{ "schema": "drift-public-research/v2", "evidenceVersion": "2026-09-24-final-r6", "publishedAt": "2026-09-24T03:40:18Z", "stage": "final", "mode": "research", "protocol": { "version": "v1", "frozenOn": "2026-09-23", "sha256": "58175c1c87f8b81ef8375fba817b5f8ce21d80ab47a2c549b646f8006f778c41", "amendments": [ { "id": "A1", "date": "2026-09-23", "beforeFinal": true, "summary": "Defines continuous data: the first Binance 1h bar opens on or before 2019-10-01 00:00 UTC, and no more than 2% of 1h bars are missing from then to the end of the data. A symbol that fails is replaced by the listed substitutes in order, Set A first." }, { "id": "A2", "date": "2026-09-23", "beforeFinal": true, "summary": "Discloses earlier 4h research on BTC and ETH that overlaps VAL and HOLDOUT-T, so FINAL reports Set A with and without BTC and ETH and treats Set B as the primary untouched evidence. It also records that BCHUSDT fails A1 and is replaced in substitute order, keeps extreme real prints uncleaned, adds a crash-fill stress to FINAL, and limits claims to effects FINAL's sample can resolve." }, { "id": "A3", "date": "2026-09-23", "beforeFinal": true, "summary": "Sets the publication format. FINAL is also published under the TV cost model for Strategy Tester parity; years follow trade exit time (UTC); equity curves are cumulative closed-trade net R at exit time; the export format is drift-public-research/v2; and gate.mjs exports the one comparative sentence the site may print if the gate passes." }, { "id": "A4", "date": "2026-09-24", "beforeFinal": true, "summary": "Written before any DEV result. Higher-timeframe rules use Drift Desk's own Pine idiom (the previous completed higher-timeframe candle) and block entries until their data is ready; the volatility percentile needs 90 days of data. REAL and STRESS keep the data's native price precision, while TV uses TradingView's tick and lot sizes. 1R is fixed at 100 USDT; windows are assigned by entry-bar close, years and curves by exit-bar close. Every research run names its window, and VAL, HOLDOUT-T and Set B stay locked until the freeze files unlock them. It discloses that engine parity work printed Drift Free (not Premium) results on BTC, ETH and XRP windows overlapping VAL and HOLDOUT-T." }, { "id": "A5", "date": "2026-09-24", "beforeFinal": true, "summary": "Written after VAL had run and before FINAL. Defines the promotion gate the founder chose from two offered options: in both Set A (HOLDOUT-T) and Set B, Premium net R above 0 and above Drift Free's, profit factor at least 1.2 and at least 6 profitable symbols, plus Premium net R under STRESS costs (both sets) above 0; and the one comparative sentence the site may print if the gate passes. The founder had seen DEV results but not VAL results when choosing." }, { "id": "A6", "date": "2026-09-24", "beforeFinal": true, "summary": "Written after VAL and before FINAL. Ratifies the neighbour-rule reading under which the long-only rule, and so the chosen candidate, survived the DEV screen, and requires every FINAL publication to disclose it. Adds a stricter gate condition after the founder saw the VAL robustness audit: on Set B, Premium net R must also exceed that of Drift Free taking only long signals. Lists what FINAL must also report (Free long-only, a benchmark of holding the same planned notional, a drift-only null, leave-one-out and trimmed profit factors, STRESS, crash-month exclusion, the margin split, falling markets, and the with/without subsets), records pre-FINAL disclosures, and defines how FINAL re-pins the code hash with the candidate's files byte-identical." } ], "labCommit": "db33957b1fdbf76895dbc1f54396979324d8e6e4", "preregistration": [ { "kind": "lab-commit", "ref": "e73634715bade83c6c9c704586fccc48bc9ed131", "at": "2026-09-23T15:15:23Z" }, { "kind": "lab-commit", "ref": "ed15b10770e2cf5eb2204f6154628b676193a084", "at": "2026-09-23T15:16:01Z" }, { "kind": "lab-commit", "ref": "289a14d7ec44b2f84a569c71b83dff8f72c7a6f8", "at": "2026-09-23T20:06:13Z" }, { "kind": "lab-commit", "ref": "cdda29abe57dfd3dea6e1b8d5b38c401fd8f5ed7", "at": "2026-09-24T00:24:28Z" }, { "kind": "lab-commit", "ref": "3544b225ee373ab612ee198c66f7eb792b5853cc", "at": "2026-09-24T00:28:48Z" } ] }, "gate": { "sha256": "287dc7b1ae95f5c0e99783e0d2f251e735388e33047bde1568025e5984003fa7", "defined": true, "committedAt": "2026-09-24T00:28:48Z", "conditions": [ "In both Set A (holdout months) and Set B (untouched coins): Premium net R > 0.", "In both sets: Premium net R > Drift Free net R.", "In both sets: Premium profit factor >= 1.2.", "In both sets: Premium profitable on at least 6 symbols.", "Premium net R under STRESS costs (both sets) > 0.", "In Set B: Premium net R > Drift Free taking only its long signals." ], "licensedClaim": null, "evaluated": true, "pass": false, "reasons": [ "Set A: Premium profit factor 1.16 is below 1.2.", "Set B: Premium profit factor 1.12 is below 1.2." ] }, "data": { "source": "Binance spot klines (data.binance.vision, api.binance.com)", "cutoff": "2026-09-23T12:00:00Z", "manifestSha256": "3b12bf229badb0435f8d26fe49b093aee0c913b88829eee8169df37b0e1b9288", "substitutions": [ { "set": "B", "replaced": "BCHUSDT", "by": "QTUMUSDT", "reason": "Its first Binance 1h bar opens 2019-11-28T10:00:00Z, after the 2019-10-01 limit, and 1433 of 61190 expected 1h bars (2.34%) are missing since 2019-10-01, above the 2% limit (Amendment A1)." } ] }, "universe": { "A": [ "BTCUSDT", "ETHUSDT", "BNBUSDT", "XRPUSDT", "ADAUSDT", "LINKUSDT", "LTCUSDT", "TRXUSDT", "ATOMUSDT", "XLMUSDT" ], "B": [ "DOGEUSDT", "QTUMUSDT", "ETCUSDT", "XTZUSDT", "VETUSDT", "ALGOUSDT", "ZECUSDT", "DASHUSDT", "HBARUSDT", "NEOUSDT" ], "survivorship": "All 20 pairs were chosen among Binance spot pairs still trading in 2026, so pairs delisted earlier are not represented." }, "windows": { "assignment": "entry-bar close time, UTC", "warmup": { "from": "2019-09-01T00:00:00Z", "toExclusive": "2020-01-01T00:00:00Z" }, "dev": { "from": "2020-01-01T00:00:00Z", "toExclusive": "2024-01-01T00:00:00Z" }, "val": { "from": "2024-01-01T00:00:00Z", "toExclusive": "2025-04-01T00:00:00Z" }, "holdoutA": { "from": "2025-04-01T00:00:00Z", "toExclusive": "2026-09-23T12:00:00Z" }, "setB": { "from": "2020-01-01T00:00:00Z", "toExclusive": "2026-09-23T12:00:00Z" }, "overlapDisclosure": "Before this protocol, earlier ProEA Lab research inspected Drift Free and variants on BTC and ETH at 15m and 1h from January to September 2026 (overlapping HOLDOUT-T), and measured BTC and ETH at 4h with entries from 2025-02-01 to 2025-12-31 (overlapping VAL and HOLDOUT-T). None of this lab's candidates were evaluated there. Engine parity work in this lab also printed Drift Free 1.3.1 (not Premium) results on BTC, ETH and XRP windows overlapping VAL and HOLDOUT-T. FINAL therefore reports Set A with and without BTC and ETH, and Set B is the primary untouched evidence." }, "costs": { "REAL": { "commissionPctPerFill": 0.05, "slippage": "0.02% of price on market and stop fills; none on limit fills", "role": "decisions" }, "STRESS": { "commissionPctPerFill": 0.1, "slippage": "0.05%", "role": "robustness" }, "TV": { "commissionPctPerFill": 0.04, "slippage": "1 tick", "role": "tradingview-parity" }, "notModelled": [ "funding", "borrow" ] }, "risk": { "riskPerPositionUsdt": 100, "capitalUsdt": 100000, "positionsPerSymbol": 1, "pyramiding": "none in any FINAL configuration (one position per symbol). Only the DEV grid's H-PYR family (P1) added to winners, each add carrying its own planned risk.", "rDefinition": "1R = 100 USDT planned risk" }, "search": { "configsTried": 42, "byFamily": { "H-TF": 5, "H-EXIT": 12, "H-REGIME": 8, "H-VOL": 4, "H-COST": 4, "H-ENTRY": 0, "H-PYR": 2, "combined": 3 }, "devSurvivors": 4, "fragileDropped": 1, "candidatesFrozen": 2, "valQualified": 1 }, "editions": { "free": { "label": "Drift Free 1.3.1", "timeframe": "4h", "timeframeRule": "highest DEV aggregate net R", "strategySha256": "6df184c73a0e43963ec0ed5bf867e3b8628a3cf12546bf7e0e5c20d8e598365c" }, "premium": { "label": "Drift Premium (research edition)", "candidateId": "C1", "timeframe": "4h", "rules": [ "Signals: Drift Free 1.3.1 with its default inputs (fresh Drift flips; every optional gate off).", "Long entries only: a short flip is skipped, never queued.", "Initial stop: Drift Free's 10-bar structure stop plus 0.25 ATR(14), sized to 100 USDT of planned risk (1R), and kept for the life of the position.", "No profit target: the position closes at the close of the first opposite (bearish) Drift flip.", "Timeout raised from Drift Free's 120 bars to 5000 bars; no FINAL position reached it.", "Timeframe: 4h." ], "configHash": "daadfadfd47d9685d66bdd6e745ed85ac41b98c46f5b575efa82e5f9b294604f", "engineCodeHash": "ba568bbcd0b8b317e8b1216c9655ae46bc4421a8812b0400017fdf4f62c06592", "frozenAt": "2026-09-23T23:31:35.249Z", "pine": { "version": null, "indicatorSha256": null, "strategySha256": null } } }, "parity": { "status": "PASS", "fixtures": 16, "tradesCompared": 914, "tradesMatched": 914, "maxNetProfitDiffPct": 2.549073975391493e-13, "method": "Drift Free 1.3.1 in this lab's engine against TradingView Strategy Tester trade lists on the same Binance bars, under TradingView's default costs (0.04% commission, 1 tick). Sources: 6 captured for this lab (BTC, ETH and XRP at 1h; BTC and ETH at 4h; BTC at 15m) and 10 earlier ProEA Lab captures (BTC and ETH at 15m, 1h and 4h). All 914 native trades were matched on direction and entry time and were exact on every field (exit time and signal, prices, quantity, commission, profit). maxNetProfitDiffPct is the largest |engine − native| net profit of a source as a percent of its native net profit. The record was made on 2026-09-23; the lab's test suite re-runs the same comparison against the current engine before every lab commit, the export's included. Scope: parity covers Drift Free 1.3.1 only. Drift Premium has no Pine build yet, so its figures, including the TV-cost column, are engine figures without a TradingView check." }, "val": { "freeNetR": -17.82160502376811, "candidates": [ { "candidateId": "C1", "netR": 83.95395214982194, "profitFactor": 1.3054326496520252, "positions": 848, "qualified": true, "reason": "net R 83.95395214982194 is above the Free comparator's -17.82160502376811; PF 1.3054326496520252 >= 1.2" }, { "candidateId": "C3", "netR": 39.52892197302784, "profitFactor": 1.160508430943661, "positions": 430, "qualified": false, "reason": "net R 39.52892197302784 is above the Free comparator's -17.82160502376811; PF 1.160508430943661 < 1.2" } ] }, "results": { "finalRunAt": "2026-09-24T01:31:17.448Z", "sets": { "A": { "window": "holdoutA", "symbols": [ "BTCUSDT", "ETHUSDT", "BNBUSDT", "XRPUSDT", "ADAUSDT", "LINKUSDT", "LTCUSDT", "TRXUSDT", "ATOMUSDT", "XLMUSDT" ], "aggregate": { "REAL": { "free": { "positions": 642, "wins": 241, "losses": 401, "flat": 0, "netR": 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"positions": 5793, "netR": 263.51618858445903, "costR": 140.55537395396112, "symbolsProfitable": 14, "symbolsTotal": 20 } } } }, "caveats": [ "These are post-FINAL analysis corrections dated 2026-09-24: the FINAL runs, the gate verdict and the protocol are unchanged. The first export, 2026-09-24-final, is kept unchanged in the lab's history and is not published (its MANIFEST.json has sha256 e63fb6ed9adae274d8ee1bc6c85380e17186ada37ed00b23a4b62472a315c5f2); disclosures.postFinalCorrections lists every analysis correction since then with its old and new value.", "These are hypothetical backtests on historical Binance spot data. No live trading record is implied.", "Survivorship: all 20 pairs were chosen among Binance spot pairs still trading in 2026, so pairs delisted earlier are not represented.", "BTC and ETH were examined in earlier ProEA Lab research during parts of VAL and HOLDOUT-T, so Set A is also reported without them, and Set B is the primary untouched evidence.", "Funding and borrow costs are not modelled.", "Prices are Binance spot klines. A chart on another exchange or data feed can show different bars and so different trades.", "Engine-to-TradingView parity is established for Drift Free 1.3.1 only. Drift Premium has no Pine build yet, so no Strategy Tester shows its figures; its figures, the TV-cost ones included, are engine figures.", "Selection bias: 42 configuration × stage pairs (36 distinct configurations) were evaluated in this lab, and configs-ledger.csv lists every one. Before it, earlier ProEA Lab research tried 31 recipes on BTC and ETH and measured three 4h candidates; that work shaped this lab's hypotheses and grid.", "The promotion gate and amendments A5 and A6 were written after VAL had run, before FINAL.", "The chosen candidate survived the DEV screen only under the neighbour-rule reading ratified in A6.1.", "Premium's profit on the untouched coins is explained by long exposure. The drift-only null that amendment A6 added after VAL used the geometric mean and showed a timing term of +244.08R on Set B; with the arithmetic mean or random entries of the same durations the timing term is −14.45R or −18.46R.", "Drift Free taking only long signals made +170.73R on Set B against Premium's +197.60R (share of resamples with the margin at or below zero: 0.439), and constant long exposure of Premium's average capital made +299.09R after costs.", "Concentration: 94.5% of Premium's Set A net R came from positions exiting in 2025-07; on Set B its three largest months gave +191.21R of +197.60R.", "No Premium net R interval of the week-block bootstrap excludes zero; the