{
  "article": {
    "official_admission": false,
    "required_headings": [
      "Summary",
      "Source",
      "What the source claims",
      "Rules actually disclosed",
      "What had to be inferred",
      "Research questions",
      "Data",
      "Baseline implementation",
      "What the signal looks like",
      "Historical events",
      "State-space exploration",
      "Parameter sensitivity",
      "What worked",
      "What did not work",
      "Why the failures appear to happen",
      "Regime behavior",
      "Timing and cost sensitivity",
      "Combinations",
      "Candidate frontier",
      "Agent assessment",
      "Limitations",
      "What to try interactively",
      "Suggested next research",
      "Promotion status",
      "Trial ledger",
      "Validation protocol",
      "Portfolio contribution"
    ],
    "research_tags": [
      "interesting_negative_result",
      "needs_more_research",
      "parameter_sensitive",
      "candidate_for_confirmation",
      "data_limited"
    ],
    "sections": {
      "Agent assessment": "Mixed confirmation: the feasible frontier does not unambiguously survive the primary local protocol, but buffered/broader menus still clear -25% out of sample. Keep exploratory; do not promote.",
      "Baseline implementation": {
        "created_by": "walk_forward_confirmation",
        "family_id": "h1-local-c5-expanding-selection",
        "metrics": {
          "acceptance_hit": false,
          "cagr": 0.12231073495697942,
          "max_drawdown": -0.2545491086115719
        },
        "parameters": {
          "protocol_id": "expanding-annual-jan-local-c5/v1",
          "unique_selected": [
            "l3x.c5_vol_scaled_ensemble.547a9b4d36f5",
            "l3x.c5_vol_scaled_ensemble.e5003d8780f5"
          ]
        },
        "reason_tested": "Primary preregistered local expanding-window path",
        "status": "exploratory_causal",
        "tags": [
          "interesting_negative_result",
          "parameter_sensitive",
          "needs_more_research"
        ],
        "variant_id": "l3x.wf.primary_local_stitched"
      },
      "Candidate frontier": [
        {
          "acceptance_hit": true,
          "cagr": 0.12406065042719905,
          "category": "best_return",
          "exploratory": true,
          "max_drawdown": -0.24262744779466716,
          "temporal_class": "causal_expanding_window",
          "variant_id": "l3x.wf.focused_grid_stitched"
        },
        {
          "acceptance_hit": true,
          "cagr": 0.11014333693353295,
          "category": "lowest_drawdown",
          "exploratory": true,
          "max_drawdown": -0.21531289220354466,
          "temporal_class": "causal_expanding_window",
          "variant_id": "l3x.c5_vol_scaled_ensemble.37764b997305"
        },
        {
          "acceptance_hit": true,
          "cagr": 0.08322902708828872,
          "category": "simplest_reasonable",
          "exploratory": true,
          "max_drawdown": -0.24775878008430874,
          "temporal_class": "causal_full_history_selected",
          "variant_id": "l3x.c5_vol_scaled_ensemble.90969248f431"
        },
        {
          "acceptance_hit": false,
          "cagr": 0.12231073495697942,
          "category": "most_stable",
          "exploratory": true,
          "max_drawdown": -0.2545491086115719,
          "temporal_class": "causal_expanding_window",
          "variant_id": "l3x.wf.primary_local_stitched"
        }
      ],
      "Data": {
        "acceptance_hit_count": 16,
        "causal_acceptance_hit_count": 0,
        "causal_execution": "close-derived decision applies one trading bar later",
        "causal_trial_count": 1816,
        "full_sample_parameter_choice": false,
        "hindsight_execution": "memorized dates or same-session/forward return; explicitly non-causal and non-deployable",
        "hindsight_trial_count": 57,
        "inputs": [
          "SPY",
          "UPRO",
          "TB3MS",
          "UNRATE",
          "__SYNTH_SPXBREADTH50__"
        ],
        "market_sqlite_sha256": "1537834d27b92bbf1872d98708186870e59d24f5de7a95728a3e08c959d7cff3",
        "public_data_policy": "publish derived metrics and normalized series, not bulk provider rows or subscriber workbook data",
        "synthetic_method": "backtest.sim_history.synthetic_levered_daily/testfol_daily-v1",
        "synthetic_parameters": {
          "annualizer": 252,
          "expense_ratio_percent": 1.0,
          "financing_spread_percent": 0.4,
          "leverage": 3.0,
          "swap_exposure": 1.1
        },
        "trial_count": 1873,
        "walk_forward_issue": 1312,
        "walk_forward_protocol": {
          "cost_bps": 5.0,
          "execution_lag_bars": 1,
          "first_cutoff": "2010-01-01",
          "fold_cadence": "annual_january",
          "primary_verdict": "stitched OOS path max_drawdown >= -0.25",
          "protocol_id": "expanding-annual-jan-local-c5/v1",
          "schedule": "expanding_window",
          "training_objective": "max CAGR subject to training max_drawdown >= floor"
        },
        "winner_variant_id": "l3x.hindsight.036f423a11de"
      },
      "Limitations": [
        "Primary local stitched OOS path fails the -25% floor by ~0.45pp even though every annual segment clears.",
        "Reconstructed expanding-window evidence is not a researcher-blind holdout because issues 1310/1313 already inspected this history.",
        "Pre-2009 3x returns remain modeled; breadth and macro remain proxies/lagged finals.",
        "Focused-grid and safety-margin clears do not authorize catalog promotion without a separate reviewed fork."
