{ "experiment": { "alloc": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_as": null, "alloc_monthly_as": null, "alloc_monthly_ours": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_ours": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_yearly_as": null, "alloc_yearly_ours": { "labels": [ "2025" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "analysis_page": null, "answer": " Decision", "bead_ids": [ "qm-3i4" ], "cost_variants": {}, "coverage": { "alloc_monthly_labels_n": 12, "alloc_yearly_labels_n": 0, "as_alloc_rows": 0, "as_history_start_year": null, "as_returns_n": 0, "as_yearly_alloc_rows": 0, "coverage_generated_at": "2026-07T00:00:00Z", "db_path": "data/market.sqlite", "db_warm": true, "gap_years": null, "limiting": { "effective_start": "2016-08", "id": "SPY", "kind": "ohlcv", "native_start": "2016-08", "proxied": false, "proxy_chain": [], "span_basis": "equity_window" }, "macro_meta": [], "macros": [], "monthly_labels_n": 120, "ours_alloc_rows": 120, "ours_returns_n": 120, "ticker_meta": [], "tickers": [] }, "date": "2026-08-08", "disposition": "Reject the fixed BTC/ETH 50/200-day long-cash proxy for production or catalog integration. The frozen confirmatory interval has only 19 complete months, 17 months short of the 36-month floor, but the result is not merely immature: it also fails two precommitted rejection gates. Net 25 bps CAGR is negative, so the 70% positive-CAGR-retention hurdle cannot be established, and none of the three predeclared moving-average rows preserves both positive CAGR and a drawdown benefit. No coin, rule, cost, lag, or date was changed after observing results. The proxy does reduce confirmatory maximum drawdown by 28.39 percentage points versus fixed 50/50 BTC/ETH buy-and-hold and the drawdown benefit survi", "equity": { "experiment": [ 1.0, 0.9873, 0.967, 0.9105, 0.8966, 0.8857, 0.8809, 0.8387, 0.8797, 0.82, 0.8533, 0.8487, 0.9073, 0.8883, 0.8478, 0.8614, 0.816, 0.793, 0.7588, 0.7159, 0.7558, 0.7606, 0.7601, 0.7691, 0.76, 0.7198, 0.7322, 0.7188, 0.7538, 0.7423, 0.7383, 0.7345, 0.7865, 0.7507, 0.7391, 0.6995, 0.6862, 0.6631, 0.671, 0.7111, 0.719, 0.6696, 0.627, 0.6304, 0.6441, 0.6809, 0.6388, 0.6216, 0.5801, 0.6046, 0.5989, 0.6266, 0.5375, 0.4981, 0.4607, 0.462, 0.4753, 0.4477, 0.4259, 0.4463, 0.4657, 0.446, 0.4369, 0.4458, 0.4547, 0.458, 0.476, 0.488, 0.5047, 0.5253, 0.5515, 0.5726, 0.5594, 0.5498, 0.5802, 0.557, 0.5471, 0.5669, 0.5683, 0.5753, 0.5869, 0.6079, 0.6338, 0.6608, 0.6143, 0.6394, 0.6427, 0.6425, 0.5935, 0.6193, 0.6457, 0.6658, 0.6733, 0.6875, 0.6613, 0.62, 0.6459, 0.629, 0.6, 0.6454, 0.6441, 0.5841, 0.5866, 0.5922, 0.5829, 0.6037, 0.5914, 0.618, 0.6392, 0.6344, 0.6363, 0.6239, 0.6037, 0.6293, 0.6403, 0.6289, 0.6013, 0.6333, 0.6575, 0.6682 ], "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "spy": [ 1.0, 1.0001, 0.9827, 1.0189, 1.0396, 1.0582, 1.0998, 1.1011, 1.1121, 1.1278, 1.1349, 1.1583, 1.1617, 1.1851, 1.213, 1.2501, 1.2652, 1.3365, 1.2879, 1.2526, 1.2591, 1.2897, 1.2971, 1.3452, 1.3881, 1.3964, 1.2999, 1.324, 1.2074, 1.3041, 1.3464, 1.3707, 1.4267, 1.3357, 1.4287, 1.4503, 1.426, 1.4538, 1.4859, 1.5397, 1.5844, 1.5838, 1.4584, 1.2763, 1.4383, 1.5069, 1.5336, 1.6239, 1.7373, 1.6722, 1.6305, 1.8079, 1.8749, 1.8558, 1.9074, 1.994, 2.0995, 2.1132, 2.1606, 2.2134, 2.2792, 2.173, 2.3255, 2.3068, 2.4135, 2.2862, 2.2187, 2.3021, 2.1001, 2.1048, 1.9312, 2.1091, 2.023, 1.836, 1.9852, 2.0956, 1.9748, 2.099, 2.0462, 2.1221, 2.156, 2.166, 2.3063, 2.3818, 2.3431, 2.232, 2.1835, 2.383, 2.4918, 2.5314, 2.6635, 2.7507, 2.6397, 2.7733, 2.8711, 2.9059, 2.9738, 3.0362, 3.0091, 3.1886, 3.1119, 3.1954, 3.1549, 2.9791, 2.9533, 3.1389, 3.3001, 3.3762, 3.4454, 3.5682, 3.6532, 3.6603, 3.6633, 3.7172, 3.6851, 3.5032, 3.8712, 4.0749, 4.0329, 3.9906 ], "spy_labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ] }, "errors": "No additional vendor or coverage gaps beyond frozen panel window; see finding for panel dates and synthetic reconstruction limits.", "follow_on": [ { "status": "open", "title": "Follow-up qm-3i4" }, { "status": "open", "title": "Follow-up qm-3i4.json" } ], "followup_command": "gh issue create --title \"Follow-up Fixed BTCETH long-cash trend proxy qm-3i4\" --body \"Follow-up to qm-3i4: Date: 2026-08-08.