{
  "experiment": {
    "alloc": {
      "labels": [
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        "2026-01",
        "2026-02",
        "2026-03",
        "2026-04",
        "2026-05",
        "2026-06",
        "2026-07"
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      "series": [
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          "name": "SPY",
          "values": [
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        {
          "name": "CASH",
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    "alloc_as": null,
    "alloc_monthly_as": null,
    "alloc_monthly_ours": {
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        "2026-03",
        "2026-04",
        "2026-05",
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        "2026-07"
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      "series": [
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          "name": "SPY",
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        {
          "name": "CASH",
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    "alloc_ours": {
      "labels": [
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        "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,
            0.4,
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            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. Proxy count>=2 composite (dist>4% & |z|>1.5, vol_z>2, |ret10|>5%) beats unconditional (mean fwd20 1.86% vs 0.94%, hit 64.8% false 35.2% n=358, 4.4% sparse) and event 1-of-3 (0.63%) overall, but fails regime gate: 1994-2007 no edge (0.86% vs 0.87% uncond false 43.2%), 2020+ drives headline (4.97% vs 1.27% hit 88% n=67). F2 volume/TRIN zero signals (NYSE TRIN/breadth free history unavailable), F1 alone trails unconditional, false not reduced vs singletons, extra lag T+2 retains (-1.7bps) but overlay with T+1 lag 10bps underperforms SPY: CAGR 8.44% vs 11.00% delta -2.56pp, gross 9.37% still -1.63pp, Sharpe 0.57 vs 0.65, maxDD -59.9% vs -55.2%. 30k-indicator multiple-testing hazard severe.",
    "bead_ids": [
      "qm-tykd.4"
    ],
    "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": 386,
      "ours_alloc_rows": 386,
      "ours_returns_n": 386,
      "ticker_meta": [
        {
          "end": "2026-07-24",
          "n_rows": 8428,
          "start": "1993-01-29",
          "ticker": "SPY"
        }
      ],
      "tickers": [
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      ]
    },
    "date": "2026-08-17",
    "disposition": "Rejected — prediction edge does not survive subperiod stability and does not become a tradable overlay; no robust strategy queued. All false composites and negative results retained.",
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      ]
    },
    "errors": "Native Berg 30k daily series unavailable proprietary — all results are public proxies (SPY/^GSPC + SPY volume + 10d momentum thrust) labelled proxy per ledger; no Berg native performance claim NYSE TRIN/breadth free history incomplete — F2 volume/TRIN proxy yields zero signals under strict vol_z> thresholds, so composite is effectively F1+F3; documented as untestable missing input No walk-forward threshold selection — subperiod splits only; 30k-indicator multiple-testing hazard severe, recent 2020+ outperformance n=67 not stable Overlay is simple cash switch (composite true -> BIL else SPY) not optimized risk-on/off allocation; turnover 8.5/yr trivial but signal sparse 4.4% limits impact",
    "follow_on": [
      {
        "status": "open",
        "title": "Berg tradable strategy promotion from robust composite"
      },
      {
        "status": "open",
        "title": "Berg proprietary data proxy feasibility"
      }
    ],
    "followup_command": "gh issue create --title \"Follow-up Berg composite and strategy synthesis  composite extreme pro\" --body \"Follow-up to qm-tykd.4: Do Berg extreme-composite aggregations (price-boundary + volume/TRIN + breadth/t\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"",
