{ "experiment": { "alloc": { "labels": [ "2007-01", "2026-08" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4 ] } ] }, "alloc_as": null, "alloc_monthly_as": null, "alloc_monthly_ours": { "labels": [ "2007-01", "2026-08" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4 ] } ] }, "alloc_ours": { "labels": [ "2007-01", "2026-08" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4 ] } ] }, "alloc_yearly_as": null, "alloc_yearly_ours": { "labels": [ "2007" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "analysis_page": null, "answer": "Pine semantics frozen and tick-for-tick correct (HMA20=WMA(2*WMA10-WMA20,4) sparse buy impulse, 19 triggers native vs 18 SPY-aligned due to 2008-11-27 Thanksgiving bar shift and Jan28 HMA drift from holiday gap — 10.5% calendar delta not definition bug; evaluator vs direct delta 0, mega crossunder independent from low crossover, no off-by-one/lookahead/ffill/EMA-seed, pinned fixture logic verified). Re-audit on maximal native 2006-12-29→2026-08-11 and SPY-aligned 2007-01-01→2026-08-04 shows prior qm-4bx.18/23 already Pine-correct for execution (18 triggers 224 active hw20 4.68%); native Pine truth is 19 triggers 239 active 4.82% including Thanksgiving-bar. Signal is sparse buy-only (0.92/yr native) not persistent regime. Walk-forward both halves +29%/+33%, falsification passes (random 0 trig =base, inverted 0 trig 4.66), extra lag -2.6% not destructive, generic-exit harness +73% vs SMA200 but 0% vs B&H and brittle (HMA-only, mega 1 drops to 5.79, holding 60d 12.58 dominates).", "bead_ids": [ "qm-kdnj.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": "2026-08-04T00:00:00Z", "db_path": "data/market.sqlite", "db_warm": true, "gap_years": null, "limiting": { "effective_start": "2001-06-05", "id": "INDEX:HIGN", "kind": "ohlcv", "native_start": "2001-06-05", "proxied": false, "proxy_chain": [], "span_basis": "db" }, "macro_meta": [], "macros": [], "monthly_labels_n": 2, "ours_alloc_rows": 2, "ours_returns_n": 2, "ticker_meta": [ { "end": "2026-08-11", "n_rows": 6331, "start": "2001-06-05", "ticker": "INDEX:HIGN" }, { "end": "2026-08-11", "n_rows": 6312, "start": "2001-06-05", "ticker": "INDEX:LOWN" }, { "end": "2026-08-17", "n_rows": 5440, "start": "2005-01-03", "ticker": "INDEX:MAHX" }, { "end": "2026-08-17", "n_rows": 5440, "start": "2005-01-03", "ticker": "INDEX:MALX" }, { "end": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" } ], "tickers": [ "INDEX:HIGN", "INDEX:LOWN", "INDEX:MAHX", "INDEX:MALX", "SPY" ] }, "date": "2026-08-18", "disposition": "Rejected for risk-off-indicators/v1 and strategy promotion — fidelity verified (Pine-native 19 vs SPY 18, delta 2 calendar-driven, no HMA/crossover bug; prior already correct for execution) but brittle/optimization risk and sparse power; publish as qm-kdnj experiment with frozen Pine semantics, parity metrics, and generic-exit harness. Retain as risk-signals/v1 SHIP as signal (buy-signals-v1.json s5fi-breadth, signals/history.json, docs/signals.html).", "equity": { "experiment": [ 1.0, 8.013 ], "labels": [ "2007-01-01", "2026-08-04" ], "spy": [ 1.0, 7.47 ], "spy_labels": [ "2007-01-01", "2026-08-04" ] }, "errors": "Native INDEX:S5FI 2006-12-29→2026-08-11 4956 rows TradingView daily; SPY-aligned 18 triggers loses Thanksgiving 2008-11-27 bar vs native 19 (HMA drift on holiday gap) — Pine native 19 is documentation truth, execution 18 is tradeable; pre-2006 insufficient_history without licensed 500-stock constituent history — no synthetic invented beyond ETF proxy 1999-03-05 (9 sector SPDRs, 0.93 corr but weaker 5.88 vs 8.01) Only HMA20 works (SMA/EMA/WMA/Wilder collapse to base ~4.5) — HMA dependence disclosed, not repaired; mega 0 brittle (±1 drops 2.2 to 5.79) and low10 9.55 narrowly beats 8.5 — threshold plateau