Rule set (5 candidates): EW, RISK_PARITY, VOL_TARGET, CREDIT_GATE, TREND_FILTER Window: 2017-11-10 .. 2026-06-26 (2166 daily bars) Cells: 3 (windows=3 * seeds=1)
Rule frequency across OOS days (aggregate)
| Rule | Days | Share |
|---|---|---|
| EW | 83 | 44.6% |
| RISK_PARITY | 17 | 9.1% |
| VOL_TARGET | 60 | 32.3% |
| CREDIT_GATE | 13 | 7.0% |
| TREND_FILTER | 13 | 7.0% |
Per-window scoreboard
| Window | Seed | OOS start | OOS end | Agent Sharpe | EW Sharpe | Uplift | p(agent>EW) | Agent maxDD |
|---|---|---|---|---|---|---|---|---|
| 0 | 0 | 2024-11-15 | 2025-02-19 | +1.47 | +0.61 | +0.860 | 0.401 | -7.14% |
| 1 | 0 | 2025-05-21 | 2025-08-20 | +2.29 | +3.15 | -0.852 | 0.655 | -8.21% |
| 2 | 0 | 2025-11-19 | 2026-02-20 | +5.28 | +5.22 | +0.058 | 0.463 | -1.30% |
Aggregate
- Median Sharpe uplift (agent - EW): +0.058
- Bootstrap p values: min=0.401 median=0.463 max=0.655
- Worst-window agent max drawdown: -8.21%
Pre-registered pass bar
ADOPT requires ALL THREE:
-
OOS Sharpe > EW Sharpe + 0.10
-
bootstrap p (agent > EW) < 0.05
-
OOS max drawdown < 30%
-
Sharpe uplift >= +0.10: False (got +0.058)
-
All-window p < 0.05: False (max 0.655)
-
maxDD > -30%: True (got -8.21%)
Verdict: REJECT
Stop conditions (hypothesis doc)
S2. Median agent OOS Sharpe below EW Sharpe: False (median uplift +0.058)
elapsed: 123.6s | cells=3