59	—	18.0%	33.1%	0.74	22.7%	0.53%	0.56@50bps	REF	.cs · cfg	—
port_top3_oos_cost10bps	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.59	—	17.8%	33.2%	0.73	22.3%	0.53%	0.56@50bps	REF	.cs · cfg	—
port_top3_oos_cost25bps	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.58	—	17.4%	33.3%	0.72	21.8%	0.53%	0.56@50bps	REF	.cs · cfg	—
fg_top3_oos_none	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.56	—	16.8%	33.4%	0.70	20.9%	0.53%	—	REF	.cs · cfg	—
port_top3_oos_cost50bps	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.56	—	16.8%	33.4%	0.70	20.9%	0.53%	0.56@50bps	REF	.cs · cfg	—
port_top3_trend	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.56	1.19→0.56	16.8%	33.4%	0.70	20.9%	0.53%	—	MIXED	.cs · cfg	—
port_top5_trend	BTCUSD,ETHUSD,XRPUS…	Daily	2024-01-01→2026-07-01	OOS	0.54	1.10→0.54	17.0%	40.8%	0.76	24.6%	0.68%	—	MIXED	.cs · cfg	—
perasset_XRPUSD_buyhold	XRPUSD	Daily	2023-07-13→2026-07-01	OOS	0.51	—	8.2%	70.7%	0.81	18.1%	0.09%	—	BENCHMARK	.cs · cfg	—
perasset_XRPUSD_trend	XRPUSD	Daily	2023-07-13→2026-07-01	OOS	0.48	—→0.48	14.5%	45.5%	0.46	19.2%	0.55%	—	MIXED	.cs · cfg	—
fg_BTC_oos_contrarian_fear	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.45	—	12.8%	61.8%	0.60	14.1%	4.08%	—	REF	.cs · cfg	—
fg_top3_oos_risk_off_greed	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.39	—	11.3%	33.2%	0.48	13.7%	1.49%	—	REF	.cs · cfg	—
perasset_SOLUSD_trend	SOLUSD	Daily	2024-01-01→2026-07-01	OOS	0.38	0.89→0.38	5.3%	58.0%	0.52	17.3%	0.88%	—	MIXED	.cs · cfg	—
perasset_DOGEUSD_buyhold	DOGEUSD	Daily	2024-01-01→2026-07-01	OOS	0.35	-0.04→—	-9.9%	84.7%	0.59	15.0%	0.11%	—	BENCHMARK	.cs · cfg	—
fg_BTC_oos_both	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.32	—	7.7%	61.8%	0.42	9.7%	5.42%	—	REF	.cs · cfg	—
perasset_BTCUSD_buyhold	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.29	1.44→—	4.6%	67.0%	0.41	8.2%	0.06%	—	BENCHMARK	.cs · cfg	—
perasset_BCHUSD_trend	BCHUSD	Daily	2022-01-01→2026-07-01	OOS	0.24	0.13→0.24	0.1%	59.6%	0.32	6.0%	0.73%	—	MIXED	.cs · cfg	—
port_long4_trend	BTCUSD,ETHUSD,LTCUS…	Daily	2022-01-01→2026-07-01	OOS	0.20	0.27→0.20	4.4%	39.1%	0.24	7.0%	0.64%	—	MIXED	.cs · cfg	—
perasset_SOLUSD_buyhold	SOLUSD	Daily	2024-01-01→2026-07-01	OOS	0.17	0.89→—	-14.4%	76.2%	0.27	10.7%	0.11%	—	BENCHMARK	.cs · cfg	—
perasset_BCHUSD_buyhold	BCHUSD	Daily	2022-01-01→2026-07-01	OOS	0.16	0.13→—	-15.9%	79.9%	0.27	4.3%	0.06%	—	BENCHMARK	.cs · cfg	—
fg_top3_oos_contrarian_fear	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.16	—	2.1%	50.6%	0.21	5.7%	3.66%	—	REF	.cs · cfg	—
fg_top3_oos_both	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.00	—	-3.2%	50.3%	0.00	3.0%	4.62%	—	REF	.cs · cfg	—
perasset_ETHUSD_buyhold	ETHUSD	Daily	2022-01-01→2026-07-01	OOS	0.00	2.86→—	-17.7%	73.9%	0.00	2.4%	0.06%	—	BENCHMARK	.cs · cfg	—
perasset_LTCUSD_buyhold	LTCUSD	Daily	2022-01-01→2026-07-01	OOS	-0.07	0.75→—	-24.8%	72.9%	-0.10	1.6%	0.06%	—	BENCHMARK	.cs · cfg	—
perasset_ETHUSD_trend	ETHUSD	Daily	2022-01-01→2026-07-01	OOS	-0.16	2.86→-0.16	-13.3%	65.3%	-0.18	1.2%	0.73%	—	FAIL	.cs · cfg	—
perasset_LTCUSD_trend	LTCUSD	Daily	2022-01-01→2026-07-01	OOS	-0.21	0.75→-0.21	-15.9%	72.8%	-0.18	0.9%	0.73%	—	FAIL	.cs · cfg	—
port_top3_wf_2021	BTCUSD,ETHUSD,XRPUSD	Daily	2021-01-01→2021-12-31	FULL	3.36	—	152.8%	37.7%	4.84	79.1%	0.54%	—	REF	.cs · cfg	—
port_top3_wf_2020	BTCUSD,ETHUSD,XRPUSD	Daily	2020-01-01→2020-12-31	FULL	3.32	—	143.3%	25.3%	3.94	82.1%	1.22%	—	REF	.cs · cfg	—
port_long4_wf_2020	BTCUSD,ETHUSD,LTCUS…	Daily	2020-01-01→2020-12-31	FULL	2.23	—	80.1%	27.8%	2.33	70.6%	1.29%	—	REF	.cs · cfg	—
port_top5_wf_2023	BTCUSD,ETHUSD,XRPUS…	Daily	2023-01-01→2023-12-31	FULL	2.14	—	62.0%	24.9%	3.04	77.7%	0.60%	—	REF	.cs · cfg	—
port_long4_wf_2021	BTCUSD,ETHUSD,LTCUS…	Daily	2021-01-01→2021-12-31	FULL	2.08	—	85.9%	63.9%	2.73	55.4%	0.78%	—	REF	.cs · cfg	—
port_top5_wf_2024	BTCUSD,ETHUSD,XRPUS…	Daily	2024-01-01→2024-12-31	FULL	2.00	—	87.2%	36.8%	3.26	64.6%	0.64%	—	REF	.cs · cfg	—
port_top3_wf_2023	BTCUSD,ETHUSD,XRPUSD	Daily	2023-01-01→2023-12-31	FULL	1.70	—	45.2%	16.0%	2.38	70.6%	0.20%	—	REF	.cs · cfg	—
perasset_ETHUSD_trend	ETHUSD	Daily	2016-05-18→2026-07-01	FULL	1.35	2.86→-0.16	55.1%	90.1%	1.67	44.4%	0.38%	—	REF	.cs · cfg	—
perasset_BTCUSD_trend	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.93	1.44→1.00	28.4%	70.1%	0.58	30.6%	0.05%	—	REF	.cs · cfg	—
port_top3_wf_2024	BTCUSD,ETHUSD,XRPUSD	Daily	2024-01-01→2024-12-31	FULL	0.88	—	30.5%	29.8%	1.30	43.5%	0.88%	—	REF	.cs · cfg	—
port_top3_buyhold	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.79	1.19→—	24.8%	75.2%	1.10	18.5%	0.03%	—	BENCHMARK	.cs · cfg	—
port_long4_wf_2024	BTCUSD,ETHUSD,LTCUS…	Daily	2024-01-01→2024-12-31	FULL	0.78	—	27.0%	40.7%	1.11	38.8%	1.07%	—	REF	.cs · cfg	—
port_long4_wf_2023	BTCUSD,ETHUSD,LTCUS…	Daily	2023-01-01→2023-12-31	FULL	0.74	—	24.1%	29.6%	1.01	40.3%	0.65%	—	REF	.cs · cfg	—
port_top5_trend	BTCUSD,ETHUSD,XRPUS…	Daily	2021-06-17→2026-07-01	FULL	0.71	1.10→0.54	22.0%	41.3%	0.88	25.9%	0.51%	—	REF	.cs · cfg	—
port_top3_full_cost0bps	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.70	—	20.5%	34.3%	0.95	18.9%	0.39%	0.68@50bps	REF	.cs · cfg	—
port_top3_full_cost10bps	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.70	—	20.3%	34.3%	0.95	18.5%	0.39%	0.68@50bps	REF	.cs · cfg	—
port_top3_full_cost25bps	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.69	—	20.1%	34.4%	0.94	18.1%	0.39%	0.68@50bps	REF	.cs · cfg	—
fg_top3_fullfg_none	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.68	—	19.6%	34.6%	0.92	17.4%	0.39%	—	REF	.cs · cfg	—
port_top3_full_cost50bps	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.68	—	19.6%	34.6%	0.92	17.4%	0.39%	0.68@50bps	REF	.cs · cfg	—
port_top3_trend	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.68	1.19→0.56	19.6%	34.6%	0.92	17.4%	0.39%	—	REF	.cs · cfg	view · gh
perasset_DOGEUSD_trend	DOGEUSD	Daily	2021-06-03→2026-07-01	FULL	0.61	-0.04→1.31	17.9%	69.5%	0.66	16.1%	0.22%	—	REF	.cs · cfg	—
fg_top3_fullfg_contrarian_fear	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.56	—	16.4%	52.9%	0.75	10.3%	1.72%	—	REF	.cs · cfg	—
port_long4_buyhold	BTCUSD,ETHUSD,LTCUS…	Daily	2018-01-01→2026-07-01	FULL	0.49	0.27→—	6.2%	90.6%	0.65	5.7%	0.03%	—	BENCHMARK	.cs · cfg	—
perasset_XRPUSD_trend	XRPUSD	Daily	2023-07-13→2026-07-01	FULL	0.48	—→0.48	14.5%	45.5%	0.46	19.2%	0.55%	—	REF	.cs · cfg	—
port_long4_wf_2025	BTCUSD,ETHUSD,LTCUS…	Daily	2025-01-01→2025-12-31	FULL	0.45	—	13.5%	29.5%	0.70	31.6%	0.83%	—	REF	.cs · cfg	—
perasset_LTCUSD_trend	LTCUSD	Daily	2016-08-17→2026-07-01	FULL	0.43	0.75→-0.21	1.8%	94.7%	0.48	2.7%	0.44%	—	REF	.cs · cfg	—
perasset_SOLUSD_trend	SOLUSD	Daily	2021-06-17→2026-07-01	FULL	0.40	0.89→0.38	7.1%	71.1%	0.41	9.2%	0.65%	—	REF	.cs · cfg	—
fg_top3_fullfg_risk_off_greed	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.37	—	9.6%	32.8%	0.51	5.2%	1.24%	—	REF	.cs · cfg	—
perasset_BCHUSD_trend	BCHUSD	Daily	2017-12-20→2026-07-01	FULL	0.32	0.13→0.24	0.4%	83.1%	0.35	2.2%	0.77%	—	REF	.cs · cfg	—
port_top5_buyhold	BTCUSD,ETHUSD,XRPUS…	Daily	2021-06-17→2026-07-01	FULL	0.31	1.10→—	1.9%	79.9%	0.45	7.0%	0.05%	—	BENCHMARK	.cs · cfg	—
port_top3_wf_2025	BTCUSD,ETHUSD,XRPUSD	Daily	2025-01-01→2025-12-31	FULL	0.31	—	7.3%	30.8%	0.47	27.1%	0.65%	—	REF	.cs · cfg	—
fg_top3_fullfg_both	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2026-07-01	FULL	0.29	—	6.9%	50.8%	0.38	3.2%	2.57%	—	REF	.cs · cfg	—
port_long4_trend	BTCUSD,ETHUSD,LTCUS…	Daily	2018-01-01→2026-07-01	FULL	0.14	0.27→0.20	-1.3%	70.2%	0.15	1.0%	0.56%	—	REF	.cs · cfg	—
port_top5_wf_2025	BTCUSD,ETHUSD,XRPUS…	Daily	2025-01-01→2025-12-31	FULL	-0.10	—	-11.8%	41.8%	-0.14	16.1%	0.91%	—	REF	.cs · cfg	—
fg_BTC_fullfg_none	BTCUSD	Daily	2018-02-01→2026-07-01	FULL	-0.22	—	-3.9%	49.0%	-0.08	0.1%	0.07%	—	REF	.cs · cfg	—
fg_BTC_fullfg_risk_off_greed	BTCUSD	Daily	2018-02-01→2026-07-01	FULL	-0.22	—	-3.9%	49.0%	-0.08	0.1%	0.07%	—	REF	.cs · cfg	—
fg_BTC_fullfg_both	BTCUSD	Daily	2018-02-01→2026-07-01	FULL	-0.27	—	-6.0%	59.3%	-0.11	0.1%	0.85%	—	REF	.cs · cfg	—
fg_BTC_fullfg_contrarian_fear	BTCUSD	Daily	2018-02-01→2026-07-01	FULL	-0.27	—	-6.0%	59.3%	-0.11	0.1%	0.85%	—	REF	.cs · cfg	—
port_top5_wf_2022	BTCUSD,ETHUSD,XRPUS…	Daily	2022-01-01→2022-12-31	FULL	-0.62	—	-9.9%	16.2%	-0.51	6.2%	0.41%	—	REF	.cs · cfg	—
port_top3_wf_2022	BTCUSD,ETHUSD,XRPUSD	Daily	2022-01-01→2022-12-31	FULL	-0.64	—	-12.7%	20.0%	-0.50	6.0%	0.52%	—	REF	.cs · cfg	—
port_long4_wf_2018	BTCUSD,ETHUSD,LTCUS…	Daily	2018-01-01→2018-12-31	FULL	-0.67	—	-43.0%	54.5%	-0.80	3.9%	0.50%	—	REF	.cs · cfg	—
port_long4_wf_2022	BTCUSD,ETHUSD,LTCUS…	Daily	2022-01-01→2022-12-31	FULL	-0.72	—	-11.7%	15.2%	-0.51	5.0%	0.53%	—	REF	.cs · cfg	—
port_long4_wf_2019	BTCUSD,ETHUSD,LTCUS…	Daily	2019-01-01→2019-12-31	FULL	-0.89	—	-33.4%	45.9%	-0.96	2.4%	0.41%	—	REF	.cs · cfg	—
perasset_ETHUSD_trend	ETHUSD	Daily	2016-05-18→2021-12-31	IS	2.86	2.86→-0.16	141.7%	90.1%	3.74	85.2%	0.34%	—	REF	.cs · cfg	—
perasset_BTCUSD_trend	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.44	1.44→1.00	52.7%	70.1%	1.16	60.9%	0.08%	—	REF	.cs · cfg	—
port_top3_trend	BTCUSD,ETHUSD,XRPUSD	Daily	2019-02-26→2021-12-31	IS	1.19	1.19→0.56	35.9%	34.6%	1.46	50.2%	0.35%	—	REF	.cs · cfg	—
port_top5_trend	BTCUSD,ETHUSD,XRPUS…	Daily	2021-06-17→2023-12-31	IS	1.10	1.10→0.54	26.7%	26.7%	1.31	53.7%	0.45%	—	REF	.cs · cfg	—
perasset_SOLUSD_trend	SOLUSD	Daily	2021-06-17→2023-12-31	IS	0.89	0.89→0.38	30.0%	70.4%	0.61	35.7%	0.54%	—	REF	.cs · cfg	—
perasset_LTCUSD_trend	LTCUSD	Daily	2016-08-17→2021-12-31	IS	0.75	0.75→-0.21	11.9%	93.8%	0.97	15.7%	0.41%	—	REF	.cs · cfg	—
port_long4_trend	BTCUSD,ETHUSD,LTCUS…	Daily	2018-01-01→2021-12-31	IS	0.27	0.27→0.20	-0.8%	70.2%	0.30	7.3%	0.62%	—	REF	.cs · cfg	—
perasset_BCHUSD_trend	BCHUSD	Daily	2017-12-20→2021-12-31	IS	0.13	0.13→0.24	-15.4%	74.3%	0.12	4.2%	0.95%	—	REF	.cs · cfg	—
perasset_DOGEUSD_trend	DOGEUSD	Daily	2021-06-03→2023-12-31	IS	-0.04	-0.04→1.31	-3.1%	37.0%	-0.03	6.3%	0.32%	—	REF	.cs · cfg	—

