{
  "experiment": {
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        "2025-09",
        "2025-10",
        "2025-11",
        "2025-12",
        "2026-01",
        "2026-02",
        "2026-03",
        "2026-04",
        "2026-05",
        "2026-06",
        "2026-07"
      ],
      "series": [
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        {
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    "alloc_as": null,
    "alloc_monthly_as": null,
    "alloc_monthly_ours": {
      "labels": [
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        "2026-01",
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        "2026-03",
        "2026-04",
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        "2026-06",
        "2026-07"
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      "series": [
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        },
        {
          "name": "CASH",
          "values": [
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        }
      ]
    },
    "alloc_ours": {
      "labels": [
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        "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": [
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        },
        {
          "name": "CASH",
          "values": [
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        }
      ]
    },
    "alloc_yearly_as": null,
    "alloc_yearly_ours": {
      "labels": [
        "2025"
      ],
      "series": [
        {
          "name": "SPY",
          "values": [
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          ]
        },
        {
          "name": "CASH",
          "values": [
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          ]
        }
      ]
    },
    "analysis_page": null,
    "answer": "Pine semantics are now frozen and tick-for-tick correct (SMA-seed EMA, continuous regime, 252-bar warmup). Date-fidelity audit vs prior 4-point ensemble (qm-4bx.15 spot3m_ratio sma10 quantile0.80) shows 31.9% mismatch (1528/4785 dates, prior 12.2% active vs 43.2% active, 75 vs 88 transitions) due to ensemble vs 2-ticker regime, quantile vs EMA crossover, and pandas ewm without SMA seed. On maximal native span 2007-07-17→2026-07-22 (4785 valid of 9215 VIX rows, VIX3M 2006-07-17→2026-07-22), the corrected overlay (SPY long/cash next_close +10bps) underperforms B&H (CAGR 4.24% vs 10.58%, Sharpe 0.44 vs 0.61, vol 10.9% vs 19.8%, forward 21d active 1.28% vs inactive 0.76% diff +52bp) and is stable across subperiods/adjacent EMAs (pre 43.6% post 42.9%, EMA40/200 42.8% EMA60/300 43.5%). Same NO-SHIP as qm-4bx.15 but with correct dates; no promotable alpha.",
    "bead_ids": [
      "qm-kdnj.3"
    ],
    "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": 229,
      "ours_alloc_rows": 229,
      "ours_returns_n": 229,
      "ticker_meta": [
        {
          "end": "2026-07-24",
          "n_rows": 8428,
          "start": "1993-01-29",
          "ticker": "SPY"
        }
      ],
      "tickers": [
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    },
    "date": "2026-08-18",
    "disposition": "Rejected — fidelity fixed (pinned fixture 300-row 50/252 and 6 unit tests pass) but economics negative on full native window; do not promote to risk-off-indicators/v1. Published as qm-kdnj experiment with frozen backtest/vix_contango.py, provenance, and negative result retained.",
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    "errors": "VIX3M native starts 2006-07-17; pre-2006 insufficient_history (ratio NaN) — no synthetic invented; bound to overlap (prior OLS __VIX3M_SYNTH__ rejected for fidelity) DB ends 2026-07-17/2026-08-04 ~2-4 weeks stale as of 2026-08-18; offline replay on committed snapshot passes, live update via download_ticker+upsert_ohlcv when needed Yahoo primary, TradingView alternate depth-capped — no deeper daily history via TV WS per qm-4bx.15 probe Continuous regime sell>long strict >; warmup 252 bars treated as buy (not risk-off) per generate_weights",
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        "trailing_sharpe_base": 0.646371786862431,
        "trailing_sharpe_blend": 0.2662949373877939,
        "trailing_signal_plus_generic": 1.398731450867444,
        "trailing_stop_10pct_generic_only": 3.6446619577231405,
        "valid_bars": 4781,
        "vix_sell_active_pct": 0.4325,
        "window": "2007-07-17→2026-07-17 same window/costs/lag next_close +10bps"
      },