      ],
      "Portfolio contribution": {},
      "Promotion status": "Not promoted \u2014 Research Library only.",
      "Research questions": [
        "Does the issue-1310 causal UPRO/cash feasible frontier survive an expanding annual January walk-forward that freezes parameters from training prefixes only?"
      ],
      "Rules actually disclosed": [
        "Full-window CAGR must be north of 30%, max drawdown must be no worse than -25%, and the only risky holding is levered 3x S&P (UPRO/cash).",
        "Analyze the parent frontier's large drawdowns and identify indicators that would have avoided those episodes.",
        "Aggressive in-sample and hindsight overfitting is explicitly in scope, but the instruction does not turn future-return leakage into a deployable rule."
      ],
      "Source": {
        "issue": 1312,
        "kind": "user_hypothesis",
        "objective": "preregister expanding-window selection and test whether the feasible CAGR/drawdown frontier survives without full-history parameter choice",
        "parent_issue": 1310,
        "primary_window": "1999-03-05 to 2026-07-24",
        "related_issue": 1313
      },
      "State-space exploration": [
        "17 January cutoffs from 2010-01-01; local 33 + focused 161 + safety-margin local candidates.",
        "Selections never see OOS rows; issue-1313 oracles excluded."
      ],
      "Suggested next research": [
        "Should confirmation privilege the stitched path or per-fold clearance?",
        "Would a longer first training window or biennial cadence remove the 0.45pp primary breach without retuning?",
        "Should the cleared safety-margin rule be forked into a separate indicator campaign after owner review?"
      ],
      "Summary": [
        "Primary local neighborhood stitched OOS CAGR 12.23% with max drawdown -25.45%; fails the preregistered stitched-path -25% floor.",
        "All 17 annual OOS segments of the primary family individually clear -25%; the breach appears only after stitching.",
        "Safety-margin family (training DD >= -22%) stitches to 11.01% CAGR / -21.53% DD and clears -25%.",
        "Focused-grid sensitivity stitches to 12.41% CAGR / -24.26% DD and clears -25%.",
        "No full-sample parameter choice was used; issue-1313 non-causal oracles were excluded.",
        "Results are exploratory reconstructed OOS because prior campaign iterations already inspected 1999-2026; not a promotion candidate."
      ],
      "Trial ledger": [
        {
          "issue": 1310,
          "iteration_number": 1,
          "objective": "maximize causal exploratory CAGR under the -25% drawdown and UPRO-only constraints"
        },
        {
          "issue": 1313,
          "iteration_number": 2,
          "objective": "find >30% full-window hindsight frontier and attribute the parent baseline's large drawdowns"
        },
        {
          "issue": 1312,
          "iteration_number": 3,
          "objective": "walk-forward confirmation without full-sample parameter choice"
        }
      ],
      "Validation protocol": {},
      "What did not work": [
        "Primary local stitched path max drawdown -25.45% fails the preregistered floor.",
        "Full-history winner parameters are not stably reselected on every prefix."
      ],
      "What had to be inferred": [
        "Evaluate causal full-window fits separately from memorized-event and forward-return oracle ceilings.",
        "Use trend, shock, volatility, drawdown, breadth, macro, vote, veto, and calendar/oracle exposure maps to span conceptually diverse defenses."
      ],
      "What the signal looks like": [
        "Expanding annual January selection freezes a causal UPRO/cash rule from each training prefix and applies it one bar later on the next OOS year.",
        "Primary menu is the 33-variant local neighborhood around the issue-1310 c5 winner; focused grid and -22% training buffer are sensitivities."
