Pre-reg: PRIMARY = skip gate60 long if prior-day chop z(30d) > +0.5. IS < 2025-01-01, OOS >= 2025-01-01 (klines from 2022-12). Lag-1 by calendar. Non-OK days BLOCKED, counted separately. Control = skip the clean tail (must lose).
Window: 2022-12-02 .. 2026-09-13 (1382 days). Status mix: OK 1352, WARMING 30, 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 chop_z>+0.5 (PRIMARY) | 154 | +33.61% | +0.66 | +0.41 | 136 flips |
| IS | skip if rvol_z>+1.0 | 213 | +46.23% | +0.75 | +0.65 | 65 flips |
| IS | skip if asia_z>+0.5 | 182 | +20.93% | +0.45 | +0.27 | 115 flips |
| IS | control: skip if chop_z<-0.5 | 194 | +59.69% | +0.88 | +0.71 | 109 flips |
| OOS | baseline (gate60) | 121 | +65.79% | +1.09 | +1.07 | 15 flips |
| OOS | skip if chop_z>+0.5 (PRIMARY) | 82 | +72.87% | +1.27 | +1.17 | 50 flips |
| OOS | skip if rvol_z>+1.0 | 102 | +36.19% | +0.75 | +0.69 | 33 flips |
| OOS | skip if asia_z>+0.5 | 89 | +58.01% | +1.08 | +0.96 | 57 flips |
| OOS | control: skip if chop_z<-0.5 | 86 | +43.16% | +0.94 | +0.81 | 57 flips |
| FULL | baseline (gate60) | 377 | +209.52% | +1.05 | +1.03 | 33 flips |
| FULL | skip if chop_z>+0.5 (PRIMARY) | 236 | +130.98% | +0.95 | +0.77 | 186 flips |
| FULL | skip if rvol_z>+1.0 | 315 | +99.15% | +0.75 | +0.66 | 97 flips |
| FULL | skip if asia_z>+0.5 | 271 | +91.08% | +0.72 | +0.57 | 171 flips |
| FULL | control: skip if chop_z<-0.5 | 280 | +128.61% | +0.90 | +0.75 | 165 flips |
OOS verdict (PRIMARY, gross)
- lift +0.18, bootstrap p 0.442
- beta vs BH: -0.04 | corr: -0.20 | resid Sharpe +0.13 (ret +1.42%, maxDD -15.40%)
- OOS blocked-day fraction 0.0%
- DSR(K=3) 0.92 | haircut +0.80
Verdict: REJECT (lift +0.18 >= +0.10; p 0.442 NOT < 0.05; resid +0.13; blocked 0.0%; DSR(K=3) 0.92; control lift -0.15 < PRIMARY (corr chop/|ret| -0.03))
Forward returns of OK gate60-long days by chop_z quartile
| Quartile (chop_z) | Mean daily ret | Days |
|---|---|---|
| Q1(clean) | +0.372% | 95 |
| Q2 | +0.089% | 94 |
| Q3 | +0.550% | 94 |
| Q4(noisy) | +0.414% | 94 |
Reading
- PASS needs all bars incl. the control bar (a veto that ~= skipping small-|ret| days is repackaging, however pretty). IS shown for consistency; OOS decides.
- Next on PASS: walk-forward + 31d forward + shadow; on REJECT: ledger entry, gate-filter family parked.
Time: 5s. chop=1-|net|/sum|5m|; rvol=sqrt(sum r^2); asia=vol(00-08UTC)/vol(day); z(30d).