Pre-reg: PRIMARY = skip gate60 long if prior-day 30d-supply-growth z365 > +1.0. IS < 2025-01-01, OOS >= 2025-01-01. Lag-1. Non-OK BLOCKED. SELECTION-BIAS FLAG: same feed as F9 — OOS alone cannot pass; PASS-TO-WF means walk-forward + forward, not live.
Window: 2022-12-02 .. 2026-09-13 (1382 days). Status mix: OK 1382, WARMING 0, 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 z30>+1.0 (PRIMARY) | 31 | +3.19% | +0.21 | +0.14 | 13 flips |
| IS | skip if z90>+1.0 | 32 | +27.09% | +0.92 | +0.89 | 10 flips |
| IS | skip if z30>+2.0 | 114 | +25.38% | +0.65 | +0.55 | 43 flips |
| IS | ref: F9 washout z30<-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) | 121 | +65.79% | +1.09 | +1.07 | 15 flips |
| OOS | skip if z30>+1.0 (PRIMARY) | 119 | +67.75% | +1.11 | +1.08 | 19 flips |
| OOS | skip if z90>+1.0 | 97 | +73.94% | +1.28 | +1.25 | 13 flips |
| OOS | skip if z30>+2.0 | 121 | +65.79% | +1.09 | +1.07 | 15 flips |
| OOS | ref: F9 washout z30<-1.0 | 121 | +65.79% | +1.09 | +1.07 | 15 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 z30>+1.0 (PRIMARY) | 150 | +73.09% | +0.76 | +0.72 | 31 flips |
| FULL | skip if z90>+1.0 | 129 | +121.05% | +1.07 | +1.05 | 23 flips |
| FULL | skip if z30>+2.0 | 235 | +107.87% | +0.88 | +0.82 | 57 flips |
| FULL | ref: F9 washout z30<-1.0 | 377 | +209.52% | +1.05 | +1.03 | 33 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 +0.02, bootstrap p 0.133
- beta vs BH: -0.00 | corr: -0.01 | resid Sharpe +1.03 (ret +1.18%, maxDD -0.01%)
- OOS blocked-day fraction 0.0%
- DSR(K=3) 0.91 | haircut +0.59
Verdict: REJECT (lift +0.02 < +0.10; p 0.133 NOT < 0.05; resid +1.03; blocked 0.0%; DSR(K=3) 0.91; controls -0.20/-0.56 < PRIMARY)
Forward returns of OK gate60-long days by z30 quintile
| Quintile (z30) | Mean daily ret | Days |
|---|---|---|
| Q1 | +0.635% | 76 |
| Q2 | +0.215% | 75 |
| Q3 | +0.210% | 75 |
| Q4 | +0.221% | 75 |
| Q5(inflow) | +0.494% | 76 |
Reading
- PASS-TO-WF proceeds to walk-forward 3/5 + 31d forward + shadow (F2b path). On REJECT: ledger entry, stablecoin family parked.
Time: 3s. Loader reused frozen from F9.