not lone optimum Holding window monotonic 60d 12.58 dominates 20d 8.01 — optimization risk; 20 frozen per best-practice not 60; decay/retrigger boolean identical to fixed for sparse; consensus overlay 0 vs SMA200 (needs base bullish) fails SPY B&H zero marginal (already max long) — rescue-only for defensive bases (+73% vs SMA200, +10.9% vs 60/40); 0.92/yr sparse limited power despite 19y span; ensemble 5/8.5/10 voting could reduce brittleness but not blended DB 100M near 95MB soft limit but under 100M hard; sidecar data/sim_daily.sqlite not used for S5FI; closed market holidays (Thanksgiving) cause 10.5% native vs execution date divergence — documented not a signal bug Extra lag +1 bar -2.6% small drag, still > base; walk-forward both halves positive but with window optimization risk; need frozen holding/overlay pre-registered OOS 36 Deflated Sharpe before admission", "follow_on": [ { "status": "deferred", "title": "No explicit follow-on; file new issue if needed" } ], "followup_command": "gh issue create --title \"Follow-up SP 500 breadth low Pine HMA20 850 fidelity re-audit\" --body \"Follow-up to qm-kdnj.1: Does the Pine-verbatim S&P 500 breadth low HMA20 8.5/0 crossover/crossunder (req\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up SP 500 breadth low Pine HMA20 850 fidelity re-audit\" --body \"Follow-up to qm-kdnj.1: Does the Pine-verbatim S&P 500 breadth low HMA20 8.5/0 crossover/crossunder (req\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-kdnj.1", "issue_ids": [ "qm-kdnj.1" ], "monthly": { "as": [ null, null ], "labels": [ "2007-01", "2026-08" ], "ours": [ 0.0, 7.013 ] }, "page": "experiments/qm-kdnj.1.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/findings/s5fi-breadth-buy-signal-qm-4bx.23.json", "code": "backtest/spx_breadth_low.py", "finding": "research/findings/spx-breadth-low-qm-4bx.18.md", "site_data": "site-data/experiments/qm-kdnj.1.json", "tearsheet": null }, "question": "Does the Pine-verbatim S&P 500 breadth low HMA20 8.5/0 crossover/crossunder (request.security D close, ta.hma WMA steps, ta.crossover prev<=8.5 & curr>8.5, ta.crossunder prev>=0 & curr<0) reproduce signal dates tick-for-tick and does the corrected signal predict capitulation recovery beyond generic defensive on maximal native span?", "safe_withdrawal": null, "signalSeries": { "active": [ false, false ], "driver": "Signal driver", "entryValue": 0.0, "exitValue": 0.0, "inputs": [], "isDynamic": false, "isMulti": false, "labels": [ "2007-01-01", "2026-08-04" ], "megaThreshold": null, "megaThresholdLabel": null, "threshold": 0.0, "thresholdKind": "fixed", "thresholdLabel": "Entry 0.0", "trigger": [ false, false ], "triggers": [], "unit": "", "values": [ -0.18, -0.229 ], "yLabel": "Indicator value" }, "signals": [], "slug": "qm-kdnj.1", "stats": { "adjacent": { "hma9_6_46": true, "hma_only": true, "holding_5_5_41": true, "holding_60_12_58_monotonic": true, "low10_mega0_9_55": true, "low5_mega0_6_88": true, "low8_5_mega0_8_01": true, "mega0_to_1_drop_2_2": true, "q0_10_9_82_beats_absolute": true, "sma20_4_54_collapse": true }, "baseline": { "first_trigger_native": "2008-01-28", "first_trigger_spy": "2008-10-10", "hma_span": "2007-01-31 → 2026-08-11", "last_trigger": "2023-10-09", "n_active_hw20_native": 239, "n_active_hw20_spy": 224, "n_rows_native": 4956, "n_triggers_native": 19, "n_triggers_spy_aligned": 18, "native_span": "2006-12-29 → 2026-08-11", "pct_active_native": 0.04822, "pct_active_spy": 0.04678, "triggers_per_year_native": 0.97, "triggers_per_year_spy": 0.92 }, "cagr": 0.0, "data_alternatives": { "breadth200_corr": 0.581, "native_equity": 8.013, "synthetic_breadth50_triggers": 18, "synthetic_equity": 5.88, "synthetic_status": "calibration only, native retained", "synthetic_weaker_but_positive": true }, "falsification": { "both_pass": true, "inverted_0_trig_4_66": true, "randomized_0_trig_4_637_eq_base": true }, "forward_or_lag": { "base_equity": 8.013, "extra_lag_shift1_equity": 7.807, "lag_delta_pct": -2.57, "lag_not_destructive": true }, "generic_exit_harness": { "bh_cagr_base": 0.1084886239974534, "bh_cagr_blend": 0.1084886239974534, "bh_delta_cagr": 0.0, "bh_delta_maxDD": 0.0, "bh_delta_pct": 0.0, "bh_delta_sharpe": 0.0, "bh_generic_only": 7.47006221252744, "bh_is_bh_only": true, "bh_maxDD_base": -0.5518943153747867, "bh_maxDD_blend": -0.5518943153747867, "bh_sharpe_base": 0.6234671339235841, "bh_sharpe_blend": 0.6234671339235841, "bh_signal_plus_generic": 7.47006221252744, "cross_50_200_generic_only": 5.307496340068713, "cross_cagr_base": 0.08925232849766918, "cross_cagr_blend": 0.1101545105413928, "cross_delta_cagr": 0.0209, "cross_delta_maxDD": -0.0, "cross_delta_pct": 44.93, "cross_delta_sharpe": 0.0491, "cross_false_signal": 45, "cross_hit": 179, "cross_maxDD_base": -0.3371726274233201, "cross_maxDD_blend": -0.33717262742332055, "cross_sharpe_base": 0.6795630937409454, "cross_sharpe_blend": 0.7286539451988968, "cross_signal_plus_generic": 7.692321015890443, "native_span": "INDEX:S5FI 4956 rows 2006-12-29→2026-08-11 tradingview daily; window 2007-01-03→2026-07-24 4920 bars", "note": "S&P 500 breadth low HMA20 8.5/0 buy impulse (Pine ta.hma WMA steps ta.crossover/crossunder, hw20 fixed) paired with generic opposite SPX <50DMA, <200DMA, 50/200 death-cross, trailing-stop 10/15/20% via backtest/generic_signals.py — each head-to-head generic-only vs signal+generic on same window/costs/lag via BacktestConfig.allocatesmartly() next_close 10bps, offline ensure_ohlcv offline=True, INDEX:S5FI 4956 rows 2006-12-29..2026-08-11 tradingview", "overlay_60_40_base": 4.82, "overlay_60_40_blend": 5.345, "overlay_60_40_delta_pct": 10.9, "sma200_cagr_base": 0.08731515526712696, "sma200_cagr_blend": 0.11820489533054812, "sma200_delta_cagr": 0.03089, "sma200_delta_maxDD": -0.02091, "sma200_delta_pct": 72.79, "sma200_delta_sharpe": 0.0654, "sma200_false_signal": 20, "sma200_generic_only": 5.126213766744461, "sma200_hit": 204, "sma200_maxDD_base": -0.20932772520224507, "sma200_maxDD_blend": -0.2302357445140769, "sma200_sharpe_base": 0.7675516115545757, "sma200_sharpe_blend": 0.832972991239231, "sma200_sharpe_blend_gt_base": true, "sma200_signal_plus_generic": 8.857728420484023, "sma50_cagr_base": 0.04185812480693385, "sma50_cagr_blend": 0.07256723100747298, "sma50_delta_cagr": 0.03071, "sma50_delta_maxDD": 0.08221, "sma50_delta_pct": 76.32, "sma50_delta_sharpe": 0.1428, "sma50_false_signal": 26, "sma50_generic_only": 2.2268521320028203, "sma50_hit": 198, "sma50_maxDD_base": -0.3800611967151426, "sma50_maxDD_blend": -0.29784662124685557, "sma50_sharpe_base": 0.4258934190474592, "sma50_sharpe_blend": 0.5687293843141507, "sma50_signal_plus_generic": 3.926473016504207, "trail_delta_pct": 80.4, "trailing_10pct_false_signal": 38, "trailing_10pct_hit": 186, "trailing_15pct_cagr_base": 0.06329649550413907, "trailing_15pct_cagr_blend": 0.09378247518433747, "trailing_15pct_delta_cagr": 0.03049, "trailing_15pct_delta_maxDD": 0.04044, "trailing_15pct_delta_pct": 73.65, "trailing_15pct_delta_sharpe": 0.117, "trailing_15pct_false_signal": 64, "trailing_15pct_hit": 160, "trailing_15pct_maxDD_base": -0.3209837666556653, "trailing_15pct_maxDD_blend": -0.28054748758720205, "trailing_15pct_sharpe_base": 0.5285512829071789, "trailing_15pct_sharpe_blend": 0.6455528754980223, "trailing_15pct_signal_plus_generic": 5.755468243439691, "trailing_20pct_cagr_base": 0.07920152619227738, "trailing_20pct_cagr_blend": 0.1051510295899174, "trailing_20pct_delta_cagr": 0.02595, "trailing_20pct_delta_maxDD": 0.06719, "trailing_20pct_delta_pct": 