{ "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 S&P 500 breadth washout (INDEX:S5FI % above 50dma) with HMA20 crossing up through 8.5% after washout or under 0% (mega washout) is a buy-only capitulation impulse that forces max long SPY for a holding window. After maximal TV ingest (2006-12-29→2026-08-11, 4956 rows) plus synthetic ETF-proxy breadth (1999-03-05, corr 0.93 to TV), daily nextclose +10bps, the HMA20 8.5/0 signal is spa", "bead_ids": [ "qm-4bx.18" ], "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": "2006-12-29", "id": "INDEX:S5FI", "kind": "ohlcv", "native_start": "2006-12-29", "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": 4956, "start": "2006-12-29", "ticker": "INDEX:S5FI" }, { "end": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" } ], "tickers": [ "INDEX:S5FI", "SPY" ] }, "date": "2026-08-12", "disposition": "# S&P 500 Breadth Low Buy Overlay — S5FI HMA20 8.5/0 (qm-4bx.18) **Decision:** `NO-SHIP frozen` — investigate-only; do not admit to catalog/Meta. **Commit:** `032db993` · **Date:** 2026-08-12 · **Payload:** `research/findings/spx-breadth-low-qm-4bx.18.json` · **Repro:** `python -m research.scripts.audit_spx_breadth_low --write` ## TL;DR S&P 500 breadth washout (`INDEX:S5FI` % above 50dma) with HMA20 crossing up through 8.5% after washout or under 0% (mega washout) is a buy-only capitulation impulse that forces max long SPY for a holding window. After maximal TV ingest (2006-12-29→2026-08-1", "equity": { "experiment": [ 1.0, 0.9611, 0.9321, 0.8936, 0.8971, 0.9148, 0.8554, 0.8696, 0.8804, 0.8754, 0.8414, 0.8659, 0.8538, 0.8604, 0.8189, 0.7855, 0.8311, 0.8833, 0.848, 0.8226, 0.8833, 0.9323, 0.9446, 0.9905, 1.0197, 0.9155, 0.8706, 0.9265, 0.9102, 0.8886, 0.8801, 0.8874, 0.8607, 0.8553, 0.9041, 0.9693, 0.9541, 0.9338, 0.8768, 0.8799, 0.8473, 0.891, 0.8648, 0.8263, 0.9367, 0.9725, 0.9696, 0.9378, 0.9476, 0.9346, 0.9333, 0.974, 1.0522, 1.0535, 1.1187, 1.0681, 1.1235, 1.0849, 1.1055, 1.1094, 1.0984, 1.0459, 1.09, 1.0595, 1.0825, 1.0126, 1.0035, 1.016, 1.0443, 1.0624, 1.0029, 0.9586, 0.9264, 0.8888, 0.8588, 0.8109, 0.8433, 0.798, 0.854, 0.8957, 0.8589, 0.8925, 0.9412, 0.8964, 0.9642, 1.0184, 0.9848, 1.0047, 1.0448, 0.9976, 1.0622, 1.0559, 1.0562, 1.0267, 1.0457, 1.0722, 1.0872, 1.1166, 1.1404, 1.1481, 1.1733, 1.1992, 1.3829, 1.4355, 1.4426, 1.4615, 1.4809, 1.5532, 1.4677, 1.3842, 1.4135, 1.3743, 1.3641, 1.3914, 1.324, 1.3035, 1.247, 1.2019, 1.2417, 1.3232 ], "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. - Try ensemble thresholds (5/8.5/10 voting) to reduce mega 0 brittleness. - If revived, do not use consensus — document as filtered too strict. - Do not invent pre-2006 S5FI without TV archive; ETF proxy is best available extension — full 500-stock point-in-time requires licensed constituent history. - Investigate why SMA/EMA fail — HMA lag reduction is edge; test Wilder with longer window. - Weekly vs daily not needed (S5FI is daily).", "follow_on": [ { "status": "open", "title": "Pre-register holding 20 fixed and overlay override vs SMA200+60/40 before OOS 60/36 Deflated Sharpe." }, { "status": "open", "title": "Try ensemble thresholds (5/8.5/10 voting) to reduce mega 0 brittleness." }, { "status": "open", "title": "If revived, do not use consensus — document as filtered too strict." }, { "status": "open", "title": "Do not invent pre-2006 S5FI without TV archive; ETF proxy is best available extension — full 500-stock point-in-time requires licensed constituent history." }, { "status": "open", "title": "Investigate why SMA/EMA fail — HMA lag reduction is edge; test Wilder with longer window." } ], "followup_command": "gh issue create --title \"Follow-up SP 500 Breadth Low Buy Overlay S5FI HMA20 850 qm-4bx18\" --body \"Follow-up to qm-4bx.18: 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 SP 500 Breadth Low Buy Overlay S5FI HMA20 850 qm-4bx18\" --body \"Follow-up to qm-4bx.18: 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.18", "issue_ids": [ "qm-4bx.18" ], "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, -0.0389, -0.030174, -0.041305, 0.003917, 0.01973, -0.064932, 0.0166, 0.01242, -0.005679, -0.038839, 0.029118, -0.013974, 0.00773, -0.048233, -0.040786, 0.058052, 0.062808, -0.039964, -0.029953, 0.07379, 0.055474, 0.013193, 0.048592, 0.02948, -0.102187, -0.049044, 0.064209, -0.017593, -0.023731, -0.009566, 0.008295, -0.030088, -0.006274, 0.057056, 0.072116, -0.015681, -0.021277, -0.061041, 0.003536, -0.03705, 