{
  "experiment": {
    "alloc": {
      "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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            0.6,
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            0.6,
            0.6,
            0.6
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        },
        {
          "name": "CASH",
          "values": [
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            0.4,
            0.4,
            0.4,
            0.4,
            0.4,
            0.4,
            0.4,
            0.4,
            0.4,
            0.4
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        }
      ]
    },
    "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": [
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        },
        {
          "name": "CASH",
          "values": [
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            0.4,
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            0.4
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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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            0.6,
            0.6,
            0.6,
            0.6,
            0.6,
            0.6,
            0.6,
            0.6,
            0.6,
            0.6,
            0.6
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        },
        {
          "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
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        }
      ]
    },
    "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. Primary SPY 1-day return <= -2.5% capitulation proxy (183 signals 1993-2026, 2.17% sparse) beats unconditional overall (mean fwd20 T+1 2.03% vs 0.92%, delta +1.12pp, hit 67.2% false 32.8% vs event -1.5% to -2.5% 1.15% delta +0.88pp; event -1% to -2.5% same) and retains at T+2 (+0.17pp to 2.20%), but fails frozen robustness: 2008-2019 delta -0.24pp hit 59.7% false 40.3% (regime failure vs 1994-2007 +3.19pp hit 75.8% and 2020+ +0.43pp), adjacent thresholds fragile (-3.0% drops to +0.51pp vs primary +1.12pp; no stable plateau; -1.5% +0.51pp, -2.0% +0.83pp, -4.0% +1.11pp volatile n=48), data alternatives too frequent or mismatch (VIX>=25 17.9% freq +1.04pp, VIX>=30 8.3% +1.55pp; down 4/5 days 12.3% +0.75pp; down 5/5 sparse n=93 +1.12pp), overlay 20d hold CAGR 3.55% vs SPY 10.74% delta -7.19pp (22.9% exposure 120 transitions) and share-volume TRIN/down-volume/volume_z lanes insufficient_history offline (Volume=0 close_only).",
    "bead_ids": [
      "qm-tykd.2"
    ],
    "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": "2026-07-31T00:00:00Z",
      "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": 403,
      "ours_alloc_rows": 403,
      "ours_returns_n": 403,
      "ticker_meta": [
        {
          "end": "2026-07-24",
          "n_rows": 8428,
          "start": "1993-01-29",
          "ticker": "SPY"
        }
      ],
      "tickers": [
        "SPY"
      ]
    },
    "date": "2026-08-17",
    "disposition": "Rejected — capitulation proxy shows regime-dependent hit-rate that does not survive subperiod stability, adjacent-threshold robustness, or portfolio translation; share-volume TRIN/down-volume/volume climax require licensed NYSE volume (insufficient_history offline); no robust indicator to promote, no tradable strategy queued. All false capitulations and negative results retained.",
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        "2026-04-30",
        "2026-05-31",
        "2026-06-30",
        "2026-07-31"
      ]
    },
    "errors": "NYSE TRIN (adv_vol/dec_vol)/(adv_issues/dec_issues), NYSE down-volume % (declining_volume/total_volume), and NYSE/SPY volume climax z-score/pct requiring share volume are insufficient_history offline - data/market.sqlite is close_only (Volume=0 for all ohlcv rows per qm-zl9.1/qm-4bx.11; 0 rows with volume>0) and no NYSE volume/TRIN table exists; proxy mismatch retained; true NYSE volume/TRIN test requires licensed exchange history via qm-zfl5/qm-m1ib and is documented as untestable missing input Exact Berg volume/TRIN calculations, TRIN thresholds (e.g., 1.5/2.0/2.5), down-volume dominance ratios (75/80/90%), lookbacks (1/5/10d, 20/63d) and publication lags withheld across all three reports (zero verbatim numeric thresholds) — all thresholds/windows reported are inferred price-derived proxy neighborhoods (ret1 <= -2.5% primary etc.) kept distinct from verbatim disclosure Offline proxy is price-derived selling-pressure (SPY return <= -2.5%) plus count-derived down-day and VIX spike proxies, not true volume - volume proxy correlation not assumed; 30k-indicator multiple-testing hazard severe even for modest overall +1.12pp edge with ~30 implicit threshold/window/alternative trials Sparse signal (2.17% frequency) — small subperiod ns (62 in 1994-2007, 77 in 2008-2019, 43 in 2020+) widen confidence; regime non-stationarity dominates (2008-2019 negative delta) Equity curve is illustrative 20d holding overlay (exp=1 within 20d post-capitulation, T+1 lag, fee_bps=10) vs SPY buy-and-hold, not a recommended allocation — prediction vs portfolio kept separate per acceptance; overlay underperforms by 7.19pp (3.55% vs 10.74% CAGR) with 22.9% exposure",
    "follow_on": [
      {
        "status": "deferred",
        "title": "No explicit follow-on; file new issue if needed"
      }
    ],
    "followup_command": "gh issue create --title \"Follow-up Berg volumeTRINcapitulation indicator family  capitulation p\" --body \"Follow-up to qm-tykd.2: Do Berg volume/TRIN/capitulation signals (volume climaxes, TRIN/Arms Index extre\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"",
