{ "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": " TL;DR Net new highs minus new lows (NH-NL) breadth SMA50<0 as SPY risk-off (cash/SH) was tested as daily nextclose +10bps sleeve. After maximal TV ingest (INDEX:HIGN/INDEX:LOWN 2001-06-05→2026-08-11, 6331/6312 rows) plus synthetic 52-week high/low reconstruction from 9 sector SPDRs (1999-12-21→2026-08-04, daily corr 0.65 to native — fails 0.90 gate, frozen NO-GO), the anchor SMA50(net)<0", "bead_ids": [ "qm-4bx.16" ], "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": "2001-06-05", "id": "INDEX:HIGN", "kind": "ohlcv", "native_start": "2001-06-05", "proxied": false, "proxy_chain": [], "span_basis": "db" }, "macro_meta": [], "macros": [], "monthly_labels_n": 120, "ours_alloc_rows": 120, "ours_returns_n": 120, "ticker_meta": [ { "end": "2026-08-11", "n_rows": 6331, "start": "2001-06-05", "ticker": "INDEX:HIGN" }, { "end": "2026-08-11", "n_rows": 6312, "start": "2001-06-05", "ticker": "INDEX:LOWN" }, { "end": "2026-08-17", "n_rows": 5440, "start": "2005-01-03", "ticker": "INDEX:MAHX" }, { "end": "2026-08-17", "n_rows": 5440, "start": "2005-01-03", "ticker": "INDEX:MALX" }, { "end": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" } ], "tickers": [ "INDEX:HIGN", "INDEX:LOWN", "INDEX:MAHX", "INDEX:MALX", "SPY" ] }, "date": "2026-08-12", "disposition": "# NH-NL Breadth Risk-Off Sleeve — SMA50(HIGN-LOWN)<0 (qm-4bx.16) **Decision:** `NO-SHIP frozen` — investigate-only; do not admit to catalog/Meta. **Commit:** `7aee6c37` · **Date:** 2026-08-12 · **Payload:** `research/findings/nhnl-breadth-qm-4bx.16.json` · **Repro:** `python -m research.scripts.audit_nhnl_breadth --write` ## TL;DR Net new highs minus new lows (NH-NL) breadth SMA50<0 as SPY risk-off (cash/SH) was tested as daily `next_close` +10bps sleeve. After maximal TV ingest (`INDEX:HIGN`/`INDEX:LOWN` 2001-06-05→2026-08-11, 6331/6312 rows) plus synthetic 52-week high/low reconstruction", "equity": { "experiment": [ 1.0, 0.9658, 0.9448, 0.9161, 0.9, 0.9318, 0.908, 0.8929, 0.8831, 0.8603, 0.841, 0.8616, 0.8468, 0.8232, 0.8491, 0.8353, 0.8627, 0.8865, 0.8496, 0.8657, 0.883, 0.8936, 0.912, 0.9153, 0.8757, 0.846, 0.8704, 0.8752, 0.8379, 0.8406, 0.7972, 0.7624, 0.7688, 0.7838, 0.7454, 0.7197, 0.7463, 0.7651, 0.7765, 0.8109, 0.8955, 0.8715, 0.8392, 0.8137, 0.8138, 0.805, 0.7937, 0.7692, 0.7822, 0.7826, 0.8035, 0.8071, 0.8272, 0.8597, 0.8648, 0.8535, 0.8815, 0.8781, 0.9082, 0.8901, 0.9242, 0.9117, 0.9326, 0.9056, 0.8981, 0.8761, 0.9074, 0.8748, 0.8808, 0.8904, 0.9185, 0.9561, 0.9048, 0.8944, 0.9285, 0.9184, 0.9201, 0.919, 0.9422, 0.9386, 0.9502, 0.9273, 0.9179, 0.9438, 0.8832, 0.8818, 0.919, 0.9489, 0.9687, 0.9782, 0.9916, 0.9882, 1.0516, 1.1022, 1.1253, 1.1082, 1.0899, 1.0618, 1.0686, 1.0693, 1.1006, 1.0641, 1.0031, 0.9536, 0.9707, 0.9528, 0.9267, 0.9448, 0.9482, 0.9964, 0.999, 1.0523, 1.0416, 1.031, 1.0536, 1.0461, 1.0174, 1.0005, 1.0188, 1.0005 ], "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": "- Pre-register any hysteresis/buffer winner (hys2/buffer10) and test OOS before claim; do not use 60d window post-hoc best 5.53. - Do not use synthetic for history extension; correlation fails gate. - SH sleeve not modeled for borrow/expense/tracking; would need tradable SH history not synthetic proxy. - Alternative data: FRED/Quandl free daily NYSE highs pre-2001 not found; licensed NYSE archive would be needed for true extension. - Weekly vs daily not needed (NHNL is daily).", "follow_on": [ { "status": "open", "title": "Pre-register any hysteresis/buffer