jgrusewski 54e3d50db8 backtest: fusion (regime-adaptive QQQ<->crisis-alpha) FAILS OOS, keep static GD ...

Fused all ideas: QQQ core + foxhunt controllers as a ROTATOR (edge-decay-trust + resurrection +
drawdown-CB) rotating QQQ<->crisis-alpha by regime. Pre-registered criterion: beat static GD on OOS
Calmar. RESULT: full-sample fusion Calmar 0.41 > GD 0.34 (IS-flattered by 2008), but OOS (2018-2026)
static GD 0.64 > fusion 0.58, even pure QQQ 0.59 > fusion -- GD strictly dominates OOS (higher CAGR +
lower DD). Regime-rotation whipsaw + late-re-entry cost exceeds the protection benefit in bulls.
Verdict: fusion fails OOS -> keep the simpler static GD. Simple beats fancy; only OOS separates them.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-08 23:01:04 +02:00

..

cross_exchange_funding.py

…

cross_venue_funding.py

feat(crypto): cross-venue harness -> hysteresis (deployable) + deep full-year history

2026-06-07 18:58:24 +02:00

crypto_funding_harvest.py

…

crypto_funding_liveness.py

…

crypto_funding_oos.py

…

crypto_funding_paper.py

fix(crypto): MANDATORY hedgeability filter — funding edge was partly phantom

2026-06-07 11:03:41 +02:00

crypto_sweep.py

…

energy_battery_gate.py

…

energy_capture_gate2.py

result(crypto): cross-venue funding arb PASSES clean OOS (the breakthrough)

2026-06-07 19:08:08 +02:00

energy_capture_gate.py

result(crypto): cross-venue funding arb PASSES clean OOS (the breakthrough)

2026-06-07 19:08:08 +02:00

energy_intraday_gate.py

…

equity_cohort_challenge.py

…

equity_factor_gate.py

…

equity_lowvol_detail.py

…

equity_lowvol_gauntlet.py

…

equity_vrp2.py

…

equity_vrp3.py

…

equity_vrp.py

…

fetch_caiso.py

…

fetch_crypto_pit.py

…

fetch_crypto.py

result(crypto): cross-venue funding arb PASSES clean OOS (the breakthrough)

2026-06-07 19:08:08 +02:00

fetch_daily.py

…

fetch_earnings.py

research: AI4Finance debunked + PEAD dies OOS (efficient-market wall confirmed again)

2026-06-07 17:15:22 +02:00

fetch_equities.py

…

fetch_es_1m.py

…

fetch_more_futures.py

…

fetch_xsp.py

…

fetch_xvenue_hist2.py

feat(crypto): cross-venue harness -> hysteresis (deployable) + deep full-year history

2026-06-07 18:58:24 +02:00

fetch_xvenue_hist.py

research(crypto): cross-venue funding arb survives net-of-cost with hysteresis

2026-06-07 18:33:28 +02:00

floor_experiment.py

…

fng_gate.py

…

growth_discipline_backtest.py

backtest: growth-discipline multi-premia (QQQ core + trend sleeve + book)

2026-06-08 09:42:30 +02:00

growth_discipline_paper.py

feat: growth-discipline forward-tracker (NAV sim, alongside the live book)

2026-06-08 09:45:35 +02:00

growth_fusion_backtest.py

backtest: fusion (regime-adaptive QQQ<->crisis-alpha) FAILS OOS, keep static GD

2026-06-08 23:01:04 +02:00

ibkr_paper_book.py

feat(ibkr-bot): mini test mode — validate paper env + order routing with 1 share

2026-06-07 22:59:27 +02:00

mft_quality_test.py

…

micro_gate.py

…

momentum_robustness.py

…

multiasset_futures.py

…

multisignal_combine.py

…

multisignal_walkforward.py

…

multistrat_book_v2.py

result: hedge-fund reframe -> moat is cheap leverage, not the strategy

2026-06-07 19:48:46 +02:00

multistrat_book_v3.py

result: hedge-fund reframe -> moat is cheap leverage, not the strategy

2026-06-07 19:48:46 +02:00

multistrat_book.py

result: hedge-fund reframe -> moat is cheap leverage, not the strategy

2026-06-07 19:48:46 +02:00

multistrat_bot.py

fix: broker-data sanity-check + drop incomplete intraday bar (two live-only bugs)

2026-06-08 16:01:04 +02:00

multistrat_dd.py

add: drawdown-profile analysis tool (multistrat_dd.py)

2026-06-08 16:11:06 +02:00

multistrat_etf_backtest.py

backtest: deployable ETF book Sharpe +1.20, maxDD -5.4%, every year positive (beats 60/40)

2026-06-07 20:28:37 +02:00

multistrat_etf_expanded.py

test: diversification maxed in base-6; more streams dilute (they're beta-repackaging)

2026-06-07 20:50:27 +02:00

multistrat_longhist.py

test: multi-strat 20yr robust (survived 2008/2020/2022) + bootstrap CI (p5 +0.62)

2026-06-07 21:47:32 +02:00

multistrat_paper.py

fix: broker-data sanity-check + drop incomplete intraday bar (two live-only bugs)

2026-06-08 16:01:04 +02:00

multistrat_vol_test.py

test: ML vol-nowcaster (Mamba2/CfC/TLOB proxy) doesn't help risk layer

2026-06-07 20:14:25 +02:00

multistrat.py

result: hedge-fund reframe -> moat is cheap leverage, not the strategy

2026-06-07 19:48:46 +02:00

news_sentiment_test.py

test: FinBERT news-sentiment (real LLM, real FNSPID data) -> dead for retail

2026-06-07 21:13:54 +02:00

pead_gate.py

research: AI4Finance debunked + PEAD dies OOS (efficient-market wall confirmed again)

2026-06-07 17:15:22 +02:00

pead_real.py

research: AI4Finance debunked + PEAD dies OOS (efficient-market wall confirmed again)

2026-06-07 17:15:22 +02:00

phase1_signals.py

…

pit_realism.py

…

pit_sweep.py

…

portfolio_harvest2.py

…

portfolio_harvest3.py

…

portfolio_harvest.py

…

reflexivity_test.py

…

research_ab.py

…

research_book.py

…

research_capacity.py

…

research_diversifier.py

…

signal_sweep.py

…

sixtyforty_paper.py

feat: 60/40 paper-forward harness (the ~0.7-Sharpe non-crypto baseline)

2026-06-07 15:55:44 +02:00

strategy_compare.py

doc+tool: CAGR-maximizer reference plan + side-by-side strategy comparison

2026-06-08 08:34:49 +02:00

surfer_poc.py

…

vrp_diversifier.py

…

vrp_tail.py

…

xcorr_leadlag.py

test: cross-market connectedness = diversification, not alpha

2026-06-07 20:46:38 +02:00

xvenue_sim2.py

research(crypto): cross-venue funding arb survives net-of-cost with hysteresis

2026-06-07 18:33:28 +02:00

xvenue_sim3.py

research(crypto): cross-venue funding arb survives net-of-cost with hysteresis

2026-06-07 18:33:28 +02:00

xvenue_sim_oos2.py

correction(crypto): cross-venue arb is MARGINAL not breakthrough (honest fixed-pair OOS)

2026-06-07 19:10:13 +02:00

xvenue_sim_oos.py

test(crypto): clean OOS for cross-venue arb (IS-pick config -> OOS-blind apply)

2026-06-07 19:03:30 +02:00

xvenue_sim.py

research(crypto): cross-venue funding arb survives net-of-cost with hysteresis

2026-06-07 18:33:28 +02:00