Mirror of D1 long spec on the short side (SFI long-short's untested half): first CLOSE < 5-min OR low -> next-open short, cover 15:50, bearish-candle bias + RV>=1.0 + top-20/day. Signed ret positive when price falls. IS < 2025-01-01, OOS >= 2025-01-01. Rungs net0/net2 (retail) /net10 (house). S-variants K=4; combined K=8. Borrow/locate ASSUMED ZERO (megacap easy-to-borrow, intraday hold) — grade capped at B on any PASS pending borrow model + short-enable vote.
Window: 2020-07-27 .. 2026-09-10 (1538 days). Symbols: 50. OOS blocked 4.7%.
OOS Sharpe by rung (short leg + long leg + combined)
| Variant | net0 | net2 | net10 | OOS trades |
|---|---|---|---|---|
| S0 unfiltered short-break | -1.54 | -2.13 | -4.49 | 2335 |
| S1 +bearish-candle | -0.84 | -1.32 | -3.22 | 1398 |
| S2 +RV>=100% | +0.11 | -0.23 | -1.58 | 493 |
| S3 PRIMARY +top20 | +0.11 | -0.23 | -1.58 | 493 |
| D1 V3 long leg (same panel) | +1.72 | +1.36 | -0.05 | 501 |
| COMBINED S3+V3 (diagnostic) | +1.74 | +1.22 | -0.86 | 994 |
IS Sharpe by rung (reference only)
| Variant | net0 | net2 | net10 | IS trades |
|---|---|---|---|---|
| S0 unfiltered short-break | -1.41 | -1.64 | -2.54 | 1249 |
| S1 +bearish-candle | -0.98 | -1.19 | -2.00 | 759 |
| S2 +RV>=100% | -0.42 | -0.54 | -1.00 | 214 |
| S3 PRIMARY +top20 | -0.42 | -0.54 | -1.00 | 214 |
| D1 V3 long leg (same panel) | +0.18 | +0.06 | -0.43 | 199 |
| COMBINED S3+V3 (diagnostic) | +0.15 | -0.02 | -0.67 | 413 |
PRIMARY S3 short-only @net2
- Sharpe -0.23 (ret -11.18%, maxDD -29.08%)
- bootstrap p (all days) 0.600; traded-days p 0.597 (274 traded)
- beta -0.62, resid Sharpe +0.49
- blocked 4.7%
- DSR(K=4) 0.07 | haircut -0.19 | PSR 0.40
Verdict: REJECT
SECONDARY combined S3+V3 @net2
- Sharpe +1.22 (ret +35.90%, maxDD -21.41%)
- bootstrap p (all days) 0.098; traded-days p 0.096 (363 traded)
- beta +0.06, resid Sharpe +1.15
- blocked 4.7%
- DSR(K=8) 0.12 | haircut +0.00 | PSR 0.91
Verdict: REJECT
Reading
- Short per-trade gross edge -0.2bps over 493 OOS trades.
- Borrow/locate assumed zero: a PASS grades at B (no sleeve) until a borrow model + short-enable vote lands. Paper shorting path is also unverified (live runners are long-only by gate).
- On SECONDARY-or-PRIMARY PASS: 30d observe-only shadow (locked bars). On REJECT: ledger entry, D1 family parked, move to F2.
Time: 809s.