margins over Drift Free long-only are not statistically resolved.", "Premium is long-only: it lost money in the falling quarters of both sets and made it in the rising ones." ], "downloads": { "protocol": { "path": "PROTOCOL.md", "sha256": "58175c1c87f8b81ef8375fba817b5f8ce21d80ab47a2c549b646f8006f778c41", "bytes": 13713 }, "gate": { "path": "gate.mjs", "sha256": "287dc7b1ae95f5c0e99783e0d2f251e735388e33047bde1568025e5984003fa7", "bytes": 3563 }, "cellsCsv": { "path": "cells.csv", "sha256": "f4abbd05b82a91b9067dec84867492a044db413ab5510e83e52172b0130a42bd", "bytes": 98224 }, "tradesCsv": { "path": "trades.csv", "sha256": "1fbf3a61dba2b39022713fd955c4bb699e39339ec93b022915837bd2592274b5", "bytes": 9186331 }, "configsLedgerCsv": { "path": "configs-ledger.csv", "sha256": "9620fb50e5458cb8d8ad1661b6cfa0c6ff9186dfb469510e6319af7114feee8b", "bytes": 38078 }, "methodology": { "path": "methodology.md", "sha256": "dbe756e41ba519a07d86d0aad7902a7af22c53b9a7b4f17fd82d5e0789b3f1aa", "bytes": 72256 }, "curves": { "REAL": { "path": "curves-REAL.json", "sha256": "b8890531d2d925b99cc5be357e1dc46856fa9633c8808492426a2469cadd23c6", "bytes": 367924 }, "STRESS": { "path": "curves-STRESS.json", "sha256": "187ab02fe9086d936b35c241735ec951025f47c0ec006bc6a22e5ab8948cacf5", "bytes": 368034 }, "TV": { "path": "curves-TV.json", "sha256": "5622a86a4c25a7fb2b3bf412a0ca640d4ce40e341e3d87f377fecb6f60497885", "bytes": 367809 } } }, "schemaExtensions": [ "benchmarks", "attribution", "robustness", "subsets", "disclosures" ], "benchmarks": { "headToHead": { "summary": "Premium beside its comparators on each set (REAL costs): Drift Free long-only first, then Drift Free, constant long exposure of Premium's average capital, and buy D/P0 units and hold. Drawdowns are mark-to-market at 4h closes. Margins carry the week-block bootstrap of the weekly differences; resolved95 means the 2.5%–97.5% interval excludes zero.", "sets": { "A": { "premium": { "netR": 66.7727456987636, "profitFactor": 1.1645996626907928, "positions": 1108, "maxClosedDrawdownR": 92.83405736984214, "maxDrawdownRMarkToMarket": 103.60061789043012, "stressNetR": 18.386158861584086, "symbolsProfitable": 8 }, "freeLongOnly": { "netR": 35.416121720718145, "profitFactor": 1.097008547302376, "positions": 594, "maxClosedDrawdownR": 77.55165253849647, "maxDrawdownRMarkToMarket": 80.87773012735428, "stressNetR": 12.270221688671658, "symbolsProfitable": 6 }, "free": { "netR": 10.462066052934118, "profitFactor": 1.0259374006962712, "positions": 642, "maxClosedDrawdownR": 35.79229026046453, "maxDrawdownRMarkToMarket": 36.69436522462091, "stressNetR": -15.133805650859129, "symbolsProfitable": 6 }, "constantLongExposure": { "netR": 24.899443101050096, "entryExitCostsOnlyNetR": 26.98815992636969, "frictionlessR": 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the life of the position.", "Profit target: Drift Free's 2R limit, twice the stop distance above the entry.", "Timeout: Drift Free's 120 bars; a position still open 120 bars after its entry closes at that bar's close.", "One position per symbol: while it is open, further Drift flips are skipped, never queued, and a bearish flip does not close it.", "Timeframe: 4h." ], "configHash": "9332126e71b8de63d21726c639e2429e3c39ea614aa9a35c1a4fee6a44eae3bb", "role": "A6.2: the Set B gate comparator (Premium net R must exceed it); reported on both sets and every cost model.", "sets": { "A": { "aggregate": { "REAL": { "positions": 594, "wins": 227, "losses": 367, "flat": 0, "netR": 35.416121720718145, "grossWinR": 400.4986088373042, "grossLossR": -365.08248711658575, "expectancyR": 0.05962310053992954, "profitFactor": 1.097008547302376, "winRatePct": 38.215488215488215, "avgWinR": 1.7643110521467145, "avgLossR": -0.9947751692550021, "maxClosedDrawdownR": 77.55165253849647, "longestLosingStreak": 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"fillCostR": 0.008911649412475848, "entryExitCostsOnlyNetR": 28.834984830725425, "maxDrawdownRMarkToMarket": 14.56248497204772 }, { "symbol": "ALGOUSDT", "frictionlessR": 19.747482859950093, "fillCostR": 0.007998545940537843, "entryExitCostsOnlyNetR": 19.739484314009555, "maxDrawdownRMarkToMarket": 13.942133685375317 }, { "symbol": "ZECUSDT", "frictionlessR": 53.50328648163193, "fillCostR": 0.008640497527409603, "entryExitCostsOnlyNetR": 53.494645984104515, "maxDrawdownRMarkToMarket": 11.655418590930568 }, { "symbol": "DASHUSDT", "frictionlessR": 29.909024645812288, "fillCostR": 0.009557943305117444, "entryExitCostsOnlyNetR": 29.89946670250717, "maxDrawdownRMarkToMarket": 11.730226858006583 }, { "symbol": "HBARUSDT", "frictionlessR": 39.162211821187114, "fillCostR": 0.00781579995619921, "entryExitCostsOnlyNetR": 39.15439602123091, "maxDrawdownRMarkToMarket": 11.786774902268668 }, { "symbol": "NEOUSDT", "frictionlessR": 14.837807339776623, "fillCostR": 0.009184271868473022, "entryExitCostsOnlyNetR": 14.828623067908149, "maxDrawdownRMarkToMarket": 13.973194154689194 } ] }, "STRESS": { "frictionlessR": 308.8880632053165, "fillCostR": 0.1902379991301771, "entryExitCostsOnlyNetR": 308.69782520618634, "maxDrawdownRMarkToMarket": 91.91043474436276, "perSymbol": [ { "symbol": "DOGEUSDT", "frictionlessR": 59.58908586126543, "fillCostR": 0.0197125755027947, "entryExitCostsOnlyNetR": 59.56937328576263, "maxDrawdownRMarkToMarket": 11.175177179647967 }, { "symbol": "QTUMUSDT", "frictionlessR": 23.183527502553538, "fillCostR": 0.019837933015724726, "entryExitCostsOnlyNetR": 23.163689569537816, "maxDrawdownRMarkToMarket": 11.600923616015717 }, { "symbol": "ETCUSDT", "frictionlessR": 26.85493816716299, "fillCostR": 0.019907263892548866, "entryExitCostsOnlyNetR": 26.83503090327044, "maxDrawdownRMarkToMarket": 10.726652733235454 }, { "symbol": "XTZUSDT", "frictionlessR": 13.256802045838613, "fillCostR": 0.01911870955436675, "entryExitCostsOnlyNetR": 13.237683336284247, "maxDrawdownRMarkToMarket": 12.794575251626899 }, { "symbol": "VETUSDT", "frictionlessR": 28.8438964801379, "fillCostR": 0.019096391598162534, "entryExitCostsOnlyNetR": 28.824800088539735, "maxDrawdownRMarkToMarket": 14.562484972047717 }, { "symbol": "ALGOUSDT", "frictionlessR": 19.747482859950093, "fillCostR": 0.017139741301152523, "entryExitCostsOnlyNetR": 19.730343118648943, "maxDrawdownRMarkToMarket": 13.94213368537532 }, { "symbol": "ZECUSDT", "frictionlessR": 53.50328648163193, "fillCostR": 0.01851535184444915, "entryExitCostsOnlyNetR": 53.484771129787475, "maxDrawdownRMarkToMarket": 11.65541859093057 }, { "symbol": "DASHUSDT", "frictionlessR": 29.909024645812288, "fillCostR": 0.020481307082394526, "entryExitCostsOnlyNetR": 29.888543338729892, "maxDrawdownRMarkToMarket": 11.730226858006583 }, { "symbol": "HBARUSDT", "frictionlessR": 39.162211821187114, "fillCostR": 0.01674814276328402, "entryExitCostsOnlyNetR": 39.14546367842382, "maxDrawdownRMarkToMarket": 11.786774902268672 }, { "symbol": "NEOUSDT", "frictionlessR": 14.837807339776623, "fillCostR": 0.01968058257529933, "entryExitCostsOnlyNetR": 14.818126757201323, "maxDrawdownRMarkToMarket": 13.973194154689187 } ] }, "TV": { "frictionlessR": 308.8880632053165, "fillCostR": 0.14325766958773825, "entryExitCostsOnlyNetR": 308.7448055357288, "maxDrawdownRMarkToMarket": 91.91043474436265, "perSymbol": [ { "symbol": "DOGEUSDT", "frictionlessR": 59.58908586126543, "fillCostR": 0.03879471924304628, "entryExitCostsOnlyNetR": 59.55029114202239, "maxDrawdownRMarkToMarket": 11.175177179647967 }, { "symbol": "QTUMUSDT", "frictionlessR": 23.183527502553538, "fillCostR": 0.01588445180774217, "entryExitCostsOnlyNetR": 23.167643050745795, "maxDrawdownRMarkToMarket": 11.600923616015717 }, { "symbol": "ETCUSDT", "frictionlessR": 26.85493816716299, "fillCostR": 0.02724157577444562, "entryExitCostsOnlyNetR": 26.827696591388545, "maxDrawdownRMarkToMarket": 10.726652733235454 }, { "symbol": "XTZUSDT", "frictionlessR": 13.256802045838613, "fillCostR": 0.00746810129304677, "entryExitCostsOnlyNetR": 13.249333944545565, "maxDrawdownRMarkToMarket": 12.7945752516269 }, { "symbol": "VETUSDT", "frictionlessR": 28.8438964801379, "fillCostR": 0.006984215805394194, "entryExitCostsOnlyNetR": 28.836912264332504, "maxDrawdownRMarkToMarket": 14.562484972047717 }, { "symbol": "ALGOUSDT", "frictionlessR": 19.747482859950093, "fillCostR": 0.012395223995158449, "entryExitCostsOnlyNetR": 19.735087635954937, "maxDrawdownRMarkToMarket": 13.942133685375321 }, { "symbol": "ZECUSDT", "frictionlessR": 53.50328648163193, "fillCostR": 0.007223065438178845, "entryExitCostsOnlyNetR": 53.496063416193756, "maxDrawdownRMarkToMarket": 11.65541859093057 }, { "symbol": "DASHUSDT", "frictionlessR": 29.909024645812288, "fillCostR": 0.008208332070762313, "entryExitCostsOnlyNetR": 29.900816313741526, "maxDrawdownRMarkToMarket": 11.730226858006587 }, { "symbol": "HBARUSDT", "frictionlessR": 39.162211821187114, "fillCostR": 0.010570299871190238, "entryExitCostsOnlyNetR": 39.151641521315916, "maxDrawdownRMarkToMarket": 11.786774902268668 }, { "symbol": "NEOUSDT", "frictionlessR": 14.837807339776623, "fillCostR": 0.008487684288773374, "entryExitCostsOnlyNetR": 14.82931965548785, "maxDrawdownRMarkToMarket": 13.973194154689189 } ] } } } }, "byCostDefinition": "Added in 2026-09-24-final-r3: the values the constantLongExposure curves end at, per cost model. The holding is premium's: D per coin = sets..premium.perSymbol[].deployedUsdt (Premium's average capital deployed on the coin in its REAL FINAL run) under every cost model, on the same Binance 4h closes. It is marked at every 4h close, rebalanced to D after each close without cost, and charged the cost model's fees on two fills only: the entry (D at P0) and the exit (the value held at P1). REAL charges 0.07% and STRESS 0.15% of each fill's notional (commission plus slippage); TV charges 0.04% of the notional plus 1 TradingView tick (the symbol's mintick) per coin unit. frictionlessR is cost-free and the same under every model; fillCostR = the two fills; entryExitCostsOnlyNetR = frictionlessR − fillCostR (under REAL it is premium.entryExitCostsOnlyNetR); maxDrawdownRMarkToMarket = the largest fall of this mark-to-market curve from 0 (a symbol's own curve per symbol; for the set, the curve summed over its symbols). Leaving out the rebalancing fills (premium.rebalanceCostR under REAL) puts these values above premium.netR, which charges them." }, "buyAndHold": { "definitions": { "perSymbol": "P0 / P1 = the symbol's close on the bar closing at the window start / at the data end. returnPct = P1 / P0 − 1; maxDrawdownPct = the largest percentage fall of the 4h close from its running peak over the window.", "equalWeight": "Equal money in each symbol at P0, no rebalancing, no costs; returnPct = the mean of P1 / P0 − 1; maxDrawdownPct = the largest percentage fall of the portfolio value from its running peak at 4h closes.", "buyUnitsAndHold": "The benchmark amendment A6 asked for, written after VAL and before FINAL, formerly named \"capital-matched\" (renamed after FINAL, postFinalCorrections PFC-2; its numbers are unchanged). Per symbol and edition, D = the edition's average capital deployed on the symbol over the window (Σ quantity × entry price × time held / window length). Buy D / P0f units at P0f = P0 × 1.0002 on the first window close and hold them; sell at P1 × 0.9998 on the last; 0.05% commission on each fill (REAL). It holds a fixed number of coins, so its capital moves with the price: benchmarkAverageCapitalUsdt is the units times the mean close of the window's bars, and averageCapitalOverDeployed its ratio to D. benchmarkNetR is in R (100 USDT); benchmarkMaxDrawdownR is mark-to-market at every 4h close, summed over the set's symbols, from 0.", "editionMaxDrawdownRMarkToMarket": "The edition's own drawdown on the same 4h-close basis: closed net R plus open positions marked at the close, entry commission booked. It compares like for like with benchmarkMaxDrawdownR; the closed-equity maxClosedDrawdownR of the scoreboard is smaller by construction." }, "sets": { "A": { "window": { "from": "2025-04-01T00:00:00Z", "toExclusive": "2026-09-23T12:00:00Z" }, "equalWeight": { "returnPct": -6.811440927484669, "maxDrawdownPct": 59.86065323976886 }, "perSymbol": [ { "symbol": "BTCUSDT", "p0": 82550.01, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 85649.95, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": 3.755226680166368, "maxDrawdownPct": 53.44740218167795 }, { "symbol": "ETHUSDT", "p0": 1822.43, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 2727.96, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": 49.68805386215107, "maxDrawdownPct": 68.02938133664391 }, { "symbol": "BNBUSDT", "p0": 604.81, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 782.93, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": 29.450571253782186, "maxDrawdownPct": 59.62349789798728 }, { "symbol": "XRPUSDT", "p0": 2.0899, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 1.5733, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": -24.718886071103885, "maxDrawdownPct": 72.51067842680425 }, { "symbol": "ADAUSDT", "p0": 0.6618, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 0.2509, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": -62.08824418253249, "maxDrawdownPct": 85.85888955702545 }, { "symbol": "LINKUSDT", "p0": 13.51, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 12.766, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": -5.507031828275355, "maxDrawdownPct": 73.69525211630476 }, { "symbol": "LTCUSDT", "p0": 82.97, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 