Pre-reg: proxy top-8/H21 formations, fill window next session, exit close+21d. Split IS<2023/OOS>=2023. Adopt bar: beat IMMEDIATE by >= +3bps shortfall net, p<0.05, IS same sign, fill rate >= 50%.
Fills: 3288 (1896 OOS).
Scoreboard (shortfall bps vs decision close; + = worse fill)
| Segment | Policy | Mean | p vs IMM | Fill rate | TTF min | AdvExc | FavExc | N |
|---|---|---|---|---|---|---|---|---|
| IS | IMMEDIATE | -7.56 | - | 100% | 0 | -134.0 | +137.5 | 232 |
| IS | VWAP-PROX | +11.64 | 0.0765 | 95% | 74 | -152.3 | +117.8 | 232 |
| IS | RECLAIM | -10.47 | 0.7985 | 40% | 262 | -130.2 | +141.2 | 232 |
| IS | PULLBACK | +11.22 | 0.0970 | 56% | 209 | -151.9 | +118.7 | 232 |
| IS | SLICED-4@s1 | -1.21 | 0.5395 | 100% | 195 | -139.6 | +131.6 | 232 |
| IS | SLICED-4@s3 | +0.79 | 0.4000 | 100% | 195 | -139.6 | +131.6 | 232 |
| OOS | IMMEDIATE | +29.66 | - | 100% | 0 | -116.7 | +142.7 | 316 |
| OOS | VWAP-PROX | +48.51 | 0.0455 | 95% | 79 | -134.1 | +124.3 | 316 |
| OOS | RECLAIM | +56.74 | 0.0100 | 46% | 243 | -141.8 | +116.4 | 316 |
| OOS | PULLBACK | +44.41 | 0.1250 | 47% | 245 | -130.0 | +128.9 | 316 |
| OOS | SLICED-4@s1 | +52.96 | 0.0135 | 100% | 195 | -137.8 | +120.5 | 316 |
| OOS | SLICED-4@s3 | +54.96 | 0.0070 | 100% | 195 | -137.8 | +120.5 | 316 |
Verdicts (OOS shortfall improvement vs IMMEDIATE)
- VWAP-PROX: reject
- RECLAIM: reject
- PULLBACK: reject
- SLICED-4@s1: reject
- SLICED-4@s3: reject
Matrix verdict: NONE adopt for llmsleeve execution.
Time 1998s.