Point-in-time strategy research

AlphaVerdict

Run daf9b08d5f27469b · synthetic-evidence-composite
warn
Audit verdict, not a trading signal
Evidence score
42
out of 100
Audit findings
7
5 independent reviewers
Evaluated periods
154
weekly rebalance

Equity path

Teal: strategy · gray: configured benchmark. Hypothetical, after configured friction.

Research metrics

Periods154
Years2.962
Total Return-32.57%
Annual Return-12.46%
Annual Volatility14.90%
Sharpe Ratio-0.817
Sortino Ratio-1.154
Calmar Ratio-0.276
Max Drawdown-45.18%
Win Rate39.61%
Best Period5.59%
Worst Period-7.69%
Var 95-3.61%
Cvar 95-4.89%
Skew-0.228
Excess Kurtosis0.904
Average Turnover16.58%
Annual Turnover8.62x
Average Gross Exposure90.26%
Beta0.528
Annual Alpha-4.65%
Information Ratio0.144
Correlation0.620

Priority validation work

  1. Reduce turnover or demand a larger gross edge; the current result does not survive plausible friction.
  2. Simplify the rule or broaden the sample; a stable edge should not depend on one contiguous window.
  3. Collect more independent periods and inspect the lower confidence path.
  4. Treat the edge as unproven and collect more independent observations.
  5. Describe the failing regime explicitly and test a pre-declared exposure gate rather than tuning on the full sample.
  6. Repeat the evaluation without those symbols and inspect point-in-time universe breadth.
  7. Repeat the run with licensed or user-owned real point-in-time data.

Run identity

Data

5a55c243a6156b4de57d2e52ec4babcf3adda65710e188be2184da1708ac63b6

Strategy

0a36531a0f6d1555b0c1c194351745d78f5075860529db9334d89f07d0b32e26

Findings

high COST_FRAGILE · Gross edge sits close to configured friction

Approximate breakeven friction is -126.3 bps versus 15.0 bps configured.

Next: Reduce turnover or demonstrate a wider edge on untouched data.

high FOLD_INSTABILITY · Most contiguous evaluation folds were not profitable

0 of 2 folds had positive total return.

Next: Simplify the rule and pre-declare a fresh holdout before further tuning.

medium BOOTSTRAP_UNCERTAIN · Bootstrap evidence is not decisive

Probability of a positive resampled total return is 6.0%.

Next: Collect more independent periods and inspect the lower confidence path.

medium MEAN_NOT_SIGNIFICANT · Mean return is not distinguishable from a sign-flipped null

Two-sided randomization p-value is 0.178.

Next: Treat the edge as unproven and collect more independent observations.

medium REGIME_INSTABILITY · Performance is concentrated in one coarse regime

Only one evaluated benchmark regime had positive compounded return.

Next: Treat regime dependence as a hypothesis and validate it on a fresh sample.

medium SYMBOL_CONCENTRATION · A few stocks dominate absolute contribution

The top three symbols contribute 68.8% of absolute gross contribution.

Next: Repeat the evaluation without those symbols and inspect point-in-time universe breadth.

info DATA_SYNTHETIC · Run uses demonstration data

Synthetic fixtures validate plumbing only and cannot support a market claim.

Next: Repeat the run with licensed or user-owned real point-in-time data.

Research boundary

A pass means only that this run survived the configured tests. It is not evidence of future returns, a recommendation, or permission to deploy capital.

Results are research simulations, not investment advice or execution instructions.

Signals are formed after a decision close and applied at the following session open.