59.03, "trailing_20pct_delta_sharpe": 0.0877, "trailing_20pct_false_signal": 114, "trailing_20pct_hit": 110, "trailing_20pct_maxDD_base": -0.38220544539981616, "trailing_20pct_maxDD_blend": -0.31501409554538107, "trailing_20pct_sharpe_base": 0.5819570650464623, "trailing_20pct_sharpe_blend": 0.6696585569383576, "trailing_20pct_signal_plus_generic": 7.042967503568875, "trailing_atr_cagr_base": 0.00775742143040814, "trailing_atr_cagr_blend": 0.03281875277988, "trailing_atr_delta_cagr": 0.02506, "trailing_atr_delta_maxDD": -0.02352, "trailing_atr_delta_pct": 61.54, "trailing_atr_delta_sharpe": 0.1978, "trailing_atr_false_signal": 0, "trailing_atr_generic_only": 1.1628454678948799, "trailing_atr_hit": 224, "trailing_atr_maxDD_base": -0.293906965926513, "trailing_atr_maxDD_blend": -0.3174222346883533, "trailing_atr_sharpe_base": 0.15210554555096298, "trailing_atr_sharpe_blend": 0.3498739751969923, "trailing_atr_signal_plus_generic": 1.8784694891841442, "trailing_cagr_base": 0.073574732467788, "trailing_cagr_blend": 0.10651164487669784, "trailing_delta_cagr": 0.03294, "trailing_delta_maxDD": -0.00644, "trailing_delta_pct": 80.4, "trailing_delta_sharpe": 0.1004, "trailing_maxDD_base": -0.22837114966832717, "trailing_maxDD_blend": -0.2348135270567432, "trailing_sharpe_base": 0.6705471321093699, "trailing_sharpe_blend": 0.7709327804217264, "trailing_signal_plus_generic": 7.214202894906068, "trailing_stop_10pct_generic_only": 3.9991122096519947, "trailing_stop_15pct_generic_only": 3.3143249551672866, "trailing_stop_20pct_generic_only": 4.42881865025316, "trailing_vol_cagr_base": -0.0011716219034170194, "trailing_vol_cagr_blend": 0.023667658276929737, "trailing_vol_delta_cagr": 0.02484, "trailing_vol_delta_maxDD": -0.01068, "trailing_vol_delta_pct": 61.54, "trailing_vol_delta_sharpe": 0.2586, "trailing_vol_false_signal": 0, "trailing_vol_generic_only": 0.9773720082982104, "trailing_vol_hit": 224, "trailing_vol_maxDD_base": -0.349779426413082, "trailing_vol_maxDD_blend": -0.3604635730686738, "trailing_vol_sharpe_base": 0.012071080229078048, "trailing_vol_sharpe_blend": 0.27068906236389656, "trailing_vol_signal_plus_generic": 1.5788542397593794, "trigger_active_stats": { "active_hw20_in_window": 224, "n_rows_native": 4956, "native_span": "2006-12-29→2026-08-11", "pct_active": 0.04553, "triggers_in_window": 18 }, "valid_bars": 4920, "window": "2007-01-03→2026-07-24 same window/costs/lag next_close +10bps" }, "holding_window_monotonic": { "frozen": "hw20 per best-practice not 60", "hw20": 8.013, "hw60": 12.58 }, "maxDD": 0.0, "prior_vs_corrected": { "crossunder_independent": true, "evaluator_vs_direct_delta": 0, "hma_tick_for_tick": true, "mismatch_pct": 0.105, "mismatched_native_vs_spy": 2, "native_extra": "2008-01-28", "new_native_triggers": 19, "new_spy_triggers": 18, "note": "No HMA/crossover bug; holiday calendar gap (S5FI has Thanksgiving bar, SPY calendar does not) causes HMA path drift and +1 native trigger; SPY-aligned 18 is execution-correct", "overlap_spy": 18, "pine_fixture_logic": true, "prior_spy_triggers": 18, "shifted": "2008-11-27→28" }, "sharpe": 0.0, "sortino": 0.0, "subperiods": { "2007_gfc": 0.14, "2011": 0.08, "2022_bear": 0.095, "covid": 0.013, "post_2016_triggers": 9, "pre_2016_triggers": 9, "walk_forward_both_positive": true, "walk_forward_first_half_2007_16": 0.29, "walk_forward_second_half_2016_26": 0.33 } }, "status": "rejected", "status_chip": "Rejected", "supplemental": { "audit": "19 native triggers [2008-01-28, 2008-10-10, 2008-11-27, 2009-03-12, 2010-06-04, 2010-07-09, 2011-08-10, 2011-08-26, 2015-09-09, 2016-01-26, 2018-12-28, 2019-01-09, 2020-03-16, 2020-04-08, 2022-06-22, 2022-06-29, 2022-09-29, 2022-10-07, 2023-10-09] vs SPY-aligned 18 (drops Jan28, shifts Nov27→28) — 2 mismatches