{ "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": "No implementation bugs found. Probability / Kelly / SH variant params change signal exits and position sizing (weight series differ). Headline metrics still look nearly identical because Kelly defensive stakes are economically small and edge days are sparse — genuinely similar, not no-op code paths. Parent qm-a3a NO-SHIP stands; monthly SPY corr ≈ 0.99 rules out a diversifier-only ship", "bead_ids": [ "qm-a3a.1" ], "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": "1993-01-29", "id": "SPY", "kind": "ohlcv", "native_start": "1993-01-29", "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": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" }, { "end": "2026-08-04", "n_rows": 9215, "start": "1990-01-02", "ticker": "^VIX" } ], "tickers": [ "SPY", "^VIX" ] }, "date": "", "disposition": "# VIX DMA Edge: variant parity + data coverage audit (qm-a3a.1) ## Verdict **No implementation bugs found.** Probability / Kelly / SH variant params change signal exits and position sizing (weight series differ). Headline metrics still look nearly identical because Kelly defensive stakes are economically small and edge days are sparse — **genuinely similar**, not no-op code paths. Parent **qm-a3a NO-SHIP** stands; monthly SPY corr ≈ 0.99 rules out a diversifier-only ship rationale. ## Weight differentiation (not no-ops) | Pair | Left | Right | n_diff / n_common | max \\|Δw\\| | |---|---|---|", "equity": { "experiment": [ 1.0, 1.0649, 1.1056, 1.1318, 1.1408, 1.1395, 1.1082, 1.0426, 1.0541, 1.0395, 1.0037, 1.0151, 1.0064, 1.0466, 0.9983, 0.9707, 0.9277, 0.9853, 1.0078, 0.9528, 0.8972, 0.8753, 0.9277, 0.9253, 0.9795, 1.0243, 1.0049, 0.9625, 0.9062, 0.8671, 0.8704, 0.9339, 0.915, 0.9003, 0.9698, 1.0637, 1.1409, 1.084, 1.1455, 1.0924, 1.0384, 1.0568, 1.0071, 1.0285, 1.0857, 1.0528, 1.1128, 1.1869, 1.1403, 1.0956, 1.0785, 1.0762, 1.0406, 1.071, 1.0695, 1.1152, 1.2328, 1.253, 1.3107, 1.1544, 1.1474, 1.0649, 1.0977, 1.0617, 1.0647, 1.0125, 1.0602, 1.1103, 1.0601, 1.0718, 1.0185, 1.0203, 1.0694, 1.0281, 1.0348, 1.0347, 1.07, 1.1297, 1.0908, 1.1633, 1.1115, 1.056, 1.0291, 1.0089, 1.0117, 1.0048, 0.9593, 1.0131, 1.0706, 1.0647, 0.9948, 1.0114, 0.9481, 0.9329, 0.9756, 0.9669, 0.9197, 0.8863, 0.8583, 0.8022, 0.8167, 0.8091, 0.7958, 0.7556, 0.7436, 0.7308, 0.7253, 0.698, 0.6819, 0.704, 0.6965, 0.7085, 0.7275, 0.6862, 0.6692, 0.6636, 0.667, 0.6501, 0.6291, 0.6061 ], "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, 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"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": "| Ticker | First | Last | n_bars | Source | Notes | |---|---|---|---:|---|---| | `SPY` | 1993-01-29 | 2026-07-24 | 8428 | Yahoo via market.sqlite ensure_ohlcv | bday_gap_count is mostly US holidays vs pandas bday; max consecutive bar gap 7d; holes>10d=0. | | `^VIX` | 1990-01-02 | 2026-08-04 | 9215 | Yahoo via market.sqlite ensure_ohlcv | bday_gap_count is mostly US holidays vs pandas bday; max consecutive bar gap 7d; holes>10d=0. | | `SH` | 2006-06-21 | 2026-08-06 | 5063 | Yahoo via market.sqlite ensure_ohlcv | Live SH IPO; used only for short_on_upper live-panel variants. Pre-IPO history uses", "follow_on": [ { "status": "open", "title": "Follow-up qm-a3a.1" }, { "status": "open", "title": "Follow-up qm-a3a" }, { "status": "open", "title": "Follow-up qm-a3a.1.json" } ], "followup_command": "gh issue create --title \"Follow-up VIX DMA Edge variant parity data coverage audit qm-a3a1\" --body \"Follow-up to qm-a3a.1: Verdict\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up VIX DMA Edge variant parity data coverage audit qm-a3a1\" --body \"Follow-up to qm-a3a.1: Verdict\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-a3a.1", "issue_ids": [ "qm-a3a.1" ], "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, 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"2019-04", "driver": "VIX DMA edge (audit variant)", "entryExit": "entry", "index": 32, "indicatorValue": 0.062, "label": "signal 2019-04", "newState": "active", "priorState": "inactive", "thresholdKind": "fixed_hysteresis", "thresholdType": "fixed", "thresholdValue": 0.02, "unit": "pts" } ], "slug": "qm-a3a-1-vix-dma-edge-variant-parity-data-cove", "stats": { "cagr": 0.02902, "maxDD": -0.19299, "sharpe": 0.59804, "sortino": 0.87206 }, "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": "VIX DMA Edge: variant parity + data coverage audit (qm-a3a.1)", "trading_costs": { "avg_daily_turnover": 0.00567, "avg_yearly_fees": 0.001429, "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": 0.00068 }, "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": 0.02902, "ours_stats": { "ann_return": 0.02902, "sharpe": 0.59804, "sortino": 0.87206 }, "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": { "note": "Probability exits, Kelly sizing" }, "title": "VIX DMA distribution", "type": "distribution" } ] }, "generated_at": "2026-09-17T04:12:25Z", "id": "qm-a3a.1", "schema_id": "experiments/v1", "schema_version": 1 }