H1 Trend Ensemble — param-averaged & multi-crypto book H1/E.1-E.2

What it does. Parameter-AVERAGED time-series-momentum: per-asset long/flat signal = mean over lookbacks {63,126,189,252}; optional per-sleeve vol-target (equal-risk) and 1/N equal-weight multi-crypto book. Crypto daily (Coinbase).
Thesis / edge. Trend/TSMOM is the least-decayed anomaly and strongest in crypto (Liu-Tsyvinski 2021). Averaging lookbacks (DeMiguel-Garlappi-Uppal 1/N logic) cancels lookback-estimation noise and dissolves the selection DOF that PBO 0.92 flagged for the single-252 pick; an equal-risk multi-crypto book seeks the breadth single-BTC lacks (~2 OOS round-trips).
Class H1TrendEnsemblePortfolioAlgorithm (C#) · 21 backtests · best OOS Sharpe (excl. buy&hold): 1.00 · verdicts BENCHMARK:1 · FAIL:3 · MIXED:1 · REF:16

Pre-registered kill criteria: E.1 param-averaging ADOPTED iff ensemble holds OOS Sharpe >= 0.7 net AND improves DD or tightens the bootstrap Sharpe-CI vs single-252. KILL if ensemble OOS Sharpe < 0.7 net, OR DD >= single-252 AND Sharpe <= single-252 (averaging bought nothing).

