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"RL v4 — mechanism audit"

2026-09-05

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Cells: 15 (windows=3 × seeds=5) Regime flag: SPY trailing 60d return > 0 -> bull, else bear.

Per-sleeve mean weight (across all cells)

SleeveAgentEWdelta
eqmom0.2510.250+0.001
gate60_ETH0.2490.250-0.001
gate60_BTC0.2510.250+0.001
spy_bench0.2510.250+0.001

Per-sleeve contribution to mean daily P&L (net of cost)

SleeveAgent contribEW contribdelta
eqmom+0.00033+0.00033+0.00000
gate60_ETH+0.00012+0.00012-0.00000
gate60_BTC+0.00029+0.00029+0.00000
spy_bench+0.00021+0.00020+0.00000

Regime breakdown (mean daily net return, aggregate)

RegimeAgentEWdelta
bull-0.00100-0.00352+0.00252
bear+0.00162+0.00167-0.00005

Correlation structure

  • mean(agent_net - SPY corr): +0.046
  • mean(EW_net - SPY corr): +0.415
  • mean(agent_net - EW_net corr): -0.009

Per-cell scoreboard

WindowSeedOOS startOOS endAgent net SharpeEW net Sharpeagent-SPY corragent-EW corr
002023-11-22 00:00:002024-05-23 00:00:00+2.278+2.277-0.005-0.142
012023-11-22 00:00:002024-05-23 00:00:00+2.277+2.277-0.005-0.142
022023-11-22 00:00:002024-05-23 00:00:00+2.278+2.277-0.005-0.142
032023-11-22 00:00:002024-05-23 00:00:00+2.291+2.277-0.005-0.142
042023-11-22 00:00:002024-05-23 00:00:00+2.300+2.277-0.005-0.141
102024-11-22 00:00:002025-05-28 00:00:00-0.888-0.861+0.028-0.037
112024-11-22 00:00:002025-05-28 00:00:00-0.863-0.861+0.032-0.035
122024-11-22 00:00:002025-05-28 00:00:00-0.855-0.861+0.027-0.036
132024-11-22 00:00:002025-05-28 00:00:00-0.877-0.861+0.030-0.036
142024-11-22 00:00:002025-05-28 00:00:00-0.874-0.861+0.029-0.037
202025-11-26 00:00:002026-05-29 00:00:00+4.739+4.712+0.115+0.153
212025-11-26 00:00:002026-05-29 00:00:00+4.705+4.712+0.115+0.152
222025-11-26 00:00:002026-05-29 00:00:00+4.685+4.712+0.114+0.151
232025-11-26 00:00:002026-05-29 00:00:00+4.692+4.712+0.113+0.152
242025-11-26 00:00:002026-05-29 00:00:00+4.676+4.712+0.115+0.152

Mechanism verdict

  • PASS: agent materially different from EW (agent-EW corr -0.009)
  • PASS: agent NOT a leveraged SPY bet (agent-SPY corr +0.046)
  • FAIL: agent does BETTER than EW in bear regimes (agent +0.00162 vs EW +0.00167)

elapsed: 116.4s | cells=15