Pre-reg: PRIMARY = skip gate60 long if prior-day 30d-supply-growth z365 < -1.0 (redemption washout). IS < 2025-01-01, OOS >= 2025-01-01 (teeth: supply from 2017, gate60 from 2022-12). Lag-1 by calendar. Non-OK days BLOCKED, counted separately. Endogeneity controls pre-registered (supply chases rallies).
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 364/364 longs; washout skips 0; blocked 0 days. Level diag: kept 359/364 longs; washout skips 5; blocked 0 days. Chg90 diag: kept 352/364 longs; washout skips 12; blocked 0 days.
| Segment | Variant | LongDays | Ret | Sharpe | Net10 Sharpe | Turnover |
|---|---|---|---|---|---|---|
| IS | baseline (gate60) | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | skip if growth_z<-1.0 (PRIMARY) | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | keep iff 30d growth>0 (level) | 255 | +84.98% | +1.01 | +0.98 | 21 flips |
| IS | skip if 90d-z<-1.0 | 256 | +86.70% | +1.03 | +1.00 | 19 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) | 108 | +65.18% | +1.11 | +1.08 | 15 flips |
| OOS | skip if growth_z<-1.0 (PRIMARY) | 108 | +65.18% | +1.11 | +1.08 | 15 flips |
| OOS | keep iff 30d growth>0 (level) | 104 | +49.13% | +0.93 | +0.90 | 17 flips |
| OOS | skip if 90d-z<-1.0 | 96 | +50.83% | +0.96 | +0.93 | 14 flips |
| OOS | control: skip if lagret>0 | 43 | +26.22% | +0.76 | +0.59 | 61 flips |
| OOS | control: skip if lagret>+0.5% | 55 | +13.71% | +0.45 | +0.30 | 59 flips |
| FULL | baseline (gate60) | 364 | +208.40% | +1.06 | +1.03 | 33 flips |
| FULL | skip if growth_z<-1.0 (PRIMARY) | 364 | +208.40% | +1.06 | +1.03 | 33 flips |
| FULL | keep iff 30d growth>0 (level) | 359 | +175.86% | +0.98 | +0.95 | 37 flips |
| FULL | skip if 90d-z<-1.0 | 352 | +181.60% | +1.00 | +0.97 | 32 flips |
| FULL | control: skip if lagret>0 | 155 | +182.95% | +1.26 | +1.04 | 205 flips |
| FULL | control: skip if lagret>+0.5% | 196 | +115.12% | +0.89 | +0.69 | 203 flips |
OOS verdict (PRIMARY, gross)
- lift +0.00, bootstrap p 1.000
- beta vs BH: +0.00 | corr: +nan | resid Sharpe +0.00 (ret +0.00%, maxDD 0.00%)
- OOS blocked-day fraction 0.0%
- DSR(K=3) 0.91 | haircut +0.58
Verdict: REJECT (lift +0.00 < +0.10; p 1.000 NOT < 0.05; resid +0.00; blocked 0.0%; DSR(K=3) 0.91; endogeneity-confound lift -0.35 < PRIMARY (corr gz/lag +0.01))
Forward returns of OK gate60-long days by growth_z quintile
| Quintile (growth_z) | Mean daily ret | Days |
|---|---|---|
| Q1(washout) | +0.886% | 73 |
| Q2 | +0.009% | 73 |
| Q3 | +0.153% | 72 |
| Q4 | +0.383% | 73 |
| Q5(inflow) | +0.401% | 73 |
Reading
- PASS needs all bars incl. the endogeneity bar (a veto that ~= lagged momentum is repackaging). IS shown for consistency; OOS decides.
- Next on PASS: walk-forward + 31d forward + shadow; on REJECT: ledger entry, flow-skip parked (feed module stays as infrastructure).
Time: 3s. Growth 30d/90d log-change, z365d.