Pre-reg: PRIMARY = skip gate60 long if prior-day F&G >= 75 (canonical extreme greed). IS < 2025-01-01, OOS >= 2025-01-01 (teeth: fng from 2018, gate60 from 2022-12). Lag-1 by calendar. Non-OK days BLOCKED, counted separately. Reversal-confound controls pre-registered (F&G embeds momentum by construction).
Window: 2022-12-02 .. 2026-09-13 (1382 days). Status mix: OK 1381, WARMING 0, NO_DATA 1, STALE 0
PRIMARY diag (full window): kept 273/377 longs; greed skips 104; blocked 1 days. Fear-ride diag: kept 0/377 longs; greed skips 377; blocked 1 days. Trail-med diag: kept 64/377 longs; greed skips 313; blocked 1 days. Greed55 diag: kept 30/377 longs; greed skips 347; blocked 1 days.
| Segment | Variant | LongDays | Ret | Sharpe | Net10 Sharpe | Turnover |
|---|---|---|---|---|---|---|
| IS | baseline (gate60) | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | skip if fng>=75 (PRIMARY) | 161 | +69.30% | +1.25 | +1.15 | 49 flips |
| IS | keep iff fng<=25 (fear-ride) | 0 | +0.00% | +0.00 | +0.00 | 0 flips |
| IS | skip if fng>trail-med | 22 | +4.00% | +0.35 | +0.18 | 21 flips |
| IS | skip if fng>=55 | 11 | +6.77% | +0.91 | +0.79 | 10 flips |
| IS | control: skip if lagret>0 | 112 | +124.17% | +1.60 | +1.34 | 144 flips |
| IS | control: skip if lagret>+0.5% | 141 | +89.19% | +1.17 | +0.94 | 145 flips |
| OOS | baseline (gate60) | 121 | +65.79% | +1.09 | +1.07 | 15 flips |
| OOS | skip if fng>=75 (PRIMARY) | 112 | +87.99% | +1.37 | +1.33 | 23 flips |
| OOS | keep iff fng<=25 (fear-ride) | 0 | +0.00% | +0.00 | +0.00 | 0 flips |
| OOS | skip if fng>trail-med | 42 | +60.02% | +1.40 | +1.34 | 22 flips |
| OOS | skip if fng>=55 | 19 | +31.73% | +1.06 | +1.01 | 16 flips |
| OOS | control: skip if lagret>0 | 50 | +33.59% | +0.89 | +0.71 | 68 flips |
| OOS | control: skip if lagret>+0.5% | 63 | +18.00% | +0.53 | +0.36 | 67 flips |
| FULL | baseline (gate60) | 377 | +209.52% | +1.05 | +1.03 | 33 flips |
| FULL | skip if fng>=75 (PRIMARY) | 273 | +218.27% | +1.30 | +1.23 | 71 flips |
| FULL | keep iff fng<=25 (fear-ride) | 0 | +0.00% | +0.00 | +0.00 | 0 flips |
| FULL | skip if fng>trail-med | 64 | +66.43% | +0.97 | +0.90 | 42 flips |
| FULL | skip if fng>=55 | 30 | +40.64% | +0.85 | +0.79 | 26 flips |
| FULL | control: skip if lagret>0 | 162 | +199.46% | +1.31 | +1.08 | 212 flips |
| FULL | control: skip if lagret>+0.5% | 204 | +123.23% | +0.91 | +0.71 | 211 flips |
OOS verdict (PRIMARY, gross)
- lift +0.28, bootstrap p 0.156
- beta vs BH: -0.02 | corr: -0.13 | resid Sharpe +0.79 (ret +12.07%, maxDD -4.99%)
- OOS blocked-day fraction 0.0%
- DSR(K=4) 0.82 | haircut +0.80
Verdict: REJECT (lift +0.28 >= +0.10; p 0.156 NOT < 0.05; resid +0.79; blocked 0.0%; DSR(K=4) 0.82; reversal-confound lift -0.20 < PRIMARY (corr fng/lag +0.05))
Forward returns of OK gate60-long days by fng quintile
| Quintile (fng) | Mean daily ret | Days |
|---|---|---|
| Q1 | +0.355% | 85 |
| Q2 | +0.688% | 88 |
| Q3 | -0.003% | 67 |
| Q4 | +0.574% | 64 |
| Q5(greed) | +0.096% | 73 |
Reading
- PASS needs all bars incl. the confound bar (a veto that ~= short-term reversal is repackaging, however pretty). IS shown for consistency; OOS decides.
- Next on PASS: walk-forward + 31d forward + shadow; on REJECT: ledger entry, sentiment-skip parked (F8 DVOL untouched).
Time: 3s. Bands canonical 75/25/55; median 252d.