Pre-reg: IS<2016/OOS>=2016, resid L126/H21 top-50 H21 next-open, veto from VIX[d-1] vs 252d median (completed bars). 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 | - |
| BASE raw (ref) | +942.19% | 1.07 | -38.77% | 1.07 | 1.01 | 8.57 | 0.77 | 0.45 | - |
| V PRIMARY skip VIX>median | +213.75% | 0.91 | -16.14% | 0.92 | 0.83 | 6.56 | 0.34 | 0.60 | 0.9948 |
| V strict VIX>1.1x median | +253.51% | 0.75 | -39.23% | 0.75 | 0.68 | 7.60 | 0.60 | 0.19 | 0.9990 |
| V velocity 21d-chg>+20% | +692.47% | 1.16 | -24.60% | 1.16 | 1.08 | 9.05 | 0.55 | 0.73 | 0.9130 |
| V control skip VIX<median | +291.63% | 0.79 | -36.72% | 0.79 | 0.74 | 6.17 | 0.72 | 0.10 | 0.9994 |
- V PRIMARY skip VIX>median: veto-active 46.5% of OOS days.
- V strict VIX>1.1x median: veto-active 33.3% of OOS days.
- V velocity 21d-chg>+20%: veto-active 19.6% of OOS days.
- V control skip VIX<median: veto-active 53.4% of OOS days.
BASE 21d-forward return by VIX/median quartile (OOS formations)
| Quartile | Mean fwd21 | N |
|---|---|---|
| Q1(calm) | +2.384% | 32 |
| Q2 | +0.279% | 31 |
| Q3 | +0.654% | 31 |
| Q4(stress) | +5.084% | 32 |
IS reference
| Variant | IS Sharpe | IS lift |
|---|---|---|
| BASE resid L126/H21 | 0.56 | - |
| BASE raw (ref) | 0.67 | - |
| V PRIMARY skip VIX>median | 0.87 | +0.31 |
| V strict VIX>1.1x median | 0.67 | +0.11 |
| V velocity 21d-chg>+20% | 0.41 | -0.15 |
| V control skip VIX<median | 0.11 | -0.45 |
PRIMARY verdict: REJECT (gross lift -0.28 / net10 -0.28 (need >=+0.10); p 0.9948 (need <0.05); resid +0.60 (need >0); IS lift +0.31 (need same sign); control lift -0.40 (need < PRIMARY); DSR(K=4) 0.99)
Time 19s.