62.48, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": -24.695673134868024, "maxDrawdownPct": 69.87227648384673 }, { "symbol": "TRXUSDT", "p0": 0.2388, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 0.3429, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": 43.592964824120585, "maxDrawdownPct": 26.914720260727865 }, { "symbol": "ATOMUSDT", "p0": 4.375, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 1.801, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": -58.83428571428572, "maxDrawdownPct": 77.33011511325658 }, { "symbol": "XLMUSDT", "p0": 0.2639, "p0CloseTime": "2025-04-01T00:00:00Z", "p1": 0.2144, "p1CloseTime": "2026-09-23T12:00:00Z", "returnPct": -18.757104964001524, "maxDrawdownPct": 71.82873149259704 } ], "buyUnitsAndHold": { "premium": { "deployedUsdt": 12084.419169839422, "benchmarkNetR": 8.417962491583296, "benchmarkMaxDrawdownR": 99.05700265341235, "benchmarkAverageCapitalUsdt": 13237.439508057349, "averageCapitalOverDeployed": 1.0954137987116221, "editionMaxDrawdownRMarkToMarket": 103.60061789043012, "perSymbol": [ { "symbol": "BTCUSDT", "deployedUsdt": 1603.7436115734024, "units": 0.019423655151440986, "benchmarkNetR": 0.5792523095770632, "benchmarkMaxDrawdownR": 13.019446848880104, "benchmarkAverageCapitalUsdt": 1725.5952074894449 }, { "symbol": "ETHUSDT", "deployedUsdt": 1008.2763709798826, "units": 0.553148683915803, "benchmarkNetR": 4.991308482676874, "benchmarkMaxDrawdownR": 18.186754318994122, "benchmarkAverageCapitalUsdt": 1494.6482621242353 }, { "symbol": "BNBUSDT", "deployedUsdt": 1602.6758905720262, "units": 2.649353382860946, "benchmarkNetR": 4.693292421810024, "benchmarkMaxDrawdownR": 21.22953359220305, "benchmarkAverageCapitalUsdt": 1959.8875538181494 }, { "symbol": "XRPUSDT", "deployedUsdt": 860.8639782785589, "units": 411.8339824444121, "benchmarkNetR": -2.1380949777727007, "benchmarkMaxDrawdownR": 10.766575803044265, "benchmarkAverageCapitalUsdt": 797.7405584051538 }, { "symbol": "ADAUSDT", "deployedUsdt": 706.9316417508489, "units": 1067.9816918919767, "benchmarkNetR": -4.395160439049138, "benchmarkMaxDrawdownR": 9.149399154438562, "benchmarkAverageCapitalUsdt": 490.9915253468478 }, { "symbol": "LINKUSDT", "deployedUsdt": 892.7289772133745, "units": 66.06591170391935, "benchmarkNetR": -0.5036820675017227, "benchmarkMaxDrawdownR": 13.228377500475773, "benchmarkAverageCapitalUsdt": 872.6415463902695 }, { "symbol": "LTCUSDT", "deployedUsdt": 968.4324933441997, "units": 11.669746240509639, "benchmarkNetR": -2.4030127959283, "benchmarkMaxDrawdownR": 10.852864003673965, "benchmarkAverageCapitalUsdt": 879.6266444243146 }, { "symbol": "TRXUSDT", "deployedUsdt": 3035.3288153671056, "units": 12708.2155401713, "benchmarkNetR": 13.177507117385538, "benchmarkMaxDrawdownR": 12.59384160030976, "benchmarkAverageCapitalUsdt": 3905.7871666050814 }, { "symbol": "ATOMUSDT", "deployedUsdt": 731.7361146660944, "units": 167.22052496154356, "benchmarkNetR": -4.311486020670899, "benchmarkMaxDrawdownR": 6.964734864648289, "benchmarkAverageCapitalUsdt": 481.11959302362766 }, { "symbol": "XLMUSDT", "deployedUsdt": 673.7012760939314, "units": 2552.355296632721, "benchmarkNetR": -1.2719615389434398, "benchmarkMaxDrawdownR": 9.16295551491147, "benchmarkAverageCapitalUsdt": 629.4014504302238 } ] }, "free": { "deployedUsdt": 15128.493021611888, "benchmarkNetR": 5.221614485735305, "benchmarkMaxDrawdownR": 128.45558964118732, "benchmarkAverageCapitalUsdt": 16260.46309473394, "averageCapitalOverDeployed": 1.0748237165132686, "editionMaxDrawdownRMarkToMarket": 36.69436522462091, "perSymbol": [ { "symbol": "BTCUSDT", "deployedUsdt": 2081.571209498769, "units": 0.02521083859957217, "benchmarkNetR": 0.7518377139275644, "benchmarkMaxDrawdownR": 16.89852762539775, "benchmarkAverageCapitalUsdt": 2239.7278949314655 }, { "symbol": "ETHUSDT", "deployedUsdt": 1183.287228920947, "units": 0.6491610754855811, "benchmarkNetR": 5.8576713222154595, "benchmarkMaxDrawdownR": 21.343507336460227, "benchmarkAverageCapitalUsdt": 1754.0807770608592 }, { "symbol": "BNBUSDT", "deployedUsdt": 2068.702715220343, "units": 3.419733564935867, "benchmarkNetR": 6.058010127584883, "benchmarkMaxDrawdownR": 27.402667029187597, "benchmarkAverageCapitalUsdt": 2529.7845484298505 }, { "symbol": "XRPUSDT", "deployedUsdt": 1333.0032067146963, "units": 637.7035548987127, "benchmarkNetR": -3.310729143680541, "benchmarkMaxDrawdownR": 16.671484035717047, "benchmarkAverageCapitalUsdt": 1235.2598660323429 }, { "symbol": "ADAUSDT", "deployedUsdt": 911.8416721276793, "units": 1377.5450895431059, "benchmarkNetR": -5.669134336788481, "benchmarkMaxDrawdownR": 11.801428782115789, "benchmarkAverageCapitalUsdt": 633.3095125915714 }, { "symbol": "LINKUSDT", "deployedUsdt": 1101.1752894156523, "units": 81.49186516624523, "benchmarkNetR": -0.6212884992105688, "benchmarkMaxDrawdownR": 16.317116162237284, "benchmarkAverageCapitalUsdt": 1076.39757634164 }, { "symbol": "LTCUSDT", "deployedUsdt": 1284.026040238181, "units": 15.472692375327284, "benchmarkNetR": -3.186108506481966, "benchmarkMaxDrawdownR": 14.389603909054374, "benchmarkAverageCapitalUsdt": 1166.2800710330127 }, { "symbol": "TRXUSDT", "deployedUsdt": 3112.0628280560754, "units": 13029.482998107562, "benchmarkNetR": 13.510638405579156, "benchmarkMaxDrawdownR": 12.912217651124598, "benchmarkAverageCapitalUsdt": 4004.5266245792395 }, { "symbol": "ATOMUSDT", "deployedUsdt": 1072.2755998929704, "units": 245.04255717838615, "benchmarkNetR": -6.317989732343137, "benchmarkMaxDrawdownR": 10.206022506479783, "benchmarkAverageCapitalUsdt": 705.0257461531527 }, { "symbol": "XLMUSDT", "deployedUsdt": 980.547231526574, "units": 3714.858511914798, "benchmarkNetR": -1.8512928650670628, "benchmarkMaxDrawdownR": 13.336342057774125, "benchmarkAverageCapitalUsdt": 916.0704775808058 } ] }, "freeLongOnly": { "deployedUsdt": 13365.977701756314, "benchmarkNetR": 5.351040346105525, "benchmarkMaxDrawdownR": 111.65794997777196, "benchmarkAverageCapitalUsdt": 14417.034811234382, "averageCapitalOverDeployed": 1.0786367546715236, "editionMaxDrawdownRMarkToMarket": 80.87773012735428, "perSymbol": [ { "symbol": "BTCUSDT", "deployedUsdt": 1647.055238078148, "units": 0.01994822160408664, "benchmarkNetR": 0.594895932100865, "benchmarkMaxDrawdownR": 13.371057552204347, "benchmarkAverageCapitalUsdt": 1772.197628590806 }, { 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Use arithmeticMeanNull and randomEntryNull (postFinalCorrections PFC-1).", "flaw": "It prices each position at the geometric-mean 4h return g, the compounding rate of the whole window. For a position of fixed size, the expected gain from random long exposure follows the arithmetic mean, which exceeds g by about half the variance of the 4h return per bar. So this null understates what random long exposure earns and counts the difference as timing.", "definition": "g = (P1 / P0)^(4h / window length) − 1 is the symbol's average (geometric) 4h return over the window. A position of q units in direction d, entered at the signal close E and held n bars, earns drift = d × q × E × ((1 + g)^n − 1): the same size over the same bars at the symbol's average return. Its frictionless P&L is net + commission + slippage, and timing = frictionless − drift, so net R = drift R + timing R − cost R. Being long through rising stretches counts as timing here, so a positive timing term does not by itself separate skill from market direction.", "bootstrap": "Week blocks starting Monday 00:00 UTC, every week of the window (empty weeks included); a position belongs to the week of its exit; 20000 resamples of all blocks with replacement (seed 20260924); the 2.5% / 50% / 97.5% percentiles of the timing sum and the share of resamples whose timing sum is at or below zero.", "sets": { "A": { "premium": { "positions": 1108, "netR": 66.77274569876374, "driftR": -0.6022121737774747, "timingR": 109.71324863277754, "costR": 42.33829076023645, "timingBootstrap": { "weeks": 78, "total": 109.71324863277758, "p2_5": -37.08695555572918, "p50": 107.57896452860001, "p97_5": 269.1198147935517, "pAtMostZero": 0.07485 }, "perSymbol": [ { "symbol": "BTCUSDT", "g4h": 0.000011367424921360225, "positions": 108, "netR": 14.75601365363014, "driftR": 0.5911821419313767, "timingR": 19.50091114706861 }, { "symbol": 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-19.047336066016502 }, { "symbol": "DASHUSDT", "a4h": 0.00029869205542426764, "positions": 246, "netR": -11.816339834798791, "driftR": 0.49224125358621745, "timingR": -7.731749753586244 }, { "symbol": "HBARUSDT", "a4h": 0.00046941066754040123, "positions": 245, "netR": -12.772112859921792, "driftR": 0.45685212607901704, "timingR": -8.99968402607901 }, { "symbol": "NEOUSDT", "a4h": 0.00015387081436303492, "positions": 278, "netR": -35.20208565153185, "driftR": 0.9259762188818494, "timingR": -30.99780501888179 } ] }, "freeLongOnly": { "positions": 2430, "netR": 170.73222106673367, "driftR": 376.4935424652186, "timingR": -160.48073963721856, "costR": 45.280581761266134, "timingBootstrap": { "weeks": 352, "total": -160.48073963721876, "p2_5": -448.55147297677803, "p50": -162.55893903733863, "p97_5": 129.6186089455078, "pAtMostZero": 0.8677 }, "perSymbol": [ { "symbol": "DOGEUSDT", "a4h": 0.0006104429089094284, "positions": 234, "netR": 25.2499348053158, "driftR": 77.56040319540047, "timingR": -47.67035449840042 }, { "symbol": "QTUMUSDT", "a4h": 0.00023743815995288188, "positions": 246, "netR": 27.4867310498703, "driftR": 27.009632852875473, "timingR": 4.876082147124501 }, { "symbol": "ETCUSDT", "a4h": 0.0002727403288551762, "positions": 240, "netR": 0.6322505275032495, "driftR": 31.95491097488767, "timingR": -26.495925044887674 }, { "symbol": "XTZUSDT", "a4h": 0.0001401900678896388, "positions": 257, "netR": 9.085605303763547, "driftR": 16.064665471409008, "timingR": -1.9493569714090033 }, { "symbol": "VETUSDT", "a4h": 0.000303359637997445, "positions": 249, "netR": 13.709687950861724, "driftR": 32.83032401688383, "timingR": -14.486938315883833 }, { "symbol": "ALGOUSDT", "a4h": 0.0002331629331613461, "positions": 247, "netR": 22.06253550473113, "driftR": 24.270321649633374, "timingR": 2.186161350366606 }, { "symbol": "ZECUSDT", "a4h": 0.0005862506401114077, "positions": 241, "netR": 38.5985175770872, "driftR": 58.55277045909426, "timingR": -16.041361859094273 }, { "symbol": "DASHUSDT", "a4h": 0.00029869205542426764, "positions": 237, "netR": 6.582104778326907, "driftR": 35.82458757403638, "timingR": -24.81141607403639 }, { "symbol": "HBARUSDT", "a4h": 0.00046941066754040123, "positions": 238, "netR": 2.642827614928914, "driftR": 54.22399971901958, "timingR": -47.09311001901961 }, { "symbol": "NEOUSDT", "a4h": 0.00015387081436303492, "positions": 241, "netR": 24.68202595434513, "driftR": 18.201926551978765, "timingR": 11.005479648021247 } ] } } } }, "randomEntryNull": { "definition": "Added after FINAL (postFinalCorrections PFC-1). drift = d × q × E × m(n), where m(n) = the mean of P(t + n × 4h) / c(t) − 1 over every admissible entry close t of the symbol in the window (the window start ≤ t and t + n × 4h ≤ the data end; P(x) = the close of the last bar closing at or before x): the exact expected n-bar return of an entry drawn uniformly from the window's closes, with no distributional assumption. timing = frictionless − drift.", "bootstrap": "Week blocks starting Monday 00:00 UTC, every week of the window (empty weeks included); a position belongs to the week of its exit; 20000 resamples of all blocks with replacement (seed 20260924); the 2.5% / 50% / 97.5% percentiles of the timing sum and the share of resamples whose timing sum is at or below zero.", "monteCarloCheck": "A seeded Monte Carlo draws one admissible entry per position per draw; the mean of its draws must agree with the exact drift within 4 standard errors. Its spread treats every position as an independent entry and ignores how exposure clusters across time and coins, so it is a check, not an interval.", "sets": { "A": { "premium": { "positions": 1108, "netR": 66.77274569876374, "driftR": 25.326361067068753, "timingR": 83.78467539193136, "costR": 42.33829076023645, "timingBootstrap": { "weeks": 78, "total": 83.78467539193142, "p2_5": -61.20956983313033, "p50": 81.77352911279573, "p97_5": 241.19037709933562, "pAtMostZero": 0.13905 }, "perSymbol": [ { "symbol": "BTCUSDT", "positions": 108, "netR": 14.75601365363014, "driftR": 2.0704242138182734, "timingR": 18.02166907518171 }, { "symbol": "ETHUSDT", "positions": 101, "netR": 13.789219295652092, "driftR": 7.359082330920993, "timingR": 9.527119639079013 }, { "symbol": "BNBUSDT", "positions": 109, "netR": 20.425524174919186, "driftR": 6.804157857864753, "timingR": 18.38653584213527 }, { "symbol": "XRPUSDT", "positions": 114, "netR": 1.9292358071391753, "driftR": 0.02295715410965214, 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"agreesWithExact": true } }, "free": { "positions": 642, "netR": 10.462066052934095, "driftR": -6.726369591795202, "timingR": 39.92718092379542, "costR": 22.73874527906603, "timingBootstrap": { "weeks": 78, "total": 39.92718092379537, "p2_5": -58.276477567092556, "p50": 39.41917236718002, "p97_5": 143.34882996965985, "pAtMostZero": 0.21505 }, "perSymbol": [ { "symbol": "BTCUSDT", "positions": 69, "netR": 27.303560606295097, "driftR": 0.12033985034987324, "timingR": 30.392376401650136 }, { "symbol": "ETHUSDT", "positions": 61, "netR": -9.09542136284892, "driftR": -0.0507354826714027, "timingR": -7.3259831373285715 }, { "symbol": "BNBUSDT", "positions": 66, "netR": -17.480179590045864, "driftR": -3.0277946144270222, "timingR": -11.573256585572938 }, { "symbol": "XRPUSDT", "positions": 64, "netR": 6.7554050036330775, "driftR": -0.11132533272803115, "timingR": 8.634063732728045 }, { "symbol": "ADAUSDT", "positions": 66, "netR": 0.14967266735815166, "driftR": -1.2847180318120488, "timingR": 2.958416331812041 }, { "symbol": "LINKUSDT", "positions": 61, "netR": 10.10223430099743, "driftR": -0.034542585549241306, "timingR": 11.559680485549247 }, { "symbol": "LTCUSDT", "positions": 65, "netR": -12.022367487852947, "driftR": 0.09186569542922006, "timingR": -10.268827095429229 }, { "symbol": "TRXUSDT", "positions": 80, "netR": -18.196909563627816, "driftR": -2.2374006157036637, "timingR": -10.093541684296298 }, { "symbol": "ATOMUSDT", "positions": 59, "netR": 8.467560955597891, "driftR": -0.39433711933279353, "timingR": 10.189503119332835 }, { "symbol": "XLMUSDT", "positions": 51, "netR": 14.478510523428017, "driftR": 0.2022786446499087, "timingR": 15.45474935535009 } ], "monteCarloCheck": { "draws": 1000, "seed": 20260924, "meanDriftR": -7.568777297378009, "standardErrorR": 1.237181637103186, "exactDriftR": -6.726369591795202, "agreesWithExact": true } }, "freeLongOnly": { "positions": 594, "netR": 35.41612172071811, "driftR": 21.69483819542552, "timingR": 34.37225620457462, "costR": 20.65097267928192, "timingBootstrap": { "weeks": 78, "total": 34.37225620457461, "p2_5": -110.1827633405034, "p50": 33.67251971563924, "p97_5": 180.57500064328792, "pAtMostZero": 0.329 }, "perSymbol": [ { "symbol": "BTCUSDT", "positions": 60, "netR": 5.851759152809262, "driftR": 1.8986833015730684, "timingR": 6.748993338426926 }, { "symbol": "ETHUSDT", "positions": 51, "netR": 14.664615046242076, "driftR": 8.410503165514028, "timingR": 7.676147094485994 }, { "symbol": "BNBUSDT", "positions": 54, "netR": 15.687326082390088, "driftR": 7.069296153665418, "timingR": 10.84115574633461 }, { "symbol": "XRPUSDT", "positions": 62, "netR": -4.8874150842649335, "driftR": -0.7063771875666295, "timingR": -2.4255717124333587 }, { "symbol": "ADAUSDT", "positions": 59, "netR": -5.19025475204986, "driftR": -5.563145909555853, "timingR": 1.6439347095558583 }, { "symbol": "LINKUSDT", "positions": 58, "netR": 2.925604985777418, "driftR": 2.9827096789348366, "timingR": 1.2285917210651525 }, { 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"DASHUSDT", "positions": 459, "netR": 19.852528672042258, "driftR": 32.14689425471619, "timingR": -2.6697239547162352 }, { "symbol": "HBARUSDT", "positions": 468, "netR": 4.330844904392052, "driftR": 38.03213226764656, "timingR": -24.17904886764658 }, { "symbol": "NEOUSDT", "positions": 485, "netR": -13.828460344750205, "driftR": 12.0106919552457, "timingR": -15.494799055245696 } ], "monteCarloCheck": { "draws": 1000, "seed": 20260924, "meanDriftR": 314.7700123091008, "standardErrorR": 3.613838000864721, "exactDriftR": 314.235947570376, "agreesWithExact": true } }, "free": { "positions": 2607, "netR": -152.32461305865758, "driftR": 9.336752307332246, "timingR": -114.21055076233212, "costR": 47.45081460365748, "timingBootstrap": { "weeks": 352, "total": -114.2105507623321, "p2_5": -298.59365577965434, "p50": -113.40423125883248, "p97_5": 76.47244488312512, "pAtMostZero": 0.8808 }, "perSymbol": [ { "symbol": "DOGEUSDT", "positions": 246, "netR": -11.719460250770775, "driftR": 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"HBARUSDT", "positions": 245, "netR": -12.772112859921792, "driftR": -0.37114002195560053, "timingR": -8.171691878044399 }, { "symbol": "NEOUSDT", "positions": 278, "netR": -35.20208565153185, "driftR": 0.7217206462513099, "timingR": -30.79354944625125 } ], "monteCarloCheck": { "draws": 1000, "seed": 20260924, "meanDriftR": 3.767005677263697, "standardErrorR": 4.036886280108293, "exactDriftR": 9.336752307332246, "agreesWithExact": true } }, "freeLongOnly": { "positions": 2430, "netR": 170.73222106673367, "driftR": 390.18358620472617, "timingR": -174.17078337672675, "costR": 45.280581761266134, "timingBootstrap": { "weeks": 352, "total": -174.17078337672652, "p2_5": -462.1875392123377, "p50": -176.19642894635996, "p97_5": 115.19321787775418, "pAtMostZero": 0.88555 }, "perSymbol": [ { "symbol": "DOGEUSDT", "positions": 234, "netR": 25.2499348053158, "driftR": 102.6492771147653, "timingR": -72.75922841776527 }, { "symbol": "QTUMUSDT", "positions": 246, "netR": 27.4867310498703, "driftR": 22.967697616760127, "timingR": 8.918017383239846 }, { "symbol": "ETCUSDT", "positions": 240, "netR": 0.6322505275032495, "driftR": 35.00922391173499, "timingR": -29.550237981734973 }, { "symbol": "XTZUSDT", "positions": 257, "netR": 9.085605303763547, "driftR": 12.030631742456569, "timingR": 2.0846767575434306 }, { "symbol": "VETUSDT", "positions": 249, "netR": 13.709687950861724, "driftR": 31.96448677049278, "timingR": -13.621101069492793 }, { "symbol": "ALGOUSDT", "positions": 247, "netR": 22.06253550473113, "driftR": 21.611576443881912, "timingR": 4.844906556118085 }, { "symbol": "ZECUSDT", "positions": 241, "netR": 38.5985175770872, "driftR": 59.749593357371786, "timingR": -17.238184757371805 }, { "symbol": "DASHUSDT", "positions": 237, "netR": 6.582104778326907, "driftR": 35.530532177893605, "timingR": -24.517360677893603 }, { "symbol": "HBARUSDT", "positions": 238, "netR": 2.642827614928914, "driftR": 54.97634904345627, "timingR": -47.84545934345626 }, { "symbol": "NEOUSDT", "positions": 241, "netR": 24.68202595434513, "driftR": 13.694218025913145, "timingR": 15.513188174086865 } ], "monteCarloCheck": { "draws": 1000, "seed": 20260924, "meanDriftR": 389.3336954630704, "standardErrorR": 3.9631900335268906, "exactDriftR": 390.18358620472617, "agreesWithExact": true } } } } }, "marginSplit": { "definition": "Positions are matched by symbol and entry-bar close time (REAL costs). Premium − Free = shorts avoided (−Σ Free short R) + shared long entries (Σ Premium R − Free R over entries both took) + Premium-only entries (Σ Premium R) + Free-only long entries (−Σ Free R over long entries Premium did not take). The fourth term is needed for the identity and is reported beside the three A6.3 names. Against Drift Free long-only there is no short term; its fourth term is the long-only entries Premium did not take.", "sets": { "A": { "premiumVsFree": { "margin": 56.31067964582965, "shortsAvoided": { "netR": 27.95880742337894, "positions": 323 }, "sharedLongEntries": { "netR": -36.320152297160206, "positions": 319 }, "premiumOnlyEntries": { "netR": 64.67202451961093, "positions": 789 }, "freeOnlyLongEntries": { "netR": 0, "positions": 0 } }, "premiumVsFreeLongOnly": { "margin": 31.356623978045633, "sharedEntries": { "netR": -24.34006817426611, "positions": 593 }, "premiumOnlyEntries": { "netR": 57.6846078993127, "positions": 515 }, "entriesOnlyFreeLongOnlyTook": { "netR": -1.9879157470009992, "positions": 1 } } }, "B": { "premiumVsFree": { "margin": 349.92018356137964, "shortsAvoided": { "netR": 202.59316763008644, "positions": 1359 }, "sharedLongEntries": { "netR": 19.7268415670249, "positions": 1248 }, "premiumOnlyEntries": { "netR": 127.60017436426887, "positions": 3437 }, "freeOnlyLongEntries": { "netR": 0, "positions": 0 } }, "premiumVsFreeLongOnly": { "margin": 26.863349435988425, "sharedEntries": { "netR": -157.19000090563236, "positions": 2410 }, "premiumOnlyEntries": { "netR": 189.8428055055185, "positions": 2275 }, "entriesOnlyFreeLongOnlyTook": { "netR": -5.789455163897614, "positions": 20 } } } } } }, "robustness": { "definitions": { "leaveOneSymbolOut": "Each symbol removed in turn (REAL); the rows and the lowest profit factor and net R.", "leaveOneMonthOut": "Each calendar month of the window removed in turn, positions by exit month (REAL).", "top5Trimmed": "The 5 largest positions by R removed (REAL).", "stress": "Profit factor and net R under STRESS costs (0.10% commission, 0.05% slippage).", "crashFillStress": "A2.3: the REAL run repeated with stops inside a crash bar filled at the bar's extreme instead of the stop level.", "crashMonthsExcluded": "Positions whose exit month is a crash month of their own symbol removed (REAL).", "uncertainty": "The week-block bootstrap of attribution.driftOnlyNull applied to net R and to the weekly margins (context only; the protocol decides on point values). premiumMinusConstantLongExposure (added after FINAL) pairs Premium's net R by exit week with the constant-exposure benchmark's P&L by bar-close week.", "monthConcentration": "Added after FINAL (postFinalCorrections PFC-4). Net R and positions by exit month (REAL), every month of the window, with the equal-weight price return of the set's coins over the month (calendar months cut to the window); the three largest months and what remains without the largest one and three." }, "sets": { "A": { "editions": { "premium": { "leaveOneSymbolOut": { "minProfitFactor": { "without": "BNBUSDT", "positions": 999, "netR": 46.34722152384459, "profitFactor": 1.1240701816859662 }, "minNetR": { "without": "BNBUSDT", "positions": 999, "netR": 46.34722152384459, "profitFactor": 1.1240701816859662 }, "rows": [ { "without": "BTCUSDT", "positions": 1000, "netR": 52.01673204513363, "profitFactor": 1.1435455590999186 }, { "without": "ETHUSDT", "positions": 1007, "netR": 52.98352640311169, "profitFactor": 1.1436218126571056 }, { "without": "BNBUSDT", "positions": 999, "netR": 46.34722152384459, "profitFactor": 1.1240701816859662 }, { "without": "XRPUSDT", "positions": 994, "netR": 64.84350989162459, "profitFactor": 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"profitFactor": 1.0342069540022527, "removed": [ { "symbol": "BTCUSDT", "entryBarCloseUtc": "2026-08-17T08:00:00Z", "exitBarCloseUtc": "2026-08-26T16:00:00Z", "netR": 16.377876491930003, "exitReason": "CLOSE_NOW" }, { "symbol": "XLMUSDT", "entryBarCloseUtc": "2025-07-06T16:00:00Z", "exitBarCloseUtc": "2025-07-12T00:00:00Z", "netR": 11.714844006360002, "exitReason": "CLOSE_NOW" }, { "symbol": "LTCUSDT", "entryBarCloseUtc": "2026-08-19T12:00:00Z", "exitBarCloseUtc": "2026-08-22T08:00:00Z", "netR": 9.132807373680004, "exitReason": "CLOSE_NOW" }, { "symbol": "LINKUSDT", "entryBarCloseUtc": "2026-08-14T00:00:00Z", "exitBarCloseUtc": "2026-08-23T04:00:00Z", "netR": 8.573008658509996, "exitReason": "CLOSE_NOW" }, { "symbol": "LINKUSDT", "entryBarCloseUtc": "2025-08-06T16:00:00Z", "exitBarCloseUtc": "2025-08-14T16:00:00Z", "netR": 7.097557154649005, "exitReason": "CLOSE_NOW" } ] }, "stress": { "positions": 1108, "netR": 18.38615886158409, "profitFactor": 1.042294371735721 }, "crashFillStress": { "positions": 1108, "netR": 65.90144807430974, "profitFactor": 1.1621036826195517, "repricedFills": 1, "maxClosedDrawdownR": 93.70535499429614, "symbolsProfitable": 8, "symbolsTotal": 10, "costR": 42.33464438469042, "yearly": [ { "year": 2025, "partial": true, "netR": 28.643926848843165, "positions": 561 }, { "year": 2026, "partial": true, "netR": 37.25752122546648, "positions": 547 } ] }, "crashMonthsExcluded": { "excludedPositions": 110, "excludedNetR": 15.548950417777931, "positions": 998, "netR": 51.22379528098581, "profitFactor": 1.1417288238449685 } }, "free": { "leaveOneSymbolOut": { "minProfitFactor": { "without": "BTCUSDT", "positions": 573, "netR": -16.84149455336097, "profitFactor": 0.954172254474678 }, "minNetR": { "without": "BTCUSDT", "positions": 573, "netR": -16.84149455336097, "profitFactor": 0.954172254474678 }, "rows": [ { "without": "BTCUSDT", "positions": 573, "netR": -16.84149455336097, "profitFactor": 0.954172254474678 }, { "without": "ETHUSDT", "positions": 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"entryBarCloseUtc": "2026-02-19T12:00:00Z", "exitBarCloseUtc": "2026-02-26T12:00:00Z", "netR": 1.9878028539900017, "exitReason": "TARGET" } ] }, "stress": { "positions": 642, "netR": -15.133805650859106, "profitFactor": 0.9640459914661342 }, "crashFillStress": { "positions": 642, "netR": 2.8530988077040895, "profitFactor": 1.0069423990208528, "repricedFills": 2, "maxClosedDrawdownR": 35.792290260464526, "symbolsProfitable": 6, "symbolsTotal": 10, "costR": 22.72492802429603, "yearly": [ { "year": 2025, "partial": true, "netR": 21.04055378708126, "positions": 320 }, { "year": 2026, "partial": true, "netR": -18.18745497937713, "positions": 322 } ] }, "crashMonthsExcluded": { "excludedPositions": 53, "excludedNetR": -7.155845651005826, "positions": 589, "netR": 17.61791170393992, "profitFactor": 1.047679897655666 } }, "freeLongOnly": { "leaveOneSymbolOut": { "minProfitFactor": { "without": "BNBUSDT", "positions": 540, "netR": 19.728795638328055, "profitFactor": 1.0586525757352747 }, 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}, { "without": "2026-06", "positions": 556, "netR": 67.8383451354265, "profitFactor": 1.206364092234352 }, { "without": "2026-07", "positions": 566, "netR": 27.545557051109697, "profitFactor": 1.0788542506557963 }, { "without": "2026-08", "positions": 560, "netR": 19.27992570969087, "profitFactor": 1.0552143393014988 }, { "without": "2026-09", "positions": 563, "netR": 8.926209955750284, "profitFactor": 1.0251278822904666 } ] }, "top5Trimmed": { "positions": 589, "netR": 25.471171679033404, "profitFactor": 1.069768264920633, "removed": [ { "symbol": "ATOMUSDT", "entryBarCloseUtc": "2026-02-06T12:00:00Z", "exitBarCloseUtc": "2026-02-18T16:00:00Z", "netR": 1.989738634629001, "exitReason": "TARGET" }, { "symbol": "ADAUSDT", "entryBarCloseUtc": "2026-08-03T16:00:00Z", "exitBarCloseUtc": "2026-08-22T04:00:00Z", "netR": 1.9896340671959998, "exitReason": "TARGET" }, { "symbol": "ADAUSDT", "entryBarCloseUtc": "2025-04-07T16:00:00Z", "exitBarCloseUtc": "2025-04-23T16:00:00Z", "netR": 