      "generic_exit_harness_detail": "VIX contango continuous regime Pine VIX/VIX3M EMA50>EMA252 (sell when short>long, SMA-seed EMA, 252 warmup) blended with generic defensive via AND (cash if either VIX sell or generic defensive) — each head-to-head generic-only vs signal+generic on same window/costs/lag via BacktestConfig.allocatesmartly() next_close 10bps; deltas SMA200 -52.97% (CAGR -4.23% Sharpe -0.22), SMA50 -42.35%, cross -56.87%, trailing -61.62%, BH -66.69% (VIX-only) — window 2007-07-17→2026-07-17 same window/costs/lag next_close +10bps L252 VIX/VIX3M 9215/5032 yahoo",
      "generic_exit_harness_rows": [
        {
          "base_cagr": 0.043175409849883994,
          "base_equity": 2.2298700559957787,
          "base_maxDD": -0.36525000338092384,
          "base_sharpe": 0.43239006355358023,
          "blend_cagr": 0.013329127503246552,
          "blend_equity": 1.2855834231405443,
          "blend_maxDD": -0.369160414171244,
          "blend_sharpe": 0.1955882275017951,
          "delta_cagr": -0.02985,
          "delta_maxDD": -0.00391,
          "delta_pct": -42.35,
          "delta_sharpe": -0.2368,
          "generic": "sma50"
        },
        {
          "base_cagr": 0.08472792448721367,
          "base_equity": 4.67858425760176,
          "base_maxDD": -0.20932772520224485,
          "base_sharpe": 0.7248937898736898,
          "blend_cagr": 0.04244357648186181,
          "blend_equity": 2.2003771881634204,
          "blend_maxDD": -0.22338006097121055,
          "blend_sharpe": 0.5086100894229107,
          "delta_cagr": -0.04228,
          "delta_maxDD": -0.01405,
          "delta_pct": -52.97,
          "delta_sharpe": -0.2163,
          "generic": "sma200"
        },
        {
          "base_cagr": 0.08329489109392552,
          "base_equity": 4.562701093690266,
          "base_maxDD": -0.3371726274233199,
          "base_sharpe": 0.6285114534469352,
          "blend_cagr": 0.036320685073896186,
          "blend_equity": 1.9676995023987904,
          "blend_maxDD": -0.2616492306583298,
          "blend_sharpe": 0.451768501031968,
          "delta_cagr": -0.04697,
          "delta_maxDD": 0.07552,
          "delta_pct": -56.87,
          "delta_sharpe": -0.1767,
          "generic": "cross_50_200"
        },
        {
          "base_cagr": 0.07054317990852454,
          "base_equity": 3.6446619577231405,
          "base_maxDD": -0.2283711496683265,
          "base_sharpe": 0.646371786862431,
          "blend_cagr": 0.01784455717933886,
          "blend_equity": 1.398731450867444,
          "blend_maxDD": -0.29208954170566426,
          "blend_sharpe": 0.2662949373877939,
          "delta_cagr": -0.0527,
          "delta_maxDD": -0.06372,
          "delta_pct": -61.62,
          "delta_sharpe": -0.3801,
          "generic": "trailing_10pct"
        },
        {
          "base_cagr": 0.10638744358946828,
          "base_equity": 6.80797390533662,
          "base_maxDD": -0.5518943153747866,
          "base_sharpe": 0.6099536464996782,
          "blend_cagr": 0.044095259874401105,
          "blend_equity": 2.2674713003676223,
          "blend_maxDD": -0.43017712684841525,
          "blend_sharpe": 0.44966195395063857,
          "delta_cagr": -0.06229,
          "delta_maxDD": 0.12172,
          "delta_pct": -66.69,
          "delta_sharpe": -0.1603,
          "generic": "bh"
        }
      ],
      "pine_verbatim": "vix_ratio_long_ema = ta.ema(vix_data / vix3m_data, 252); vix_ratio_short_ema = ta.ema(vix_data / vix3m_data, 50); vix_contango_sell_signal = vix_ratio_short_ema > vix_ratio_long_ema; vix_contango_buy_signal = not sell",
      "research_narrative": [
        {
          "heading": "Generic exit harness",
          "text": "VIX contango continuous regime Pine VIX/VIX3M EMA50>EMA252 (sell when short>long, SMA-seed EMA, 252 warmup) blended with generic defensive via AND (cash if either VIX sell or generic defensive) — each head-to-head generic-only vs signal+generic on same window/costs/lag via BacktestConfig.allocatesmartly() next_close 10bps; deltas SMA200 -52.97% (CAGR -4.23% Sharpe -0.22), SMA50 -42.35%, cross -56.87%, trailing -61.62%, BH -66.69% (VIX-only) — window 2007-07-17→2026-07-17 same window/costs/lag next_close +10bps L252 VIX/VIX3M 9215/5032 yahoo"
        }
      ]
    },
    "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 Contango Pine VIX/VIX3M EMA50/252 fidelity re-audit",
    "trading_costs": {
      "avg_daily_turnover": 0.00902,
      "avg_yearly_fees": 0.002273,
      "basis": "daily_engine",
      "cost_bps_one_way": 10.0,
      "fee_bps": 10.0,
      "n_bars": 229,
      "schema_id": "trading-costs/v1",
      "slippage_bps": 0.0,
      "total_costs": 0.002066
    },
    "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": [
            "2007-07",
            "2007-08",
            "2007-09",
            "2007-10",
            "2007-11",
            "2007-12"
          ],
          "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.3",
  "schema_id": "experiments/v1",
  "schema_version": 1
}