_Pre-reg: PRIMARY = keep gate60 long only if spread[D-1] <= trailing-252d median (BAA10Y-AAA10Y differential, lag-1). IS < 2025-01-01, OOS >= 2025-01-01. Spread ffilled to UTC-daily grid. Non-OK days BLOCKED, counted separately. Sensitivities: live-parity absolute 250bps gate + z-spike gate. Data per the closed 2026-09-12 incident note (cache correct, no repair).
Window: 2022-12-02 .. 2026-08-31 (1369 days). Status mix: OK 1369, WARMING 0, NO_DATA 0, STALE 0
PRIMARY diag (full window): kept 356/364 longs; stress skips 8; blocked 0 days. Live-parity diag: kept 364/364 longs; stress skips 0; blocked 0 days. Spike diag: kept 351/364 longs; stress skips 13; blocked 0 days. Live-250bps gate fires on 0.00% of all days (keeps 100.00%) — threshold-question diagnostic.
| Segment | Variant | LongDays | Ret | Sharpe | Net10 Sharpe | Turnover |
|---|---|---|---|---|---|---|
| IS | baseline (gate60) | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | spread<=252d median (PRIMARY) | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | spread<=2.50 (live-parity) | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | spread z30<=1.5 (spike) | 245 | +94.82% | +1.10 | +1.06 | 28 flips |
| OOS | baseline (gate60) | 108 | +65.18% | +1.11 | +1.08 | 15 flips |
| OOS | spread<=252d median (PRIMARY) | 100 | +42.79% | +0.86 | +0.83 | 19 flips |
| OOS | spread<=2.50 (live-parity) | 108 | +65.18% | +1.11 | +1.08 | 15 flips |
| OOS | spread z30<=1.5 (spike) | 106 | +66.78% | +1.14 | +1.10 | 17 flips |
| FULL | baseline (gate60) | 364 | +208.40% | +1.06 | +1.03 | 33 flips |
| FULL | spread<=252d median (PRIMARY) | 356 | +166.59% | +0.96 | +0.93 | 37 flips |
| FULL | spread<=2.50 (live-parity) | 364 | +208.40% | +1.06 | +1.03 | 33 flips |
| FULL | spread z30<=1.5 (spike) | 351 | +224.93% | +1.12 | +1.08 | 45 flips |
OOS verdict (PRIMARY, gross)
- lift -0.24, bootstrap p 0.881
- beta vs BH: -0.02 | corr: -0.15 | resid Sharpe -0.87 (ret -14.92%, maxDD -18.24%)
- OOS blocked-day fraction 0.0%
Verdict: REJECT (lift -0.24 < +0.10; p 0.881 NOT < 0.05; resid Sharpe -0.87 <= 0; blocked 0.0% < 50%)
Forward returns of OK gate60-long days by spread_ratio quartile
| Quartile (spread_ratio) | Mean daily ret | Days |
|---|---|---|
| Q1(low) | +0.253% | 93 |
| Q2 | +0.207% | 92 |
| Q3 | +0.253% | 91 |
| Q4(high) | +0.773% | 88 |
Reading
- PASS needs lift ≥ +0.10 with p < 0.05 on OOS, positive residual, and <50% blocked days. A pure drawdown cut at matched Sharpe is a REJECT here (sizing-study trade, not a skip-filter). IS shown for consistency.
- Net@10/25bps alongside gross; weekend gate state = Friday's regime.
- Next on PASS: walk-forward + shadow overlay; on REJECT: F5 news/LLM shrink-only (F3 OKX promotion still blocked on 90d warmup).
Time: 3s. Gate: spread<=252d median (min_periods=180), live-parity 2.50, spike z(30d)>1.5.