    "gh_command": "gh issue create --title \"Follow-up Berg volumeTRINcapitulation indicator family  capitulation p\" --body \"Follow-up to qm-tykd.2: Do Berg volume/TRIN/capitulation signals (volume climaxes, TRIN/Arms Index extre\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"",
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    "signals": [],
    "slug": "qm-tykd.2",
    "stats": {
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        "ret1_-2_0pct_n337_mean0_01752_delta0_00833": "positive +0.83pp",
        "ret1_-2_5pct_primary_n183_mean0_02035_delta0_01116": "primary +1.12pp",
        "ret1_-3_0pct_n103_mean0_01428_delta0_00509": "fail drops to +0.51pp",
        "ret1_-4_0pct_n48_mean0_02029_delta0_01111": "volatile small-n +1.11pp",
        "ret5_-5pct_n187_mean0_03084_delta0_02166": "strong but 5d not 1d capitulation",
        "ret5_-7pct_n72_mean0_03069_delta0_02150": "similar small-n"
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      "cagr": 0.0,
      "citations": [
        "https://miltonberg.com/research-process",
        "https://miltonberg.com/whitepapers/Approach_to_the_Markets.pdf",
        "https://miltonberg.com/whitepapers/The_Boundaries_of_Technical_Analysis.pdf",
        "https://miltonberg.com/whitepapers/Model_Building_Using_Data_Extremes.pdf"
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      "data_alternatives": {
        "TRIN_share_volume_lane": "insufficient_history offline - requires NYSE adv_vol/dec_vol + adv_issues/dec_issues not in sqlite (0 rows); deferred to licensed feed qm-zfl5/qm-m1ib",
        "down_4_of_5_days_n1039_mean0_01664_delta0_00745": "too frequent 12.3% not sparse",
        "down_5_of_5_days_n93_mean0_02035_delta0_01117": "sparse but count proxy not volume n=93",
        "down_7_of_10_days_n732_mean0_01829_delta0_00911": "8.7% frequent",
        "down_8_of_10_days_n121_mean0_02022_delta0_01104": "1.4% sparse but count proxy",
        "down_volume_pct_share_volume_lane": "insufficient_history offline - requires NYSE declining_volume/total_volume (Volume=0)",
        "vix_ge25_n1510_mean0_01960_delta0_01041": "17.9% frequent not sparse capitulation",
        "vix_ge30_n705_mean0_02467_delta0_01549": "8.3% frequent not sparse proxy mismatch",
        "vix_ge35_n349_mean0_02449_delta0_01531": "4.1% but VIX spike not volume TRIN",
        "volume_climax_z_lane": "insufficient_history offline - requires share volume (Volume=0); |ret|/VIX used as proxy with disclosure"
      },
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        "verdict": "retains"
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        "Sharpe_SPY": null,
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        "exposure_mean": 0.229,
        "holding_rule": "exposure=1 if ret1<=-2.5% capitulation within last 20d (T+1 entry) else 0",
        "maxDD_SPY": null,
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        "span": "1993-02-16..2026-07-24",
        "transitions": 120,
        "turns": 183
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      "primary_ret1_le_minus2_5pct": {
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        "delta_vs_unconditional": 0.01116,
        "event_baseline_mean": 0.01154,
        "event_baseline_minus1_5_to_minus2_5_n": 405,
        "event_baseline_minus1_to_minus2_5_mean": 0.01153,
        "event_baseline_minus1_to_minus2_5_n": 872,
        "false_n": 60,
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          "false": 0.242,
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          "uncond_period": 0.0083,
          "verdict": "strong"
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          "false": 0.403,
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          "uncond_period": 0.00844,
          "verdict": "fail - below unconditional"
        },
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          "false": 0.326,
          "hit": 0.674,
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          "uncond_period": 0.01267,
          "verdict": "marginal +0.43pp"
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      "unconditional_forward_20d_mean_T1": 0.00918,
      "unconditional_hit_pos": 0.654,
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    "status": "rejected",
    "status_chip": "Rejected",
    "supplemental": {
      "common_spine": "SPY proxy 1993-01-29..2026-07-24 8428 trading days, T close -> T+1 20d forward, fee_bps=10 for overlay only",
      "exact_disclosed_rules": "none — family disclosed only (R1 conceptual, R2 persistence test, R3 extreme construction) with zero verbatim thresholds",
      "family": "F2 volume/TRIN/capitulation",
      "frozen_protocol_hash": "sha256:berg-volume-trin-capitulation-frozen-v1-20260817-T1-20d-ret1-2p5pct",
      "indicator_id": "berg-volume-trin-capitulation-v1",
      "primary_definition": "SPY ret1 <= -2.5% (1d) as sparse capitulation proxy for volume/TRIN >2.0 / down-volume >80% / volume z extremes",
      "proxy_disclosure": "all thresholds inferred; share-volume TRIN/down-volume/volume_z lanes insufficient_history offline and labeled"
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    "tax_analysis": {
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      "note": "Experiment parity stub: no taxable wrapper; see strategy tax_analysis for methodology",
      "schema_id": "tax-analysis/v1",
      "stcg_pct": null
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    "taxable_stats": null,
    "title": "Berg volume/TRIN/capitulation indicator family — capitulation proxy",
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      {
        "data": {
          "labels": [
            "1993-01-31",
            "1993-02-28",
            "1993-03-31",
            "1993-04-30",
            "1993-05-31",
            "1993-06-30"
          ],
          "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-tykd.2",
  "schema_id": "experiments/v1",
  "schema_version": 1
}