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
E1_BTCUSD_oos_s252_raw	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	1.00	1.44→1.00	33.3%	32.1%	1.29	43.6%	0.24%	—	REF	.cs · cfg	—
E1_BTCUSD_oos_ens_raw	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.83	1.49→0.83	24.9%	25.2%	1.10	36.9%	0.50%	—	MIXED	.cs · cfg	—
E1_BTCUSD_oos_s252_vt	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.58	1.39→0.58	11.4%	15.3%	0.74	39.3%	0.17%	—	REF	.cs · cfg	—
E1_BTCUSD_oos_ens_vt	BTCUSD	Daily	2022-01-01→2026-07-01	OOS	0.42	1.37→0.42	8.7%	11.8%	0.54	32.8%	0.24%	—	FAIL	.cs · cfg	—
E2_SLEEVE_XRPUSD_oos_ens_vt	XRPUSD	Daily	2022-01-01→2026-07-01	OOS	0.22	—→0.22	6.6%	12.0%	0.24	25.2%	0.10%	—	REF	.cs · cfg	—
E2_BOOK5_oos_buyhold	BTCUSD,ETHUSD,LTCUS…	Daily	2022-01-01→2026-07-01	OOS	0.01	1.24→-0.15	-7.3%	61.3%	0.02	2.8%	0.06%	—	BENCHMARK	.cs · cfg	—
E2_SLEEVE_BCHUSD_oos_ens_vt	BCHUSD	Daily	2022-01-01→2026-07-01	OOS	-0.11	—→-0.11	2.7%	10.9%	-0.15	5.3%	0.14%	—	REF	.cs · cfg	—
E2_BOOK5_oos_ens_vt	BTCUSD,ETHUSD,LTCUS…	Daily	2022-01-01→2026-07-01	OOS	-0.15	1.24→-0.15	2.8%	15.4%	-0.18	8.3%	0.05%	—	FAIL	.cs · cfg	—
E2_BOOK5_oos_s252_vt	BTCUSD,ETHUSD,LTCUS…	Daily	2022-01-01→2026-07-01	OOS	-0.20	—→-0.20	2.6%	10.3%	-0.26	8.6%	0.08%	—	FAIL	.cs · cfg	—
E2_SLEEVE_ETHUSD_oos_ens_vt	ETHUSD	Daily	2022-01-01→2026-07-01	OOS	-0.39	—→-0.39	0.1%	16.1%	-0.48	2.4%	0.17%	—	REF	.cs · cfg	—
E2_SLEEVE_LTCUSD_oos_ens_vt	LTCUSD	Daily	2022-01-01→2026-07-01	OOS	-0.49	—→-0.49	-0.6%	13.8%	-0.51	1.6%	0.12%	—	REF	.cs · cfg	—
E1_BTCUSD_full_ens_raw	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.96	1.49→0.83	28.6%	64.8%	0.59	34.3%	0.09%	—	REF	.cs · cfg	—
E1_BTCUSD_full_s252_raw	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.93	1.44→1.00	28.4%	70.1%	0.58	30.6%	0.05%	—	REF	.cs · cfg	—
E1_BTCUSD_full_s252_vt	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.81	1.39→0.58	9.3%	13.3%	0.48	59.6%	0.08%	—	REF	.cs · cfg	—
E1_BTCUSD_full_ens_vt	BTCUSD	Daily	2015-07-20→2026-07-01	FULL	0.79	1.37→0.42	8.9%	13.0%	0.47	59.1%	0.07%	—	REF	.cs · cfg	—
E2_BOOK5_full_ens_vt	BTCUSD,ETHUSD,LTCUS…	Daily	2015-07-20→2026-07-01	FULL	0.27	1.24→-0.15	4.5%	16.8%	0.32	10.0%	0.02%	—	REF	.cs · cfg	—
E1_BTCUSD_is_ens_raw	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.48	1.49→0.83	53.1%	64.8%	1.20	65.0%	0.16%	—	REF	.cs · cfg	—
E1_BTCUSD_is_s252_raw	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.44	1.44→1.00	52.7%	70.1%	1.16	60.9%	0.08%	—	REF	.cs · cfg	—
E1_BTCUSD_is_s252_vt	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.39	1.39→0.58	16.4%	13.3%	1.06	84.8%	0.13%	—	REF	.cs · cfg	—
E1_BTCUSD_is_ens_vt	BTCUSD	Daily	2015-07-20→2021-12-31	IS	1.37	1.37→0.42	15.7%	13.0%	1.07	84.7%	0.12%	—	REF	.cs · cfg	—
E2_BOOK5_is_ens_vt	BTCUSD,ETHUSD,LTCUS…	Daily	2015-07-20→2021-12-31	IS	1.24	1.24→-0.15	7.7%	7.3%	1.36	87.3%	0.03%	—	REF	.cs · cfg	—

H20 — VIX ETP carry (SVIX/SVXY contango roll-yield harvest) H20

What it does. Long inverse-VIX ETP (SVIX post-2022-05, SVXY-proxy before; also SVXY-throughout), vol-targeted to 22.5%, gated by VIX3M/VIX hysteresis (close-eval, next-open-exec).
Thesis / edge. VIX futures contango (~75-80% of days) pays inverse-ETP holders ~1.5-3%/mo roll yield gross; a term-structure gate should keep the harvest and dodge backwardation crashes.
Class H20VixEtpCarryAlgorithm (C#) · 7 backtests · best OOS Sharpe (excl. buy&hold): 0.29 · verdicts BENCHMARK:3 · FAIL:4

Pre-registered kill criteria: Pre-registered (ALPACA_ATP_PLAN.md §C.1 H20, commit 4d3447d): KILL if the VIX3M/VIX filter fails to beat unconditional sized SVIX (then at most a sizing note); 2018/2020-replay maxDD >25%; <60% yearly folds positive; timing-permutation p>0.3 (H16/H17 adjacency guard); P&L concentrated pre-2018. DSR at 8 trials (4 gate cells x 2 splice-ways).

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
uncond_svxy_10bps	SVIX,SVXY	Daily	2023-01-01→2026-07-10	OOS	0.29	—→0.29	13.4%	39.4%	0.26	15.6%	1.05%	0.28@20bps	BENCHMARK	.cs · cfg	view · gh
gated_e100x100_svxy_10bps	SVIX,SVXY	Daily	2023-01-01→2026-07-10	OOS	0.15	0.00→0.15	9.3%	38.3%	0.13	10.1%	2.54%	0.12@20bps	FAIL	.cs · cfg	view · gh
uncond_splice_10bps	SVIX,SVXY	Daily	2023-01-01→2026-07-10	OOS	0.01	—→0.01	4.2%	47.1%	0.01	4.6%	1.11%	-0.00@20bps	BENCHMARK	.cs · cfg	view · gh
gated_e100x100_splice_10bps	SVIX,SVXY	Daily	2023-01-01→2026-07-10	OOS	-0.09	0.03→-0.09	1.2%	48.5%	-0.07	2.9%	1.88%	-0.11@20bps	FAIL	.cs · cfg	view · gh
gated_e100x100_splice_10bps	SVIX,SVXY	Daily	2018-01-01→2026-07-10	FULL	-0.02	0.03→-0.09	0.7%	48.5%	-0.02	0.1%	2.57%	—	FAIL	.cs · cfg	view · gh
gated_e100x100_splice_10bps	SVIX,SVXY	Daily	2018-01-01→2022-12-31	IS	0.03	0.03→—	0.2%	28.6%	0.02	0.9%	3.08%	-0.01@20bps	FAIL	.cs · cfg	view · gh
uncond_splice_10bps	SVIX,SVXY	Daily	2018-01-01→2022-12-31	IS	-0.22	0.03→—	-8.7%	54.8%	-0.17	0.1%	1.23%	—	BENCHMARK	.cs · cfg	view · gh

H21 — PEAD: headline-EPS surprise + earnings-announcement-return drift H21

What it does. Long top-quantile earnings-surprise events (0.5·z(headline SUE-proxy) + 0.5·z(EAR)), t+2 open entry, 20d/40d overlapping cohorts, SPY-beta-hedged; events/surprises parsed from Benzinga templated earnings headlines (created_at only).
Thesis / edge. Post-earnings-announcement drift: prices underreact to earnings news (Bernard-Thomas 1989; Chan-Jegadeesh-Lakonishok 1996); a long book of top-surprise events should earn a market-neutral drift premium net of costs.
Class H21PeadAlgorithm (C#) · 7 backtests · best OOS Sharpe (excl. buy&hold): -0.38 · verdicts FAIL:6 · REF:1

