Generated: 2026-08-13 12:18
Pool: 500 names | split seed 20260812 (300/100/100) | 2006-08-14 -> 2026-08-12 | PANEL-M V1: 5-DAY FORWARD LABEL y=close[t+5]/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 | 1022 | -11.8 | -1.60 | 1.10e-01 | 0.41 | -15.0% |
| 2010-08-14 -> 2011-08-14 | 2010-2011 | 894 | -9.3 | -1.33 | 1.83e-01 | 0.67 | -11.5% |
| 2011-08-14 -> 2012-08-14 | 2011-2012 | 1204 | -15.3 | -2.63 | 8.58e-03 | 0.50 | -16.4% |
| 2012-08-14 -> 2013-08-14 | 2012-2013 | 941 | -12.8 | -3.25 | 1.17e-03 | 0.04 | -10.0% |
| 2013-08-14 -> 2014-08-14 | 2013-2014 | 758 | -9.4 | -2.40 | 1.64e-02 | 0.51 | -5.1% |
| 2014-08-14 -> 2015-08-14 | 2014-2015 | 836 | -5.3 | -1.26 | 2.06e-01 | 0.17 | -4.2% |
| 2015-08-14 -> 2016-08-14 | 2015-2016 | 976 | -4.3 | -0.68 | 4.95e-01 | 0.59 | -3.5% |
| 2016-08-14 -> 2017-08-14 | 2016-2017 | 725 | -5.8 | -2.13 | 3.32e-02 | 0.48 | -0.7% |
| 2017-08-14 -> 2018-08-14 | 2017-2018 | 761 | -8.1 | -1.78 | 7.46e-02 | 0.13 | -3.9% |
| 2018-08-14 -> 2019-08-14 | 2018-2019 | 754 | -6.0 | -0.97 | 3.34e-01 | 0.71 | -7.6% |
| 2019-08-14 -> 2020-08-14 | 2019-2020 | 1097 | -11.4 | -1.01 | 3.12e-01 | 0.11 | -4.4% |
| 2020-08-14 -> 2021-08-14 | 2020-2021 | 1031 | -13.4 | -2.71 | 6.70e-03 | 1.41 | -3.2% |
| 2021-08-14 -> 2022-08-14 | 2021-2022 | 1260 | -0.9 | -0.11 | 9.09e-01 | 0.53 | -2.6% |
| 2022-08-14 -> 2023-08-14 | 2022-2023 | 1004 | -3.8 | -0.58 | 5.63e-01 | 0.61 | -2.3% |
| 2023-08-14 -> 2024-08-14 | 2023-2024 | 913 | -9.7 | -1.90 | 5.79e-02 | 0.70 | -1.8% |
| 2024-08-14 -> 2025-08-14 | 2024-2025 | 1098 | -8.1 | -1.31 | 1.89e-01 | 0.78 | -1.7% |
| 2025-08-14 -> 2026-08-12 | 2025-2026 | 1081 | -8.6 | -1.84 | 6.57e-02 | 0.69 | -1.2% |
Per-year vs SPY (net of costs)
| Year | Panel | SPY | Excess |
|---|
| 2009 | -8.0% | +13.0% | -21.0% |
| 2010 | -7.5% | +13.7% | -21.2% |
| 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 = -4.43 (need > 2.5) -> FAIL
- PF = 0.53 with 16355 trades (need > 1.2 and > 50) -> FAIL
- excess years = 2/16 (need >= 11) -> FAIL
DEPLOY: NO