Task #22 Phase 1 Core Summary
Scope
- Raw rebuild starts 2012-01-01 in isolated cache /root/data/mini-cypress/rqdata_task5_hist/equity.
- Production cache under ~/data/mini-cypress/rqdata/equity was not overwritten.
- Current official extended trade sample is 2015-02-17 to 2026-05-15 because the existing eps_cagr_3y gate requires 756 trading-day lag.
Data Integrity
| dataset | files | rows | first | last |
|---|---|---|---|---|
| daily_price_pre | 28 | 13,022,576 | 2012-01-04 | 2026-05-15 |
| daily_factors | 28 | 13,022,572 | 2012-01-04 | 2026-05-15 |
| benchmark_daily | 1 | 6,970 | 2012-01-04 | 2026-05-15 |
| stock_connect | 28 | 5,063,231 | NA | NA |
Note: stock-connect starts 2017-03-17 in this pull; missing periods are treated as missing/0 contribution, not a blocker.
Core Metrics, 2015-02-17 to 2026-05-15
| scenario | ann | vol | sharpe | mdd | final_nav | avg_exp | avg_hold | days |
|---|---|---|---|---|---|---|---|---|
| v1_3_Y2 | 0.1621 | 0.1926 | 0.8417 | -0.2925 | 5.0843 | 0.3983 | 5.3387 | 2728 |
| v1_3_early4_smart | 0.1609 | 0.1936 | 0.8314 | -0.2925 | 5.0305 | 0.3978 | 5.3372 | 2728 |
| mfilter_open3_close5 | 0.1400 | 0.2008 | 0.6973 | -0.2825 | 4.1301 | 0.4389 | 5.2526 | 2728 |
| v1_2_fund_mv | 0.1338 | 0.1925 | 0.6954 | -0.2881 | 3.8950 | 0.4050 | 4.8211 | 2728 |
| v1_2_combined | 0.1284 | 0.1921 | 0.6686 | -0.2877 | 3.6982 | 0.4053 | 4.8065 | 2728 |
| stop_three_axis | 0.1284 | 0.1921 | 0.6686 | -0.2877 | 3.6982 | 0.4053 | 4.8065 | 2728 |
| mfilter_open1_close1 | 0.1284 | 0.1921 | 0.6686 | -0.2877 | 3.6982 | 0.4053 | 4.8065 | 2728 |
| v1_3_baseline | 0.1283 | 0.1920 | 0.6681 | -0.2875 | 3.6939 | 0.4052 | 4.8065 | 2728 |
| v1_1_B3 | 0.1220 | 0.1911 | 0.6387 | -0.2640 | 3.4780 | 0.4037 | 4.7841 | 2728 |
| v1_production | 0.1201 | 0.1991 | 0.6034 | -0.2601 | 3.4145 | 0.4364 | 5.1910 | 2728 |
| hard8_only | 0.0600 | 0.2238 | 0.2680 | -0.5508 | 1.8787 | 0.7498 | 8.7166 | 2728 |
v0+ ladder
| scenario | m_filter | trading_cost | slippage | strict_limit_lock | industry_cap | full_annualized | full_vol | full_sharpe | full_mdd | is_annualized | is_sharpe | avg_exposure | avg_holdings | trades | buys | sells |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| m_price_above_ma100 | price_above_ma100 | 0.0010 | 0.0000 | False | nan | 0.2239 | 0.2533 | 0.8838 | -0.3654 | 0.1593 | 0.7194 | 0.4900 | 5.8221 | 979 | 477 | 502 |
| industry_cap_30pct | ma50_ma200 | 0.0010 | 0.0000 | False | 0.3000 | 0.1746 | 0.2079 | 0.8401 | -0.2193 | 0.1512 | 0.8280 | 0.3449 | 4.1326 | 644 | 314 | 330 |
| v0_baseline | ma50_ma200 | 0.0010 | 0.0000 | False | nan | 0.1598 | 0.2103 | 0.7600 | -0.2182 | 0.1303 | 0.7076 | 0.3462 | 4.1030 | 654 | 320 | 334 |
| m_price_above_ma200 | price_above_ma200 | 0.0010 | 0.0000 | False | nan | 0.1672 | 0.2413 | 0.6928 | -0.4112 | 0.1488 | 0.7200 | 0.4511 | 5.3779 | 909 | 442 | 467 |
| strict_limit_slippage_50bp | ma50_ma200 | 0.0010 | 0.0050 | True | nan | 0.1312 | 0.2093 | 0.6266 | -0.2429 | 0.1053 | 0.5754 | 0.3457 | 4.0829 | 672 | 328 | 344 |