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"profitFactor": 1.1174015553961014, "maxClosedDrawdownR": 74.82756223526695, "symbolsProfitable": 6, "symbolsTotal": 8 }, "STRESS": { "positions": 899, "netR": -0.5212991561330274, "profitFactor": 0.9985050269910498, "maxClosedDrawdownR": 100.93153301465294, "symbolsProfitable": 3, "symbolsTotal": 8 }, "TV": { "positions": 899, "netR": 41.558333932358, "profitFactor": 1.1282588026118772, "maxClosedDrawdownR": 73.02207598230602, "symbolsProfitable": 6, "symbolsTotal": 8 } }, "free": { "REAL": { "positions": 512, "netR": -7.746073190512064, "profitFactor": 0.9762633217240466, "maxClosedDrawdownR": 33.80190199479162, "symbolsProfitable": 5, "symbolsTotal": 8 }, "STRESS": { "positions": 512, "netR": -27.816955463831473, "profitFactor": 0.9182977766098683, "maxClosedDrawdownR": 44.72756080421624, "symbolsProfitable": 4, "symbolsTotal": 8 }, "TV": { "positions": 512, "netR": -5.633049900161983, "profitFactor": 0.9826615461447749, "maxClosedDrawdownR": 33.15149237317793, "symbolsProfitable": 5, "symbolsTotal": 8 } }, "freeLongOnly": { "REAL": { "positions": 483, "netR": 14.8997475216668, "profitFactor": 1.0493900697785397, "maxClosedDrawdownR": 70.46059135324839, "symbolsProfitable": 4, "symbolsTotal": 8 }, "STRESS": { "positions": 483, "netR": -3.5195535074136126, "profitFactor": 0.9887555598949377, "maxClosedDrawdownR": 80.82390484541907, "symbolsProfitable": 4, "symbolsTotal": 8 }, "TV": { "positions": 483, "netR": 16.547157111458016, "profitFactor": 1.0549941232370226, "maxClosedDrawdownR": 69.66220272575801, "symbolsProfitable": 4, "symbolsTotal": 8 } } } }, "B": { "without": [ "DOGEUSDT", "ETCUSDT" ], "reason": "A6.3 (written before FINAL): Set B is also reported without DOGE and ETC.", "symbols": [ "QTUMUSDT", "XTZUSDT", "VETUSDT", "ALGOUSDT", "ZECUSDT", "DASHUSDT", "HBARUSDT", "NEOUSDT" ], "editions": { "premium": { "REAL": { "positions": 3805, "netR": 15.720657684615144, "profitFactor": 1.011986560157933, "maxClosedDrawdownR": 173.8292066273911, "symbolsProfitable": 4, "symbolsTotal": 8 }, "STRESS": { "positions": 3805, "netR": -73.44718263729199, "profitFactor": 0.9462781754399824, "maxClosedDrawdownR": 231.8801286938075, "symbolsProfitable": 2, "symbolsTotal": 8 }, "TV": { "positions": 3805, "netR": 22.95221640886713, "profitFactor": 1.0175280256618944, "maxClosedDrawdownR": 167.97087394256596, "symbolsProfitable": 4, "symbolsTotal": 8 } }, "free": { "REAL": { "positions": 2111, "netR": -141.15068531978767, "profitFactor": 0.8944811228663242, "maxClosedDrawdownR": 213.59427999141988, "symbolsProfitable": 0, "symbolsTotal": 8 }, "STRESS": { "positions": 2111, "netR": -183.54698435418973, "profitFactor": 0.8657485248642628, "maxClosedDrawdownR": 244.3571875973241, "symbolsProfitable": 0, "symbolsTotal": 8 }, "TV": { "positions": 2114, "netR": -135.10815259508928, "profitFactor": 0.8989541345749783, "maxClosedDrawdownR": 206.33766291169172, "symbolsProfitable": 0, "symbolsTotal": 8 } }, "freeLongOnly": { "REAL": { "positions": 1956, "netR": 144.85003573391492, "profitFactor": 1.1239739632590817, "maxClosedDrawdownR": 120.88967501229371, "symbolsProfitable": 8, "symbolsTotal": 8 }, "STRESS": { "positions": 1956, "netR": 104.6627701720179, "profitFactor": 1.0876212385441666, "maxClosedDrawdownR": 127.69911110716954, "symbolsProfitable": 7, "symbolsTotal": 8 }, "TV": { "positions": 1955, "netR": 151.48396113835523, "profitFactor": 1.1299889257922142, "maxClosedDrawdownR": 119.53953874441399, "symbolsProfitable": 8, "symbolsTotal": 8 } } } } } }, "disclosures": { "neighbourRuleReading": { "amendment": "A6.1", "summary": "The DEV neighbour rule drops a survivor whose immediate numeric neighbours all fail the screen. We read it so that a rule with no numeric parameter (long-only) has no neighbour, and the Free base is the control rather than a neighbour. This reading was applied after DEV results were known and ratified after VAL.", "candidateSurvivalDependsOnIt": true, "underTheLiteralAlternative": "Counting \"both directions\" (Drift Free itself) as long-only's neighbour drops long-only (RL 4h) as fragile; the chosen candidate C1 (long-only + opposite-flip exit) cannot then be built, and the freeze would have held the opposite-flip exit (XF 4h) alone." }, "beforeFinal": { "amendment": "A6.4", "items": [ "Two neighbour configurations of the partial-exit rule (XHk2.5 and XHk4) were added after DEV results were seen, only to test that rule's fragility; neither was promoted.", "Build-phase probes read Set B, VAL and HOLDOUT-T prices for tick geometry and crash-bar counts; they computed no profit or loss.", "The causality test receipts of the RD, RE and RL rules are synthetic. The chosen candidate's in-run causality gate passed on real data: 10 of 10 symbols at DEV, 10 of 10 at VAL, and 80 of 80 symbol runs in the 8 FINAL runs of C1." ], "countsBeforeFinal": { "distinctConfigurations": 36, "configurationStagePairs": 39, "evaluations": 39, "runs": 40 }, "countsAfterFinal": { "distinctConfigurations": 36, "configurationStagePairs": 42, "evaluations": 63, "runs": 64, "failed": 0, "byStage": { "DEV": 36, "VAL": 3, "FINAL": 3 } } }, "overlaps": [ { "source": "PROTOCOL v1", "text": "Before this protocol, earlier ProEA Lab research inspected Drift Free and variants on BTC and ETH (15m and 1h) during January to September 2026, which overlaps HOLDOUT-T for those two symbols. None of this lab's candidates were evaluated there." }, { "source": "A2.1", "text": "Earlier ProEA Lab research also measured BTC and ETH at 4h with entries from 2025-02-01 to 2025-12-31, overlapping VAL and HOLDOUT-T for BTC and ETH. Set A is therefore reported with and without BTC and ETH, and Set B is the primary untouched evidence." }, { "source": "A4.6", "text": "Engine parity work printed Drift Free 1.3.1 (not Premium) results on windows overlapping VAL and HOLDOUT-T: BTC, ETH and XRP at 1h (2026-03 to 2026-09), BTC and ETH at 4h (2024-09 to 2026-09) and BTC at 15m (2026-08). Apart from the protocol's own VAL step (the two frozen candidates on Set A), no Premium variant was evaluated on VAL, HOLDOUT-T or Set B data before FINAL." } ], "gateTiming": { "gateCommit": "3544b225ee373ab612ee198c66f7eb792b5853cc", "gateCommittedAt": "2026-09-24T00:28:48Z", "gateFirstDefinedCommit": "cdda29abe57dfd3dea6e1b8d5b38c401fd8f5ed7", "gateFirstDefinedAt": "2026-09-24T00:24:28Z", "valResultsRecordedAt": "2026-09-23T23:51:58.626Z", "valResultsCommit": "8fa69ed598888f502cacdbbecf752c9ef2e0b214", "valResultsCommittedAt": "2026-09-23T23:53:06Z", "valChoiceCommit": "8dc89a84bb277e3db8eec6f9bc282c080cef7766", "valChoiceCommittedAt": "2026-09-23T23:54:19Z", "finalRunAt": "2026-09-24T01:31:17.448Z", "gateCommittedAfterVal": true, "gateFirstDefinedAfterVal": true, "gateCommittedBeforeFinal": true, "amendmentsAfterVal": [ "A5", "A6" ], "gateHistory": [ { "commit": "e73634715bade83c6c9c704586fccc48bc9ed131", "committedAt": "2026-09-23T15:15:23Z", "sha256": "12b133f6dc55d2275499d9e3d6d2f0951f524b30cf5aa21731c0b3b7e805cba9", "defined": false }, { "commit": "ed15b10770e2cf5eb2204f6154628b676193a084", "committedAt": "2026-09-23T15:16:01Z", "sha256": "fd2d638b51d6738ce9a96010728f9095e02c876b83432b04d157b096474f5135", "defined": false }, { "commit": "cdda29abe57dfd3dea6e1b8d5b38c401fd8f5ed7", "committedAt": "2026-09-24T00:24:28Z", "sha256": "25d9f893aa2e641d016e00ec61ba543603c4c89f890e37173a26d6436f415b91", "defined": true }, { "commit": "3544b225ee373ab612ee198c66f7eb792b5853cc", "committedAt": "2026-09-24T00:28:48Z", "sha256": "287dc7b1ae95f5c0e99783e0d2f251e735388e33047bde1568025e5984003fa7", "defined": true } ], "summary": "The promotion gate was written and committed after VAL had run and after the VAL choice was committed, and before FINAL started. The founder chose its conditions without being shown the VAL results (A5). The Set B condition against Drift Free long-only was added after the founder saw the VAL robustness audit, in the stricter direction only (A6.2)." }, "amendments": [ { "id": "A1", "date": "2026-09-23", "firstCommit": "e73634715bade83c6c9c704586fccc48bc9ed131", "committedAt": "2026-09-23T15:15:23Z", "beforeFinal": true, "afterVal": false, "headerDateIsCommitLocalDate": true }, { "id": "A2", "date": "2026-09-23", "firstCommit": "e73634715bade83c6c9c704586fccc48bc9ed131", "committedAt": "2026-09-23T15:15:23Z", "beforeFinal": true, "afterVal": false, "headerDateIsCommitLocalDate": true }, { "id": "A3", "date": "2026-09-23", "firstCommit": "ed15b10770e2cf5eb2204f6154628b676193a084", "committedAt": "2026-09-23T15:16:01Z", "beforeFinal": true, "afterVal": false, "headerDateIsCommitLocalDate": true }, { "id": "A4", "date": "2026-09-24", "firstCommit": "289a14d7ec44b2f84a569c71b83dff8f72c7a6f8", "committedAt": "2026-09-23T20:06:13Z", "beforeFinal": true, "afterVal": false, "headerDateIsCommitLocalDate": true }, { "id": "A5", "date": "2026-09-24", "firstCommit": "cdda29abe57dfd3dea6e1b8d5b38c401fd8f5ed7", "committedAt": "2026-09-24T00:24:28Z", "beforeFinal": true, "afterVal": true, "headerDateIsCommitLocalDate": true }, { "id": "A6", "date": "2026-09-24", "firstCommit": "3544b225ee373ab612ee198c66f7eb792b5853cc", "committedAt": "2026-09-24T00:28:48Z", "beforeFinal": true, "afterVal": true, "headerDateIsCommitLocalDate": true } ], "amendmentDatesNote": "An amendment's date is the date its header states, on the lab's local calendar (committer time zone UTC+07:00); commit times are given in UTC, so a date can read one day later than the UTC commit time.", "protocolEdits": { "rule": "PROTOCOL.md: \"Amendments are appended at the bottom with a date and a reason; nothing above is edited.\"", "appendOnly": false, "edits": [ { "commit": "cdda29abe57dfd3dea6e1b8d5b38c401fd8f5ed7", "committedAt": "2026-09-24T00:24:28Z", "changedLines": 1, "lines": [ { "line": 159, "before": " 6. *Disclosure:* parity work printed **Free 1.3.1 (not Premium) results** on windows overlapping", "after": " 6. *Disclosure (see A5 for the gate):* parity work printed **Free 1.3.1 (not Premium) results** on windows overlapping" } ] } ], "summary": "Every version of PROTOCOL.md extends the previous one byte for byte except the edits listed, which changed text above the newest amendment in place." }, "repin": { "amendment": "A6.5", "frozenCodeSha256": "ba568bbcd0b8b317e8b1216c9655ae46bc4421a8812b0400017fdf4f62c06592", "finalCodeSha256": "abbb01c9124d2a0981f3bd5861df5e23a37a5c3fdba1dbebdb90245a42024348", "srcChangedSinceFreeze": [ { "path": "src/protocol/gate.mjs", "atFreeze": "fd2d638b51d6738ce9a96010728f9095e02c876b83432b04d157b096474f5135", "atFinal": "287dc7b1ae95f5c0e99783e0d2f251e735388e33047bde1568025e5984003fa7" } ], "byteIdenticalFiles": { "premium": 35, "freeLongOnly": 24, "free": 23 }, "summary": "FINAL ran on code whose every file frozen for the chosen candidate (35 files) and for the long-only candidate (24 files, which contain Drift Free's 23) is byte-identical to the frozen hashes. The only source change since the freeze is the promotion gate. The engine's VAL unlock was re-pinned to the new code hash; no VAL run was made after it." }, "finalRunner": "FINAL ran once per evaluation that the protocol and amendments A1–A6 set before it (Drift Free long-only's by A6, after VAL): 24 evaluations (3 configurations × 2 sets × REAL, STRESS, TV and REAL with the crash-fill stress), through a runner pinned by sha256 before any FINAL result. It composes the frozen harness functions unchanged and differs from the research harness only in its stage guard, the Set B universe, the FINAL windows and a run-once rule. All 24 completed at the first attempt; none was repeated.", "readingsBeforeFinal": [ "The crash-fill stress runs under REAL costs for all three configurations on both sets, which gives 24 evaluations.", "The data end is the close of the last complete 4h bar, 2026-09-23T12:00:00Z, common to all 20 symbols.", "The margin split needs a fourth term, Free long entries Premium did not take; it is reported, and it is zero against Drift Free in both sets.", "The holding benchmark A6.3 asks for (the return and drawdown of holding the same planned notional) follows two definitions: the edition's average deployed capital, and equal weight. The first was implemented as buying D / P0 units and holding them, which does not hold D; after FINAL it was renamed and a constant-exposure benchmark was added (postFinalCorrections PFC-2)." ], "tvMetadata": "TV-cost runs use TradingView's tick and lot sizes per symbol. For the 3 symbols with Strategy Tester captures (BTC, ETH, XRP) they are confirmed by native trades; for the other 17 they come from metadata-only reads, with no Strategy Tester trades behind them.", "parityScope": "Engine-to-TradingView parity is established for Drift Free 1.3.1. Drift Premium has no Pine build yet, so none of its figures, including the TV-cost ones, has a TradingView Strategy Tester check.", "testFixAfterUnlock": "After the FINAL unlock was committed, one lab test that asserted \"FINAL is locked\" against the repository's freeze directory failed, because the engine then admitted its synthetic in-memory run (no record was written and no lab data was involved). The test now uses an empty freeze directory. No FINAL evaluation was repeated, re-selected or tuned.", "search": { "unit": "configuration × stage pairs, failures included (the unit of configsTried)", "distinctConfigurations": 36, "byHypothesis": { "H-TF": 5, "H-EXIT": 12, "H-REGIME": 8, "H-VOL": 4, "H-COST": 4, "H-PYR": 2, "H-REGIME + H-EXIT": 3, "H-ENS": 2, "H-PORT": 2 }, "v2Mapping": "Each