Pre-registered kill criteria: Pre-registered (ALPACA_ATP_PLAN.md §C.1 H21): PASS requires OOS net Sharpe >=0.5, event-shuffle permutation p<0.05, >=60% of 8 folds positive, PBO<0.5; <300 parseable OOS events -> INCONCLUSIVE. Stage-1 offline gate (IS top-vs-bottom quintile 20d gross spread >=2x round-trip cost AND t>=2) required before any LEAN run. Grid {combo,sue,ear}x{q5,q10}x{20d,40d} = 12 cells, DSR charged at N=12.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
sue_q10_H40_10bps_betahedge_bestOOS	842-name set, month…	Daily	2023-01-01→2026-06-30	OOS	-0.38	-0.47→-0.38	5.0%	7.2%	-0.54	24.7%	2.40%	—	FAIL	.cs · cfg	view · gh
sue_q5_H20_10bps_betahedge	842-name set, month…	Daily	2023-01-01→2026-06-30	OOS	-0.80	-0.46→-0.80	0.8%	11.2%	-1.13	2.4%	5.67%	—	FAIL	.cs · cfg	view · gh
combo_q5_H20_10bps_betahedge	842-name set, month…	Daily	2023-01-01→2026-06-30	OOS	-1.09	-0.44→-1.09	-1.5%	8.9%	-1.38	0.5%	6.09%	-1.34@20bps	FAIL	.cs · cfg	view · gh
ear_q5_H20_10bps_betahedge	842-name set, month…	Daily	2023-01-01→2026-06-30	OOS	-1.52	-0.21→-1.51	-3.5%	12.0%	-1.79	0.1%	5.92%	—	FAIL	.cs · cfg	view · gh
combo_q5_H20_10bps_UNHEDGED_ref	842-name set, month…	Daily	2016-01-01→2026-06-30	FULL	0.17	—	5.8%	36.2%	0.16	1.5%	3.29%	—	REF	.cs · cfg	view · gh
combo_q5_H20_10bps_betahedge	842-name set, month…	Daily	2016-01-01→2026-06-30	FULL	-0.64	-0.44→-1.09	-0.9%	22.0%	-0.77	0.0%	6.01%	—	FAIL	.cs · cfg	view · gh
combo_q5_H20_10bps_betahedge	842-name set, month…	Daily	2016-01-01→2022-12-31	IS	-0.44	-0.44→—	-1.0%	22.0%	-0.51	0.0%	5.93%	—	FAIL	.cs · cfg	view · gh

H22 — SPY systematic put-write (VRP harvest) H22

What it does. Sell fully-collateralized SPY puts (delta/DTE grid, roll 21d or 50% premium decay), collateral in BIL; CBOE PUT index replication as the pipeline-validity anchor. Converter coverage: 134 Friday(+holiday-Thu) SPY put expiries 2024-02-16..2026-09-18, 19,702 contracts with >=1 daily trade bar, 538,090 option bar rows, 527,493 BS-IV solves (1.9% unsolvable = deep-ITM prints below European intrinsic, flagged delta -0.999); median 180 listed puts per expiry, ~1.0 traded strikes per $1 of spot in the 90-100% moneyness band (the ~30-delta region is densely covered); SPY/BIL zip extension cross-checked against the shipped LEAN zips (max close diff $0.0000).
Thesis / edge. Variance risk premium: index puts are persistently priced above realized-vol fair value (insurance demand), so a rules-based short-put book converts SPY beta into better-paid SPY beta. Best-documented premium in the options literature (PUT index 39y live).
Class H22PutWriteAlgorithm (C#) · 12 backtests · best OOS Sharpe (excl. buy&hold): 0.45 · verdicts BENCHMARK:3 · FAIL:5 · REF:4

Pre-registered kill criteria: Same pre-registered H22 criteria; judged on the paired OOS row.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
SPY buy & hold (99%% notional) run in the SAME engine/window -- the pooled baseline the put-write must beat because it substitutes equity beta	SPY puts, Friday(+h…	Daily	2025-10-01→2026-07-21	OOS	0.45	—	14.5%	9.0%	0.53	46.0%	0.34%	—	BENCHMARK	.cs · cfg	—
grid cell: target delta 0.20, target DTE 45, roll at 21 DTE or 50% premium decay, base cost c1	SPY puts, Friday(+h…	Daily	2025-10-01→2026-07-21	OOS	0.27	-0.14→0.27	9.3%	1.5%	0.29	80.5%	0.41%	0.27@c2_doubled	FAIL	.cs · cfg	—
grid cell: target delta 0.30, target DTE 45, roll at 21 DTE or 50% premium decay, base cost c1	SPY puts, Friday(+h…	Daily	2025-10-01→2026-07-21	OOS	0.18	0.09→0.18	9.2%	3.5%	0.20	59.5%	0.46%	0.10@c2_doubled	FAIL	.cs · cfg	—
grid cell: target delta 0.30, target DTE 30, roll at 21 DTE or 50% premium decay, base cost c1	SPY puts, Friday(+h…	Daily	2025-10-01→2026-07-21	OOS	-0.26	0.10→-0.26	6.7%	2.2%	-0.29	66.3%	0.55%	-0.51@c2_doubled	FAIL	.cs · cfg	—
grid cell: target delta 0.20, target DTE 30, roll at 21 DTE or 50% premium decay, base cost c1	SPY puts, Friday(+h…	Daily	2025-10-01→2026-07-21	OOS	-0.50	-0.09→-0.50	6.2%	1.7%	-0.60	80.2%	0.48%	-0.80@c2_doubled	FAIL	.cs · cfg	—
SPY buy & hold (99%% notional) run in the SAME engine/window -- the pooled baseline the put-write must beat because it substitutes equity beta	SPY puts, Friday(+h…	Daily	2024-03-01→2026-07-21	FULL	0.52	—	17.0%	18.8%	0.57	41.6%	0.11%	—	BENCHMARK	.cs · cfg	—
CBOE PUT-index replication (pre-registered validation gate): sell 1-month ATM SPY put on the roll day after each monthly expiry, hold to expiry, LEAN exercise/assignment, BIL collateral	SPY puts, Friday(+h…	Daily	2024-03-01→2026-07-21	FULL	0.51	—	13.9%	12.3%	0.42	57.8%	1.93%	0.51@c1_halfspread_max($0.03,1.5%prem)	FAIL	.cs · cfg	—
SPY buy & hold (99%% notional) run in the SAME engine/window -- the pooled baseline the put-write must beat because it substitutes equity beta	SPY puts, Friday(+h…	Daily	2024-03-01→2025-09-30	IS	0.54	—	17.8%	18.8%	0.57	42.0%	0.17%	—	BENCHMARK	.cs · cfg	—
grid cell: target delta 0.30, target DTE 30, roll at 21 DTE or 50% premium decay, base cost c1	SPY puts, Friday(+h…	Daily	2024-03-01→2025-09-30	IS	0.10	0.10→-0.26	8.6%	7.7%	0.09	60.6%	0.42%	-0.04@c2_doubled	REF	.cs · cfg	—
grid cell: target delta 0.30, target DTE 45, roll at 21 DTE or 50% premium decay, base cost c1	SPY puts, Friday(+h…	Daily	2024-03-01→2025-09-30	IS	0.08	0.09→0.18	8.5%	14.7%	0.06	41.8%	0.33%	-0.01@c2_doubled	REF	.cs · cfg	—
grid cell: target delta 0.20, target DTE 30, roll at 21 DTE or 50% premium decay, base cost c1	SPY puts, Friday(+h…	Daily	2024-03-01→2025-09-30	IS	-0.09	-0.09→-0.50	7.5%	5.7%	-0.07	68.2%	0.34%	-0.29@c2_doubled	REF	.cs · cfg	—
grid cell: target delta 0.20, target DTE 45, roll at 21 DTE or 50% premium decay, base cost c1	SPY puts, Friday(+h…	Daily	2024-03-01→2025-09-30	IS	-0.14	-0.14→0.27	6.6%	9.5%	-0.10	37.3%	0.28%	-0.21@c2_doubled	REF	.cs · cfg	—

H23 — Survivorship-repaired 12-1 XSec Momentum (dollar-neutral decile) H23

What it does. MomXsec1211 re-run on a survivorship-REPAIRED universe: 842 current names + news-tape-enumerated dead tickers with asof-pinned Alpaca bars, real delisting map files and Shumway terminal returns; long top / short bottom decile of the monthly top-500 by dollar volume, equal-weight, dollar-neutral.
Thesis / edge. MomXsec1211's INCONCLUSIVE verdict blamed the missing short-leg edge on the current-listing universe (dead losers absent from the bottom decile). If that is right, restoring delisted losers should restore short-leg alpha and lift the dollar-neutral book to its literature-implied level (Jegadeesh-Titman E9).
Class H23MomXsec1211Algorithm (C#) · 8 backtests · best OOS Sharpe (excl. buy&hold): 0.72 · verdicts FAIL:6 · REF:2