| slippage_50bp | ma50_ma200 | 0.0010 | 0.0050 | False | nan | 0.1276 | 0.2106 | 0.6058 | -0.2429 | 0.1024 | 0.5589 | 0.3458 | 4.0806 | 671 | 328 | 343 |
| industry_cap_30pct_slippage_50bp | ma50_ma200 | 0.0010 | 0.0050 | True | 0.3000 | 0.1253 | 0.2079 | 0.6025 | -0.2439 | 0.0870 | 0.4775 | 0.3416 | 4.0634 | 675 | 330 | 345 |
| m_always_on | always_on | 0.0010 | 0.0000 | False | nan | 0.0857 | 0.2925 | 0.2931 | -0.5901 | 0.0235 | 0.0847 | 0.6700 | 8.0605 | 1616 | 794 | 822 |
Per-rule A/B
| scenario | buy_rule | sell_rule | full_annualized | full_vol | full_sharpe | full_mdd | avg_exposure | avg_holdings | trades | delta_sharpe | delta_mdd | passes_lock_rule |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| B3_rps250_125_gt80 | B3_rps250_125_gt80 | nan | 0.1399 | 0.2018 | 0.6935 | -0.2170 | 0.3160 | 3.7449 | 628 | 0.0910 | 0.0269 | True |
| S3_high_volume_stall | nan | S3_high_volume_stall | 0.1254 | 0.2079 | 0.6029 | -0.2439 | 0.3406 | 4.0522 | 679 | 0.0005 | -0.0000 | True |
| v1_production | nan | nan | 0.1253 | 0.2079 | 0.6025 | -0.2439 | 0.3416 | 4.0634 | 675 | 0.0000 | 0.0000 | False |
| S1_exhaustion_gap | nan | S1_exhaustion_gap | 0.1253 | 0.2079 | 0.6025 | -0.2439 | 0.3416 | 4.0634 | 675 | 0.0000 | 0.0000 | False |
| B5_turnover_lt10 | B5_turnover_lt10 | nan | 0.1228 | 0.2052 | 0.5986 | -0.2929 | 0.3434 | 4.0746 | 677 | -0.0039 | -0.0491 | False |
| B2_rsi12_gt50 | B2_rsi12_gt50 | nan | 0.1026 | 0.1973 | 0.5200 | -0.2598 | 0.3334 | 3.9905 | 662 | -0.0825 | -0.0160 | False |
| S2_climax_5d_gt30 | nan | S2_climax_5d_gt30 | 0.0736 | 0.1461 | 0.5035 | -0.2649 | 0.2611 | 3.9481 | 2440 | -0.0990 | -0.0210 | False |
| S4_six_down_days_proxy | nan | S4_six_down_days_proxy | 0.0588 | 0.1180 | 0.4988 | -0.1790 | 0.1545 | 3.9842 | 2871 | -0.1037 | 0.0648 | False |
| B4_volume_ratio_gt1_5 | B4_volume_ratio_gt1_5 | nan | 0.0853 | 0.1730 | 0.4928 | -0.2039 | 0.2567 | 2.9908 | 560 | -0.1097 | 0.0400 | False |
| B1_growth_2q | B1_growth_2q | nan | 0.0882 | 0.1936 | 0.4553 | -0.2767 | 0.2855 | 3.3836 | 651 | -0.1472 | -0.0329 | False |
| S6_new_high_fail | nan | S6_new_high_fail | 0.0549 | 0.1705 | 0.3222 | -0.2802 | 0.2678 | 3.2987 | 1142 | -0.2803 | -0.0363 | False |
| S5_170pct_above_ma200 | nan | S5_170pct_above_ma200 | 0.0295 | 0.1282 | 0.2305 | -0.2595 | 0.2613 | 3.9641 | 2633 | -0.3720 | -0.0156 | False |
Fund sponsorship A/B
| scenario | full_annualized | full_vol | full_sharpe | full_mdd | avg_exposure | avg_holdings | trades | delta_sharpe | delta_mdd | passes_lock_rule |
|---|---|---|---|---|---|---|---|---|---|---|
| fund_mv_bonus | 0.1560 | 0.2039 | 0.7649 | -0.2211 | 0.3170 | 3.7739 | 579 | 0.0715 | -0.0041 | True |
| fund_combined_bonus | 0.1472 | 0.2031 | 0.7247 | -0.2313 | 0.3173 | 3.7624 | 586 | 0.0312 | -0.0143 | True |
| v1_1_production | 0.1399 | 0.2018 | 0.6935 | -0.2170 | 0.3160 | 3.7449 | 628 | 0.0000 | 0.0000 | False |
| fund_count_bonus | 0.1357 | 0.2023 | 0.6710 | -0.2178 | 0.3170 | 3.7613 | 609 | -0.0225 | -0.0008 | False |