configuration counts under its hypothesis: the Drift Free baseline at 15m, 1h and 4h is the timeframe family (H-TF); the combination candidate (H-REGIME + H-EXIT) is \"combined\".", "outsideV2Families": { "H-ENS": 2, "H-PORT": 2 }, "outsideV2Note": "Two families of the DEV grid have no v2 key: H-ENS (three Drift speeds as sub-positions, E3) and H-PORT (a portfolio heat cap, H5). They are counted in configsTried and listed here. The DEV grid registered no configuration of the entry-timing family (H-ENTRY).", "reconciliation": { "preRegisteredGrid": { "count": 33, "configs": [ "F0 4h", "F0 1h", "F0 15m", "E3 4h", "E3 1h", "H5 4h", "H5 1h", "X3 1h", "X3 4h", "X4 1h", "X4 4h", "XF 1h", "XF 4h", "XC 1h", "XC 4h", "XH 1h", "XH 4h", "RD 1h", "RD 4h", "RE 1h", "RE 4h", "RL 1h", "RL 4h", "C10 15m", "C10 1h", "C20 15m", "C20 1h", "VE 1h", "VE 4h", "VA 1h", "VA 4h", "P1 1h", "P1 4h" ] }, "neighbourProbes": { "count": 2, "configs": [ "XHk2.5 4h", "XHk4 4h" ], "neighbourOf": "XH 4h", "addedAfterDevResults": true, "promoted": false }, "combinations": { "count": 1, "configs": [ "C1 4h" ] }, "distinctConfigurations": 36, "configurationStagePairs": { "byStage": { "DEV": 36, "VAL": 3, "FINAL": 3 }, "beforeFinal": 39, "afterFinal": 42 }, "evaluations": { "byStage": { "DEV": 36, "VAL": 3, "FINAL": 24 }, "beforeFinal": 39, "afterFinal": 63 }, "runs": { "byStage": { "DEV": 37, "VAL": 3, "FINAL": 24 }, "beforeFinal": 40, "afterFinal": 64, "failed": 0 }, "repeatedEvaluations": [ { "config": "RL 4h", "stage": "DEV", "runIds": [ "20260923T224757235Z-RL-4h-DEV-REAL-37d4c8d6", "20260923T233016408Z-RL-4h-DEV-REAL-37d4c8d6" ], "sameTrades": true, "reason": "the grid run, then once more on the frozen code as candidate C3's DEV record" } ], "statement": "33 pre-registered DEV-GRID configurations + 2 neighbour probes of XH 4h added after the DEV results (XHk2.5 4h and XHk4 4h; neither promoted) + 1 combination (C1 4h) = 36 distinct configurations; configuration × stage pairs: 39 before FINAL (DEV 36, VAL 3) and 42 after (FINAL 3); evaluations: 39 before FINAL and 63 after; runs: 40 before FINAL and 64 after, one more than the evaluations because RL 4h's DEV evaluation was run a second time (on the frozen code as candidate C3's DEV record, with the same evaluation hash and identical trades)." } }, "pinnedFiles": { "files": [ "PROTOCOL.md", "gate.mjs" ], "summary": "PROTOCOL.md and gate.mjs are published byte for byte, because their sha256 is the record of what was set before FINAL (disclosures.amendments and disclosures.gateTiming give when each part was written). The pinned PROTOCOL.md therefore still contains local folder paths (lines 14 and 139), a relative path into the earlier research's folder (line 123) and internal names (lines 43, 120, 121 and 122); every other published file is free of local paths and internal names.", "lines": [ { "file": "PROTOCOL.md", "line": 14, "kind": "local path" }, { "file": "PROTOCOL.md", "line": 43, "kind": "internal name" }, { "file": "PROTOCOL.md", "line": 120, "kind": "internal name" }, { "file": "PROTOCOL.md", "line": 121, "kind": "internal name" }, { "file": "PROTOCOL.md", "line": 122, "kind": "internal name" }, { "file": "PROTOCOL.md", "line": 123, "kind": "internal path" }, { "file": "PROTOCOL.md", "line": 139, "kind": "local path" } ] }, "evidenceHistory": { "previousVersion": "2026-09-24-final", "relation": "This version holds the same 24 FINAL records, gate verdict, protocol and gate as 2026-09-24-final. After FINAL, on 2026-09-24, analysis definitions and wording were corrected; postFinalCorrections lists each change. 2026-09-24-final, the first export, is kept unchanged in the lab's history and is not published; every analysis correction since then is listed in postFinalCorrections with its old and new value, and every later revision in revisions. Its MANIFEST.json has sha256 e63fb6ed9adae274d8ee1bc6c85380e17186ada37ed00b23a4b62472a315c5f2, so its bytes can be verified if it is ever released.", "revisions": [ { "version": "2026-09-24-final-r3", "previousVersion": "2026-09-24-final-r2", "date": "2026-09-24", "labCommit": "4cc02a3619a95808cef785940638bead39f48744", "labCommitAt": "2026-09-24T04:36:18Z", "change": "curves added: Free long-only and constant long exposure; no result changed", "relation": "This version is 2026-09-24-final-r2 plus curves. Each curves file keeps r2's 44 series and adds 44 (freeLongOnly and constantLongExposure), and benchmarks.constantLongExposure gains byCost, the values the constant-exposure curves end at under each cost model, with byCostDefinition; methodology.md gains section 14. Every other value of summary.json, publishedAt and protocol.labCommit included, and every other file is 2026-09-24-final-r2's; downloads and MANIFEST.json name the bytes that changed. labCommit and labCommitAt here are the lab commit this version was built from. 2026-09-24-final-r2 is kept unchanged in the lab's history, was never published and is listed on the site by its MANIFEST.json sha256 only, 18a6e6a79b98a90857dc2063399be4ed5688f74b793c78ebfc7336166621f4cd." }, { "version": "2026-09-24-final-r4", "previousVersion": "2026-09-24-final-r3", "date": "2026-09-24", "labCommit": "2c3fa31d6cf69e13ae2374315a90f9236c41b214", "labCommitAt": "2026-09-24T10:42:17Z", "change": "added: the Free long-only rules and a reconciliation of the configuration counts; reworded: the first export is not published; no result changed", "relation": "This version is 2026-09-24-final-r3 plus three changes; no result changed. (1) benchmarks.freeLongOnly gains rules: the rules Drift Free long-only ran with in FINAL, written like editions.premium.rules. (2) disclosures.search gains reconciliation: the 36 distinct configurations as 33 pre-registered, 2 neighbour probes and 1 combination, and the configuration × stage pairs (39 before FINAL, 42 after), evaluations and runs by stage, counted from the result records; methodology.md §12 states it in one sentence. (3) On 2026-09-24 the founder decided that the first export, 2026-09-24-final, is not published: caveats[0], disclosures.evidenceHistory.relation and the first-export bullet of methodology.md §1 said it stays published, and now say that it is kept unchanged in the lab's history and is not published, with the sha256 of its MANIFEST.json (disclosures.evidenceHistory.firstExport); reworded gives each old and new text, and methodology.md §12 and §13 print the new texts of the first two. Every other value of summary.json, publishedAt and protocol.labCommit included, and every curve series is 2026-09-24-final-r3's; the curves files and methodology.md name this evidence version, and downloads and MANIFEST.json name the bytes that changed. labCommit and labCommitAt here are the lab commit this version was built from.", "added": [ "benchmarks.freeLongOnly.rules", "disclosures.search.reconciliation", "disclosures.evidenceHistory.firstExport" ], "reworded": [ { "where": "caveats[0]", "old": "These are post-FINAL analysis corrections dated 2026-09-24: the FINAL runs, the gate verdict and the protocol are unchanged, and 2026-09-24-final stays published as written.", "new": "These are post-FINAL analysis corrections dated 2026-09-24: the FINAL runs, the gate verdict and the protocol are unchanged. The first export, 2026-09-24-final, is kept unchanged in the lab's history and is not published (its MANIFEST.json has sha256 e63fb6ed9adae274d8ee1bc6c85380e17186ada37ed00b23a4b62472a315c5f2); disclosures.postFinalCorrections lists every analysis correction since then with its old and new value." }, { "where": "disclosures.evidenceHistory.relation", "old": "This version publishes the same 24 FINAL records, gate verdict, protocol and gate as 2026-09-24-final. After FINAL, on 2026-09-24, analysis definitions and wording were corrected; postFinalCorrections lists each change. 2026-09-24-final stays published exactly as written.", "new": "This version holds the same 24 FINAL records, gate verdict, protocol and gate as 2026-09-24-final. After FINAL, on 2026-09-24, analysis definitions and wording were corrected; postFinalCorrections lists each change. 2026-09-24-final, the first export, is kept unchanged in the lab's history and is not published; every analysis correction since then is listed in postFinalCorrections with its old and new value, and every later revision in revisions. Its MANIFEST.json has sha256 e63fb6ed9adae274d8ee1bc6c85380e17186ada37ed00b23a4b62472a315c5f2, so its bytes can be verified if it is ever released." }, { "where": "methodology.md §1", "old": "- **This version corrects the analysis, not the result.** Evidence version `2026-09-24-final` was published first and stays as written. After FINAL, on 2026-09-24, 12 analysis definitions and wordings were corrected (§12, `disclosures.postFinalCorrections`). The FINAL runs, the gate verdict and the protocol are unchanged.", "new": "- **This version corrects the analysis, not the result.** The first export, evidence version `2026-09-24-final`, is kept unchanged in the lab's history and is not published; its `MANIFEST.json` has sha256 `e63fb6ed9adae274d8ee1bc6c85380e17186ada37ed00b23a4b62472a315c5f2`, so its bytes can be verified if it is ever released. After FINAL, on 2026-09-24, 12 analysis definitions and wordings were corrected, each listed with its old and new value (§12, `disclosures.postFinalCorrections`). The FINAL runs, the gate verdict and the protocol are unchanged." } ] }, { "version": "2026-09-24-final-r5", "previousVersion": "2026-09-24-final-r4", "date": "2026-09-24", "labCommit": "648821b76390ddfe7779d55fdbb14d26ce180008", "labCommitAt": "2026-09-24T15:59:09Z", "change": "wording only: when the promotion gate was set, the luck test as a share of resamples, the benchmarks named by what they are, and comparative words; no number, verdict or gate reason changed", "relation": "This version is 2026-09-24-final-r4 with wording-only corrections, postFinalCorrections PFC-13 to PFC-16: texts now say when the promotion gate, and what amendments A5 and A6 added, were set (after VAL, before FINAL); each luck-test number is the share of resamples at or below zero; each benchmark is named by what it is; and comparative words give way to the comparisons they state. Each of these corrections lists every edit with its old and new text in changes, and rewordedPaths lists the summary.json paths they touched. No FINAL number, verdict, gate reason, curve series or pinned file changed: summary.json differs from 2026-09-24-final-r4 only at rewordedPaths, the evidence version, the appended corrections, this entry and downloads; the curves files differ only in their evidence version; methodology.md prints the new texts, rewords its own sentences the same way, counts the corrections in §1 again and gains section 15; PROTOCOL.md, gate.mjs, cells.csv, trades.csv and configs-ledger.csv are 2026-09-24-final-r4's bytes. 2026-09-24-final-r4 was superseded before any production publication: it was served only on unmerged preview deployments. 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Two corrected nulls are added, each with the same week-block bootstrap: the arithmetic-mean null (the same formula with the mean 4h return) and a random-entry null with the same holding durations (the exact expected return of entries drawn uniformly from the window, with no distributional assumption).", "why": "The drift-only null of A6 priced each position at the geometric-mean 4h return. For a position of fixed size, the expected gain from random long exposure follows the arithmetic mean, which exceeds the geometric mean by about half the variance per bar (4h volatility 2.1%–2.8% on Set B). The null therefore understated what random long exposure earns and counted the difference as timing.", "oldValue": "Premium timing: Set B +244.08R, P(timing ≤ 0) = 0.060; Set A +109.71R, P = 0.075 (geometric mean).", "newValue": "Premium timing, with the share of resamples at or below zero: Set B −14.45R (0.556) with the arithmetic mean and −18.46R (0.566) with random entries; Set A +81.89R (0.145) and +83.78R (0.139). On Set B, long exposure alone earns +310.23R to +314.24R before costs, against Premium's +295.78R before costs." }, { "id": "PFC-2", "date": "2026-09-24", "severity": "major", "item": "The benchmark \"with the same average capital\"", "what": "The benchmark amendment A6 asked for, written after VAL, is kept and renamed accurately: \"buy D/P0 units and hold\". Its time-average capital is reported. A capital-matched benchmark is added: constant long exposure of D, the edition's average deployed capital, held at every 4h close, with REAL costs on every fill that keeps it there (entry, the rebalancing after each close, exit).", "why": "The benchmark buys D/P0 units once and lets them appreciate, so it does not hold the same average capital: on Set B its time-average capital was 9.90 × Premium's (1.10 × on Set A).", "oldValue": "\"Capital-matched buy-and-hold\": Set B +724.96R (mark-to-market drawdown 3103.47R); Set A +8.42R.", "newValue": "Buy D/P0 units and hold: unchanged. Constant long exposure of D: Set B +299.09R after costs (mark-to-market drawdown 93.54R), against Premium's +197.60R (177.77R); Set A +24.90R (81.14R), against +66.77R (103.60R). Counting only the entry and exit fills it would be +308.80R and +26.99R; the rebalancing at every 4h close costs 9.71R and 2.09R." }, { "id": "PFC-3", "date": "2026-09-24", "severity": "major", "item": "The headline", "what": "The FINAL report's headline is replaced. The new one states that the