Pre-reg: IS<2016/OOS>=2016, resid L126/H21 top-50 H21 next-open, veto from BAA-AAA bps[d-1] (completed FRED bars; local 1939+ cache preserved, not refetched). Costs 10bps/25bps-stress. sqrt252.
Scoreboard (OOS)
| Variant | Ret | Sharpe | MaxDD | Net10 | Net25 | Turn/yr | CorrMkt | ResidSh | p vs BASE |
|---|---|---|---|---|---|---|---|---|---|
| BASE resid L126/H21 | +1198.86% | 1.20 | -35.49% | 1.20 | 1.14 | 8.12 | 0.79 | 0.65 | - |
| C PRIMARY skip spr>median | +257.27% | 0.76 | -35.49% | 0.76 | 0.71 | 5.70 | 0.55 | 0.25 | 0.9990 |
| C level spr>p75 | +442.73% | 0.93 | -35.90% | 0.93 | 0.88 | 6.40 | 0.59 | 0.42 | 0.9934 |
| C velocity 63d-widen>+25% | +963.81% | 1.14 | -35.49% | 1.14 | 1.08 | 8.00 | 0.75 | 0.58 | 0.8762 |
| C strict median+25bps | +677.29% | 1.03 | -35.49% | 1.03 | 0.97 | 7.42 | 0.72 | 0.43 | 0.9872 |
| C control skip spr<median | +282.14% | 1.01 | -20.29% | 1.01 | 0.96 | 4.62 | 0.58 | 0.52 | 0.9908 |
- C PRIMARY skip spr>median: veto-active 35.8% of OOS days.
- C level spr>p75: veto-active 23.9% of OOS days.
- C velocity 63d-widen>+25%: veto-active 6.9% of OOS days.
- C strict median+25bps: veto-active 9.5% of OOS days.
- C control skip spr<median: veto-active 62.9% of OOS days.
BASE 21d-forward return by spread/median quartile (OOS formations)
| Quartile | Mean fwd21 | N |
|---|---|---|
| Q1(tight) | +1.731% | 32 |
| Q2 | +1.260% | 31 |
| Q3 | +2.551% | 31 |
| Q4(wide) | +3.314% | 32 |
IS reference
| Variant | IS Sharpe | IS lift |
|---|---|---|
| BASE resid L126/H21 | 0.56 | - |
| C PRIMARY skip spr>median | 0.84 | +0.28 |
| C level spr>p75 | 0.88 | +0.32 |
| C velocity 63d-widen>+25% | 0.85 | +0.29 |
| C strict median+25bps | 0.91 | +0.35 |
| C control skip spr<median | 0.10 | -0.46 |
PRIMARY verdict: REJECT (gross lift -0.44 / net10 -0.44 (need >=+0.10); p 0.9990 (need <0.05); resid +0.25 (need >0); IS lift +0.28 (need same sign); control lift -0.19 (need < PRIMARY); DSR(K=5) 0.97)
Time 24s.