{ "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. Primary HL Zweig breadth thrust proxy (10d HIGN/(HIGN+LOWN) low 0.40 -> high >=0.615 within 10d, 221 signals 2001-2026, 3.5% sparse) beats unconditional overall (mean fwd20 1.47% vs 0.92%, delta +0.55pp, hit 72.9% false 27.1% vs event high-only 0.73% vs 0.73% event n=4192) and vs event (+0.73pp) and retains at T+2 (-0.00pp), but fails frozen robustness: 2020-2026 delta -0.65pp hit 55.9% false 44% (regime failure vs 2001-2007 +2.07pp hit 84.4% and 2008-2019 +0.77pp hit 77.7%), adjacent thresholds/windows fail (high070 -0.10pp, window20 -0.06pp; no stable plateau), data alternatives unstable (S5FI variants fail early subperiod n=2-6; multi-index SMA fail -0.32pp; SPY up-day +0.09pp marginal), overlay 20d hold gross CAGR 1.61% vs SPY 9.22% delta -7.61pp (net 1.29% after 10bps, Sharpe 0.27 vs 0.56, maxDD -21% vs -55%, exposure 11.7%). Exact Berg thrust ratios/lookbacks withheld across all three reports — all results proxy-only; NYSE advance/decline daily history unavailable free tier, proxied via INDEX:HIGN/LOWN (6331 rows 2001+). 30k-indicator multiple-testing hazard dominates.", "bead_ids": [ "qm-tykd.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": "2026-07-31T00:00:00Z", "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": 302, "ours_alloc_rows": 302, "ours_returns_n": 302, "ticker_meta": [ { "end": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" } ], "tickers": [ "SPY" ] }, "date": "2026-08-17", "disposition": "Rejected — breadth thrust proxy shows regime-dependent hit-rate that does not survive subperiod stability, adjacent-parameter robustness, or portfolio translation; no robust indicator to promote, no tradable strategy queued. 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proxy neighborhoods kept distinct from verbatim disclosure DIA (DJI proxy) unavailable in data/market.sqlite (0 rows) — multi-index 4-index confirmation reduced to 3-index (SPY/QQQ/IWM); 30k-indicator multiple-testing hazard severe even for modest overall +0.55pp edge Sparse signal (3.5% frequency) — small subperiod ns (32 in 2001-2007, 59 in 2020+) widen confidence; regime non-stationarity dominates Equity curve is illustrative 20d holding overlay vs SPY buy-and-hold, not a recommended allocation — prediction vs portfolio kept separate per acceptance; overlay underperforms by 7.6pp", "follow_on": [ { "status": "deferred", "title": "No explicit follow-on; file new issue if needed" } ], "followup_command": "gh issue create --title \"Follow-up Berg breadth and multi-index thrust indicator family breadt\" --body \"Follow-up to qm-tykd.3: Do Berg breadth/multi-index thrust signals (advance/decline thrust, new highs/lo\" --label \"priority:p2\" --label \"pipeline:research\" --label 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"event_baseline_mean": 0.00734, "false_n": 60, "false_rate": 0.271, "freq": 0.035, "hit_pos": 0.729, "mean_fwd20": 0.01466, "n": 221 }, "sharpe": 0.0, "sortino": 0.0, "subperiods": { "2001_2007": { "delta": 0.0207, "false": 0.156, "hit": 0.844, "mean_sig": 0.0242, "n": 32, "uncond_period": 0.0035, "verdict": "strong" }, "2008_2019": { "delta": 0.0077, "false": 0.223, "hit": 0.777, "mean_sig": 0.0162, "n": 130, "uncond_period": 0.0084, "verdict": "positive weaker" }, "2020_2026": { "delta": -0.0065, "false": 0.441, "hit": 0.559, "mean_sig": 0.0061, "n": 59, "uncond_period": 0.0127, "verdict": "fail - below unconditional" } }, "unconditional_forward_20d_mean_T1": 0.00918, "unconditional_hit_pos": 0.654, "unconditional_n": 8407 }, "status": "rejected", "status_chip": "Rejected", "supplemental": { "exact_disclosed_rules": "none — family disclosed only", "family": "F3 breadth/multi-index thrust", "frozen_protocol_hash": "sha256:breadth-thrust-frozen-v1-20260817", "indicator_id": "berg-breadth-thrust-v1", "primary_definition": "HL Zweig 10d low0.40 high0.615", "proxy_disclosure": "all thresholds inferred" }, "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": "Berg breadth and multi-index thrust indicator family — breadth thrust proxy", "trading_costs": { "avg_daily_turnover": 0.00849, "avg_yearly_fees": 0.002139, "basis": "daily_engine", "cost_bps_one_way": 10.0, "fee_bps": 10.0, "n_bars": 302, "schema_id": "trading-costs/v1", "slippage_bps": 0.0, "total_costs": 0.002563 }, "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": [ "2001-06-30", "2001-07-31", "2001-08-31", "2001-09-30", "2001-10-31", "2001-11-30" ], "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.3", "schema_id": "experiments/v1", "schema_version": 1 }