Generated: 2026-08-13 14:16
Pool: 500 names | split seed 20260812 (300/100/100) | 2006-08-14 -> 2026-08-12 | PANEL-M V2: 21-DAY FORWARD LABEL y=close[t+21]/close[t]-1 (open entries)
Per-fold results
| Fold | Years | Trades | Mean bp/day | t | p | PF | Ret |
|---|
| 2009-08-14 -> 2010-08-14 | 2009-2010 | 1549 | -10.5 | -1.50 | 1.34e-01 | 0.12 | -12.3% |
| 2010-08-14 -> 2011-08-14 | 2010-2011 | 1257 | -7.6 | -1.06 | 2.91e-01 | 10.67 | -7.8% |
| 2011-08-14 -> 2012-08-14 | 2011-2012 | 1461 | -10.8 | -1.67 | 9.42e-02 | 0.04 | -6.4% |
| 2012-08-14 -> 2013-08-14 | 2012-2013 | 1119 | -11.1 | -2.89 | 3.90e-03 | 0.32 | -5.9% |
| 2013-08-14 -> 2014-08-14 | 2013-2014 | 1041 | -9.3 | -2.58 | 9.88e-03 | 5.66 | -4.8% |
| 2014-08-14 -> 2015-08-14 | 2014-2015 | 1026 | -6.1 | -1.48 | 1.38e-01 | 2.21 | -5.9% |
| 2015-08-14 -> 2016-08-14 | 2015-2016 | 1226 | -5.3 | -0.88 | 3.80e-01 | 10.61 | -5.8% |
| 2016-08-14 -> 2017-08-14 | 2016-2017 | 731 | -7.3 | -2.74 | 6.14e-03 | 6.94 | -4.5% |
| 2017-08-14 -> 2018-08-14 | 2017-2018 | 854 | -8.8 | -2.02 | 4.30e-02 | 0.49 | -5.8% |
| 2018-08-14 -> 2019-08-14 | 2018-2019 | 1091 | -4.1 | -0.70 | 4.85e-01 | 2.15 | -3.3% |
| 2019-08-14 -> 2020-08-14 | 2019-2020 | 1100 | -12.2 | -1.08 | 2.79e-01 | 0.63 | -6.3% |
| 2020-08-14 -> 2021-08-14 | 2020-2021 | 1354 | -13.4 | -2.72 | 6.62e-03 | 1.57 | -3.1% |
| 2021-08-14 -> 2022-08-14 | 2021-2022 | 1342 | -1.3 | -0.17 | 8.67e-01 | 3.48 | -3.5% |
| 2022-08-14 -> 2023-08-14 | 2022-2023 | 1303 | -3.4 | -0.52 | 6.06e-01 | 1.17 | -1.5% |
| 2023-08-14 -> 2024-08-14 | 2023-2024 | 1090 | -10.1 | -2.02 | 4.36e-02 | 0.48 | -2.8% |
| 2024-08-14 -> 2025-08-14 | 2024-2025 | 1140 | -8.5 | -1.40 | 1.60e-01 | 0.61 | -2.6% |
| 2025-08-14 -> 2026-08-12 | 2025-2026 | 1202 | -8.7 | -1.87 | 6.17e-02 | 0.65 | -1.5% |
Per-year vs SPY (net of costs)
| Year | Panel | SPY | Excess |
|---|
| 2009 | -6.4% | +13.0% | -19.4% |
| 2010 | -9.1% | +13.7% | -22.8% |
| 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 = -4.45 (need > 2.5) -> FAIL
- PF = 2.81 with 19886 trades (need > 1.2 and > 50) -> PASS
- excess years = 2/16 (need >= 11) -> FAIL
DEPLOY: NO