holiday-driven; evaluator _signal_s5fi_hma vs direct spx_breadth_buy_signal delta 0; no ffill/lookahead/EMA-seed; HMA prefix 19 bars NA", "generic_exit_harness": { "bh_cagr_base": 0.1084886239974534, "bh_cagr_blend": 0.1084886239974534, "bh_delta_cagr": 0.0, "bh_delta_maxDD": 0.0, "bh_delta_pct": 0.0, "bh_delta_sharpe": 0.0, "bh_generic_only": 7.47006221252744, "bh_is_bh_only": true, "bh_maxDD_base": -0.5518943153747867, "bh_maxDD_blend": -0.5518943153747867, "bh_sharpe_base": 0.6234671339235841, "bh_sharpe_blend": 0.6234671339235841, "bh_signal_plus_generic": 7.47006221252744, "cross_50_200_generic_only": 5.307496340068713, "cross_cagr_base": 0.08925232849766918, "cross_cagr_blend": 0.1101545105413928, "cross_delta_cagr": 0.0209, "cross_delta_maxDD": -0.0, "cross_delta_pct": 44.93, "cross_delta_sharpe": 0.0491, "cross_false_signal": 45, "cross_hit": 179, "cross_maxDD_base": -0.3371726274233201, "cross_maxDD_blend": -0.33717262742332055, "cross_sharpe_base": 0.6795630937409454, "cross_sharpe_blend": 0.7286539451988968, "cross_signal_plus_generic": 7.692321015890443, "native_span": "INDEX:S5FI 4956 rows 2006-12-29→2026-08-11 tradingview daily; window 2007-01-03→2026-07-24 4920 bars", "note": "S&P 500 breadth low HMA20 8.5/0 buy impulse (Pine ta.hma WMA steps ta.crossover/crossunder, hw20 fixed) paired with generic opposite SPX <50DMA, <200DMA, 50/200 death-cross, trailing-stop 10/15/20% via backtest/generic_signals.py — each head-to-head generic-only vs signal+generic on same window/costs/lag via BacktestConfig.allocatesmartly() next_close 10bps, offline ensure_ohlcv offline=True, INDEX:S5FI 4956 rows 2006-12-29..2026-08-11 tradingview", "overlay_60_40_base": 4.82, "overlay_60_40_blend": 5.345, "overlay_60_40_delta_pct": 10.9, "sma200_cagr_base": 0.08731515526712696, "sma200_cagr_blend": 0.11820489533054812, "sma200_delta_cagr": 0.03089, "sma200_delta_maxDD": -0.02091, "sma200_delta_pct": 72.79, "sma200_delta_sharpe": 0.0654, "sma200_false_signal": 20, "sma200_generic_only": 5.126213766744461, "sma200_hit": 204, "sma200_maxDD_base": -0.20932772520224507, "sma200_maxDD_blend": -0.2302357445140769, "sma200_sharpe_base": 0.7675516115545757, "sma200_sharpe_blend": 0.832972991239231, "sma200_sharpe_blend_gt_base": true, "sma200_signal_plus_generic": 8.857728420484023, "sma50_cagr_base": 0.04185812480693385, "sma50_cagr_blend": 0.07256723100747298, "sma50_delta_cagr": 0.03071, "sma50_delta_maxDD": 0.08221, "sma50_delta_pct": 76.32, "sma50_delta_sharpe": 0.1428, "sma50_false_signal": 26, "sma50_generic_only": 2.2268521320028203, "sma50_hit": 198, "sma50_maxDD_base": -0.3800611967151426, "sma50_maxDD_blend": -0.29784662124685557, "sma50_sharpe_base": 0.4258934190474592, "sma50_sharpe_blend": 0.5687293843141507, "sma50_signal_plus_generic": 3.926473016504207, "trail_delta_pct": 80.4, "trailing_10pct_false_signal": 38, "trailing_10pct_hit": 186, "trailing_15pct_cagr_base": 0.06329649550413907, "trailing_15pct_cagr_blend": 0.09378247518433747, "trailing_15pct_delta_cagr": 0.03049, "trailing_15pct_delta_maxDD": 0.04044, "trailing_15pct_delta_pct": 73.65, "trailing_15pct_delta_sharpe": 0.117, "trailing_15pct_false_signal": 64, "trailing_15pct_hit": 160, "trailing_15pct_maxDD_base": -0.3209837666556653, "trailing_15pct_maxDD_blend": -0.28054748758720205, "trailing_15pct_sharpe_base": 0.5285512829071789, "trailing_15pct_sharpe_blend": 0.6455528754980223, "trailing_15pct_signal_plus_generic": 5.755468243439691, "trailing_20pct_cagr_base": 0.07920152619227738, "trailing_20pct_cagr_blend": 0.1051510295899174, "trailing_20pct_delta_cagr": 0.02595, "trailing_20pct_delta_maxDD": 0.06719, "trailing_20pct_delta_pct": 59.03, "trailing_20pct_delta_sharpe": 0.0877, "trailing_20pct_false_signal": 114, "trailing_20pct_hit": 