| fund_positive_filter | 0.1335 | 0.2015 | 0.6622 | -0.2332 | 0.3116 | 3.6935 | 620 | -0.0313 | -0.0163 | False |
v1.3 A/B
| scenario | full_annualized | full_sharpe | full_mdd | avg_exposure | avg_holdings | avg_ai_chain_weight | p95_ai_chain_weight | oos_c_annualized | oos_c_sharpe | oos_c_mdd | trades | early_buys | smart_replaces | delta_sharpe | delta_mdd |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| early_watchlist_small4pct_smart_capacity_chain_cap_40 | 0.1723 | 0.8621 | -0.2275 | 0.3969 | 4.9975 | 0.0799 | 0.3793 | 1.0333 | 3.2244 | -0.1407 | 695 | 90 | 23 | 0.1381 | 0.0039 |
| early_watchlist_small4pct_smart_capacity | 0.1707 | 0.8487 | -0.2275 | 0.3963 | 4.9955 | 0.0872 | 0.3994 | 1.0094 | 3.0592 | -0.1518 | 701 | 92 | 24 | 0.1247 | 0.0039 |
| early_watchlist_small4pct | 0.1676 | 0.8296 | -0.2322 | 0.3980 | 5.0070 | 0.0874 | 0.3973 | 1.0474 | 3.0916 | -0.1429 | 644 | 92 | 0 | 0.1056 | -0.0008 |
| early_watchlist_chain_cap_40 | 0.1631 | 0.8274 | -0.2322 | 0.3955 | 5.0030 | 0.0783 | 0.3839 | 0.9729 | 3.1478 | -0.1379 | 636 | 90 | 0 | 0.1033 | -0.0008 |
| early_watchlist | 0.1554 | 0.7425 | -0.2667 | 0.4156 | 4.9625 | 0.0878 | 0.3875 | 1.0221 | 3.0754 | -0.1374 | 656 | 94 | 0 | 0.0185 | -0.0353 |
| early_watchlist_smart_capacity | 0.1542 | 0.7348 | -0.2689 | 0.4153 | 4.9680 | 0.0889 | 0.3890 | 0.9432 | 2.8118 | -0.1687 | 709 | 93 | 24 | 0.0108 | -0.0375 |
| v1_2_baseline | 0.1470 | 0.7240 | -0.2314 | 0.4072 | 4.8294 | 0.0895 | 0.4257 | 0.8555 | 2.5467 | -0.1569 | 586 | 0 | 0 | 0.0000 | 0.0000 |
| smart_capacity | 0.1459 | 0.7132 | -0.2266 | 0.4086 | 4.8389 | 0.0877 | 0.4197 | 0.8917 | 2.6097 | -0.1434 | 622 | 0 | 25 | -0.0108 | 0.0048 |
| chain_cap_30 | 0.1366 | 0.7083 | -0.2433 | 0.4024 | 4.8564 | 0.0678 | 0.2942 | 0.7727 | 2.6465 | -0.1340 | 589 | 0 | 0 | -0.0158 | -0.0119 |
| chain_cap_40 | 0.1352 | 0.6811 | -0.2314 | 0.4068 | 4.8504 | 0.0772 | 0.3890 | 0.7051 | 2.2752 | -0.1666 | 581 | 0 | 0 | -0.0429 | 0.0000 |
M-filter top grid
| scenario | open_n | close_n | full_annualized | full_vol | full_sharpe | full_mdd | oos_b_annualized | oos_b_sharpe | oos_b_mdd | avg_exposure | first_open_after_20240924 | bull_start_lag_days | trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| open3_close5 | 3 | 5 | 0.1608 | 0.2134 | 0.7536 | -0.2825 | 0.0452 | 0.1805 | -0.2129 | 0.3435 | 2024-10-28 | 34 | 623 |
| open5_close5 | 5 | 5 | 0.1591 | 0.2116 | 0.7518 | -0.2825 | -0.0502 | -0.2021 | -0.2351 | 0.3347 | 2024-10-30 | 36 | 613 |
| open10_close3 | 10 | 3 | 0.1482 | 0.1979 | 0.7491 | -0.2831 | -0.1073 | -0.5211 | -0.2256 | 0.2964 | 2024-11-06 | 43 | 563 |
| open10_close5 | 10 | 5 | 0.1456 | 0.2002 | 0.7273 | -0.2831 | -0.1343 | -0.6405 | -0.2337 | 0.3032 | 2024-11-06 | 43 | 580 |
| open5_close2 | 5 | 2 | 0.1483 | 0.2044 | 0.7253 | -0.2536 | -0.0260 | -0.1061 | -0.2262 | 0.3108 | 2024-10-30 | 36 | 574 |
| open1_close1 | 1 | 1 | 0.1472 | 0.2031 | 0.7247 | -0.2313 | 0.0906 | 0.3376 | -0.1852 | 0.3173 | 2024-10-24 | 30 | 586 |
| open20_close3 | 20 | 3 | 0.1284 | 0.1789 | 0.7177 | -0.2743 | 0.0715 | 0.3423 | -0.1712 | 0.2521 | 2024-11-20 | 57 | 493 |
