{ "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 variant cleared the improvement bar versus researcheddefaults (cashonupper + meanortime, edgefreq=0.02, time=5d). Catalog defaults and VixDmaEdge.researcheddefaults() stay unchanged.", "bead_ids": [ "qm-a3a" ], "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: probability exits, Kelly sizing, shorting (qm-a3a) ## Decision: **NO-SHIP** No variant cleared the improvement bar versus `researched_defaults` (cash_on_upper + mean_or_time, edge_freq=0.02, time=5d). Catalog defaults and `VixDmaEdge.researched_defaults()` stay unchanged. **Follow-up (qm-a3a.1):** variant parity audit confirms params are not no-ops (weight series differ) but metrics are genuinely similar (small Kelly stakes); monthly SPY corr ≈ 0.99. See `vix-dma-edge-audit-qm-a3a.1.md`. ## Hypothesis 1. **Probability→exit**: Expanding-window P(|dev| shrinks over H days | ", "equity": { "experiment": [ 1.0, 1.0087, 1.068, 1.0813, 1.0835, 1.0536, 1.1072, 1.1508, 1.2216, 1.1622, 1.1369, 1.0989, 1.0961, 1.1303, 1.1206, 1.1589, 1.1306, 1.1056, 1.0615, 1.0523, 1.0358, 1.0826, 1.1324, 1.1514, 1.3396, 1.3473, 1.4012, 1.3769, 1.3714, 1.4129, 1.3595, 1.3982, 1.363, 1.3282, 1.2676, 1.2562, 1.336, 1.2852, 1.3379, 1.2818, 1.3003, 1.3296, 1.2861, 1.3128, 1.2878, 1.2606, 1.2331, 1.2529, 1.2907, 1.325, 1.361, 1.2893, 1.2234, 1.1873, 1.2551, 1.2406, 1.3193, 1.3441, 1.3576, 1.2982, 1.3426, 1.4054, 1.4983, 1.5602, 1.5001, 1.5859, 1.574, 1.6727, 1.658, 1.8749, 1.9567, 2.0564, 2.0238, 2.0824, 2.147, 2.1396, 2.0245, 1.9774, 1.9658, 1.9244, 1.9813, 1.9179, 1.8866, 1.9067, 1.9212, 1.8029, 1.8072, 1.842, 1.8027, 1.6972, 1.7573, 1.7694, 1.8362, 1.911, 1.8179, 1.8577, 1.8692, 1.9297, 1.9956, 1.948, 2.0255, 2.0423, 2.1346, 1.9562, 2.0128, 2.1545, 2.0727, 2.0789, 2.0763, 2.1707, 2.1837, 2.2826, 2.4395, 2.3375, 2.3575, 2.5094, 2.588, 2.6023, 2.711, 2.8286 ], "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": "- Live SH from Yahoo via `ensure_ohlcv` (IPO ≈ 2006-06-21). - Research ticker `__SYNTH_SH_INV_SPY__`: compound −1× SPY daily simple returns; `splice_sh_with_synthetic` level-matches at first live SH bar. - Not upserted into tracked `market.sqlite` (budget); built in-panel for sweeps/tests. Follows `__…__` synthetic naming conventions.", "follow_on": [ { "status": "open", "title": "Follow-up qm-a3a" }, { "status": "open", "title": "Follow-up qm-a3a.1" }, { "status": "open", "title": "Follow-up qm-a3a.1.md" } ], "followup_command": "gh issue create --title \"Follow-up VIX DMA Edge probability exits Kelly sizing shorting qm-a3a\" --body \"Follow-up to qm-a3a: Decision: NO-SHIP\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up VIX DMA Edge probability exits Kelly sizing shorting qm-a3a\" --body \"Follow-up to qm-a3a: Decision: NO-SHIP\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-a3a", "issue_ids": [ "qm-a3a" ], "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, 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"maxDD": -0.17025, "sharpe": 0.689, "sortino": 1.0085 }, "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: probability exits, Kelly sizing, shorting (qm-a3a)", "trading_costs": { "avg_daily_turnover": 0.00825, "avg_yearly_fees": 0.002079, "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": 0.00099 }, "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": 0.0745, "ours_stats": { "ann_return": 0.0745, "sharpe": 0.689, "sortino": 1.0085 }, "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", "schema_id": "experiments/v1", "schema_version": 1 }