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"RL v3 Meta-Allocator — mechanism audit"

2026-09-06

·

Rule set (5 candidates): EW, RISK_PARITY, VOL_TARGET, CREDIT_GATE, TREND_FILTER Window: 2017-11-10 .. 2026-06-26 (2166 daily bars) Cells: 15

Rule frequency across OOS days (aggregate)

RuleDaysShare
EW116262.0%
RISK_PARITY985.2%
VOL_TARGET20611.0%
CREDIT_GATE864.6%
TREND_FILTER32317.2%

Per-sleeve mean weight (across all cells)

SleeveAgentEWdelta
eqmom0.2500.250+0.000
gate60_ETH0.2310.250-0.019
gate60_BTC0.2420.250-0.008
spy_bench0.2570.250+0.007

Per-sleeve contribution to mean daily P&L

SleeveAgent contrib
eqmom+0.00020
gate60_ETH+0.00015
gate60_BTC+0.00010
spy_bench+0.00019

Regime breakdown (mean daily return, aggregate)

RegimeAgentEWdelta
bull+0.00071+0.00076-0.00004
bear-0.00058+0.00209-0.00267

Correlation structure

  • mean(agent - SPY corr): -0.002
  • mean(EW - SPY corr): +0.450
  • mean(agent - EW corr): +0.012

Per-cell scoreboard

WindowSeedOOS startOOS endAgent SharpeEW Sharpeagent-SPY corragent-EW corr
002023-11-152024-05-16+2.19+2.44-0.027-0.176
012023-11-152024-05-16+2.52+2.44-0.018-0.164
022023-11-152024-05-16+2.22+2.44-0.031-0.181
102024-05-172024-11-14-0.16+0.61+0.031+0.037
112024-05-172024-11-14+0.43+0.61+0.025+0.051
122024-05-172024-11-14+0.70+0.61+0.033+0.049
202024-11-152025-05-20-1.69-0.94+0.027+0.046
212024-11-152025-05-20-1.71-0.94+0.045+0.028
222024-11-152025-05-20-1.76-0.94+0.023+0.019
302025-05-212025-11-18+1.25+1.81-0.137+0.010
312025-05-212025-11-18+1.76+1.81-0.156-0.047
322025-05-212025-11-18+2.17+1.81-0.206-0.055
402025-11-192026-05-21+4.51+4.78+0.123+0.194
412025-11-192026-05-21+4.40+4.78+0.107+0.188
422025-11-192026-05-21+4.88+4.78+0.127+0.183

Mechanism verdict

  • PASS: agent materially different from EW (agent-EW corr +0.012)
  • PASS: agent NOT just a levered SPY bet (agent-SPY corr -0.002)
  • FAIL: agent does BETTER than EW in bear regimes (agent -0.00058 vs EW +0.00209)

elapsed: 478.1s | cells=15