Window 2022-12-02..2026-08-31 (1369d, 364 longs) | split IS<2025-01-01/OOS>= | OOS baseline Sharpe +1.11 | z24 quartile longs: Q1 +0.338% (n=91); Q2 +0.005% (n=91); Q3 +0.047% (n=91); Q4 +1.079% (n=91)
A4. Overlap: depth-skip vs carry-halve (long days, valid feats)
- longs valid 177, skip 54, halve 2, boost 8
- P(halve|skip) 1.9%, P(skip|halve) 50.0% (STACKED)
- corr z24/carry -0.02, z24/basis +0.04, carry/basis +0.71
A2/B. Variants (fail-closed: NaN feature -> flat)
| Variant | Seg | Sharpe | Lift | p | Net10 | Beta audit | Verdict |
|---|---|---|---|---|---|---|---|
| depth skip z24>0.5 | FULL | +0.31 | -0.75 | 0.998 | +0.14 | beta vs BH: -0.11 | corr: -0.33 |
| depth skip z24>0.5 | IS | +0.48 | -0.55 | 0.949 | +0.28 | beta vs BH: -0.13 | corr: -0.36 |
| depth skip z24>0.5 | OOS | +0.05 | -1.06 | 0.988 | -0.08 | beta vs BH: -0.09 | corr: -0.30 |
| depth skip z24>0.5 (unshifted replication) | FULL | +2.47 | +1.41 | 0.000 | +2.32 | beta vs BH: -0.07 | corr: -0.26 |
| depth skip z24>0.5 (unshifted replication) | IS | +2.78 | +1.75 | 0.000 | +2.60 | beta vs BH: -0.10 | corr: -0.33 |
| depth skip z24>0.5 (unshifted replication) | OOS | +2.05 | +0.94 | 0.016 | +1.95 | beta vs BH: -0.04 | corr: -0.20 |
| wall-fade skip wall_z>1.0 | FULL | +1.16 | +0.10 | 0.447 | +1.09 | beta vs BH: -0.04 | corr: -0.19 |
| wall-fade skip wall_z>1.0 | IS | +1.30 | +0.27 | 0.242 | +1.23 | beta vs BH: -0.05 | corr: -0.23 |
| wall-fade skip wall_z>1.0 | OOS | +0.97 | -0.14 | 0.776 | +0.90 | beta vs BH: -0.02 | corr: -0.15 |
| thin-book half-size pct<0.20 | FULL | +0.92 | -0.14 | 0.978 | +0.88 | beta vs BH: -0.02 | corr: -0.21 |
| thin-book half-size pct<0.20 | IS | +0.79 | -0.23 | 0.971 | +0.75 | beta vs BH: -0.05 | corr: -0.30 |
| thin-book half-size pct<0.20 | OOS | +1.08 | -0.03 | 0.714 | +1.04 | beta vs BH: -0.01 | corr: -0.11 |
| carry:joint | FULL | +0.77 | -0.29 | 0.915 | +0.74 | beta vs BH: -0.12 | corr: -0.35 |
| carry:joint | IS | +0.37 | -0.66 | 0.927 | +0.34 | beta vs BH: -0.28 | corr: -0.53 |
| carry:joint | OOS | +1.11 | +0.00 | 0.416 | +1.08 | beta vs BH: +0.00 | corr: +0.05 |
| carry:carry_only | FULL | +0.78 | -0.28 | 0.907 | +0.75 | beta vs BH: -0.12 | corr: -0.34 |
| carry:carry_only | IS | +0.42 | -0.61 | 0.915 | +0.39 | beta vs BH: -0.27 | corr: -0.51 |
| carry:carry_only | OOS | +1.10 | -0.01 | 0.463 | +1.06 | beta vs BH: +0.00 | corr: +0.05 |
| carry:basis_only | FULL | +0.81 | -0.25 | 0.892 | +0.77 | beta vs BH: -0.12 | corr: -0.34 |
| carry:basis_only | IS | +0.36 | -0.67 | 0.927 | +0.32 | beta vs BH: -0.28 | corr: -0.53 |
| carry:basis_only | OOS | +1.19 | +0.08 | 0.053 | +1.15 | beta vs BH: +0.01 | corr: +0.13 |
| carry:cut_only | FULL | +0.77 | -0.29 | 0.916 | +0.75 | beta vs BH: -0.12 | corr: -0.35 |
| carry:cut_only | IS | +0.36 | -0.66 | 0.928 | +0.34 | beta vs BH: -0.28 | corr: -0.53 |
| carry:cut_only | OOS | +1.12 | +0.01 | 0.474 | +1.09 | beta vs BH: -0.00 | corr: -0.03 |
| carry:boost_only | FULL | +0.76 | -0.30 | 0.916 | +0.73 | beta vs BH: -0.12 | corr: -0.35 |
| carry:boost_only | IS | +0.37 | -0.66 | 0.927 | +0.34 | beta vs BH: -0.28 | corr: -0.53 |
| carry:boost_only | OOS | +1.10 | -0.01 | 0.499 | +1.06 | beta vs BH: +0.00 | corr: +0.09 |
DSR(K=9) joint-vs-baseline OOS: 0.50 | haircut +0.00
Leakage sensitivity (funding alignment)
- lag-1 joint OOS lift +0.00 (PRIMARY, honest) vs unshifted study-replication +0.32 — gap = same-day funding leakage estimate.
Time 5s. No live wiring; shadows stay behind P* flags._