Window: 2023-04-19 .. 2026-07-31 (1200 days, 352 gate60-long days) | features: RV10/RV60 term structure, z(RV10,90d) vol-of-vol, ATR%(14) percentile rank vs trailing 252d | all shifted +1d (decision sees bars <= D-1) | gates on long days only, gross
| Variant | Days | LongDays | Ret | Sharpe | PF | MaxDD |
|---|
| baseline (gate60) | 1200 | 352 | +181.60% | 1.06 | 1.33 | -26.71% |
| skip rv>=0.85 | 1200 | 111 | +109.07% | 1.34 | 1.93 | -16.45% |
| skip rv>=1.0 | 1200 | 183 | +102.64% | 1.02 | 1.46 | -23.47% |
| skip rv>=1.15 | 1200 | 250 | +169.00% | 1.17 | 1.44 | -23.37% |
| skip rv>=1.3 | 1200 | 290 | +171.89% | 1.11 | 1.38 | -26.82% |
| skip rv>=1.5 | 1200 | 314 | +204.35% | 1.16 | 1.39 | -26.60% |
| skip rv<0.7 | 1200 | 300 | +163.40% | 1.04 | 1.35 | -26.71% |
| skip rv<0.85 | 1200 | 241 | +34.69% | 0.45 | 1.15 | -28.73% |
| skip vov>=-0.5 | 1200 | 90 | +86.98% | 1.31 | 2.07 | -11.26% |
| skip vov>=0.5 | 1200 | 205 | +168.24% | 1.28 | 1.56 | -22.51% |
| skip vov>=1.0 | 1200 | 264 | +169.63% | 1.15 | 1.42 | -30.62% |
| skip vov<-0.5 | 1200 | 262 | +50.60% | 0.55 | 1.18 | -26.71% |
| skip atr>=0.8 | 1200 | 217 | +183.29% | 1.25 | 1.53 | -18.42% |
| skip atr>=0.9 | 1200 | 267 | +167.07% | 1.13 | 1.42 | -28.14% |
| skip atr<0.2 | 1200 | 312 | +112.69% | 0.86 | 1.28 | -26.71% |
gate60-long-day forward returns by feature quintile
| Feature | Q1(low) | Q2 | Q3 | Q4 | Q5(high) |
|---|
| rv | +0.243% | +0.923% | -0.091% | +0.810% | -0.116% |
| vov | +0.605% | +0.864% | +0.193% | -0.248% | +0.345% |
| atr | +0.612% | +0.607% | +0.475% | -0.069% | +0.120% |
IS/OOS split at 2025-01-01 (rule picked by IS Sharpe, frozen before OOS)
Top-5 rules on IS:
- skip vov>=-0.5: IS Sharpe 2.02
- skip rv>=0.85: IS Sharpe 2.00
- skip atr>=0.8: IS Sharpe 1.64
- skip vov>=0.5: IS Sharpe 1.44
- skip rv>=1.15: IS Sharpe 1.36
| Segment | Variant | LongDays | Ret | Sharpe | PF | MaxDD |
|---|
| IS | baseline | 256 | +86.70% | 1.13 | 1.29 | -26.71% |
| IS | skip vov>=-0.5 | 60 | +70.85% | 2.02 | 2.93 | -8.06% |
| OOS | baseline | 96 | +50.83% | 0.99 | 1.40 | -18.42% |
| OOS | skip vov>=-0.5 | 30 | +9.44% | 0.47 | 1.32 | -11.26% |
OOS gated long-days: 30 | mean +0.3566% | bootstrap p(gate adds nothing): 0.855 | NULL-R permutation p (2000 circular shifts): 0.253
Rule neighbors (vov family), full window
| Variant | LongDays | Ret | Sharpe | PF |
|---|
| skip vov>=-0.5 | 90 | +86.98% | 1.31 | 2.07 |
| skip vov>=0.5 | 205 | +168.24% | 1.28 | 1.56 |
| skip vov>=1.0 | 264 | +169.63% | 1.15 | 1.42 |
| skip vov<-0.5 | 262 | +50.60% | 0.55 | 1.18 |
Confound controls (full window)
corr(vov, prior-day ETH ret): +0.011
| Control variant | LongDays | Ret | Sharpe | PF |
|---|
| control: skip if prior-day | ret | >3% | 240 | +226.29% |
| control: skip if prior-day ret<0 | 201 | +6.69% | 0.20 | 1.07 |
| winner AND prior-day | ret | <=3% | 74 | +76.40% |
| half size when flagged | 352 | +107.90% | 0.84 | 1.26 |
Per-year: baseline vs winner
| Year | Base ret | Gated ret | Base LD | Gated LD |
|---|
| 2023 | +26.35% | +27.40% | 66 | 11 |
| 2024 | +48.86% | +28.32% | 190 | 49 |
| 2025 | +48.80% | +10.70% | 96 | 30 |
| 2026 | +0.00% | +0.00% | 0 | 0 |
Cross-coin: same frozen rule via vectorized twin (own SMA200/ROC60 + BTC ROC60)
| Coin | Variant | LongDays | Ret | Sharpe | PF | MaxDD |
|---|
| BTC | baseline | 545 | +157.67% | 1.13 | 1.28 | -27.21% |
| BTC | skip vov>=-0.5 | 179 | +33.53% | 0.61 | 1.27 | -24.43% |
| SOL | baseline | 402 | +268.65% | 1.02 | 1.27 | -56.29% |
| SOL | skip vov>=-0.5 | 117 | +4.33% | 0.18 | 1.08 | -30.28% |
Decision memo
- Winner frozen from IS:
skip vov>=-0.5.
- OOS evidence: bootstrap p=0.855, permutation p=0.253.
- Adopt ONLY if: OOS Sharpe/Ret improves, p<0.05 both tests, neighbors non-knife-edge, cross-coin direction consistent.
- Otherwise this family goes to the ledger as rejected.
VERDICT (2026-08-25): REJECT — family to ledger
Every adoption criterion failed:
- IS winner collapsed OOS: Sharpe 2.02 -> 0.47, +70.9% IS vs +9.4% OOS while
baseline made +50.8% OOS — the gate skipped 66 of 96 long days and missed
most of 2025's trend.
- Significance: bootstrap p=0.855, NULL-R permutation p=0.253 (need <0.05).
- Cross-coin: same frozen rule cut BTC +157.7%->+33.5% and SOL
+268.7%->+4.3% — effect is not general, so it isn't an edge.
- Monotonicity tables are non-monotone in all three features.
The scattered full-window grid "wins" (e.g. skip rv>=1.5) are in-sample
flattery; the pre-registered IS-pick protocol exposes them. Vol-regime shape
(RV term structure / vol-of-vol / ATR percentile) carries no exploitable
daily timing information for gate60 longs at this window. Do not re-research
without new data or a different mechanism hypothesis.