gate failed and that Premium is long-only, that its profit on the untouched coins is explained by long exposure, and how it compares with Drift Free long-only and with constant long exposure.", "why": "The old headline compared Premium with Drift Free trading both directions, its weakest comparator, and presented Set A as a win \"in the falling holdout\". Premium lost −74.85R in Set A's falling quarters and made 94.5% of its Set A profit in one rising month.", "oldValue": "Long-only Drift Premium failed its promotion gate on data it never saw: it made +66.8R on Set A's holdout months and +197.6R on Set B's ten untouched coins (Drift Free: +10.5R and −152.3R), but its profit factor (1.16 and 1.12) missed the pre-registered 1.2 bar, and it beat holding the same coins with the same average capital only in the falling holdout (+8.4R), making far less than that buy-and-hold on the untouched coins (+725.0R, with much deeper drawdowns).", "newValue": "Long-only Drift Premium failed the promotion gate we set after validation and before its final test (profit factor 1.16 on Set A's holdout months and 1.12 on Set B's ten untouched coins, against 1.20), and its +197.6R on the untouched coins is explained by long exposure in rising markets, not timing (timing −14.4R and −18.5R under the two corrected nulls): Drift Free taking only long signals made about as much (+170.7R), and holding Premium's average capital long at constant size made more (+299.1R after costs)." }, { "id": "PFC-4", "date": "2026-09-24", "severity": "major", "item": "Concentration by month", "what": "Stated in prose. The methodology's \"where the result is weak\" now includes leave-one-month-out and top-5 trimming.", "why": "The robustness table amendment A6 asked for held these numbers, but no sentence said that one month carried Set A and three months carried Set B.", "oldValue": "Not stated in prose.", "newValue": "Set A: +63.13R of Premium's +66.77R (94.5%) exited in 2025-07; without that month, +3.64R (PF 1.009). Set B: 2021-01, 2024-11, 2026-08 gave +191.21R of +197.60R, and the other 78 months +6.38R. Without the five largest positions: +13.88R (Set A, PF 1.034) and +71.66R (Set B, PF 1.045)." }, { "id": "PFC-5", "date": "2026-09-24", "severity": "major", "item": "What the FINAL shows, and the licensed-claim wording", "what": "The list headed \"Shown\" is relabelled into what is resolved and what is not, by the week-block bootstrap. The sentence saying the licensed claim's literal words hold is withdrawn: an unlicensed claim is not described as true.", "why": "Point estimates with a share of resamples at or below zero of 0.258 and 0.439 were listed as shown.", "oldValue": "\"Shown: On untouched data, Premium (long-only C1) made more net R than Drift Free in both sets, stayed positive under STRESS costs, and beat Free long-only on Set B.\" and \"Its literal words hold in both sets\".", "newValue": "Resolved at 95%: none of Premium's net R, margins or timing terms. Closest: Premium − Drift Free on Set B, share of resamples at or below zero: 0.032, and 57.9% of that margin is Drift Free's shorts, which Drift Free long-only also avoids. Unresolved point estimates, with the same share: Premium − Drift Free on Set A (0.258); Premium − Drift Free long-only (A 0.295, B 0.439); Premium net R (A 0.199, B 0.108)." }, { "id": "PFC-6", "date": "2026-09-24", "severity": "minor", "item": "TV-cost figures", "what": "Drift Premium has no Pine build, so no Strategy Tester can show its figures. Its TV-cost numbers are engine figures; only Drift Free 1.3.1 has engine-to-Strategy-Tester parity.", "why": "The FINAL report headed its TV section \"what a Strategy Tester user would see\", which implied a user could see Premium's TV figures.", "oldValue": "\"TV costs (A3: what a Strategy Tester user would see)\".", "newValue": "\"TV costs: engine figures; Premium has no Pine build, so no Strategy Tester shows them\"." }, { "id": "PFC-7", "date": "2026-09-24", "severity": "minor", "item": "Size of the search", "what": "The selection-bias caveat names the earlier research that shaped this lab's grid.", "why": "\"Evaluated in all\" counted only this lab's evaluations.", "oldValue": "\"42 configuration × stage pairs (36 distinct configurations) were evaluated in all\".", "newValue": "42 configuration × stage pairs (36 distinct configurations) in this lab. Before it, earlier ProEA Lab research tried 31 recipes on BTC and ETH and measured three 4h candidates; that work shaped this lab's hypotheses and grid." }, { "id": "PFC-8", "date": "2026-09-24", "severity": "minor", "item": "Lines of the byte-pinned PROTOCOL.md that name internal paths or names", "what": "Lines 122 and 123 are added to the disclosure: the earlier research's internal candidate labels and a relative path into its folder.", "why": "The detector looked for absolute paths and a list of internal names; it missed a relative path and the earlier research's labels.", "oldValue": "Lines 14, 43, 120, 121 and 139 (\"two lab-internal folder paths\").", "newValue": "Lines 14, 43, 120, 121, 122, 123 and 139: two absolute local paths (14, 139), one relative path into the earlier research folder (123), and internal names on 43, 120, 121 and 122." }, { "id": "PFC-9", "date": "2026-09-24", "severity": "minor", "item": "What the \"buy D/P0 units and hold\" benchmark held", "what": "The FINAL report said the benchmark \"held a fixed 574–662 USDT of the coin throughout\". It held a fixed number of coins (D/P0 units), and their value moved with the price.", "why": "The description contradicted the benchmark's definition.", "oldValue": "\"held a fixed 574–662 USDT of the coin throughout\".", "newValue": "\"held a fixed number of coins, bought for 574–662 USDT at the window start\"." }, { "id": "PFC-10", "date": "2026-09-24", "severity": "minor", "item": "Curve final points", "what": "The last point of a published curve is not rounded and equals finalR, the full-precision sum in exit order. finalR equals the scoreboard's net R to floating-point precision, not bit for bit.", "why": "The methodology said every curve ends \"exactly\" at the metrics' net R.", "oldValue": "\"the final point, which is exact and equals finalR\"; \"Every curve ends exactly at its finalR, which equals the metrics' net R\".", "newValue": "The final point equals finalR bit for bit. finalR matches net R within 1.0e-12 R (the export's check allows 1e-6)." }, { "id": "PFC-11", "date": "2026-09-24", "severity": "minor", "item": "Size of the FINAL records", "what": "Corrected.", "why": "The FINAL report gave the trades files' size as the size of all 48 files.", "oldValue": "\"27 MB\" for the 24 result files and 24 trades files.", "newValue": "29.0 MB (27.7 MiB): trades files 27.6 MB, result files 1.4 MB." }, { "id": "PFC-12", "date": "2026-09-24", "severity": "minor", "item": "An in-place edit of PROTOCOL.md", "what": "Disclosed in the corrected report: commit cdda29a edited line 159 of PROTOCOL.md in place. Amendment A4.6 gained the cross-reference \"(see A5 for the gate)\". The public export already disclosed it.", "why": "PROTOCOL.md says amendments are appended and nothing above them is edited; the FINAL report did not mention this edit.", "oldValue": "Not disclosed in the FINAL report.", "newValue": "Disclosed." }, { "id": "PFC-13", "date": "2026-09-24", "severity": "major", "item": "When the promotion gate was set", "what": "The one-sentence summary and several other texts overstated how early the promotion gate, and what amendments A5 and A6 added, were set. They now say when: the gate, with its 1.2 bar, after VAL had run and before FINAL (A5, with its Set B condition from A6); the drift-only null, the benchmark of buying D/P0 units, the robustness table and Drift Free long-only's FINAL evaluations in A6, also after VAL and before FINAL. Only protocol v1, amendments A1–A4 and the DEV grid were pre-registered before any Premium result, and only they are described so.", "why": "The gate was committed after VAL had run and after the VAL choice was committed (disclosures.gateTiming: gateCommittedAfterVal is true); its Set B condition against Drift Free long-only was added after the founder saw the VAL robustness audit, in the stricter direction only (A6.2); and A6, which added the drift-only null, the benchmark and the robustness table, was written after VAL too. Describing any of them as set before the results were known overstated the protocol.", "oldValue": "The summary sentence: \"Long-only Drift Premium failed its pre-registered promotion gate (…)\". Elsewhere: \"the pre-registered 1.2\", \"The pre-registered drift-only null\", \"pre-registered definition, flawed; kept as pre-registered\", \"The pre-registered null\", \"The pre-registered benchmark\", \"The pre-registered robustness table\", \"FINAL ran once per pre-registered evaluation\", \"their sha256 is the pre-registration record\" and \"The pre-registered protocol with its amendments A1–A6\".", "newValue": "The summary sentence says Long-only Drift Premium \"failed the promotion gate we set after validation and before its final test\". Every other text names the amendment that set what it describes, A5 or A6, both written after VAL and before FINAL.", "changes": [ { "where": "summary.json disclosures.summarySentence", "path": "disclosures.summarySentence", "old": "failed its pre-registered promotion gate", "new": "failed the promotion gate we set after validation and before its final test" }, { "where": "summary.json disclosures.postFinalCorrections[2].newValue", "path": "disclosures.postFinalCorrections[2].newValue", "old": "failed its pre-registered promotion gate", "new": "failed the promotion gate we set after validation and before its final test" }, { "where": "summary.json caveats[10]", "path": "caveats[10]", "old": "The pre-registered drift-only null used the geometric mean", "new": "The drift-only null that amendment A6 added after VAL used the geometric mean" }, { "where": "summary.json attribution.driftOnlyNull.status", "path": "attribution.driftOnlyNull.status", "old": "pre-registered definition, flawed; kept as pre-registered.", "new": "defined in amendment A6, after VAL and before FINAL; flawed; kept as defined." }, { "where": "summary.json disclosures.postFinalCorrections[0].what", "path": "disclosures.postFinalCorrections[0].what", "old": "The pre-registered null is kept and labelled as the pre-registered definition, which is flawed.", "new": "The drift-only null that amendment A6 added after VAL is kept and labelled as A6's definition, which is flawed." }, { "where": "summary.json disclosures.postFinalCorrections[0].why", "path": "disclosures.postFinalCorrections[0].why", "old": "The pre-registered null priced each position", "new": "The drift-only null of A6 priced each position" }, { "where": "summary.json benchmarks.buyAndHold.definitions.buyUnitsAndHold", "path": "benchmarks.buyAndHold.definitions.buyUnitsAndHold", "old": "The pre-registered benchmark, formerly named", "new": "The benchmark amendment A6 asked for, written after VAL and before FINAL, formerly named" }, { "where": "summary.json disclosures.postFinalCorrections[1].what", "path": "disclosures.postFinalCorrections[1].what", "old": "The pre-registered benchmark is kept and renamed accurately:", "new": "The benchmark amendment A6 asked for, written after VAL, is kept and renamed accurately:" }, { "where": "summary.json disclosures.postFinalCorrections[3].why", "path": "disclosures.postFinalCorrections[3].why", "old": "The pre-registered robustness table held these numbers", "new": "The robustness table amendment A6 asked for held these numbers" }, { "where": "summary.json disclosures.finalRunner", "path": "disclosures.finalRunner", "old": "FINAL ran once per pre-registered evaluation:", "new": "FINAL ran once per evaluation that the protocol and amendments A1–A6 set before it (Drift Free long-only's by A6, after VAL):" }, { "where": "summary.json disclosures.pinnedFiles.summary", "path": "disclosures.pinnedFiles.summary", "old": "because their sha256 is the pre-registration record.", "new": "because their sha256 is the record of what was set before FINAL (disclosures.amendments and disclosures.gateTiming give when each part was written)." }, { "where": "methodology.md §1, the Profit factor bullet", "path": null, "old": "are below the pre-registered 1.2.", "new": "are below the gate's 1.2, which amendment A5 set after VAL." }, { "where": "methodology.md §1, the Timing bullet", "path": null, "old": "**Timing.** The pre-registered drift-only null priced positions", "new": "**Timing.