Pre-reg: PRIMARY = 1.25x size on OK long days with prior-day OI-change z(30d) > +1.0, else 1.0x (blind leg -> 1.0x, collapse tail untouched). IS < 2025-01-01, OOS >= 2025-01-01. Costs per unit-notional flip. SELECTION-BIAS FLAG: hypothesis from F2's OOS-inclusive quartile => DSR K=6 across the F2 family + walk-forward 3/5 + 31d forward required; full-window OOS alone cannot pass this.
Window: 2022-12-02 .. 2026-08-31 (1369 days). Boost days: 24/162 OK longs (14.8%).
| Segment | Variant | LongDays | Ret | Sharpe | Net10 Sharpe | Turnover | BoostDays |
|---|---|---|---|---|---|---|---|
| IS | baseline (gate60, 1.0x) | 54 | +11.98% | +0.39 | +0.38 | 3 flips | 0 boost |
| IS | confirm oi_z>+1.0 -> 1.25x (PRIMARY) | 54 | +12.82% | +0.40 | +0.38 | 6 flips | 7 boost |
| IS | confirm oi_z>+0.5 -> 1.25x | 54 | +14.20% | +0.42 | +0.41 | 7 flips | 12 boost |
| OOS | baseline (gate60, 1.0x) | 108 | +65.18% | +1.11 | +1.08 | 15 flips | 0 boost |
| OOS | confirm oi_z>+1.0 -> 1.25x (PRIMARY) | 108 | +72.97% | +1.17 | +1.13 | 22 flips | 17 boost |
| OOS | confirm oi_z>+0.5 -> 1.25x | 108 | +79.77% | +1.21 | +1.17 | 27 flips | 32 boost |
| FULL | baseline (gate60, 1.0x) | 162 | +84.97% | +0.78 | +0.76 | 17 flips | 0 boost |
| FULL | confirm oi_z>+1.0 -> 1.25x (PRIMARY) | 162 | +95.14% | +0.81 | +0.79 | 27 flips | 24 boost |
| FULL | confirm oi_z>+0.5 -> 1.25x | 162 | +105.31% | +0.85 | +0.82 | 34 flips | 44 boost |
OOS verdict (PRIMARY, gross)
- lift +0.06, bootstrap p 0.065
- beta vs BH: +0.01 | corr: +0.16 | resid Sharpe +1.10 (ret +5.17%, maxDD -2.29%)
- OOS blocked-day fraction 0.0%
- DSR(K=6) 0.89 | haircut +0.20
Verdict: REJECT (lift +0.06 < +0.10; p 0.065 NOT < 0.05; resid Sharpe +1.10 > 0; blocked 0.0% < 50%; maxDD -0.0pp <= +5pp tol; DSR(K=6) 0.89)
Reading
- PASS here means proceed to walk-forward + forward, not live. Bull-window caveat: metrics start 2024-06 (no 2022 bear); walk-forward must span all available regimes. Leverage: 1.25x mirrors the live carry MULT_BOOST within max_leverage=1.0 (fraction-based sizing).
- Next on PASS: walk-forward 3/5 + multi-coin staging + 31d forward; on REJECT: ledger entry, F2 family closed.
Time: 3s. Boost cap 1.25x asserted in code.