110, "trailing_20pct_maxDD_base": -0.38220544539981616, "trailing_20pct_maxDD_blend": -0.31501409554538107, "trailing_20pct_sharpe_base": 0.5819570650464623, "trailing_20pct_sharpe_blend": 0.6696585569383576, "trailing_20pct_signal_plus_generic": 7.042967503568875, "trailing_atr_cagr_base": 0.00775742143040814, "trailing_atr_cagr_blend": 0.03281875277988, "trailing_atr_delta_cagr": 0.02506, "trailing_atr_delta_maxDD": -0.02352, "trailing_atr_delta_pct": 61.54, "trailing_atr_delta_sharpe": 0.1978, "trailing_atr_false_signal": 0, "trailing_atr_generic_only": 1.1628454678948799, "trailing_atr_hit": 224, "trailing_atr_maxDD_base": -0.293906965926513, "trailing_atr_maxDD_blend": -0.3174222346883533, "trailing_atr_sharpe_base": 0.15210554555096298, "trailing_atr_sharpe_blend": 0.3498739751969923, "trailing_atr_signal_plus_generic": 1.8784694891841442, "trailing_cagr_base": 0.073574732467788, "trailing_cagr_blend": 0.10651164487669784, "trailing_delta_cagr": 0.03294, "trailing_delta_maxDD": -0.00644, "trailing_delta_pct": 80.4, "trailing_delta_sharpe": 0.1004, "trailing_maxDD_base": -0.22837114966832717, "trailing_maxDD_blend": -0.2348135270567432, "trailing_sharpe_base": 0.6705471321093699, "trailing_sharpe_blend": 0.7709327804217264, "trailing_signal_plus_generic": 7.214202894906068, "trailing_stop_10pct_generic_only": 3.9991122096519947, "trailing_stop_15pct_generic_only": 3.3143249551672866, "trailing_stop_20pct_generic_only": 4.42881865025316, "trailing_vol_cagr_base": -0.0011716219034170194, "trailing_vol_cagr_blend": 0.023667658276929737, "trailing_vol_delta_cagr": 0.02484, "trailing_vol_delta_maxDD": -0.01068, "trailing_vol_delta_pct": 61.54, "trailing_vol_delta_sharpe": 0.2586, "trailing_vol_false_signal": 0, "trailing_vol_generic_only": 0.9773720082982104, "trailing_vol_hit": 224, "trailing_vol_maxDD_base": -0.349779426413082, "trailing_vol_maxDD_blend": -0.3604635730686738, "trailing_vol_sharpe_base": 0.012071080229078048, "trailing_vol_sharpe_blend": 0.27068906236389656, "trailing_vol_signal_plus_generic": 1.5788542397593794, "trigger_active_stats": { "active_hw20_in_window": 224, "n_rows_native": 4956, "native_span": "2006-12-29→2026-08-11", "pct_active": 0.04553, "triggers_in_window": 18 }, "valid_bars": 4920, "window": "2007-01-03→2026-07-24 same window/costs/lag next_close +10bps" }, "generic_exit_harness_detail": "S&P 500 breadth low HMA20 8.5/0 Pine buy impulse (ta.hma WMA(2*WMA10-WMA20,4), ta.crossover prev<=8.5 & curr>8.5, ta.crossunder prev>=0 & curr<0, OR independent, hw20 fixed, 18 triggers SPY-aligned 224 active 4.55%) blended with generic defensive via OR override (long if either generic long or signal active) — each head-to-head generic-only vs signal+generic on same window/costs/lag via BacktestConfig.allocatesmartly() next_close 10bps; deltas SMA50 76.3% (CAGR +3.07% Sharpe +0.14 MaxDD +8.22% hit 198/false 26), SMA200 72.8% (CAGR +3.09% Sharpe +0.07 MaxDD -2.09% hit 204/false 20), cross 44.9% (CAGR +2.09% Sharpe +0.05 MaxDD -0.00% hit 179/false 45), trailing10 80.4% (CAGR +3.29% Sharpe +0.10 MaxDD -0.64% hit 186/false 38), trailing15 73.7% (CAGR +3.05% Sharpe +0.12 MaxDD +4.04% hit 160/false 64), trailing20 59.0% (CAGR +2.60% Sharpe +0.09 MaxDD +6.72% hit 110/false 114), trailingATR3x 61.5% (CAGR +2.51% Sharpe +0.20 MaxDD -2.35% hit 224/false 0), trailingVol2x 61.5% (CAGR +2.48% Sharpe +0.26 MaxDD -1.07% hit 224/false 0), BH 0.0% (CAGR +0.00% Sharpe +0.00 MaxDD +0.00% hit 0/false 224) — window 2007-01-03→2026-07-24 same window/costs/lag next_close +10bps L20 S5FI 4956/224 active 4.55% tradingview close_only offline", "generic_exit_harness_hit_false": { "bh": { "false_signal": 224, "hit": 0 }, "cross_50_200": { "false_signal": 45, "hit": 179 }, "sma200": { "false_signal": 20, "hit": 204 }, "sma50": { "false_signal": 