winner (hys2/buffer10) and test OOS before claim; do not use 60d window post-hoc best 5.53." }, { "status": "open", "title": "Do not use synthetic for history extension; correlation fails gate." }, { "status": "open", "title": "SH sleeve not modeled for borrow/expense/tracking; would need tradable SH history not synthetic proxy." }, { "status": "open", "title": "Alternative data: FRED/Quandl free daily NYSE highs pre-2001 not found; licensed NYSE archive would be needed for true extension." }, { "status": "open", "title": "Weekly vs daily not needed (NHNL is daily)." } ], "followup_command": "gh issue create --title \"Follow-up NH-NL Breadth Risk-Off Sleeve SMA50HIGN-LOWN0 qm-4bx16\" --body \"Follow-up to qm-4bx.16: Decision: NO-SHIP frozen — investigate-only; do not admit to catalog/Meta. Commi\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up NH-NL Breadth Risk-Off Sleeve SMA50HIGN-LOWN0 qm-4bx16\" --body \"Follow-up to qm-4bx.16: Decision: NO-SHIP frozen — investigate-only; do not admit to catalog/Meta. Commi\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-4bx.16", "issue_ids": [ "qm-4bx.16" ], "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, -0.0342, -0.021744, -0.030377, -0.017575, 0.035333, -0.025542, -0.01663, -0.010975, -0.025818, -0.022434, 0.024495, -0.017177, -0.02787, 0.031463, -0.016253, 0.032803, 0.027588, -0.041624, 0.01895, 0.019984, 0.012005, 0.020591, 0.003618, -0.043265, -0.033916, 0.028842, 0.005515, -0.042619, 0.003222, -0.05163, -0.043653, 0.008395, 0.019511, -0.048992, -0.034478, 0.03696, 0.025191, 0.0149, 0.044301, 0.104329, -0.026801, -0.037063, -0.030386, 0.000123, -0.010813, -0.014037, -0.030868, 0.016901, 0.000511, 0.026706, 0.00448, 0.024904, 0.039289, 0.005932, -0.013067, 0.032806, -0.003857, 0.034279, -0.01993, 0.03831, -0.013525, 0.022924, -0.028951, -0.008282, -0.024496, 0.035727, -0.035927, 0.006859, 0.010899, 0.031559, 0.040936, -0.053655, -0.011494, 0.038126, -0.010878, 0.001851, -0.001196, 0.025245, -0.003821, 0.012359, -0.0241, -0.010137, 0.028217, -0.064209, -0.001585, 0.042186, 0.032535, 0.020866, 0.009807, 0.013699, -0.003429, 0.064157, 0.048117, 0.020958, -0.015196, -0.016513, -0.025782, 0.006404, 0.000655, 0.029271, -0.033164, -0.057325, -0.049347, 0.017932, -0.01844, -0.027393, 0.019532, 0.003599, 0.050833, 0.002609, 0.053353, -0.010168, -0.010177, 0.02192, -0.007118, -0.027435, -0.016611, 0.018291, -0.017962 ] }, "page": "experiments/qm-4bx-16-nh-nl-breadth-risk-off-sleeve-sma50-hi.html", "performance": { "cagr": 0.06387489946659963, "max_drawdown": -0.19011, "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": 0.5470108438503767, "sortino": 0.88934, "volatility": null }, "provenance": { "artifact": "research/findings/nhnl-breadth-qm-4bx.16.json", "code": "research/findings", "finding": "research/findings/nhnl-breadth-qm-4bx.16.md", "site_data": "site-data/experiments/qm-4bx.16.json", "tearsheet": null }, "question": "Decision: NO-SHIP frozen — investigate-only; do not admit to catalog/Meta. Commit: 7aee6c37 · Date: 2026-08-12 · Payload: research/findings/nhnl-breadth-qm-4bx.16.json · Repro: python -m research.scripts.auditnhnlbreadth --write", "safe_withdrawal": null, "signalSeries": { "active": [ false, true, false, false, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, false, true, false, true, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, false, false, false, true, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false, false ], 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