{ "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 blog-fidelity accept for qm-pft.1 (search complete). Catalog registration of a labelled proxy is handled separately in qm-pft.3 as turbulence-index-proxy (search baseline defaults) — still not a Sharpe~2.20 claim. Frozen rejected t352–t356 (OriginalTurbulenceIndex) remains unpublished.", "bead_ids": [ "qm-pft.1" ], "cost_variants": {}, "coverage": { "alloc_monthly_labels_n": 12, "alloc_yearly_labels_n": 0, "as_alloc_rows": 0,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": "2026-07-24", "n_rows": 6035, "start": "2002-07-30", "ticker": "IEF" }, { "end": "2026-07-24", "n_rows": 6035, "start": "2002-07-30", "ticker": "TLT" } ], "tickers": [ "SPY", "IEF", "TLT" ] }, "date": "", "disposition": "**No blog-fidelity accept** for qm-pft.1 (search complete). Catalog registration of a *labelled proxy* is handled separately in **qm-pft.3** as `turbulence-index-proxy` (search baseline defaults) — still not a Sharpe~2.20 claim. Frozen rejected t352–t356 (`OriginalTurbulenceIndex`) remains unpublished. A reproducible 31-trial experiment matrix around `backtest/turbulence.py::LabelledTurbulenceSearch` was scored against the Portfolio Optimizer article’s rounded April 2009–March 2022 summary stats (~50% average SPY exposure, Sharpe ~2.20, maximum **weekly** drawdown ~6%). No labelled variant recovers those headlines on ETF proxies. Best-by-distance (`broader_zero_fee_quintiles_L52`) reaches we", "equity": { "experiment": [ 1.0, 1.0037, 0.9963, 0.9974, 1.0015, 1.01, 1.0307, 1.0332, 1.0376, 1.0395, 1.0411, 1.0528, 1.0556, 1.0667, 1.0783, 1.0917, 1.0951, 1.1142, 1.1025, 1.0849, 1.0917, 1.1005, 1.1063, 1.1206, 1.1373, 1.1352, 1.1237, 1.1186, 1.0929, 1.1241, 1.1407, 1.1536, 1.17, 1.1362, 1.1665, 1.1747, 1.1784, 1.1918, 1.2, 1.2174, 1.2303, 1.2422, 1.2056, 1.2058, 1.2244, 1.2421, 1.2679, 1.2955, 1.3313, 1.3068, 1.297, 1.3482, 1.3871, 1.384, 1.3869, 1.405, 1.4525, 1.4624, 1.469, 1.4895, 1.4976, 1.4597, 1.5008, 1.4924, 1.5112, 1.4741, 1.4556, 1.4423, 1.4045, 1.4116, 1.3652, 1.4072, 1.3719, 1.3186, 1.3749, 1.4109, 1.3823, 1.4272, 1.3962, 1.4117, 1.4231, 1.4208, 1.4571, 1.4741, 1.4755, 1.4354, 1.4368, 1.4854, 1.5266, 1.5329, 1.5663, 1.5898, 1.5407, 1.5702, 1.5952, 1.629, 1.6364, 1.6319, 1.6156, 1.6628, 1.6394, 1.6559, 1.655, 1.6411, 1.5653, 1.6218, 1.6618, 1.6747, 1.6827, 1.7231, 1.7418, 1.7328, 1.7374, 1.7534, 1.7458, 1.7059, 1.772, 1.8104, 1.7984, 1.791 ], "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": "No additional vendor or coverage gaps beyond frozen panel window; see finding for panel dates and synthetic reconstruction limits.", "follow_on": [ { "status": "open", "title": "Follow-up qm-pft.1" }, { "status": "open", "title": "Follow-up qm-pft.3" }, { "status": "open", "title": "Follow-up qm-pft.1.json" } ], "followup_command": "gh issue create --title \"Follow-up Turbulence Index labelled search vs blogpost qm-pft1\" --body \"Follow-up to qm-pft.1: Decision\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up Turbulence Index labelled search vs blogpost qm-pft1\" --body \"Follow-up to qm-pft.1: Decision\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-pft.1", "issue_ids": [ "qm-pft.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, 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, 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 ], "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" ], "ours": [ 0.0, 0.0037, -0.007373, 0.001104, 0.004111, 0.008487, 0.020495, 0.002426, 0.004259, 0.001831, 0.001539, 0.011238, 0.00266, 0.010515, 0.010875, 0.012427, 0.003114, 0.017441, -0.010501, -0.015964, 0.006268, 0.008061, 0.00527, 0.012926, 0.014903, -0.001846, -0.01013, -0.004539, -0.022975, 0.028548, 0.014767, 0.011309, 0.014216, -0.028889, 0.026668, 0.00703, 0.00315, 0.011371, 0.00688, 0.0145, 0.010596, 0.009672, -0.029464, 0.000166, 0.015425, 0.014456, 0.020771, 0.021768, 0.027634, -0.018403, -0.007499, 0.039476, 0.028853, -0.002235, 0.002095, 0.013051, 0.033808, 0.006816, 0.004513, 0.013955, 0.005438, -0.025307, 0.028156, -0.005597, 0.012597, -0.02455, -0.01255, -0.009137, -0.026208, 0.005055, -0.032871, 0.030765, -0.025085, -0.038851, 0.042697, 0.026184, -0.020271, 0.032482, -0.021721, 0.011102, 0.008075, -0.001616, 0.025549, 0.011667, 0.00095, -0.027177, 0.000975, 0.033825, 0.027737, 0.004127, 0.021789, 0.015004, -0.030884, 0.019147, 0.015922, 0.021189, 0.004543, -0.00275, -0.009988, 0.029215, -0.014073, 0.010065, -0.000544, -0.008399, -0.046189, 0.036095, 0.024664, 0.007763, 0.004777, 0.024009, 0.010853, -0.005167, 0.002655, 0.009209, -0.004334, -0.022855, 0.038748, 0.02167, -0.006628, -0.004115 ] }, "page": "experiments/qm-pft-1-turbulence-index-labelled-search-vs-bl.html", "performance": { "cagr": 0.03064, "max_drawdown": -0.19218, "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": 0.60128, "sortino": 0.87692, "volatility": null }, "provenance": { "artifact": null, "code": "research/findings", "finding": "research/findings/turbulence-qm-pft.1.md", "site_data": "site-data/experiments/qm-pft.1.json", "tearsheet": null }, "question": " Decision", "safe_withdrawal": null, "signalSeries": null, "signals": [], "slug": "qm-pft-1-turbulence-index-labelled-search-vs-bl", "stats": { "cagr": 0.03064, "maxDD": -0.19218, "sharpe": 0.60128, "sortino": 0.87692 }, "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": "Turbulence Index — labelled search vs blogpost (qm-pft.1)", "trading_costs": { "avg_daily_turnover": 0.00594, "avg_yearly_fees": 0.001497, "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": 0.000713 }, "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": 0.03064, "ours_stats": { "ann_return": 0.03064, "sharpe": 0.60128, "sortino": 0.87692 }, "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": "Portfolio Optimizer Sharpe 2.20 claim vs labelled proxy" }, "title": "Labelled search matrix (31 trials)", "type": "search_matrix" } ] }, "generated_at": "2026-09-17T04:12:25Z", "id": "qm-pft.1", "schema_id": "experiments/v1", "schema_version": 1 }