      ],
      "What the source claims": [
        "Full-window CAGR must be north of 30%, max drawdown must be no worse than -25%, and the only risky holding is levered 3x S&P (UPRO/cash).",
        "Analyze the parent frontier's large drawdowns and identify indicators that would have avoided those episodes.",
        "Aggressive in-sample and hindsight overfitting is explicitly in scope, but the instruction does not turn future-return leakage into a deployable rule.",
        "Evaluate causal full-window fits separately from memorized-event and forward-return oracle ceilings.",
        "Use trend, shock, volatility, drawdown, breadth, macro, vote, veto, and calendar/oracle exposure maps to span conceptually diverse defenses.",
        "Realized UPRO history before 2009, exact point-in-time constituent breadth, and prospective performance of a hindsight-fit rule are unavailable."
      ],
      "What to try interactively": [
        {
          "default": 150,
          "max": 252,
          "min": 5,
          "name": "trend_sma_days",
          "type": "integer"
        },
        {
          "default": 189,
          "max": 252,
          "min": 5,
          "name": "momentum_days",
          "type": "integer"
        },
        {
          "default": 0.25,
          "max": 0.3,
          "min": 0.1,
          "name": "fast_vol_threshold",
          "type": "float"
        },
        {
          "default": 0.5,
          "max": 0.7,
          "min": 0.3,
          "name": "breadth_threshold",
          "type": "float"
        },
        {
          "default": 0.0,
          "max": 0.005,
          "min": -0.01,
          "name": "oracle_return_cut",
          "type": "float"
        },
        {
          "default": 1,
          "max": 2,
          "min": 0,
          "name": "execution_lag_bars",
          "type": "integer"
        }
      ],
      "What worked": [
        "Safety-margin and focused-grid stitched paths clear -25% (-21.53%, -24.26%).",
        "Primary annual OOS segments all clear individually; OOS CAGR exceeds the full-history parent winner."
      ]
    },
    "title": "3x S&P ensemble frontier \u2014 walk-forward confirmation"
  },
  "campaign": {
    "campaign_id": "leveraged-sp500-indicator-ensemble",
    "iteration_number": 3,
    "research_tags": [
      "interesting_negative_result",
      "needs_more_research",
      "parameter_sensitive",
      "candidate_for_confirmation",
      "data_limited"
    ],
    "status": "published",
    "title": "3x S&P ensemble frontier \u2014 walk-forward confirmation"
  },
  "candidate_frontier": [
    {
      "acceptance_hit": true,
      "cagr": 0.12406065042719905,
      "category": "best_return",
      "exploratory": true,
      "max_drawdown": -0.24262744779466716,
      "temporal_class": "causal_expanding_window",
      "variant_id": "l3x.wf.focused_grid_stitched"
    },
    {
      "acceptance_hit": true,
      "cagr": 0.11014333693353295,
      "category": "lowest_drawdown",
      "exploratory": true,
      "max_drawdown": -0.21531289220354466,
      "temporal_class": "causal_expanding_window",
      "variant_id": "l3x.c5_vol_scaled_ensemble.37764b997305"
    },
    {
      "acceptance_hit": true,
      "cagr": 0.08322902708828872,
      "category": "simplest_reasonable",
      "exploratory": true,
      "max_drawdown": -0.24775878008430874,
      "temporal_class": "causal_full_history_selected",
      "variant_id": "l3x.c5_vol_scaled_ensemble.90969248f431"
    },
    {
      "acceptance_hit": false,
      "cagr": 0.12231073495697942,
      "category": "most_stable",
      "exploratory": true,
      "max_drawdown": -0.2545491086115719,
      "temporal_class": "causal_expanding_window",
      "variant_id": "l3x.wf.primary_local_stitched"
    }
  ],
  "candidate_variants": [
    {
      "created_by": "walk_forward_confirmation",
      "family_id": "h1-local-c5-expanding-selection",
      "metrics": {
        "acceptance_hit": false,
        "cagr": 0.12231073495697942,
        "max_drawdown": -0.2545491086115719
      },
      "parameters": {
        "protocol_id": "expanding-annual-jan-local-c5/v1",
        "unique_selected": [
          "l3x.c5_vol_scaled_ensemble.547a9b4d36f5",
          "l3x.c5_vol_scaled_ensemble.e5003d8780f5"
        ]
      },
      "reason_tested": "Primary preregistered local expanding-window path",
      "status": "exploratory_causal",
      "tags": [
        "interesting_negative_result",
        "parameter_sensitive",
