Generated: 2026-08-13 05:01
Pool: 500 names | split seed 20260812 (300/100/100) | 2006-08-14 -> 2026-08-12 | SIGN FLIPPED (pre-registered variant 2)
Per-fold results
| Fold | Years | Trades | Mean bp/day | t | p | PF | Ret |
|---|
| 2009-08-14 -> 2010-08-14 | 2009-2010 | 1309 | -11.5 | -1.74 | 8.20e-02 | 7.84 | -14.4% |
| 2010-08-14 -> 2011-08-14 | 2010-2011 | 1033 | -9.7 | -1.53 | 1.27e-01 | 0.15 | -12.5% |
| 2011-08-14 -> 2012-08-14 | 2011-2012 | 1256 | -11.6 | -1.97 | 4.87e-02 | 10.95 | -8.3% |
| 2012-08-14 -> 2013-08-14 | 2012-2013 | 986 | -11.6 | -2.55 | 1.08e-02 | 7.29 | -7.1% |
| 2013-08-14 -> 2014-08-14 | 2013-2014 | 966 | -10.7 | -2.87 | 4.11e-03 | 0.09 | -8.2% |
| 2014-08-14 -> 2015-08-14 | 2014-2015 | 989 | -5.5 | -1.29 | 1.98e-01 | 0.09 | -4.6% |
| 2015-08-14 -> 2016-08-14 | 2015-2016 | 1110 | -4.9 | -0.80 | 4.23e-01 | 4.31 | -4.9% |
| 2016-08-14 -> 2017-08-14 | 2016-2017 | 853 | -7.2 | -2.62 | 8.68e-03 | 1.53 | -4.3% |
| 2017-08-14 -> 2018-08-14 | 2017-2018 | 944 | -8.8 | -1.95 | 5.14e-02 | 2.04 | -5.7% |
| 2018-08-14 -> 2019-08-14 | 2018-2019 | 1031 | -5.8 | -0.89 | 3.74e-01 | 10.26 | -7.2% |
| 2019-08-14 -> 2020-08-14 | 2019-2020 | 1230 | -11.9 | -1.05 | 2.93e-01 | 3.87 | -5.6% |
| 2020-08-14 -> 2021-08-14 | 2020-2021 | 1123 | -13.5 | -2.72 | 6.60e-03 | 0.99 | -3.4% |
| 2021-08-14 -> 2022-08-14 | 2021-2022 | 1159 | -0.8 | -0.10 | 9.19e-01 | 0.57 | -2.3% |
| 2022-08-14 -> 2023-08-14 | 2022-2023 | 1113 | -3.9 | -0.58 | 5.60e-01 | 0.70 | -2.6% |
| 2023-08-14 -> 2024-08-14 | 2023-2024 | 928 | -9.7 | -1.90 | 5.80e-02 | 0.36 | -1.8% |
| 2024-08-14 -> 2025-08-14 | 2024-2025 | 1131 | -8.1 | -1.30 | 1.92e-01 | 0.75 | -1.5% |
| 2025-08-14 -> 2026-08-12 | 2025-2026 | 1201 | -8.7 | -1.88 | 6.05e-02 | 0.62 | -1.5% |
Per-year vs SPY (net of costs)
| Year | Panel | SPY | Excess |
|---|
| 2009 | -5.0% | +13.0% | -17.9% |
| 2010 | -10.3% | +13.7% | -24.0% |
| 2011 | +0.0% | +2.4% | -2.4% |
| 2012 | +0.0% | +13.5% | -13.5% |
| 2013 | +0.0% | +26.6% | -26.6% |
| 2014 | +0.0% | +11.3% | -11.3% |
| 2015 | +0.0% | +0.4% | -0.4% |
| 2016 | +0.0% | +10.1% | -10.1% |
| 2017 | +0.0% | +18.0% | -18.0% |
| 2018 | +0.0% | -5.1% | +5.1% |
| 2019 | +0.0% | +26.1% | -26.1% |
| 2020 | +0.0% | +20.7% | -20.7% |
| 2021 | +0.0% | +24.8% | -24.8% |
| 2022 | +0.0% | -18.7% | +18.7% |
| 2023 | +0.0% | +22.6% | -22.6% |
| 2024 | +0.0% | +21.7% | -21.7% |
| 2025 | +0.0% | +17.0% | -17.0% |
| 2026 | +0.0% | +12.8% | -12.8% |
Verdict (pre-committed gates)
- pooled t = -4.46 (need > 2.5) -> FAIL
- PF = 3.08 with 18362 trades (need > 1.2 and > 50) -> PASS
- excess years = 2/16 (need >= 11) -> FAIL
DEPLOY: NO