    "gh_command": "gh issue create --title \"Follow-up Berg composite and strategy synthesis  composite extreme pro\" --body \"Follow-up to qm-tykd.4: Do Berg extreme-composite aggregations (price-boundary + volume/TRIN + breadth/t\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"",
    "id": "qm-tykd.4",
    "issue_ids": [
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      "yLabel": "Composite count (0-3)"
    },
    "signals": [],
    "slug": "qm-tykd.4",
    "stats": {
      "adjacent": {
        "F1_span": "0.68-0.76% none beats uncond",
        "F2": "n=0 all thresholds",
        "F3": "3% 1.01% 5% 1.43% 7% 2.75% monotonic",
        "count_ge1": 0.00726,
        "count_ge3": 0
      },
      "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"
      ],
      "composite_ge2_primary": {
        "event_baseline_mean": 0.00626,
        "false_rate": 0.352,
        "freq": 0.0444,
        "hit_pos": 0.648,
        "hit_vs_uncond": 0.598,
        "mean_fwd20": 0.01863,
        "n": 358,
        "vs_event_delta": 0.01237,
        "vs_uncond_delta": 0.00922
      },
      "extra_lag_T2": {
        "delta": -0.00017,
        "mean_T1": 0.01863,
        "mean_T2": 0.01846
      },
      "false_composite_overall": 0.352,
      "maxDD": 0.0,
      "overlay": {
        "CAGR_SPY": 0.11,
        "CAGR_gross": 0.0937,
        "CAGR_net10bps": 0.0844,
        "Sharpe_SPY": 0.648,
        "Sharpe_net": 0.57,
        "annual_turns": 8.5,
        "cash_exposure": 0.044,
        "delta_net": -0.0256,
        "maxDD_SPY": -0.552,
        "maxDD_net": -0.599,
        "turns": 274,
        "vol_SPY": 0.1884,
        "vol_net": 0.1668
      },
      "sharpe": 0.0,
      "sortino": 0.0,
      "subperiods": {
        "1994_2007": {
          "false": 0.432,
          "hit_pos": 0.568,
          "n": 162,
          "sig_mean": 0.00857,
          "uncond": 0.00871,
          "verdict": "no edge"
        },
        "2008_2019": {
          "false": 0.372,
          "hit_pos": 0.628,
          "n": 129,
          "sig_mean": 0.01512,
          "uncond": 0.00844
        },
        "2020_2026": {
          "false": 0.119,
          "hit_pos": 0.881,
          "n": 67,
          "sig_mean": 0.04972,
          "uncond": 0.01267
        }
      },
      "unconditional_forward_20d_mean": 0.00941,
      "z_mean_ge1p5": {
        "false_rate": 0.339,
        "freq": 0.0219,
        "hit_pos": 0.661,
        "mean_fwd20": 0.01922,
        "n": 177
      },
      "z_mean_ge1p8": {
        "false_rate": 0.3,
        "hit_pos": 0.7,
        "mean_fwd20": 0.04099,
        "n": 70
      }
    },
    "status": "rejected",
    "status_chip": "Rejected",
    "supplemental": {
      "common_spine": "SPY proxy 1994-06-01 to 2026-07-24, 8069 trading days, T close -> T+1 20d forward, fee_bps=10",
      "frozen_protocol": "count>=2 (F1 dist>4% & |z252|>1.5, F2 vol_z>2 & |ret|>1%, F3 |ret10|>5%) and z-mean>=1.5, daily close, T->T+1 forward 20d, extra lag T+2, unconditional + event 1-of-3-not-2 baselines, adjacent neighborhoods, subperiods 1994-2007/2008-2019/2020+, overlay with fee_bps=10",
      "ledger_ref": "research/findings/berg-coverage-ledger-qm-tykd.5.md §2-§4 F4 and cross_report_synthesis_framework.common_spine"
    },
    "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 composite and strategy synthesis — composite extreme proxy",
    "trading_costs": {
      "avg_daily_turnover": 0.00532,
      "avg_yearly_fees": 0.001341,
      "basis": "daily_engine",
      "cost_bps_one_way": 10.0,
      "fee_bps": 10.0,
      "n_bars": 386,
      "schema_id": "trading-costs/v1",
      "slippage_bps": 0.0,
      "total_costs": 0.002054
    },
    "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": [
            "1994-06-30",
            "1994-07-31",
            "1994-08-31",
            "1994-09-30",
            "1994-10-31",
            "1994-11-30"
          ],
          "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.4",
  "schema_id": "experiments/v1",
  "schema_version": 1
}