        "needs_more_research"
      ],
      "variant_id": "l3x.wf.primary_local_stitched"
    },
    {
      "created_by": "walk_forward_confirmation",
      "family_id": "h3-safety-margin-local-selection",
      "metrics": {
        "acceptance_hit": true,
        "cagr": 0.11014333693353295,
        "max_drawdown": -0.21531289220354466
      },
      "parameters": {
        "dd_floor": -0.22
      },
      "reason_tested": "Training drawdown buffer sensitivity",
      "status": "exploratory_causal",
      "tags": [
        "candidate_for_confirmation",
        "needs_more_research"
      ],
      "variant_id": "l3x.c5_vol_scaled_ensemble.37764b997305"
    },
    {
      "created_by": "walk_forward_confirmation",
      "family_id": "h2-focused-grid-expanding-selection",
      "metrics": {
        "acceptance_hit": true,
        "cagr": 0.12406065042719905,
        "max_drawdown": -0.24262744779466716
      },
      "parameters": {
        "candidate_count": 161
      },
      "reason_tested": "Broader focused-grid multiplicity sensitivity",
      "status": "exploratory_causal",
      "tags": [
        "candidate_for_confirmation",
        "needs_more_research"
      ],
      "variant_id": "l3x.wf.focused_grid_stitched"
    }
  ],
  "event_tables": [],
  "evidence": {},
  "execution_assumptions": {},
  "interactive_specs": [
    {
      "default": 150,
      "max": 252,
      "min": 5,
      "name": "trend_sma_days",
      "type": "integer"
    },
    {
      "default": 189,
      "max": 252,
      "min": 5,
      "name": "momentum_days",
      "type": "integer"
    },
    {
      "default": 0.25,
      "max": 0.3,
      "min": 0.1,
      "name": "fast_vol_threshold",
      "type": "float"
    },
    {
      "default": 0.5,
      "max": 0.7,
      "min": 0.3,
      "name": "breadth_threshold",
      "type": "float"
    },
    {
      "default": 0.0,
      "max": 0.005,
      "min": -0.01,
      "name": "oracle_return_cut",
      "type": "float"
    },
    {
      "default": 1,
      "max": 2,
      "min": 0,
      "name": "execution_lag_bars",
      "type": "integer"
    }
  ],
  "limitations": [
    "Primary local stitched OOS path fails the -25% floor by ~0.45pp even though every annual segment clears.",
    "Reconstructed expanding-window evidence is not a researcher-blind holdout because issues 1310/1313 already inspected this history.",
    "Pre-2009 3x returns remain modeled; breadth and macro remain proxies/lagged finals.",
    "Focused-grid and safety-margin clears do not authorize catalog promotion without a separate reviewed fork."
  ],
  "parameter_grids": [],
  "provenance": {
    "acceptance_hit_count": 16,
    "causal_acceptance_hit_count": 0,
    "causal_execution": "close-derived decision applies one trading bar later",
    "causal_trial_count": 1816,
    "full_sample_parameter_choice": false,
    "hindsight_execution": "memorized dates or same-session/forward return; explicitly non-causal and non-deployable",
    "hindsight_trial_count": 57,
    "inputs": [
      "SPY",
      "UPRO",
      "TB3MS",
      "UNRATE",
      "__SYNTH_SPXBREADTH50__"
    ],
    "market_sqlite_sha256": "1537834d27b92bbf1872d98708186870e59d24f5de7a95728a3e08c959d7cff3",
    "public_data_policy": "publish derived metrics and normalized series, not bulk provider rows or subscriber workbook data",
    "synthetic_method": "backtest.sim_history.synthetic_levered_daily/testfol_daily-v1",
    "synthetic_parameters": {
      "annualizer": 252,
      "expense_ratio_percent": 1.0,
      "financing_spread_percent": 0.4,
      "leverage": 3.0,
      "swap_exposure": 1.1
    },
    "trial_count": 1873,
    "walk_forward_issue": 1312,
    "walk_forward_protocol": {
      "cost_bps": 5.0,
      "execution_lag_bars": 1,
      "first_cutoff": "2010-01-01",
      "fold_cadence": "annual_january",
      "primary_verdict": "stitched OOS path max_drawdown >= -0.25",
      "protocol_id": "expanding-annual-jan-local-c5/v1",
      "schedule": "expanding_window",
      "training_objective": "max CAGR subject to training max_drawdown >= floor"
    },
    "winner_variant_id": "l3x.hindsight.036f423a11de"
  },
  "regime_tables": [],
  "schema_version": "research-publication/v1",
  "series": {
    "availability": "unavailable",
    "dates": [],
    "reason": "No reproducible underlying price and signal-input series are published for this expression."
  },
  "signals": {
    "spec": null,
    "specs": []
  },
  "trial_ledger": []
}