26, "hit": 198 }, "trailing_10pct": { "false_signal": 38, "hit": 186 }, "trailing_15pct": { "false_signal": 64, "hit": 160 }, "trailing_20pct": { "false_signal": 114, "hit": 110 }, "trailing_atr": { "false_signal": 0, "hit": 224 }, "trailing_vol": { "false_signal": 0, "hit": 224 } }, "generic_exit_harness_rows": [ { "base_cagr": 0.04185812480693385, "base_equity": 2.2268521320028203, "base_maxDD": -0.3800611967151426, "base_sharpe": 0.4258934190474592, "blend_cagr": 0.07256723100747298, "blend_equity": 3.926473016504207, "blend_maxDD": -0.29784662124685557, "blend_sharpe": 0.5687293843141507, "delta_cagr": 0.03071, "delta_maxDD": 0.08221, "delta_pct": 76.32, "delta_sharpe": 0.1428, "false_signal": 26, "generic": "sma50", "hit": 198 }, { "base_cagr": 0.08731515526712696, "base_equity": 5.126213766744461, "base_maxDD": -0.20932772520224507, "base_sharpe": 0.7675516115545757, "blend_cagr": 0.11820489533054812, "blend_equity": 8.857728420484023, "blend_maxDD": -0.2302357445140769, "blend_sharpe": 0.832972991239231, "delta_cagr": 0.03089, "delta_maxDD": -0.02091, "delta_pct": 72.79, "delta_sharpe": 0.0654, "false_signal": 20, "generic": "sma200", "hit": 204 }, { "base_cagr": 0.08925232849766918, "base_equity": 5.307496340068713, "base_maxDD": -0.3371726274233201, "base_sharpe": 0.6795630937409454, "blend_cagr": 0.1101545105413928, "blend_equity": 7.692321015890443, "blend_maxDD": -0.33717262742332055, "blend_sharpe": 0.7286539451988968, "delta_cagr": 0.0209, "delta_maxDD": -0.0, "delta_pct": 44.93, "delta_sharpe": 0.0491, "false_signal": 45, "generic": "cross_50_200", "hit": 179 }, { "base_cagr": 0.073574732467788, "base_equity": 3.9991122096519947, "base_maxDD": -0.22837114966832717, "base_sharpe": 0.6705471321093699, "blend_cagr": 0.10651164487669784, "blend_equity": 7.214202894906068, "blend_maxDD": -0.2348135270567432, "blend_sharpe": 0.7709327804217264, "delta_cagr": 0.03294, "delta_maxDD": -0.00644, "delta_pct": 80.4, "delta_sharpe": 0.1004, "false_signal": 38, "generic": "trailing_10pct", "hit": 186 }, { "base_cagr": 0.06329649550413907, "base_equity": 3.3143249551672866, "base_maxDD": -0.3209837666556653, "base_sharpe": 0.5285512829071789, "blend_cagr": 0.09378247518433747, "blend_equity": 5.755468243439691, "blend_maxDD": -0.28054748758720205, "blend_sharpe": 0.6455528754980223, "delta_cagr": 0.03049, "delta_maxDD": 0.04044, "delta_pct": 73.65, "delta_sharpe": 0.117, "false_signal": 64, "generic": "trailing_15pct", "hit": 160 }, { "base_cagr": 0.07920152619227738, "base_equity": 4.42881865025316, "base_maxDD": -0.38220544539981616, "base_sharpe": 0.5819570650464623, "blend_cagr": 0.1051510295899174, "blend_equity": 7.042967503568875, "blend_maxDD": -0.31501409554538107, "blend_sharpe": 0.6696585569383576, "delta_cagr": 0.02595, "delta_maxDD": 0.06719, "delta_pct": 59.03, "delta_sharpe": 0.0877, "false_signal": 114, "generic": "trailing_20pct", "hit": 110 }, { "base_cagr": 0.00775742143040814, "base_equity": 1.1628454678948799, "base_maxDD": -0.293906965926513, "base_sharpe": 0.15210554555096298, "blend_cagr": 0.03281875277988, "blend_equity": 1.8784694891841442, "blend_maxDD": -0.3174222346883533, "blend_sharpe": 0.3498739751969923, "delta_cagr": 0.02506, "delta_maxDD": -0.02352, "delta_pct": 61.54, "delta_sharpe": 0.1978, "false_signal": 0, "generic": "trailing_atr", "hit": 224 }, { "base_cagr": -0.0011716219034170194, "base_equity": 0.9773720082982104, "base_maxDD": -0.349779426413082, "base_sharpe": 0.012071080229078048, "blend_cagr": 0.023667658276929737, "blend_equity": 1.5788542397593794, "blend_maxDD": -0.3604635730686738, "blend_sharpe": 0.27068906236389656, "delta_cagr": 0.02484, "delta_maxDD": -0.01068, "delta_pct": 61.54, "delta_sharpe": 0.2586, "false_signal": 0, "generic": "trailing_vol", "hit": 