{ "experiment": { "alloc": { "labels": [ "2026-01" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "alloc_as": null, "alloc_monthly_as": null, "alloc_monthly_ours": { "labels": [ "2026-01" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "alloc_ours": { "labels": [ "2026-01" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "alloc_yearly_as": null, "alloc_yearly_ours": { "labels": [ "2026" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "analysis_page": null, "answer": "No. Both variants underperform on feasible OOS 2010-02-28..2026-07-31 (198m, 17 Jan signals, panel 2006-03-31..2026-07-31 245m) net 10bps next_close and across gross/2x: SPX delta -0.04367 (0.08053 vs 0.12420) and 6040 delta -0.03587 (0.06222 vs 0.09809). Vol-band 0.8-1.2x fails for SPX 0.746 while 6040 1.028 passes — overall infeasible. Regime 1/5 (SPX) and 0/5 (6040) fail 3/5 majority. Extra-lag Jan->Mar preserves failure (-0.04408 SPX, -0.03810 6040). Calibration 1991-1999 insufficient_history (0 eligible signals). Cost survival fails at 0/10/20bps. Not promoted.", "bead_ids": [ "qm-aaaz" ], "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": "2026-01-01T00:00:00Z", "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": 1, "ours_alloc_rows": 1, "ours_returns_n": 1, "ticker_meta": [ { "end": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" } ], "tickers": [ "SPY" ] }, "date": "2026-08-18", "disposition": "reject — not promoted to catalog; research preserved via experiments producer without fabricating catalog entry. Disposition is reject per G13 numeric gates.", "equity": { "experiment": [ 1.0 ], "labels": [ "2026-01-01" ], "spy": [ 1.0 ], "spy_labels": [ "2026-01-01" ] }, "errors": "Calibration 1991-1999 theoretical insufficient_history on ETF panel (first feasible signal 2010-01-31) flagged not counted as pass — panel starts 2006-03-31 so early calibration cannot be scored without synthetic histories Expanding walk-forward only on ETF panel 2006-2026 245m common; as_monthly modeled history not used for this evaluation but available for comparison; daily frequencies excluded monthly+static only Vol-band 0.8-1.2x fail for SPX variant (ratio 0.746 outside band, realized 0.1076 vs target 0.1441) while 6040 passes 1.028 — infeasible vol matching limits investability and shows narrow plateau OOS underperformance at matched vol net base 10bps: SPX CAGR delta -0.04367 (0.0805 vs 0.1242, Sharpe 0.775 vs 0.887) and 6040 delta -0.03587 (0.0622 vs 0.0980, Sharpe 0.706 vs 1.099) covering gross (0bps) and stress (20bps) — fee not rescuing failure, Sortino also below benchmark Throttling not applied: starts 32 workers 4 full locked defaults; liquidity drill drop_youngest_DBC not recomputed due to 600s kernel cost flagged insufficient_history; worst_month/worst_year representative -0.092/-0.114 not threshold gates", "follow_on": [ { "status": "deferred", "title": "No explicit follow-on; file new issue if needed" } ], "followup_command": "gh issue create --title \"Follow-up Max CAGR at Target Vol SPX and 6040 expanding 60m36m capped\" --body \"Follow-up to qm-aaaz: Can a max-CAGR-at-vol Meta at SPX vol and at 60/40 vol beat its benchmark CAGR a\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up Max CAGR at Target Vol SPX and 6040 expanding 60m36m capped\" --body \"Follow-up to qm-aaaz: Can a max-CAGR-at-vol Meta at SPX vol and at 60/40 vol beat its benchmark CAGR a\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-aaaz", "issue_ids": [ "qm-aaaz" ], "monthly": { "as": [ null ], "labels": [ "2026-01" ], "ours": [ 0.0 ] }, "page": "experiments/qm-aaaz.html", "performance": { "cagr": 0.0, "max_drawdown": 0.0, "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": 0.0, "sortino": 0.0, "volatility": null }, "provenance": { "artifact": "research/strategy_evidence/meta-target-cagr-vol-qm-aaaz.json", "code": "research/qm_aaaz_runner.py", "finding": "research/findings/evidence-manifest-qm-aaaz.json", "site_data": "site-data/experiments/qm-aaaz.json", "tearsheet": null }, "question": "Can a max-CAGR-at-vol Meta at SPX vol and at 60/40 vol beat its benchmark CAGR at matched vol via diversification return? Expanding annual January walk-forward 60m initial/36m per sleeve, capped-simplex 5%/20%/max10, sample cov ddof1, anti_overfit 0.002, monthly+static only, next_close 1-bar lag.", "safe_withdrawal": null, "signalSeries": { "active": [ true ], "driver": "Signal driver", "entryValue": 0.0, "exitValue": 0.0, "inputs": [], "isDynamic": false, "isMulti": false, "labels": [ "2026-01-01" ], "megaThreshold": null, "megaThresholdLabel": null, "threshold": 0.0, "thresholdKind": "fixed", "thresholdLabel": "Entry 0.0", "trigger": [ true ], "triggers": [ "2026-01-01" ], "unit": "", "values": [ 0.265 ], "yLabel": "Indicator value" }, "signals": [], "slug": "qm-aaaz", "stats": { "cagr": 0.0, "calibration_insufficient_history": "1991-1999 task window: 0 eligible January signals (panel starts 2006-03-31, first eligible 2010-01-31 with 46m expanding >=60m), flagged insufficient_history not counted as pass.", "feasible_panel": "2006-03-31..2026-07-31 245 months common panel (SPY 1993-01-29, DBC limiting 2006-02-06); feasible OOS 2010-02-28..2026-07-31 198 months, 17 January signals (first 2010-01-31 with 46m history), monthly+static only.", "maxDD": 0.0, "meta-target-cagr-6040": { "benchmark": "60/40 (0.6*SPY+0.4*bond TR monthly rebalanced; IEF native 2002+ fallback __DGS10_CM_TR__ synthetic 1962+ via FRED DGS10)", "cost_variants": { "base_10bps": { "CAGR": 0.06222222387530385, "CAGR_delta": -0.03587635521881549, "vol": 0.09151821429878082, "vol_band": 1.0280669256982446 }, "gross_0bps": { "CAGR": 0.062403638850527576, "CAGR_delta": -0.035694940243591766, "vol": 0.09153803032696928, "vol_band": 1.028289528415478 }, "stress_20bps": { "CAGR": 0.06204078257185297, "CAGR_delta": -0.03605779652226637, "vol": 0.09149898113005893, "vol_band": 1.027850870514139 } }, "extra_lag_Jan_to_Mar_2bar": { "CAGR": 0.05999631490662871, "CAGR_delta": -0.03810226418749063, "vol": 0.09126804234214106, "vol_band": 1.025256627045357 }, "failures": [ "walk_forward_oos_net_win_failed", "regime_majority_failed_0/5", "extra_lag_failed", "cost_stress_2x_failed", "calibration_1991-1999_insufficient_history" ], "marginal_contribution_frozen": { "GLD": { "contribution": 0.015812961536058046, "sleeve_CAGR": 0.07906480768029023, "weight": 0.2 }, "IEF": { "contribution": 0.004892761322965945, "sleeve_CAGR": 0.02446380661482972, "weight": 0.2 }, "IWM": { "contribution": 0.023048548995341367, "sleeve_CAGR": 0.11524274497670683, "weight": 0.2 }, "SPY": { "contribution": 0.02882219039242058, "sleeve_CAGR": 0.14411095196210288, "weight": 0.2 }, "TLT": { "contribution": 0.004633804610372483, "sleeve_CAGR": 0.023169023051862414, "weight": 0.2 } }, "native_vs_proxy_benchmark": { "delta_CAGR_native_vs_proxy": 0.0017731492507553348, "native_IEF_CAGR": 0.09809857909411934, "native_vol": 0.08901970485688301, "proxy_DGS_CAGR": 0.09632542984336401, "proxy_vol": 0.0875494678580656 }, "neighbor_stability_vol_band": { "compliance": true, "method": "vol-band perturbation +-10% target vol", "neighbor_0.9x_would_comply": true, "neighbor_1.1x_would_comply": true, "ratio": 1.0280669256982446 }, "oos_base_net_10bps": { "CAGR": 0.06222222387530385, "CAGR_delta": -0.03587635521881549, "MaxDD": -0.21453841409984942, "Sharpe": 0.7067200747188865, "Sortino": 1.0959210860089383, "benchmark_CAGR": 0.09809857909411934, "n": 198, "turnover_annual": 0.14016099418874517, "vol": 0.09151821429878082, "vol_band_compliance": true, "vol_band_ratio": 1.0280669256982446, "vol_target": 0.08901970485688301 }, "regime_wins": "0/5 (all deltas negative), need 3/5 — fail", "subperiods_5": { "2010-2014": { "CAGR": 0.056262984377175806, "CAGR_delta": -0.06786720081716036, "benchmark_CAGR": 0.12413018519433616, "n": 59, "vol_band": 1.11118800625128 }, "2015-2018": { "CAGR": 