Pre-reg: PRIMARY = skip iff close[D-1] stretched > +1% above day-VWAP. IS < 2025-01-01, OOS >= 2025-01-01. Non-OK BLOCKED. Control = skip discount tail (must lose).
Window: 2022-12-02 .. 2026-09-13 (1382 days).
| Segment | Variant | LongDays | Ret | Sharpe | Net10 Sharpe | Turnover |
|---|---|---|---|---|---|---|
| IS | baseline (gate60) | 256 | +86.70% | +1.03 | +1.00 | 19 flips |
| IS | skip if stretch>+1% (PRIMARY) | 186 | +103.03% | +1.23 | +1.04 | 123 flips |
| IS | control: skip discount tail | 214 | +31.51% | +0.58 | +0.45 | 85 flips |
| OOS | baseline (gate60) | 121 | +65.79% | +1.09 | +1.07 | 15 flips |
| OOS | skip if stretch>+1% (PRIMARY) | 83 | +29.63% | +0.71 | +0.58 | 57 flips |
| OOS | control: skip discount tail | 96 | +19.39% | +0.52 | +0.41 | 49 flips |
| FULL | baseline (gate60) | 377 | +209.52% | +1.05 | +1.03 | 33 flips |
| FULL | skip if stretch>+1% (PRIMARY) | 269 | +163.18% | +1.01 | +0.85 | 179 flips |
| FULL | control: skip discount tail | 310 | +57.01% | +0.55 | +0.43 | 135 flips |
OOS verdict (PRIMARY, gross)
- lift -0.39, bootstrap p 0.893
- beta vs BH: -0.06 | corr: -0.25 | resid Sharpe -0.92 (ret -25.08%, maxDD -32.20%)
- OOS blocked-day fraction 0.0%
- DSR(K=2) 0.80 | haircut +0.28
Verdict: REJECT (lift -0.39 < +0.10; p 0.893 NOT < 0.05; resid -0.92; blocked 0.0%; DSR(K=2) 0.80; control lift -0.57 < PRIMARY)
Time: 3s. Closes the VWAP thread.