{ "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 NYSE ADL Volume Ratio USI:UVOL / USI:DVOL daily >22 is a sparse (24 triggers in 30y, 0.3% days, 3.4% active at 20d holding) buy-only capitulation impulse that forces max long SPY for a holding window. After maximal TV ingest (UVOL 1996-04-19→2026-08-11 7616 rows, DVOL 1992-01-02→2026-08-11 8643 rows, ratio 1996-04-19→2026-08-11 7616 ratios) plus explicit synthetic NO-GO (close-only stor", "bead_ids": [ "qm-4bx.17" ], "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": "1996-04-19", "id": "USI:UVOL", "kind": "ohlcv", "native_start": "1996-04-19", "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": 7616, "start": "1996-04-19", "ticker": "USI:UVOL" }, { "end": "2026-08-11", "n_rows": 8643, "start": "1992-01-02", "ticker": "USI:DVOL" }, { "end": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" } ], "tickers": [ "USI:UVOL", "USI:DVOL", "SPY" ] }, "date": "2026-08-12", "disposition": "# ADL Volume Ratio Buy Overlay — UVOL/DVOL 22 daily 20d (qm-4bx.17) **Decision:** `NO-SHIP frozen` — investigate-only; do not admit to catalog/Meta. **Commit:** `52b40804` · **Date:** 2026-08-12 · **Payload:** `research/findings/adl-vol-ratio-qm-4bx.17.json` · **Repro:** `python -m research.scripts.audit_adl_vol_ratio --write` ## TL;DR NYSE ADL Volume Ratio `USI:UVOL / USI:DVOL` daily >22 is a sparse (24 triggers in 30y, 0.3% days, 3.4% active at 20d holding) buy-only capitulation impulse that forces max long SPY for a holding window. After maximal TV ingest (UVOL 1996-04-19→2026-08-11 761", "equity": { "experiment": [ 1.0, 1.0647, 1.1029, 1.1497, 1.073, 1.0649, 1.1457, 1.1439, 1.1977, 1.237, 1.1947, 1.1728, 1.1111, 1.1155, 1.0817, 1.1499, 1.2442, 1.2933, 1.3869, 1.3673, 1.3178, 1.4369, 1.5217, 1.529, 1.4852, 1.438, 1.4905, 1.4098, 1.4573, 1.4893, 1.4256, 1.444, 1.3793, 1.3692, 1.4599, 1.4873, 1.5966, 1.5867, 1.6807, 1.6404, 1.6605, 1.7718, 1.8305, 1.882, 1.8441, 1.896, 1.9559, 1.8766, 1.8349, 1.803, 1.8078, 1.6678, 1.6409, 1.5309, 1.5191, 1.5156, 1.5792, 1.5299, 1.5063, 1.5985, 1.5262, 1.5393, 1.4669, 1.5189, 1.4284, 1.4098, 1.4224, 1.4391, 1.4561, 1.5567, 1.5719, 1.6914, 1.6708, 1.7538, 1.7405, 1.8732, 1.937, 1.9096, 1.9787, 1.989, 2.0103, 1.9202, 1.613, 1.6318, 1.4336, 1.4742, 1.5406, 1.5083, 1.6451, 1.6619, 1.79, 1.7243, 1.7488, 1.8631, 2.0073, 1.8912, 1.9834, 2.0619, 2.0009, 2.1595, 2.152, 2.0876, 1.999, 1.9169, 1.8397, 1.7502, 1.8829, 1.7826, 1.7486, 1.6356, 1.534, 1.539, 1.5609, 1.4817, 1.436, 1.3577, 1.3493, 1.2742, 1.3794, 1.3444 ], "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 holding 20 fixed and overlay override vs SMA200+60/40 before OOS 60/36 Deflated Sharpe; do not optimize window to 60. - Try ensemble thresholds (8/12/15 voting) to reduce 22 brittleness; or lower threshold to 15 (best in-sample) but disclose. - If revived, do not use sum5 at 22 or MA-smoothed at 22 — use raw daily only; document sum5 requires threshold ≤3. - Do not use consensus — documented as filtered too strict. - Do not invent pre-1996 ADL volume without licensed NYSE constituent volume history; close-only store cannot rebuild volume — frozen NO-GO. - Investigate why 2022 be", "follow_on": [ { "status": "open", "title": "Pre-register holding 20 fixed and overlay override vs SMA200+60/40 before OOS 60/36 Deflated Sharpe; do not optimize window to 60." }, { "status": "open", "title": "Try ensemble thresholds (8/12/15 voting) to reduce 22 brittleness; or lower threshold to 15 (best in-sample) but disclose." }, { "status": "open", "title": "If revived, do not use sum5 at 22 or MA-smoothed at 22 — use raw daily