0.027491591980377095, "CAGR_delta": -0.023521432238110984, "benchmark_CAGR": 0.05101302421848808, "n": 48, "vol_band": 1.057020440906235 }, "2019-2021": { "CAGR": 0.15460782336628998, "CAGR_delta": -0.021426900014612338, "benchmark_CAGR": 0.1760347233809023, "n": 36, "vol_band": 0.8796666172982567 }, "2022-2024": { "CAGR": 0.012090893225659594, "CAGR_delta": -0.023550896486167927, "benchmark_CAGR": 0.03564178971182752, "n": 36, "vol_band": 1.0723438023622127 }, "2025-2026": { "CAGR": 0.10009753078324413, "CAGR_delta": -0.019061596722633745, "benchmark_CAGR": 0.11915912750587787, "n": 19, "vol_band": 0.9469846180811242 } }, "target": "6040_vol (expanding realized vol of 60/40)", "variant": "meta-target-cagr-6040" }, "meta-target-cagr-sp500": { "benchmark": "SPX (^GSPC price monthly via read_ohlcv)", "cost_variants": { "base_10bps": { "CAGR": 0.08053632060859717, "CAGR_delta": -0.0436736326872027, "vol": 0.10760765702306825, "vol_band": 0.7464805877906074 }, "gross_0bps": { "CAGR": 0.08064797414632285, "CAGR_delta": -0.04356197914947702, "vol": 0.1075986147416613, "vol_band": 0.7464178609575328 }, "stress_20bps": { "CAGR": 0.080424449937057, "CAGR_delta": -0.04378550335874287, "vol": 0.10759097274336857, "vol_band": 0.7463643627117619 } }, "extra_lag_Jan_to_Mar_2bar": { "CAGR": 0.08012595206178874, "CAGR_delta": -0.04408400123401113, "vol": 0.10738180168450276, "vol_band": 0.7449138161448696 }, "failures": [ "walk_forward_oos_net_win_failed", "vol_band_compliance_failed", "regime_majority_failed_1/5", "extra_lag_failed", "cost_stress_2x_failed", "calibration_1991-1999_insufficient_history" ], "marginal_contribution_frozen": { "EEM": { "contribution": 0.003957440451625458, "sleeve_CAGR": 0.052878095712549644, "weight": 0.074840827724555 }, "EFA": { "contribution": 0.0092237166510715, "sleeve_CAGR": 0.0736958904679581, "weight": 0.1251591722754451 }, "GLD": { "contribution": 0.015812961536058046, "sleeve_CAGR": 0.07906480768029023, "weight": 0.2 }, "IWM": { "contribution": 0.023048548995341367, "sleeve_CAGR": 0.11524274497670683, "weight": 0.2 }, "SPY": { "contribution": 0.02882219039242058, "sleeve_CAGR": 0.14411095196210288, "weight": 0.2 }, "VNQ": { "contribution": 0.018955296459475426, "sleeve_CAGR": 0.09477648229737712, "weight": 0.2 } }, "neighbor_stability_vol_band": { "compliance": false, "method": "vol-band perturbation +-10% target vol", "neighbor_0.9x_would_comply": true, "neighbor_1.1x_would_comply": false, "ratio": 0.7464805877906074 }, "oos_base_net_10bps": { "CAGR": 0.08053632060859717, "CAGR_delta": -0.0436736326872027, "MaxDD": -0.23514370247731964, "Sharpe": 0.7757277559522958, "Sortino": 1.1347806190632463, "benchmark_CAGR": 0.12420995329579987, "n": 198, "turnover_annual": 0.0848580801891436, "vol": 0.10760765702306825, "vol_band_compliance": false, "vol_band_ratio": 0.7464805877906074, "vol_target": 0.14415332264909866 }, "regime_wins": "1/5 (only 2025-2026 positive), need 3/5 — fail", "subperiods_5": { "2010-2014": { "CAGR": 0.06640648967824703, "CAGR_delta": -0.07514355201503142, "benchmark_CAGR": 0.14155004169327845, "n": 59, "vol_band": 0.6426487567085551 }, "2015-2018": { "CAGR": 0.03815210561039417, "CAGR_delta": -0.012292809318823261, "benchmark_CAGR": 0.05044491492921743, "n": 48, "vol_band": 0.6537228990235138 }, "2019-2021": { "CAGR": 0.18300464921538784, "CAGR_delta": -0.055831958336538534, "benchmark_CAGR": 0.23883660755192637, "n": 36, "vol_band": 0.6702647203456559 }, "2022-2024": { "CAGR": 0.009972770334394365, "CAGR_delta": -0.06263863839699657, "benchmark_CAGR": 0.07261140873139094, "n": 36, "vol_band": 0.9053486550424902 }, "2025-2026": { "CAGR": 0.19210324511539834, "CAGR_delta": 0.0348361421511032, "benchmark_CAGR": 0.15726710296429514, "n": 19, "vol_band": 0.8098115863698281 } }, "target": "spx_vol (expanding realized vol = sample stdev*sqrt(12) of ^GSPC)", "variant": "meta-target-cagr-sp500" }, "protocol": "Annual expanding walk-forward Meta maximizing mean(log(1+R_p)) s.t. realized vol == benchmark vol (sample stdev*sqrt(12) expanding strictly_before January signal). 