Pre-registered kill criteria: Pre-registered (ALPACA_ATP_PLAN.md §C.1 H23): Stage 1 data gate needs >=150 validated dead series AND >=50% coverage of expected top-500 delistings, else 'INCONCLUSIVE-confirmed: needs paid PIT'. Stage 2 = LOCKED MomXsec1211 spec, zero new trials, Shumway terminal returns (-30% worthless, last-print acquisitions), costs 5/10/20 bps + 50 bps/yr borrow. KILL if: repaired short-leg gross Sharpe <=0; DN OOS net Sharpe <0.5; PBO>0.5; corr to BTC-trend >0.3.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
longonly_decile_10bps	h23_universe: 842 c…	Daily	2021-01-01→2026-06-30	OOS	0.72	0.49→0.72	29.0%	35.4%	0.81	26.2%	1.88%	—	REF	.cs · cfg	view · gh
dn_decile_0bps_borrow50	h23_universe: 842 c…	Daily	2021-01-01→2026-06-30	OOS	0.45	0.11→0.45	18.1%	47.8%	0.52	9.8%	4.13%	—	FAIL	.cs · cfg	view · gh
dn_decile_5bps_borrow50	h23_universe: 842 c…	Daily	2021-01-01→2026-06-30	OOS	0.43	0.11→0.43	17.0%	48.6%	0.49	8.8%	4.14%	—	FAIL	.cs · cfg	view · gh
dn_decile_10bps_borrow50	h23_universe: 842 c…	Daily	2021-01-01→2026-06-30	OOS	0.41	0.11→0.41	16.2%	49.1%	0.47	8.1%	4.14%	0.37@20bps	FAIL	.cs · cfg	view · gh
dn_decile_20bps_borrow50	h23_universe: 842 c…	Daily	2021-01-01→2026-06-30	OOS	0.37	0.11→0.37	14.5%	50.0%	0.43	6.7%	4.15%	—	FAIL	.cs · cfg	view · gh
dn_decile_10bps_borrow50	h23_universe: 842 c…	Daily	2016-01-01→2026-06-30	FULL	0.28	0.11→0.41	9.0%	49.1%	0.28	0.6%	3.72%	0.37@20bps	FAIL	.cs · cfg	view · gh
longonly_decile_10bps	h23_universe: 842 c…	Daily	2016-01-01→2020-12-31	IS	0.49	0.49→—	14.0%	36.6%	0.44	11.5%	1.58%	—	REF	.cs · cfg	view · gh
dn_decile_10bps_borrow50	h23_universe: 842 c…	Daily	2016-01-01→2020-12-31	IS	0.11	0.11→—	1.5%	47.7%	0.10	1.4%	3.31%	—	FAIL	.cs · cfg	view · gh

H24 — Analyst rating-change drift (long upgrades) H24

What it does. REFERENCE: full by-action-type event-CAR table (upgrade/downgrade/initiation x {7,21,42}d x {IS,OOS}) behind the Stage-1 kill, plus coverage stats of the rating-action parse.
Thesis / edge. Documents the evidence base of the H24 Stage-1 STOP: no analyst rating-action class carries positive post-t+2 drift 2016-2026 in liquid names; the announcement move itself is large, correctly signed, and untradable.
Class n/a (offline event study) (n/a) · 2 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts FAIL:1 · REF:1

Pre-registered kill criteria: n/a (reference record)

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
by-type CAR table + parse coverage (descriptive reference)	842-name factor-fil…	Daily	2016-01-01→2026-06-30	FULL	—	—	—	—	—	—	—	—	REF	.cs · cfg	—
stage1 upgrade 21d gross CAR gate (decisive, pre-registered)	842-name factor-fil…	Daily	2016-01-01→2022-12-31	IS	—	—	—	—	—	—	—	—	FAIL	.cs · cfg	—

H25 — Closing-auction dislocation reversion H25

What it does. Buy names whose closing auction printed >= theta·sigma below the last 15:55-16:00 NBBO mid (sell the mirror), exit next open/close, SPY hedge; entry assumed AT the auction print.
Thesis / edge. Closing-auction order imbalances (MOC/LOC flows, index rebalances) push the auction print away from the pre-close NBBO mid; liquidity providers who supply the imbalance earn a reversion premium overnight (auction -> next open).
Class

H25AuctionReversionAlgorithm (built + fill-mechanics verified via H25MocProbeAlgorithm, but NEVER RUN — pre-registered STOP at Gate 1)

(C#) · 1 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts FAIL:1

Pre-registered kill criteria: Gate 1: gross |z|>2 reversion < 1.5x round-trip cost OR non-monotone => STOP. (Downstream bars — OOS net Sharpe >= 0.5, >= 60% folds, bootstrap p <= 0.10, no bottom-liquidity/rebalance-date concentration — never reached.)

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
GATE-1 raw-stat (decisive, pre-registered): \|z\|>2 next-open reversion vs 1.5x measured round-trip cost + monotonicity	annual top-1000 by …	Daily (signal from SIP auction prints + pre-close NBBO quotes)	2016-01-04→2022-12-31	IS	—	—	—	—	—	—	—	—	FAIL	.cs · cfg	—

H26 — Cash-deal merger-target spread harvest H26

What it does. Phase-0 feasibility gate: definitive US cash-deal event table from the Benzinga tape + offer-price precision + dead-target bar coverage through resolution.
Thesis / edge. Feasibility precondition for the spread-capture book: >=70% of definitive cash-deal targets >= $400M (2016-2024) must have asof-mapped bars through resolution.
Class n/a (offline data gate) (n/a) · 3 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts KILL:1 · PASS:1 · REF:1

Pre-registered kill criteria: KILL if offer-price regex precision < 95% or asof-mapped bar coverage < 70% — neither triggered (100% / 98.6%)

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
feasibility gate (pre-registered, decisive)	435 candidate deal …	Daily	2016-01-01→2024-12-31	FULL	—	—	—	—	—	—	—	—	PASS	.cs · cfg	—
unconditional pooled baseline (descriptive reference, not a trial)	all 72 price-valida…	Daily	2016-01-01→2026-07-10	FULL	—	—	—	—	—	—	—	—	REF	.cs · cfg	—
registered rule (trials=1): spread>=1% AND implied-annualized>=5% (expected close ann+130td), close-eval next-open-exec; exit completion / break-next-open / 130td-after-entry; 5%/deal, max 20 concurrent, residual cash	G: 72 price-validat…	Daily	2016-01-01→2026-07-10	IS	—	0.20→0.01	—	—	—	—	—	0.15@20bps	KILL	.cs · cfg	—

H29 — Spread/VIX-gated liquidity-provision reversal H29

What it does. The registered Stage-2 execution assumption tested at Stage-1: resting limit buys at the day-t close's bid instead of marketable orders — the ONLY structural way H29 could differ from H25's kill.
Thesis / edge. Nagel (2012, RFS 'Evaporating Liquidity'): short-horizon reversal IS the return to liquidity provision, so it must be concentrated in wide-spread names and must rise with VIX (withdrawal of liquidity supply raises the price of immediacy).
Class n/a — no LEAN algorithm written (pre-registered STOP at Stage-1) (n/a) · 2 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts KILL:2

Pre-registered kill criteria: Registered Stage-2 kills (fill-haircut x0.5 flips sign; bottom-liquidity-decile-only edge) evaluated early because Stage-1 failed: the passive net is negative at FULL credit in every tercile, both windows, every k — the haircut is not even binding.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
STAGE-1 raw-stat gate (decisive, pre-registered): spread-tercile x VIX-tercile x horizon{1,2,3}d reversion vs 1.5x half-spread	H25 harvest reused …	Daily bars (LEAN zips, split-adjusted via H25 split map) + measured 15:55-16:00 SIP NBBO half-spreads	2016-01-05→2022-12-31	IS	—	—	—	—	—	—	—	—	KILL	.cs · cfg	—
STAGE-1 fill-convention test: AGGRESSIVE (pay the spread) vs PASSIVE (earn the spread, registered >=1-tick penetration fill rule), penetration ladder k x half-spread	H25 harvest reused …	Daily bars (LEAN zips, split-adjusted via H25 split map) + measured 15:55-16:00 SIP NBBO half-spreads	2016-01-05→2026-07-15	IS+OOS	—	—	—	—	—	—	—	—	KILL	.cs · cfg	—

H2 — Short-horizon cross-sectional reversal (E4 Lehmann/Lo-MacKinlay) H2

What it does. Daily dollar-neutral long-losers/short-winners on ~50 US large-caps, ranked by trailing k-day return; long bottom fraction, short top fraction, equal-weight per leg.
Thesis / edge. Short-horizon (1-5d) cross-sectional reversal: recent losers outperform recent winners over the next few days (liquidity provision to uninformed flow / overreaction; Nagel 2012). Gross contrarian profit is large in the literature but Kaul-Nimalendran/Jegadeesh-Titman show much is bid-ask bounce that dies after cost -> cost sweep is the decisive test.
Class H2CrossSectionalReversalAlgorithm (C#) · 26 backtests · best OOS Sharpe (excl. buy&hold): -1.18 · verdicts FAIL:8 · REF:18

Pre-registered kill criteria: PASS bar: OOS Sharpe >= ~0.8 net of >=2bps cost, max DD < ~15%, |beta| < 0.1, survives cost sweep at >=2bps. KILL if OOS Sharpe < 0.5, only works pre-2022, collapses without extreme-decile concentration, or dies by 2bps (bid-ask bounce).