| open5_close3 | 5 | 3 | 0.1469 | 0.2067 | 0.7108 | -0.2840 | -0.0257 | -0.1051 | -0.2262 | 0.3133 | 2024-10-30 | 36 | 581 |
| open1_close5 | 1 | 5 | 0.1498 | 0.2121 | 0.7062 | -0.2919 | 0.0340 | 0.1260 | -0.2047 | 0.3446 | 2024-10-24 | 30 | 658 |
| open20_close10 | 20 | 10 | 0.1404 | 0.1998 | 0.7028 | -0.2938 | 0.0354 | 0.1455 | -0.1912 | 0.3002 | 2024-11-20 | 57 | 563 |
| open5_close10 | 5 | 10 | 0.1516 | 0.2188 | 0.6928 | -0.3033 | -0.0413 | -0.1587 | -0.2253 | 0.3568 | 2024-10-30 | 36 | 659 |
| open10_close1 | 10 | 1 | 0.1314 | 0.1900 | 0.6915 | -0.2245 | -0.0859 | -0.4324 | -0.2148 | 0.2737 | 2024-11-06 | 43 | 515 |
Stop A/B
| scenario | exit_mode | full_annualized | full_vol | full_sharpe | full_mdd | oos_b_annualized | oos_b_sharpe | avg_exposure | trades | sells | avg_sell_return | hard_stop_sells | delta_sharpe_vs_three_axis | delta_mdd_vs_three_axis |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| three_axis_v1_2 | three_axis | 0.1472 | 0.2031 | 0.7247 | -0.2313 | 0.0906 | 0.3376 | 0.4073 | 586 | 303 | 0.2345 | 0 | 0.0000 | 0.0000 |
| hybrid8_three_axis | hybrid8 | 0.1362 | 0.2016 | 0.6757 | -0.2307 | 0.0523 | 0.2004 | 0.3887 | 708 | 368 | 0.2225 | 181 | -0.0490 | 0.0006 |
| trend_only | trend_only | 0.1271 | 0.2141 | 0.5934 | -0.4078 | 0.0759 | 0.2661 | 0.4847 | 432 | 244 | 0.5654 | 0 | -0.1313 | -0.1765 |
| hybrid10_three_axis | hybrid10 | 0.1135 | 0.1958 | 0.5797 | -0.2405 | 0.0456 | 0.1758 | 0.3930 | 650 | 338 | 0.2321 | 130 | -0.1449 | -0.0092 |
| hard8_only | hard8 | 0.0794 | 0.2323 | 0.3420 | -0.5039 | 0.0716 | 0.2620 | 0.8220 | 443 | 330 | 1.9888 | 101 | -0.3827 | -0.2726 |
| hard10_only | hard10 | 0.0570 | 0.2301 | 0.2479 | -0.4805 | 0.1318 | 0.5049 | 0.8082 | 380 | 294 | 2.0928 | 74 | -0.4768 | -0.2491 |
| hard12_only | hard12 | 0.0563 | 0.2422 | 0.2323 | -0.4892 | 0.1329 | 0.4796 | 0.8577 | 300 | 228 | 2.3568 | 60 | -0.4924 | -0.2579 |
Stress Windows, v1.3 Y2
| window | return | mdd | avg_exposure | end_exposure | trades |
|---|---|---|---|---|---|
| 2014_full_no_candidates | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0 |
| 2015_H1_bull | 0.6152 | -0.0834 | 0.4548 | 0.7163 | 44 |
| 2015_crash_Q3 | -0.1070 | -0.1070 | 0.0469 | 0.0000 | 12 |
| 2015_Q4_rebound | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0 |
| 2016_circuit_breaker | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0 |
| 2017_bluechip | 0.1953 | -0.1337 | 0.7250 | 0.8081 | 111 |
Decisions
- v1.3 Y2 remains the best current production frontier in Phase 1 extended sample.
- B3 dual-window RPS remains approved.
- B1/B2/B4/B5 remain rejected.
- Three-axis exit remains approved; hard stops remain rejected.
- Public-fund sponsorship remains positive, but market-value-only bonus beats old combined bonus in this sample; mark for Phase 2 review.
- 2014 cannot be treated as a valid trade sample under current 3-year EPS CAGR rule with only 2012 warm-up. Need older raw data or a clearly labeled degraded diagnostic variant.