0.051576, -0.029405, -0.044519, 0.133608, 0.038219, -0.002982, -0.032797, 0.01045, -0.013719, -0.001391, 0.043609, 0.080287, 0.001236, 0.061889, -0.045231, 0.051868, -0.034357, 0.018988, 0.003528, -0.009915, -0.047797, 0.042165, -0.027982, 0.021708, -0.064573, -0.008987, 0.012456, 0.027854, 0.017332, -0.056005, -0.044172, -0.033591, -0.040587, -0.033753, -0.055776, 0.039956, -0.053718, 0.070175, 0.048829, -0.041085, 0.03912, 0.054566, -0.047599, 0.075636, 0.056212, -0.032993, 0.020207, 0.039912, -0.045176, 0.064755, -0.005931, 0.000284, -0.02793, 0.018506, 0.025342, 0.01399, 0.027042, 0.021315, 0.006752, 0.021949, 0.022074, 0.153185, 0.038036, 0.004946, 0.013101, 0.013274, 0.048822, -0.055048, -0.056892, 0.021167, -0.027733, -0.007422, 0.020013, -0.04844, -0.015483, -0.043345, -0.036167, 0.033114, 0.065636 ] }, "page": "experiments/qm-4bx-18-s-p-500-breadth-low-buy-overlay-s5fi-h.html", "performance": { "cagr": 0.07606, "max_drawdown": -0.16947, "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": 0.69212, "sortino": 1.01318, "volatility": null }, "provenance": { "artifact": "research/findings/spx-breadth-low-qm-4bx.18.json", "code": "research/findings", "finding": "research/findings/spx-breadth-low-qm-4bx.18.md", "site_data": "site-data/experiments/qm-4bx.18.json", "tearsheet": null }, "question": "Decision: NO-SHIP frozen — investigate-only; do not admit to catalog/Meta. Commit: 032db993 · Date: 2026-08-12 · Payload: research/findings/spx-breadth-low-qm-4bx.18.json · Repro: python -m research.scripts.auditspxbreadthlow --write", "safe_withdrawal": null, "signalSeries": { "active": [ 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, true, true, true, true, true, true, true, true, true, true, true, true, true, true, true, 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, true ], "driver": "S5FI % above 50DMA (HMA20)", "entryValue": 8.5, "exitValue": 15.0, "inputs": [], "isDynamic": false, "isMulti": false, "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", 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11.275, 11.646, 12.088, 13.47, 13.011, 12.756, 13.955, 14.155, 14.465, 13.489, 15.084, 13.441, 13.738, 13.592, 14.183, 14.362, 12.571, 14.554, 14.131, 12.228, 12.53, 10.686, 11.792, 10.5, 9.423, 8.793, 8.684, 8.367, 7.86, 7.328, 7.118, 4.874, 5.806, 4.471, 3.18, 2.775, 3.092, 3.823, 3.74, 3.624, 3.008, 1.507, 1.963, 1.855, 2.083, 3.823, 3.054, 4.658, 4.479, 4.593, 5.731, 6.211, 5.293, 7.168, 7.408, 7.398 ], "yLabel": "S5FI HMA20 (%)" }, "signals": [ { "conditionId": "S5FI % above 50DMA (HMA20)", "contributingConditions": [], "date": "2019-03", "driver": "S5FI % above 50DMA (HMA20)", "entryExit": "entry", "index": 31, "indicatorValue": 7.36, "label": "signal 2019-03", "newState": "active", "priorState": "inactive", "thresholdKind": "fixed_hysteresis", "thresholdType": "fixed", "thresholdValue": 8.5, "unit": "%" }, { "conditionId": "S5FI % above 50DMA (HMA20)", "contributingConditions": [], "date": "2022-10", "driver": "S5FI % above 50DMA (HMA20)", "entryExit": "exit", "index": 74, "indicatorValue": 15.084, "label": "signal 2022-10", "newState": "inactive", "priorState": "active", "thresholdKind": "fixed_hysteresis", "thresholdType": "fixed", "thresholdValue": 8.5, "unit": "%" }, { "conditionId": "S5FI % above 50DMA (HMA20)", "contributingConditions": [], "date": "2024-03", "driver": "S5FI % above 50DMA (HMA20)", "entryExit": "entry", "index": 91, "indicatorValue": 8.367, "label": "signal 2024-03", "newState": "active", "priorState": "inactive", "thresholdKind": "fixed_hysteresis", "thresholdType": "fixed", "thresholdValue": 8.5, "unit": "%" } ], "slug": "qm-4bx-18-s-p-500-breadth-low-buy-overlay-s5fi-h", "stats": { "cagr": 0.07606, "maxDD": -0.16947, "sharpe": 0.69212, "sortino": 1.01318 }, "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": "S&P 500 Breadth Low Buy Overlay — S5FI HMA20 8.5/0 (qm-4bx.18)", "trading_costs": { "avg_daily_turnover": 0.00851, "avg_yearly_fees": 0.002145, "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": 0.001021 }, "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": 0.07606, "ours_stats": { "ann_return": 0.07606, "sharpe": 0.69212, "sortino": 1.01318 }, "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_low_mega_hw20", "note": "Threshold / holding window grid" }, "title": "Parameter grid: grid_low_mega_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.18", "schema_id": "experiments/v1", "schema_version": 1 }