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
k1_f20_0bps	ABBV,ABT,ACN,AMD,AM…	Daily	2024-10-01→2026-06-26	OOS	-1.18	-0.06→-1.18	-10.3%	28.2%	-1.51	0.4%	100.70%	-2.29@5bps	FAIL	.cs · cfg	view · gh
k3_f10_0bps	ABBV,ABT,ACN,AMD,AM…	Daily	2024-10-01→2026-06-26	OOS	-1.42	-0.46→-1.42	-22.7%	40.9%	-1.47	0.0%	68.38%	-1.88@5bps	FAIL	.cs · cfg	view · gh
k1_f20_1bps	ABBV,ABT,ACN,AMD,AM…	Daily	2024-10-01→2026-06-26	OOS	-1.42	-0.37→-1.42	-13.7%	31.2%	-1.81	0.1%	100.50%	-2.29@5bps	FAIL	.cs · cfg	view · gh
k3_f10_1bps	ABBV,ABT,ACN,AMD,AM…	Daily	2024-10-01→2026-06-26	OOS	-1.52	-0.49→-1.52	-24.9%	42.8%	-1.57	0.0%	68.39%	-1.88@5bps	FAIL	.cs · cfg	view · gh
k3_f10_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2024-10-01→2026-06-26	OOS	-1.61	-0.58→-1.61	-26.6%	44.4%	-1.65	0.0%	68.43%	-1.88@5bps	FAIL	.cs · cfg	view · gh
k1_f20_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2024-10-01→2026-06-26	OOS	-1.63	-0.63→-1.63	-16.6%	33.6%	-2.07	0.0%	100.31%	-2.29@5bps	FAIL	.cs · cfg	view · gh
k3_f10_5bps	ABBV,ABT,ACN,AMD,AM…	Daily	2024-10-01→2026-06-26	OOS	-1.88	-0.73→-1.88	-31.8%	49.1%	-1.94	0.0%	68.39%	-1.88@5bps	FAIL	.cs · cfg	view · gh
k1_f20_5bps	ABBV,ABT,ACN,AMD,AM…	Daily	2024-10-01→2026-06-26	OOS	-2.29	-1.51→-2.29	-25.6%	42.3%	-2.89	0.0%	100.08%	-2.29@5bps	FAIL	.cs · cfg	view · gh
k3_f10_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2026-06-26	FULL	-0.72	-0.58→-1.61	-31.4%	85.2%	-0.46	0.0%	67.03%	-0.72@2bps	REF	.cs · cfg	view · gh
k1_f20_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2026-06-26	FULL	-1.05	-0.63→-1.63	-8.4%	39.3%	-1.27	0.0%	101.80%	-1.05@2bps	REF	.cs · cfg	view · gh
k1_f20_0bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.06	-0.06→-1.18	3.7%	16.0%	-0.07	7.2%	102.95%	-1.51@5bps	REF	.cs · cfg	view · gh
k1_f20_1bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.37	-0.37→-1.42	-0.3%	20.6%	-0.43	1.6%	102.84%	-1.51@5bps	REF	.cs · cfg	view · gh
k1_f10_0bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.40	-0.40→—	-3.4%	26.4%	-0.43	0.6%	115.33%	-0.85@2bps	REF	.cs · cfg	view · gh
k3_f10_0bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.46	-0.46→-1.42	-29.8%	75.9%	-0.28	0.0%	69.18%	-0.73@5bps	REF	.cs · cfg	view · gh
k3_f10_1bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.49	-0.49→-1.52	-31.4%	77.0%	-0.31	0.0%	68.98%	-0.73@5bps	REF	.cs · cfg	view · gh
k3_f20_0bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.50	-0.50→—	-10.9%	44.5%	-0.33	0.0%	59.03%	-0.64@2bps	REF	.cs · cfg	view · gh
k3_f10_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.58	-0.58→-1.61	-34.7%	78.9%	-0.36	0.0%	68.57%	-0.73@5bps	REF	.cs · cfg	view · gh
k5_f10_0bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.58	-0.58→—	-34.1%	80.9%	-0.36	0.0%	52.27%	-0.63@2bps	REF	.cs · cfg	view · gh
k5_f20_0bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.62	-0.62→—	-13.2%	49.0%	-0.41	0.0%	44.79%	-0.73@2bps	REF	.cs · cfg	view · gh
k5_f10_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.63	-0.63→—	-35.9%	82.0%	-0.39	0.0%	52.14%	-0.63@2bps	REF	.cs · cfg	view · gh
k1_f20_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.63	-0.63→-1.63	-3.4%	25.1%	-0.75	0.3%	102.71%	-1.51@5bps	REF	.cs · cfg	view · gh
k3_f20_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.64	-0.64→—	-14.4%	48.3%	-0.42	0.0%	58.83%	-0.64@2bps	REF	.cs · cfg	view · gh
k3_f10_5bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.73	-0.73→-1.88	-40.2%	83.8%	-0.46	0.0%	68.02%	-0.73@5bps	REF	.cs · cfg	view · gh
k5_f20_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.73	-0.73→—	-15.8%	52.3%	-0.49	0.0%	44.60%	-0.73@2bps	REF	.cs · cfg	view · gh
k1_f10_2bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-0.85	-0.85→—	-11.0%	37.5%	-0.93	0.0%	115.11%	-0.85@2bps	REF	.cs · cfg	view · gh
k1_f20_5bps	ABBV,ABT,ACN,AMD,AM…	Daily	2021-06-01→2024-09-30	IS	-1.51	-1.51→-2.29	-13.7%	40.6%	-1.79	0.0%	101.63%	-1.51@5bps	REF	.cs · cfg	view · gh

H30 — Spin-off forced-selling drift H30

What it does. Phase-0 sample-size feasibility gate: spin-off event table (parent, spun entity, distribution date) from the Benzinga headline tape vs the pre-registered >=25 events/yr 2016-2024 power bar.
Thesis / edge. Index-fund / mandate-constrained holders mechanically sell distributed spin-off shares, depressing the spun entity for weeks; buying +20td post-distribution and holding 250d vs IWM captures the recovery drift (classic Cusatis/Miles-Rosenfeld effect).
Class n/a (offline data gate) (n/a) · 1 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts KILL:1

Pre-registered kill criteria: Triggered at 3.7-5x margin on the tape count; the theoretical population maximum (~150-200 true US spin-offs in-window) is itself below the 225 bar, so no parser or free data source can pass this gate.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
feasibility gate (pre-registered, decisive)	1,852 spin-context …	Daily	2016-01-01→2024-12-31	FULL	—	—	—	—	—	—	—	—	KILL	.cs · cfg	—

Horizon-diversified BTC TS-trend (1/N average of 5d-252d sub-signals) H31

What it does. Graded long/flat BTC position = fraction of horizon lookbacks with positive trailing return; attacks the 252d edge's low breadth via horizon (not asset) diversification.
Thesis / edge. Liu-Tsyvinski (RFS 2021): crypto TS-momentum strongest at 1d-4wk horizons — never tested by this program (only 252d). If horizons are distinct bets, 1/N-averaging them keeps the core Sharpe while raising breadth / cutting DD; if they are the same long-bias at different speeds, averaging dilutes with turnover.
Class H1TrendEnsemblePortfolioAlgorithm (C#) · 48 backtests · best OOS Sharpe (excl. buy&hold): 1.02 · verdicts FAIL:4 · KILL:2 · REF:42

