Generated: 2026-08-13 16:26
Pool: 500 names | split seed 20260812 (300/100/100) | 2006-08-14 -> 2026-08-12 | INTRADAY LABEL y=open[t+1]->close[t+1] (variant 3)
Per-fold results
| Fold | Years | Trades | Mean bp/day | t | p | PF | Ret |
|---|
| 2009-08-14 -> 2010-08-14 | 2009-2010 | 1379 | -10.6 | -1.58 | 1.14e-01 | 0.25 | -12.4% |
| 2010-08-14 -> 2011-08-14 | 2010-2011 | 918 | -9.0 | -1.32 | 1.87e-01 | 0.50 | -10.9% |
| 2011-08-14 -> 2012-08-14 | 2011-2012 | 1230 | -13.9 | -2.29 | 2.21e-02 | 0.44 | -13.4% |
| 2012-08-14 -> 2013-08-14 | 2012-2013 | 1111 | -15.1 | -3.51 | 4.56e-04 | 0.17 | -14.9% |
| 2013-08-14 -> 2014-08-14 | 2013-2014 | 838 | -8.2 | -2.10 | 3.59e-02 | 0.68 | -2.2% |
| 2014-08-14 -> 2015-08-14 | 2014-2015 | 868 | -5.1 | -1.20 | 2.29e-01 | 0.96 | -3.7% |
| 2015-08-14 -> 2016-08-14 | 2015-2016 | 946 | -4.0 | -0.63 | 5.30e-01 | 0.32 | -2.8% |
| 2016-08-14 -> 2017-08-14 | 2016-2017 | 793 | -7.3 | -2.67 | 7.53e-03 | 9.58 | -4.5% |
| 2017-08-14 -> 2018-08-14 | 2017-2018 | 848 | -8.4 | -1.79 | 7.37e-02 | 0.11 | -4.8% |
| 2018-08-14 -> 2019-08-14 | 2018-2019 | 987 | -6.2 | -1.02 | 3.07e-01 | 2.06 | -8.2% |
| 2019-08-14 -> 2020-08-14 | 2019-2020 | 1260 | -10.7 | -0.94 | 3.45e-01 | 0.68 | -2.8% |
| 2020-08-14 -> 2021-08-14 | 2020-2021 | 947 | -13.1 | -2.68 | 7.27e-03 | 1.52 | -2.4% |
| 2021-08-14 -> 2022-08-14 | 2021-2022 | 1122 | -1.0 | -0.12 | 9.04e-01 | 0.16 | -2.7% |
| 2022-08-14 -> 2023-08-14 | 2022-2023 | 1071 | -4.2 | -0.63 | 5.30e-01 | 0.32 | -3.3% |
| 2023-08-14 -> 2024-08-14 | 2023-2024 | 745 | -9.9 | -1.95 | 5.16e-02 | 1.18 | -2.5% |
| 2024-08-14 -> 2025-08-14 | 2024-2025 | 1112 | -8.1 | -1.32 | 1.86e-01 | 0.71 | -1.5% |
| 2025-08-14 -> 2026-08-12 | 2025-2026 | 1015 | -8.6 | -1.84 | 6.57e-02 | 0.67 | -1.2% |
Per-year vs SPY (net of costs)
| Year | Panel | SPY | Excess |
|---|
| 2009 | -5.0% | +13.0% | -18.0% |
| 2010 | -10.7% | +13.7% | -24.4% |
| 2011 | -0.0% | +2.4% | -2.5% |
| 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 = -4.47 (need > 2.5) -> FAIL
- PF = 1.19 with 17190 trades (need > 1.2 and > 50) -> FAIL
- excess years = 2/16 (need >= 11) -> FAIL
DEPLOY: NO