Lab

pairs-johansen-basket-v1 · Both baskets are strongly cointegrated on the *full sample* (Johansen trace 58.6 / 40.3 vs 29.8 crit) — but under the honest per-fold walk-forward test the cointegration is intermittent (present in only 19% and 48% of folds, both below the 50% admission gate), and even in the folds where it *does* hold, the reverted spread loses money net of the triple-leg cost stack (negative Sharpe and negative expectancy). Full-sample cointegration is a long-horizon property that does not survive as a tradeable, per-fold signal.

etf-momentum-rotation-12-1-v1 · Under honest methodology — survivorship-free universe, real friction, dividends, a point-in-time liquidity filter, and significance testing — the 12-1 ETF momentum rotation loses to simply holding SPY by ~5%/yr, with a worse drawdown. The cross-sectional signal has the right sign but is not significant. The edge the source study reported was an artifact of the defects this spec set out to correct.

pairs-cointegration-etf-v1 · None of the seven economically-tethered ETF pairs is cointegrated over 2010–2026 — not with the fixed β=1 log-ratio, and not with a fitted hedge ratio either. The spreads *trend* rather than mean-revert, so the cointegration gate correctly refuses to trade almost every window; what little does trade earns no risk-adjusted edge. The discipline works exactly as designed — it just finds nothing here.

cross-asset-rs-rotation-v1 · The rotation adds drawdown and volatility without adding return. No lookback beats the equal-weight sleeve baseline on a risk-adjusted basis; the best (12-month) beats it only on raw CAGR while running a *deeper* drawdown (30% vs 20%), a lower Sharpe (0.59 vs 0.78), and an insignificant excess (Bonferroni p = 1.0). And the whole cross-asset premise loses to simply owning SPY. The "less correlated" thesis does not survive honest costs and a tail-aware gate.

trend-continuation-pullback-v1 · The pullback entry improves per-trade expectancy over the S029 breakout (+0.36% vs +0.26%, nearly closing the gap to the eligible-leader baseline) — confirming the breakout timing was the leak — but the momentum-crash drawdown (43%) is unchanged, and CVaR-95 (−10.8%) still fails. The drawdown is a property of *holding* correlated leaders, not of the entry; no entry rule touches it.

trend-continuation-breakout-v1 · The mechanical breakout has the right shape (26% win rate, 3.1× payoff) but fails the tail: portfolio max drawdown 41% (gate 25%), CVaR-95 −11.9% (gate −8%, gap-throughs), worst −63%; and the entry is not additive — it does not beat random entry into the same Trend-Template leaders. The binding failure is the momentum-crash drawdown — exactly the S004 lesson, and the forecast (§8).

short-term-reversion-rsi2-stop-v1 · The protective stop caps the *intraday* tail (CVaR-95 −13.2% → −8.5%) but cannot catch the overnight-gap killers (worst trade still −68.7%, gate −15%), worsens the portfolio drawdown (71% → 79%), and erases the thin edge (mean +0.058% → −0.107%, not significant). Fails both halves of the gate at every K tested. Exactly the pre-registered forecast.

short-term-reversion-rsi2-v1 · Fat left tail breaches the tail co-gates — CVaR-95 −13.2% (gate −8%), worst trade −80%, portfolio drawdown 71% (gate 25%) — and the raw edge is too thin to clearly beat random entry (+0.14%/trade vs the +0.15% gate; bootstrap p = 0.058). A tail-co-gate breach is a cut regardless of the mean.

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