Pre-reg: split IS<2016-01-01/OOS>=2016-01-01 (house; feed from 2007). Resid L126/H21 top-50 H21 next-open. PIT via filingDate<=d-1 (txnDate empty upstream — filingDate only). Uncovered names never skip. Costs 10bps/25bps-stress. sqrt252.
Feed: 25263 sale-days 2007-01-03..2026-09-15; mapped sale 83/501 names, buy 82/501.
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 | - |
| I PRIMARY skip sales>=3/21d | +1133.36% | 1.19 | -36.18% | 1.19 | 1.13 | 8.41 | 0.79 | 0.63 | 0.9212 |
| I strict sales>=5/21d | +1207.12% | 1.20 | -35.49% | 1.20 | 1.14 | 8.25 | 0.79 | 0.66 | 0.4252 |
| I velocity sales>=2/7d | +1200.25% | 1.20 | -36.26% | 1.20 | 1.14 | 8.30 | 0.79 | 0.66 | 0.5132 |
| I control buys>=2/21d | +1199.39% | 1.20 | -35.49% | 1.20 | 1.14 | 8.13 | 0.79 | 0.65 | 0.4530 |
- I PRIMARY skip sales>=3/21d: skip-flag 1.777% of name-days.
- I strict sales>=5/21d: skip-flag 0.594% of name-days.
- I velocity sales>=2/7d: skip-flag 1.012% of name-days.
- I control buys>=2/21d: skip-flag 0.150% of name-days.
IS reference
| Variant | IS Sharpe | IS lift |
|---|---|---|
| BASE resid L126/H21 | 0.56 | - |
| I PRIMARY skip sales>=3/21d | 0.53 | -0.03 |
| I strict sales>=5/21d | 0.55 | -0.01 |
| I velocity sales>=2/7d | 0.53 | -0.03 |
| I control buys>=2/21d | 0.57 | +0.01 |
PRIMARY verdict: REJECT (gross lift -0.01 / net10 -0.01 (need >=+0.10); p 0.9212 (need <0.05); resid +0.63 (need >0); IS lift -0.03 (need same sign); control lift +0.00 (need < PRIMARY); DSR(K=4) 1.00)
Time 23s.