\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up Fixed BTCETH long-cash trend proxy qm-3i4\" --body \"Follow-up to qm-3i4: Date: 2026-08-08.\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-3i4", "issue_ids": [ "qm-3i4" ], "monthly": { "as": [ null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null ], "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "ours": [ 0.0, -0.0127, -0.020561, -0.058428, -0.015266, -0.012157, -0.005419, -0.047906, 0.048885, -0.067864, 0.04061, -0.005391, 0.069047, -0.020941, -0.045593, 0.016042, -0.052705, -0.028186, -0.043127, -0.056537, 0.055734, 0.006351, -0.000657, 0.011841, -0.011832, -0.052895, 0.017227, -0.018301, 0.048692, -0.015256, -0.005389, -0.005147, 0.070796, -0.045518, -0.015452, -0.053579, -0.019014, -0.033664, 0.011914, 0.059762, 0.01111, -0.068707, -0.06362, 0.005423, 0.021732, 0.057134, -0.06183, -0.026925, -0.066763, 0.042234, -0.009428, 0.046251, -0.142196, -0.073302, -0.075085, 0.002822, 0.028788, -0.058069, -0.048693, 0.047899, 0.043469, -0.042302, -0.020404, 0.020371, 0.019964, 0.007258, 0.039301, 0.02521, 0.034221, 0.040816, 0.049876, 0.038259, -0.023053, -0.017161, 0.055293, -0.039986, -0.017774, 0.036191, 0.00247, 0.012317, 0.020163, 0.035781, 0.042606, 0.0426, -0.070369, 0.04086, 0.005161, -0.000311, -0.076265, 0.043471, 0.042629, 0.031129, 0.011265, 0.02109, -0.038109, -0.062453, 0.041774, -0.026165, -0.046105, 0.075667, -0.002014, -0.093153, 0.00428, 0.009547, -0.015704, 0.035684, -0.020374, 0.044978, 0.034304, -0.007509, 0.002995, -0.019488, -0.032377, 0.042405, 0.01748, -0.017804, -0.043886, 0.053218, 0.038213, 0.016274 ] }, "page": "experiments/qm-3i4-fixed-btc-eth-long-cash-trend-proxy-qm.html", "performance": { "cagr": -0.14287095144235218, "max_drawdown": -0.3467938090131333, "max_drawdown_fallback_rule": "Use daily backtest equity when available; otherwise compound published monthly returns and label the result monthly.", "max_drawdown_observation_frequency": "monthly", "sharpe": -0.33166131093769474, "sortino": -0.45020676450556385, "volatility": null }, "provenance": { "artifact": "research/findings/artifacts/qm-3i4/", "code": "research/findings", "finding": "research/findings/btc-eth-trend-proxy-qm-3i4.md", "site_data": "site-data/experiments/qm-3i4.json", "tearsheet": null }, "question": "Date: 2026-08-08.", "safe_withdrawal": null, "signalSeries": null, "signals": [], "slug": "qm-3i4-fixed-btc-eth-long-cash-trend-proxy-qm", "stats": { "cagr": -0.14287095144235218, "maxDD": -0.3467938090131333, "sharpe": -0.33166131093769474, "sortino": -0.45020676450556385 }, "status": "rejected", "status_chip": "Rejected", "tax_analysis": { "ltcg_pct": null, "note": "Experiment parity stub: no taxable wrapper; see strategy tax_analysis for methodology", "schema_id": "tax-analysis/v1", "stcg_pct": null }, "taxable_stats": null, "title": "Fixed BTC/ETH long-cash trend proxy (qm-3i4)", "trading_costs": { "avg_daily_turnover": 0.00664, "avg_yearly_fees": 0.001673, "basis": "daily_engine", "cost_bps_one_way": 10.0, "fee_bps": 10.0, "n_bars": 120, "schema_id": "trading-costs/v1", "slippage_bps": 0.0, "total_costs": 0.000797 }, "verify": { "as_cagr": null, "as_stats": null, "cagr_delta": null, "gates": null, "last_verify_at": null, "monthly_bias": null, "monthly_corr": null, "monthly_mae": null, "n_months": null, "ours_cagr": -0.14287095144235218, "ours_stats": { "ann_return": -0.14287095144235218, "sharpe": -0.33166131093769474, "sortino": -0.45020676450556385 }, "passed": null, "status": "not_applicable", "verify_status": null }, "visualizations": [ { "data": { "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01" ], "note": "Aligned window, both rebased to 1.0 at start for fair comparison" }, "title": "Equity vs S&P (aligned, rebased to 1.0)", "type": "equity_vs_spy" } ] }, "generated_at": "2026-09-17T04:12:25Z", "id": "qm-3i4", "schema_id": "experiments/v1", "schema_version": 1 }