Pre-reg: proxy top-8/H21 + avoid, stops {10,15,20,25}% from trailing peak, trigger on close counted same-close + 5bps adverse haircut per stop flip (stated simplification), re-entry allowed. Split IS<2016/OOS>=2016. Costs 10/25bps.
Scoreboard (net@10bps)
| Arm | IS Sharpe | OOS Sharpe | OOS Ret | OOS MaxDD | Net25 | Turn/yr |
|---|---|---|---|---|---|---|
| BASE no-stop | 0.77 | 1.21 | +34.97% | -3.40% | 1.14 | 0.89 |
| STOP-10% | 0.82 | 0.43 | +7.48% | -4.07% | 0.32 | 1.13 |
| STOP-15% | 0.74 | 0.62 | +13.87% | -2.18% | 0.52 | 1.21 |
| STOP-20% | 0.76 | 0.87 | +19.59% | -2.69% | 0.77 | 1.15 |
| STOP-25% | 0.67 | 0.96 | +23.06% | -2.06% | 0.87 | 1.11 |
Verdicts (OOS vs BASE)
- STOP-10%: reject (lift -0.78, p 0.9998, resid -0.53, DDcut +0.67%, IS +0.04)
- STOP-15%: reject (lift -0.59, p 0.9978, resid -0.48, DDcut -1.22%, IS -0.03)
- STOP-20%: reject (lift -0.34, p 0.9874, resid -0.28, DDcut -0.71%, IS -0.02)
- STOP-25%: reject (lift -0.25, p 0.9644, resid -0.17, DDcut -1.34%, IS -0.10)
Neighbor spread (max-min OOS Sharpe across stops): 0.54 (need <= 0.15 for stability claim). DSR(K=5) on best: 1.00.
Matrix verdict: NONE adopt as llmsleeve exit rule.
Time 245s.