224 }, { "base_cagr": 0.1084886239974534, "base_equity": 7.47006221252744, "base_maxDD": -0.5518943153747867, "base_sharpe": 0.6234671339235841, "blend_cagr": 0.1084886239974534, "blend_equity": 7.47006221252744, "blend_maxDD": -0.5518943153747867, "blend_sharpe": 0.6234671339235841, "delta_cagr": 0.0, "delta_maxDD": 0.0, "delta_pct": 0.0, "delta_sharpe": 0.0, "false_signal": 224, "generic": "bh", "hit": 0 } ], "hma_semantics": "ta.hma 20 = WMA(2*WMA(s,10)-WMA(s,20),4) with round(sqrt(20))=4, half=10; ta.crossover = prev<=8.5 & curr>8.5, ta.crossunder = prev>=0 & curr<0, OR independent not conflated; request.security D close = TradingView daily close UTC-naive trading days only; available_at close, next_close execution", "no_code_fix": "backtest/spx_breadth_low.py already Pine-correct (HMA/crossover tick-for-tick); no implementation change required — audit documents delta and retains prior 18 execution triggers as history payload truth", "pine_verbatim": "s5fi = request.security(\"S5FI\", \"D\", close)\ns5fi_hma = ta.hma(s5fi, 20)\ns5fi_low = input.float(8.5, \"S&P 500 Breadth Low\")\ns5fi_mega_low = input.float(0, \"S&P 500 Breadth Mega Low\")\ns5fi_crossover = ta.crossover(s5fi_hma, low)\ns5fi_megalow_hit = ta.crossunder(s5fi_hma, s5fi_mega_low)\nspx_breadth_buy_signal = s5fi_crossover or s5fi_megalow_hit", "pinned_fixture": "HMA logic pinned via backtest/spx_breadth_low.py hma()/wma() and spx_breadth_buy_signal() crossover/crossunder on hand-computed small series (e.g., 2008-01-25 13.88 hma 8.22 → 2008-01-28 21.22 hma 9.57 cross true; 2008-10-09 0.568 → 2008-10-10 -1.48 crossunder true) — offline tests pass", "provenance_hashes": "instruments INDEX:S5FI 4956 2006-12-29→2026-08-11 TV WS, __SYNTH_SPXBREADTH50__ 6896 1999-03-05→2026-08-04, SPY 8428 1993-01-29→2026-07-24; provenance via backtest.spx_breadth_low.provenance_record() metadata_only; DB offline replay without fetch", "research_narrative": [ { "heading": "Generic opposite-signal harness", "text": "S&P 500 breadth low HMA20 8.5/0 Pine buy impulse (ta.hma WMA(2*WMA10-WMA20,4), ta.crossover prev<=8.5 & curr>8.5, ta.crossunder prev>=0 & curr<0, OR independent, hw20 fixed, 18 triggers SPY-aligned 224 active 4.55%) blended with generic defensive via OR override (long if either generic long or signal active) — each head-to-head generic-only vs signal+generic on same window/costs/lag via BacktestConfig.allocatesmartly() next_close 10bps; deltas SMA50 76.3% (CAGR +3.07% Sharpe +0.14 MaxDD +8.22% hit 198/false 26), SMA200 72.8% (CAGR +3.09% Sharpe +0.07 MaxDD -2.09% hit 204/false 20), cross 44.9% (CAGR +2.09% Sharpe +0.05 MaxDD -0.00% hit 179/false 45), trailing10 80.4% (CAGR +3.29% Sharpe +0.10 MaxDD -0.64% hit 186/false 38), trailing15 73.7% (CAGR +3.05% Sharpe +0.12 MaxDD +4.04% hit 160/false 64), trailing20 59.0% (CAGR +2.60% Sharpe +0.09 MaxDD +6.72% hit 110/false 114), trailingATR3x 61.5% (CAGR +2.51% Sharpe +0.20 MaxDD -2.35% hit 224/false 0), trailingVol2x 61.5% (CAGR +2.48% Sharpe +0.26 MaxDD -1.07% hit 224/false 0), BH 0.0% (CAGR +0.00% Sharpe +0.00 MaxDD +0.00% hit 0/false 224) — window 2007-01-03→2026-07-24 same window/costs/lag next_close +10bps L20 S5FI 4956/224 active 4.55% tradingview close_only offline" } ] }, "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 Pine HMA20 8.5/0 fidelity re-audit", "trading_costs": { "avg_daily_turnover": 0.00504, "avg_yearly_fees": 0.00127, "basis": "monthly_proxy", "cost_bps_one_way": 10.0, "fee_bps": 10.0, "n_bars": 2, "schema_id": "trading-costs/v1", "slippage_bps": 0.0, "total_costs": 1e-05 }, "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": [ "2007-01-01", "2026-08-04" ], "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-kdnj.1", "schema_id": "experiments/v1", "schema_version": 1 }