Pre-registered kill criteria: Pre-registered backtests/H31HorizonTrend/PLAN.md: KILL if OOS Sharpe(ens-all) < single-252(reb=1) without DD gain (K1), ens-short OOS Sharpe <= 0 at 4.5bps (K2), or ens-all < 0.7 at 4.5bps (K3); PASS required Sharpe >= single-252, DD <= 32%, CPCV >=70% folds positive, ens-short perm-p < 0.10, effN-DSR > 0.5.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
lb126 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	1.02	1.50→1.02	31.3%	26.0%	1.15	48.5%	2.31%	—	REF	.cs · cfg	view · gh
lb126 reb1 25bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.95	1.48→0.95	29.1%	26.0%	1.07	44.0%	2.31%	—	REF	.cs · cfg	view · gh
lb252 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.87	1.48→0.87	28.6%	35.3%	1.12	36.1%	0.85%	—	REF	.cs · cfg	view · gh
lb126 reb1 50bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.87	1.45→0.87	26.4%	26.0%	0.98	38.6%	2.31%	—	REF	.cs · cfg	view · gh
lb252 reb1 25bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.85	1.47→0.85	27.8%	35.5%	1.09	34.8%	0.85%	—	REF	.cs · cfg	view · gh
lb252 reb1 50bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.82	1.46→0.82	26.8%	35.9%	1.06	33.2%	0.85%	—	REF	.cs · cfg	view · gh
core reb1 4.5bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.72	1.49→0.72	21.6%	26.6%	0.94	30.5%	2.36%	—	REF	.cs · cfg	view · gh
core reb1 25bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.65	1.47→0.65	19.4%	28.0%	0.85	26.6%	2.36%	—	REF	.cs · cfg	view · gh
core reb1 50bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.57	1.45→0.57	16.9%	29.7%	0.74	22.2%	2.36%	—	REF	.cs · cfg	view · gh
all reb1 4.5bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.50	2.43→0.50	14.3%	37.9%	0.69	19.6%	7.50%	—	KILL	.cs · cfg	view · gh
lb21 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.30	3.00→0.30	8.4%	49.4%	0.33	10.5%	9.59%	—	REF	.cs · cfg	view · gh
all reb1 25bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.28	2.35→0.28	8.1%	41.5%	0.39	10.4%	7.51%	—	FAIL	.cs · cfg	view · gh
lb63 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.28	1.48→0.28	7.7%	43.2%	0.28	9.6%	4.98%	—	REF	.cs · cfg	view · gh
lb63 reb1 25bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.15	1.42→0.15	3.7%	45.0%	0.16	6.2%	4.98%	—	REF	.cs · cfg	view · gh
short reb1 4.5bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.12	2.88→0.12	3.6%	52.3%	0.15	5.9%	11.71%	—	KILL	.cs · cfg	view · gh
lb21 reb1 25bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.06	2.88→0.06	0.9%	53.8%	0.06	4.3%	9.60%	—	REF	.cs · cfg	view · gh
all reb1 50bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.03	2.26→0.03	0.9%	45.7%	0.04	4.0%	7.51%	—	FAIL	.cs · cfg	view · gh
lb63 reb1 50bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	0.01	1.36→0.01	-0.9%	47.1%	0.01	3.4%	4.99%	—	REF	.cs · cfg	view · gh
short reb1 25bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	-0.19	2.72→-0.19	-5.1%	56.6%	-0.25	1.4%	11.71%	—	FAIL	.cs · cfg	view · gh
lb21 reb1 50bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	-0.21	2.74→-0.21	-7.5%	58.6%	-0.23	1.2%	9.62%	—	REF	.cs · cfg	view · gh
lb5 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	-0.23	3.09→-0.23	-8.4%	68.4%	-0.26	1.0%	22.10%	—	REF	.cs · cfg	view · gh
short reb1 50bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	-0.53	2.54→-0.53	-14.7%	61.5%	-0.70	0.2%	11.72%	—	FAIL	.cs · cfg	view · gh
lb5 reb1 25bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	-0.66	2.78→-0.66	-22.4%	73.7%	-0.77	0.0%	22.13%	—	REF	.cs · cfg	view · gh
lb5 reb1 50bps	BTCUSD (Coinbase)	Daily	2022-01-01→2026-07-01	OOS	-1.07	2.43→-1.07	-36.5%	87.3%	-1.27	0.0%	22.15%	—	REF	.cs · cfg	view · gh
lb5 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	3.09	3.09→-0.23	145.0%	62.4%	3.86	96.0%	9.18%	—	REF	.cs · cfg	view · gh
lb21 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	3.00	3.00→0.30	139.6%	62.4%	3.60	95.5%	3.60%	—	REF	.cs · cfg	view · gh
lb21 reb1 25bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.88	2.88→0.06	133.3%	62.4%	3.46	94.4%	3.60%	—	REF	.cs · cfg	view · gh
short reb1 4.5bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.88	2.88→0.12	127.1%	56.3%	3.75	96.2%	4.51%	—	REF	.cs · cfg	view · gh
lb5 reb1 25bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.78	2.78→-0.66	128.8%	62.4%	3.49	93.1%	9.19%	—	REF	.cs · cfg	view · gh
lb21 reb1 50bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.74	2.74→-0.21	125.8%	62.4%	3.30	92.8%	3.60%	—	REF	.cs · cfg	view · gh
short reb1 25bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.72	2.72→-0.19	119.6%	59.7%	3.56	94.8%	4.52%	—	REF	.cs · cfg	view · gh
short reb1 50bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.54	2.54→-0.53	110.7%	63.5%	3.33	92.5%	4.52%	—	REF	.cs · cfg	view · gh
all reb1 4.5bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.43	2.43→0.50	100.6%	58.3%	3.10	92.9%	2.36%	—	REF	.cs · cfg	view · gh
lb5 reb1 50bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.43	2.43→-1.07	110.4%	62.4%	3.07	87.7%	9.20%	—	REF	.cs · cfg	view · gh
all reb1 25bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.35	2.35→0.28	97.1%	60.4%	3.00	91.7%	2.36%	—	REF	.cs · cfg	view · gh
all reb1 50bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	2.26	2.26→0.03	92.9%	62.9%	2.89	89.9%	2.36%	—	REF	.cs · cfg	view · gh
lb126 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.50	1.50→1.02	55.0%	65.0%	1.20	64.7%	0.85%	—	REF	.cs · cfg	view · gh
core reb1 4.5bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.49	1.49→0.72	53.0%	65.3%	1.23	65.9%	0.67%	—	REF	.cs · cfg	view · gh
lb252 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.48	1.48→0.87	54.5%	70.1%	1.21	63.0%	0.25%	—	REF	.cs · cfg	view · gh
lb63 reb1 4.5bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.48	1.48→0.28	53.1%	73.9%	1.18	64.3%	2.03%	—	REF	.cs · cfg	view · gh
lb126 reb1 25bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.48	1.48→0.95	54.0%	65.6%	1.19	63.4%	0.85%	—	REF	.cs · cfg	view · gh
core reb1 25bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.47	1.47→0.65	52.2%	66.1%	1.22	64.8%	0.67%	—	REF	.cs · cfg	view · gh
lb252 reb1 25bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.47	1.47→0.85	54.2%	70.1%	1.20	62.6%	0.25%	—	REF	.cs · cfg	view · gh
lb252 reb1 50bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.46	1.46→0.82	53.8%	70.1%	1.20	62.2%	0.25%	—	REF	.cs · cfg	view · gh
core reb1 50bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.45	1.45→0.57	51.3%	67.2%	1.20	63.5%	0.67%	—	REF	.cs · cfg	view · gh
lb126 reb1 50bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.45	1.45→0.87	52.9%	66.5%	1.17	61.8%	0.85%	—	REF	.cs · cfg	view · gh
lb63 reb1 25bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.42	1.42→0.15	50.8%	75.7%	1.14	61.0%	2.03%	—	REF	.cs · cfg	view · gh
lb63 reb1 50bps	BTCUSD (Coinbase)	Daily	2015-07-20→2021-12-31	IS	1.36	1.36→0.01	48.0%	77.7%	1.09	57.0%	2.04%	—	REF	.cs · cfg	view · gh

Rebalance-day closing-auction dislocation (long dislocated-down names, MOC entry) H32

What it does. Buy z<-2 auction-dislocated names at the closing print on witching/Russell/month-end days, exit next open; liquidity provision to predictable passive index flows.
Thesis / edge. On publicly-known index-rebalance dates, passive MOC flows predictably displace auction prices and the dislocation reverts overnight (H25 side-observation: 19.66/17.84 bps gross IS/OOS vs 5.15/7.34 ordinary days). MOC entry pays no spread, so the H25 cost-bar objection does not apply.
Class (offline panel study — no LEAN algo) (Python) · 2 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts KILL:1 · REF:1

Pre-registered kill criteria: Pre-registered backtests/H32RebalanceAuction/PLAN.md: KILL if OOS net <= 0, IS/OOS sign flip, ex-top-3-days OOS net <= 0, witching+Russell slice <= 0 OOS, or >=50% years negative. PASS required OOS net >= 5bps/event with day-t >= 2, >=70% years positive, ex-top-3 > 0, 2x-cost survival, and a net-positive witching+Russell slice.