60m initial floor, 36m per sleeve via eligible_strategy_ids, 12m hold Jan-to-Jan with next_close one-bar lag (Jan weights earn Feb), capped-simplex 5%/20%/max10 via canonical_weights/project_capped_simplex, sample covariance ddof1, anti_overfit 0.002 soft penalty, monthly+static only exclude_daily, multi-start SLSQP 32 starts workers 4 seed 0, costs 10bps base /20bps stress/0bps gross, vol-band 0.8-1.2x.", "sharpe": 0.0, "sortino": 0.0, "summary_deltas": "SPX delta -0.04367 (fail), 6040 delta -0.03587 (fail); both gross/stress also fail; vol-band SPX 0.746 fail, 6040 1.028 pass — overall fail as one variant infeasible; regime 1/5 and 0/5 fail; extra-lag preserves failure; calibration insufficient_history.", "task_windows": { "calibration": "1991-01-31..1999-12-31 anchored from 1970-01-01 — 0 eligible January signals insufficient_history on ETF panel (documented, not counted as pass)", "common_window": "2006-03-31..2026-07-31 (245m)", "oos_window": "2010-02-28..2026-07-31 (198m)", "untouched": "2000-01-31..2026-08-18 reserved confirmatory — feasible suffix 2006-03-31..2026-07-31 preserved untouched, walk-forward OOS coincides with untouched feasible" }, "universe_liquidity_flag": "drop_youngest_DBC insufficient_history — sensitivity not recomputed offline due to 600s kernel cost per variant, documented as insufficient_history, never zero-filled." }, "status": "rejected", "status_chip": "Rejected", "supplemental": { "bead": "qm-aaaz", "benchmarks": [ "SPX ^GSPC price monthly", "60/40 0.6*SPY+0.4*IEF/__DGS10_CM_TR__ monthly rebalanced TR" ], "contract_canonical_hash": "sha256:89e5f375e8937aed25dc271a0bef3714c3f57a98a3a355a1425af94c24c8cc04", "disposition": "reject", "market_sqlite_hash": "sha256:508ccb5419cc09b43a1e42e60693f6f93d4f9f9efb1fa58b0aeb9c170f149dfd", "no_catalog_entry": true, "protocol_summary": "expanding 60m/36m capped-simplex 5%/20%/max10 next_close monthly+static sample ddof1 anti_overfit 0.002", "research_narrative": [ { "heading": "Question", "text": "Can max-CAGR-at-vol at fixed benchmark vol beat the benchmark CAGR via diversification return under expanding 60m/36m capped-simplex protocol?" }, { "heading": "Protocol", "text": "Expanding strictly_before January signal, 60m initial floor, 36m per sleeve, capped-simplex projection, sample cov, anti_overfit 0.002, next_close lag, 10bps base/20bps stress, vol-band 0.8-1.2x, calibration 1991-1999 vs untouched 2000-2026 preserved." }, { "heading": "Result", "text": "Both variants fail OOS net win, vol-band (SPX), regime majority, extra-lag, cost 2x; calibration insufficient_history; not promoted." } ], "spec_canonical_hash": "sha256:888a53087cdef5f5b1eeed1ef1c53f18e6d798a1830b18beeed450766332025d", "spec_id": "meta-target-cagr-vol-qm-y8j-5", "universe_hash": "sha256:27779346c3fb4fc0462e01ae3b2c4034477e48125968684266d701724d859383", "variants": [ "meta-target-cagr-sp500", "meta-target-cagr-6040" ] }, "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": "Max CAGR at Target Vol (SPX and 60/40) — expanding 60m/36m capped-simplex reject (qm-y8j.5)", "trading_costs": { "avg_daily_turnover": 0.00781, "avg_yearly_fees": 0.001968, "basis": "monthly_proxy", "cost_bps_one_way": 10.0, "fee_bps": 10.0, "n_bars": 1, "schema_id": "trading-costs/v1", "slippage_bps": 0.0, "total_costs": 8e-06 }, "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": 0.0, "ours_stats": { "ann_return": 0.0, "sharpe": 0.0, "sortino": 0.0 }, "passed": null, "status": "not_applicable", "verify_status": null }, "visualizations": [ { "data": { "labels": [ "2026-01-01" ], "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": "Triggers when overlay takes over base strategy" }, "title": "Signal timeline (sparse triggers)", "type": "signal_timeline" } ] }, "generated_at": "2026-09-17T04:12:25Z", "id": "qm-aaaz", "schema_id": "experiments/v1", "schema_version": 1 }