only; document sum5 requires threshold ≤3." }, { "status": "open", "title": "Do not use consensus — documented as filtered too strict." }, { "status": "open", "title": "Do not invent pre-1996 ADL volume without licensed NYSE constituent volume history; close-only store cannot rebuild volume — frozen NO-GO." } ], "followup_command": "gh issue create --title \"Follow-up ADL Volume Ratio Buy Overlay UVOLDVOL 22 daily 20d qm-4bx17\" --body \"Follow-up to qm-4bx.17: 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 ADL Volume Ratio Buy Overlay UVOLDVOL 22 daily 20d qm-4bx17\" --body \"Follow-up to qm-4bx.17: 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.17", "issue_ids": [ "qm-4bx.17" ], "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, 0.0647, 0.035879, 0.042434, -0.066713, -0.007549, 0.075876, -0.001571, 0.047032, 0.032813, -0.034196, -0.018331, -0.052609, 0.00396, -0.0303, 0.063049, 0.082007, 0.039463, 0.072373, -0.014132, -0.036203, 0.090378, 0.059016, 0.004797, -0.028646, -0.03178, 0.036509, -0.054143, 0.033693, 0.021958, -0.042772, 0.012907, -0.044806, -0.007323, 0.066243, 0.018768, 0.073489, -0.006201, 0.059242, -0.023978, 0.012253, 0.067028, 0.03313, 0.028134, -0.020138, 0.028144, 0.031593, -0.040544, -0.022221, -0.017385, 0.002662, -0.077442, -0.016129, -0.067036, -0.007708, -0.002304, 0.041964, -0.031218, -0.015426, 0.06121, -0.04523, 0.008583, -0.047034, 0.035449, -0.059583, -0.013022, 0.008937, 0.011741, 0.011813, 0.069089, 0.009764, 0.076023, -0.012179, 0.049677, -0.007584, 0.076242, 0.034059, -0.014146, 0.036186, 0.005205, 0.010709, -0.044819, -0.159983, 0.011655, -0.121461, 0.02832, 0.045041, -0.020966, 0.090698, 0.010212, 0.07708, -0.036704, 0.014209, 0.065359, 0.077398, -0.057839, 0.048752, 0.039579, -0.029584, 0.079264, -0.003473, -0.029926, -0.042441, -0.041071, -0.040273, -0.048649, 0.07582, -0.053269, -0.019073, -0.064623, -0.062118, 0.003259, 0.01423, -0.05074, -0.030843, -0.054526, -0.006187, -0.055658, 0.082562, -0.025373 ] }, "page": "experiments/qm-4bx-17-adl-volume-ratio-buy-overlay-uvol-dvol.html", "performance": { "cagr": 0.08527381708532267, "max_drawdown": -0.17088, "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": 0.7873876503460111, "sortino": 1.046553459962527, "volatility": null }, "provenance": { "artifact": "research/findings/adl-vol-ratio-qm-4bx.17.json", "code": "research/findings", "finding": "research/findings/adl-vol-ratio-qm-4bx.17.md", "site_data": "site-data/experiments/qm-4bx.17.json", "tearsheet": null }, "question": "Decision: NO-SHIP frozen — investigate-only; do not admit to catalog/Meta. 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"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": "ADL Volume Ratio Buy Overlay — UVOL/DVOL 22 daily 20d (qm-4bx.17)", "trading_costs": { "avg_daily_turnover": 0.00804, "avg_yearly_fees": 0.002026, "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": 0.000965 }, "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": 0.08527381708532267, "ours_stats": { "ann_return": 0.08527381708532267, "sharpe": 0.7873876503460111, "sortino": 1.046553459962527 }, "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" }, { "data": { "grid": "grid_threshold_daily_hw20", "note": "Threshold / holding window grid" }, "title": "Parameter grid: grid_threshold_daily_hw20", "type": "param_sweep" }, { "data": { "note": "Triggers when overlay takes over base strategy" }, "title": "Signal timeline (sparse triggers)", "type": "signal_timeline" } ] }, "generated_at": "2026-09-17T04:12:25Z", "id": "qm-4bx.17", "schema_id": "experiments/v1", "schema_version": 1 }