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
primary long z<-2 open-exit all-classes	top-1000 liquid ann…	Daily (auction print + 15:55-16:00 NBBO)	2023-01-01→2026-07-15	OOS	—	—	—	—	—	—	—	—	KILL	.cs · cfg	—
primary long z<-2 open-exit all-classes	top-1000 liquid ann…	Daily (auction print + 15:55-16:00 NBBO)	2016-01-04→2022-12-31	IS	—	—	—	—	—	—	—	—	REF	.cs · cfg	—

12-1 Momentum, BETA-HEDGED via SHORT SPY (survivorship-safe market-neutral alpha) H-MOM-HEDGE

What it does. LONG top-quantile 12-1 cross-sectional momentum (top-500 by $vol US equities, EW, monthly) with market beta neutralized by SHORTING SPY (an index, not individual losers => survivorship-SAFE). Isolates the momentum SELECTION alpha net of the market.
Thesis / edge. Iter1 proved the LONG 12-1 momentum ranking has real survivorship-robust selection skill but long-only Sharpe ~= SPY (full beta). Short an INDEX (not delisting-corrupted individual losers) to neutralize beta and test whether the isolated momentum alpha has a tradeable market-neutral net Sharpe.
Class MomBetaHedge1211Algorithm (C#) · 7 backtests · best OOS Sharpe (excl. buy&hold): 0.53 · verdicts BENCHMARK:1 · FAIL:1 · REF:5

Pre-registered kill criteria: n/a (reference)

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
fixed_unit_hedge_decile_10bps	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.53	—	18.2%	26.8%	0.57	18.0%	2.09%	—	REF	.cs · cfg	view · gh
spy_buyhold_benchmark	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.47	—	13.8%	25.3%	0.54	20.3%	0.05%	—	BENCHMARK	.cs · cfg	view · gh
beta_hedge_decile_5bps	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.27	—	10.1%	37.9%	0.30	6.4%	2.39%	—	REF	.cs · cfg	view · gh
beta_hedge_decile_10bps	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.25	0.27→0.25	9.8%	39.1%	0.28	6.0%	2.39%	0.21@20bps	FAIL	.cs · cfg	view · gh
beta_hedge_decile_20bps	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.21	—	8.7%	40.9%	0.24	4.9%	2.39%	—	REF	.cs · cfg	view · gh
beta_hedge_decile_10bps	~842 non-ETF liquid…	Daily	2016-01-01→2026-06-30	FULL	0.25	—	8.0%	39.2%	0.26	1.3%	2.17%	—	REF	.cs · cfg	view · gh
beta_hedge_decile_10bps	~842 non-ETF liquid…	Daily	2016-01-01→2020-12-31	IS	0.27	—	6.0%	17.7%	0.26	6.0%	2.00%	—	REF	.cs · cfg	view · gh

12-1 XSec Momentum (dollar-neutral decile) — FULL H-MOM

What it does. Dollar-neutral cross-sectional 12-1 price momentum: long top decile / short bottom decile of the top-500-by-dollar-volume US equities, equal-weight, monthly rebalance.
Thesis / edge. Jegadeesh-Titman relative-strength momentum (E9): past 12-1m winners keep winning ~1m (behavioral under-reaction). Market-neutral construction isolates the cross-sectional signal (clean permutation test).
Class MomXsec1211Algorithm (C#) · 7 backtests · best OOS Sharpe (excl. buy&hold): 0.82 · verdicts MIXED:2 · REF:5

Pre-registered kill criteria: n/a (reference)

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
longonly_decile_10bps	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.82	0.71→0.82	32.8%	34.5%	0.92	33.6%	1.84%	—	MIXED	.cs · cfg	view · gh
dn_decile_5bps	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.44	0.22→0.44	17.5%	49.2%	0.49	9.3%	4.08%	0.38@20bps	REF	.cs · cfg	view · gh
dn_decile_10bps	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.42	0.22→0.42	16.6%	49.4%	0.47	8.5%	4.08%	0.38@20bps	MIXED	.cs · cfg	view · gh
dn_decile_20bps	~842 non-ETF liquid…	Daily	2021-01-01→2026-06-30	OOS	0.37	0.22→0.38	14.7%	50.5%	0.42	6.9%	4.09%	0.38@20bps	REF	.cs · cfg	view · gh
dn_decile_10bps	~842 non-ETF liquid…	Daily	2016-01-01→2026-06-30	FULL	0.33	0.22→0.42	11.4%	49.6%	0.32	1.2%	3.63%	0.38@20bps	REF	.cs · cfg	view · gh
longonly_decile_10bps	~842 non-ETF liquid…	Daily	2016-01-01→2020-12-31	IS	0.71	0.71→0.82	20.3%	36.9%	0.62	24.3%	1.53%	—	REF	.cs · cfg	view · gh
dn_decile_10bps	~842 non-ETF liquid…	Daily	2016-01-01→2020-12-31	IS	0.22	0.22→0.42	5.8%	42.8%	0.18	2.9%	3.19%	0.38@20bps	REF	.cs · cfg	view · gh

R1 — Option-expiration-week calendar panel R1

What it does. Offline Stage-1 weekly panel: OPEX-week (calendar week containing the holiday-adjusted 3rd-Friday monthly expiration) vs other-week TOTAL returns on SPY/QQQ/IWM, 342 expirations 1998-01..2026-06. The pre-registered decisive gate is the post-2016 window — the missing published post-2010 decay test of Stivers-Sun 2013.
Thesis / edge. Stivers-Sun (2013 JBF): S&P100 expiration weeks averaged 0.45%/wk vs 0.12%/wk 1983-2008; mechanism = MM delta-hedge unwinding as monthly OI collapses into expiration. Adversarial prior: mechanism structurally diluted by weeklies (2010->) and 0DTE (2022->); McLean-Pontiff decay expected.
Class n/a (offline panel gate) (n/a) · 2 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts FAIL:1 · KILL:1

Pre-registered kill criteria: See R1OpexWeek__panel_opex_vs_other__POST2016 (decisive).

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
decisive gate window (pre-registered, 0DTE era)	SPY 1998-01..2026-0…	Daily (LEAN raw bars; explicit dividend add-back -> total returns)	2016-01-01→2026-07-02	OOS	—	—	—	—	—	—	—	—	KILL	.cs · cfg	—
full-history decay measurement (replication + weeklies era + 0DTE era)	SPY 1998-01..2026-0…	Daily (LEAN raw bars; explicit dividend add-back -> total returns)	1998-01-01→2026-07-02	FULL	—	—	—	—	—	—	—	—	FAIL	.cs · cfg	—

R2 — Macro-announcement-day risk/return panel R2

What it does. Offline Stage-1 daily panel: scheduled FOMC/CPI/NFP announcement days vs clean non-announcement days, TOTAL returns on SPY/QQQ/IWM 1998-01..2026-07. Dual pre-registered gate: RETURN (tradeable a-day premium POST2015) and RISK (actionable a-day variance concentration for sizing). Calendars: federalreserve.gov scheduled meetings (conference calls/unscheduled/cancelled/notation votes excluded) + ALFRED CPIAUCSL/PAYEMS vintage dates (= actual release dates; 19/19 known-date checks incl. 2013 shutdown delays).
Thesis / edge. Savor-Wilson (2013 JFQA): 11.4bp a-day vs 1.1bp other, 1958-2009; Lucca-Moench (2015 JF) 49bp pre-FOMC 24h. Adversarial: Ernst-Gilbert-Hrdlicka ~50% attenuation; Kurov et al (2020) pre-FOMC drift 44.5->9.2bp post-2015. House prior: ~70% the VOL concentration is usable for sizing, ~15-20% any return premium survives post-2015.
Class n/a (offline panel gate) (n/a) · 2 backtests · best OOS Sharpe (excl. buy&hold): — · verdicts KILL:2

Pre-registered kill criteria: n/a (gate decided on POST2015 only, per registration)

Variant	Universe	Res	Period	Label	Sharpe	IS→OOS	CAGR	MaxDD	Sortino	PSR	Turn	Cost-surv	Verdict	Script	Report
decisive gate window (pre-registered; post-Lucca-Moench-publication OOS)	SPY 1998-01..2026-0…	Daily (LEAN raw bars; explicit dividend add-back -> total returns)	2015-01-01→2026-07-02	OOS	—	—	—	—	—	—	—	—	KILL	.cs · cfg	—
full-sample replication window (measurement, not gate)	SPY 1998-01..2026-0…	Daily (LEAN raw bars; explicit dividend add-back -> total returns)	1998-01-02→2026-07-02	FULL	—	—	—	—	—	—	—	—	KILL	.cs · cfg	—

All metrics originate in LEAN result JSONs (statistics / totalPerformance.portfolioStatistics / tradeStatistics); Calmar and the McLean-Pontiff expected-live Sharpe are the only derived figures (simple functions of LEAN fields). Records: backtests/registry/*.json. Standard: BACKTEST_STANDARD.md. Rebuild: python tools/build_dashboard.py.
Caveats carried from the research: FixedRiskBands cells are whole-period with NO OOS split (cannot PASS); LEAN Sharpe is net of the risk-free rate (depresses 1998–2007 figures); single-stock TSMOM is noisier than index trend; crypto BTCUSD daily has a 6.4-year hole (VSA-BTC not walk-forwardable).