Pre-reg: PRIMARY = skip gate60 long if prior-day ETH DVOL z(30d) > +1.5. IS < 2025-01-01, OOS >= 2025-01-01 (DVOL from 2022-12-26). Lag-1 by calendar. Non-OK days BLOCKED, counted separately. Complacency + realized confound controls (must lose).
Window: 2022-12-02 .. 2026-09-13 (1382 days). Status mix: OK 1327, WARMING 55, NO_DATA 0, STALE 0
| Segment | Variant | LongDays | Ret | Sharpe | Net10 Sharpe | Turnover |
|---|---|---|---|---|---|---|
| IS | baseline (gate60) | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | skip if eth_z>+1.5 (PRIMARY) | 198 | +31.48% | +0.57 | +0.52 | 34 flips |
| IS | skip if btc_z>+1.5 | 203 | +33.44% | +0.59 | +0.54 | 31 flips |
| IS | skip if eth_lvl>trail-med | 18 | +4.97% | +0.31 | +0.22 | 16 flips |
| IS | control: skip if eth_z<-1.5 | 232 | +110.29% | +1.23 | +1.19 | 27 flips |
| IS | control: skip if | ret | >2% | 144 | +67.04% | +1.09 |
| OOS | baseline (gate60) | 121 | +65.79% | +1.09 | +1.07 | 15 flips |
| OOS | skip if eth_z>+1.5 (PRIMARY) | 111 | +74.60% | +1.22 | +1.17 | 25 flips |
| OOS | skip if btc_z>+1.5 | 100 | +100.74% | +1.59 | +1.55 | 21 flips |
| OOS | skip if eth_lvl>trail-med | 79 | +78.42% | +1.56 | +1.53 | 15 flips |
| OOS | control: skip if eth_z<-1.5 | 110 | +56.53% | +1.01 | +0.97 | 23 flips |
| OOS | control: skip if | ret | >2% | 56 | +2.39% | +0.17 |
| FULL | baseline (gate60) | 377 | +209.52% | +1.05 | +1.03 | 33 flips |
| FULL | skip if eth_z>+1.5 (PRIMARY) | 309 | +129.56% | +0.85 | +0.80 | 59 flips |
| FULL | skip if btc_z>+1.5 | 303 | +167.87% | +1.00 | +0.96 | 51 flips |
| FULL | skip if eth_lvl>trail-med | 97 | +87.29% | +1.06 | +1.01 | 31 flips |
| FULL | control: skip if eth_z<-1.5 | 342 | +229.16% | +1.14 | +1.10 | 49 flips |
| FULL | control: skip if | ret | >2% | 200 | +71.03% | +0.74 |
OOS verdict (PRIMARY, gross)
- lift +0.13, bootstrap p 0.338
- beta vs BH: -0.01 | corr: -0.12 | resid Sharpe +0.33 (ret +4.23%, maxDD -6.34%)
- OOS blocked-day fraction 0.0%
- DSR(K=3) 0.92 | haircut +0.74
Verdict: REJECT (lift +0.13 >= +0.10; p 0.338 NOT < 0.05; resid +0.33; blocked 0.0%; DSR(K=3) 0.92; controls complacency -0.08 / realized -0.92 < PRIMARY)
Forward returns of OK gate60-long days by eth_z quartile
| Quartile (eth_z) | Mean daily ret | Days |
|---|---|---|
| Q1(calm) | +0.588% | 95 |
| Q2 | -0.037% | 94 |
| Q3 | +0.401% | 94 |
| Q4(spike) | +0.471% | 94 |
Reading
- PASS needs all bars incl. both control bars. IS shown for consistency; OOS decides.
- Next on PASS: walk-forward + 31d forward + shadow; on REJECT: ledger entry, vol-spike veto parked with the F-family.
Time: 3s. Feed: Deribit DVOL via data/dvol.py.