** The drift-only null that amendment A6 added after VAL priced positions" }, { "where": "methodology.md §2, the PROTOCOL.md row", "path": null, "old": "The pre-registered protocol with its amendments A1–A6, byte for byte.", "new": "The protocol, byte for byte: v1 and amendments A1–A4, pre-registered before any Premium result, and amendments A5 and A6, written after VAL and before FINAL." }, { "where": "methodology.md §9, benchmarks", "path": null, "old": "the pre-registered benchmark formerly named", "new": "the benchmark amendment A6 asked for, formerly named" }, { "where": "methodology.md §9, attribution", "path": null, "old": "(the pre-registered, flawed null:", "new": "(the flawed null that amendment A6 added after VAL:" } ] }, { "id": "PFC-14", "date": "2026-09-24", "severity": "minor", "item": "The luck test, as a share of resamples", "what": "Each luck-test number is now written as the share of the week-block bootstrap's resamples at or below zero, in place of the letter P, with the same value; the three bootstrap definitions name that share the same way.", "why": "The number counts resamples: it is the share of the bootstrap's resamples that end at or below zero. Written with the letter P it reads as a statement about the strategy itself, which a count of resamples does not make; the house wording rules write it as a share of resamples.", "oldValue": "Premium timing: \"Set B −14.45R (P = 0.556)\"; \"Premium − Drift Free on Set B, P(≤ 0) = 0.032\"; \"P(margin ≤ 0) = 0.439\"; \"Point estimates with P(≤ 0) of 0.258 and 0.439\"; methodology.md's table: \"P(≤ 0) = 0.295\"; the bootstrap definitions: \"P(timing sum ≤ 0)\".", "newValue": "Premium timing, \"with the share of resamples at or below zero: Set B −14.45R (0.556)\"; \"Premium − Drift Free on Set B, share of resamples at or below zero: 0.032\"; \"share of resamples with the margin at or below zero: 0.439\"; \"a share of resamples at or below zero of 0.258 and 0.439\"; methodology.md's table: \"share of resamples at or below zero: 0.295\"; the bootstrap definitions: \"the share of resamples whose timing sum is at or below zero\".", "changes": [ { "where": "summary.json caveats[11]", "path": "caveats[11]", "old": "(P(margin ≤ 0) = 0.439)", "new": "(share of resamples with the margin at or below zero: 0.439)" }, { "where": "summary.json disclosures.postFinalCorrections[0].newValue", "path": "disclosures.postFinalCorrections[0].newValue", "old": "Premium timing: Set B −14.45R (P = 0.556) with the arithmetic mean and −18.46R (P = 0.566) with random entries; Set A +81.89R (P = 0.145) and +83.78R (P = 0.139).", "new": "Premium timing, with the share of resamples at or below zero: Set B −14.45R (0.556) with the arithmetic mean and −18.46R (0.566) with random entries; Set A +81.89R (0.145) and +83.78R (0.139)." }, { "where": "summary.json disclosures.postFinalCorrections[4].why", "path": "disclosures.postFinalCorrections[4].why", "old": "Point estimates with P(≤ 0) of 0.258 and 0.439", "new": "Point estimates with a share of resamples at or below zero of 0.258 and 0.439" }, { "where": "summary.json disclosures.postFinalCorrections[4].newValue", "path": "disclosures.postFinalCorrections[4].newValue", "old": "Premium − Drift Free on Set B, P(≤ 0) = 0.032,", "new": "Premium − Drift Free on Set B, share of resamples at or below zero: 0.032," }, { "where": "summary.json disclosures.postFinalCorrections[4].newValue", "path": "disclosures.postFinalCorrections[4].newValue", "old": "Unresolved point estimates: Premium − Drift Free on Set A (P = 0.258);", "new": "Unresolved point estimates, with the same share: Premium − Drift Free on Set A (0.258);" }, { "where": "summary.json attribution.driftOnlyNull.bootstrap", "path": "attribution.driftOnlyNull.bootstrap", "old": "and P(timing sum ≤ 0).", "new": "and the share of resamples whose timing sum is at or below zero." }, { "where": "summary.json attribution.arithmeticMeanNull.bootstrap", "path": "attribution.arithmeticMeanNull.bootstrap", "old": "and P(timing sum ≤ 0).", "new": "and the share of resamples whose timing sum is at or below zero." }, { "where": "summary.json attribution.randomEntryNull.bootstrap", "path": "attribution.randomEntryNull.bootstrap", "old": "and P(timing sum ≤ 0).", "new": "and the share of resamples whose timing sum is at or below zero." }, { "where": "methodology.md §1, the head-to-head table (4 cells) and the Timing bullet", "path": null, "old": "(P(≤ 0) = ", "new": "(share of resamples at or below zero: " }, { "where": "methodology.md §1, the Drift Free long-only bullet", "path": null, "old": "with P(margin ≤ 0) = ", "new": "and the share of resamples with the margin at or below zero is " } ] }, { "id": "PFC-15", "date": "2026-09-24", "severity": "minor", "item": "The benchmarks, named by what they are", "what": "Current text no longer uses the label the FINAL report used for its holding benchmark: each benchmark is named by what it is. Constant long exposure is the comparison that holds the same average capital; the equal-weight price return of a set's coins gives the market's direction; \"buy D/P0 units and hold\" buys the coins once; and A6 asked for a benchmark of holding the same planned notional. The old values keep the label as recorded.", "why": "The house wording rules allow that label in no spelling in the site's own text. It reads as holding the same capital as the edition, which buying D/P0 units once does not do (PFC-2); constant long exposure does.", "oldValue": "PFC-2's item: Buy-and-hold \"with the same average capital\"; PFC-9's item: What the buy-and-hold benchmark held; the month and quarter definitions: the set's equal-weight buy-and-hold return; a reading fixed before FINAL: The buy-and-hold benchmark follows two definitions; A6's summary: Free long-only, buy-and-hold, a drift-only null; methodology.md: Equal-weight buy-and-hold returned, and buy-and-hold, perSymbol.", "newValue": "PFC-2 is headed The benchmark \"with the same average capital\", and PFC-9 What the \"buy D/P0 units and hold\" benchmark held. The month and quarter definitions use the equal-weight price return of the set's coins; a reading set before FINAL and A6's summary name a benchmark of holding the same planned notional; methodology.md speaks of the coins' equal-weight price return and heads the definitions \"holding benchmarks\".", "changes": [ { "where": "summary.json disclosures.postFinalCorrections[1].item", "path": "disclosures.postFinalCorrections[1].item", "old": "Buy-and-hold \"with the same average capital\"", "new": "The benchmark \"with the same average capital\"" }, { "where": "summary.json disclosures.postFinalCorrections[8].item", "path": "disclosures.postFinalCorrections[8].item", "old": "What the buy-and-hold benchmark held", "new": "What the \"buy D/P0 units and hold\" benchmark held" }, { "where": "summary.json robustness.definitions.monthConcentration", "path": "robustness.definitions.monthConcentration", "old": "with the set's equal-weight buy-and-hold return over the month", "new": "with the equal-weight price return of the set's coins over the month" }, { "where": "summary.json robustness.sets.A.fallingMarkets.definition", "path": "robustness.sets.A.fallingMarkets.definition", "old": "when the set's equal-weight buy-and-hold return over it", "new": "when the equal-weight price return of the set's coins over it" }, { "where": "summary.json robustness.sets.B.fallingMarkets.definition", "path": "robustness.sets.B.fallingMarkets.definition", "old": "when the set's equal-weight buy-and-hold return over it", "new": "when the equal-weight price return of the set's coins over it" }, { "where": "summary.json disclosures.readingsBeforeFinal[3]", "path": "disclosures.readingsBeforeFinal[3]", "old": "The buy-and-hold benchmark follows two definitions:", "new": "The holding benchmark A6.3 asks for (the return and drawdown of holding the same planned notional) follows two definitions:" }, { "where": "summary.json protocol.amendments[5].summary", "path": "protocol.amendments[5].summary", "old": "(Free long-only, buy-and-hold, a drift-only null,", "new": "(Free long-only, a benchmark of holding the same planned notional, a drift-only null," }, { "where": "methodology.md §1, the bullet on the coins' price return", "path": null, "old": "**Buy-and-hold.** Equal-weight buy-and-hold returned", "new": "**The coins' price return.** The coins' equal-weight price return was" }, { "where": "methodology.md §9, the labels of the holding benchmarks' definitions (4)", "path": null, "old": "\n- buy-and-hold, ", "new": "\n- holding benchmarks, " } ] }, { "id": "PFC-16", "date": "2026-09-24", "severity": "minor", "item": "Comparative words", "what": "The remaining comparative words outside the strings gate.mjs produces now state the comparison they made. A6's summary says Premium net R must also exceed that of Drift Free taking only long signals, as A6.2 does; the by-cost definition says that leaving out the rebalancing fills puts its values above premium.netR; and methodology.md says what the site may not claim, names the win, loss and flat counts, and says the benchmark ends higher without the rebalancing fills.", "why": "The house wording rules allow no comparative praise in the text the site renders. Each sentence keeps its numbers and its meaning.", "oldValue": "A6's summary: \"Premium must also beat Drift Free taking only long signals\"; the by-cost definition: \"makes this benchmark stronger than premium.netR\"; methodology.md: \"may not say that Drift Premium is more profitable than Drift Free\", \"wins + losses + flat = positions\" and \"the benchmark is stronger\".", "newValue": "A6's summary: \"Premium net R must also exceed that of Drift Free taking only long signals\"; the by-cost definition: \"puts these values above premium.netR\"; methodology.md: \"may not make the comparative claim that the gate licenses only on a pass\", \"the win, loss and flat counts add up to positions\" and \"the benchmark ends higher\".", "changes": [ { "where": "summary.json protocol.amendments[5].summary", "path": "protocol.amendments[5].summary", "old": "on Set B, Premium must also beat Drift Free taking only long signals.", "new": "on Set B, Premium net R must also exceed that of Drift Free taking only long signals." }, { "where": "summary.json benchmarks.constantLongExposure.byCostDefinition", "path": "benchmarks.constantLongExposure.byCostDefinition", "old": "makes this benchmark stronger than premium.netR, which charges them.", "new": "puts these values above premium.netR, which charges them." }, { "where": "methodology.md §1, the answer to the protocol's question", "path": null, "old": "but may not say that Drift Premium is more profitable than Drift Free.", "new": "but may not make the comparative claim that the gate licenses only on a pass." }, { "where": "methodology.md §6, Positions", "path": null, "old": "(wins + losses + flat = positions)", "new": "(the win, loss and flat counts add up to positions)" }, { "where": "methodology.md §10, item 5", "path": null, "old": ": wins + losses + flat = positions;", "new": ": the win, loss and flat counts add up to positions;" }, { "where": "methodology.md §14, the rebalancing fills", "path": null, "old": "Without the rebalancing fills the benchmark is stronger:", "new": "Without the rebalancing fills the benchmark ends higher:" } ] }, { "id": "PFC-17", "date": "2026-09-24", "severity": "minor", "item": "Earlier versions, described as never published", "what": "Four texts described earlier versions of this export as public. The r3 entry of the evidence history said 2026-09-24-final-r2 was still available as written; the evidence history's first sentence, and the r4 entry's record of it, said this version made the FINAL records public; methodology.md's first line gave the time in publishedAt as the time of publication; and §14 said no public value of 2026-09-24-final-r2 changed. They now say that 2026-09-24-final-r2 is kept unchanged in the lab's history, was never published and is listed on the site by its MANIFEST.json sha256 only; that this version holds the same FINAL records; that publishedAt, a field name the v2 core keeps, holds the time of the lab commit 2026-09-24-final-r2 was built from, not a publication time; and that no existing value changed.", "why": "None of these versions was ever published: 2026-09-24-final-r2, 2026-09-24-final-r3, 2026-09-24-final-r4 and 2026-09-24-final-r5 were served only on unmerged preview deployments, never in production, and the site serves only the current export and lists earlier ones by their MANIFEST.json sha256 only. publishedAt keeps the v2 core's field name, and its value is a build time.", "oldValue": "The r3 entry of the evidence history: \"2026-09-24-final-r2 stays published exactly as written.\"; the evidence history and the r4 entry's record of it: \"This version publishes the same 24 FINAL records\"; methodology.md's first line: \"published 2026-09-24T03:40:18Z by ProEA Lab\"; §14: \"table or published value changed\".", "newValue": "The r3 entry says 2026-09-24-final-r2 is kept unchanged in the lab's history, was never published and is listed on the site by its MANIFEST.json sha256 only; the evidence history says this version holds the same 24 FINAL records; methodology.md's first line says this version was not published at build time and that publishedAt holds the time of the lab commit 2026-09-24-final-r2 was built from, not a publication time; §14 says no existing value changed.", "changes": [ { "where": "summary.json disclosures.evidenceHistory.revisions[0].relation", "path": "disclosures.evidenceHistory.revisions[0].relation", "old": "2026-09-24-final-r2 stays published exactly as written.", "new": "2026-09-24-final-r2 is kept unchanged in the lab's history, was never published and is listed on the site by its MANIFEST.json sha256 only, 18a6e6a79b98a90857dc2063399be4ed5688f74b793c78ebfc7336166621f4cd." }, { "where": "summary.json disclosures.evidenceHistory.relation", "path": "disclosures.evidenceHistory.relation", "old": "This version publishes the same 24 FINAL records", "new": "This version holds the same 24 FINAL records" }, { "where": "summary.json disclosures.evidenceHistory.revisions[1].reworded[1].new", "path": "disclosures.evidenceHistory.revisions[1].reworded[1].new", "old": "This version publishes the same 24 FINAL records", "new": "This version holds the same 24 FINAL records" }, { "where": "methodology.md, the first line", "path": null, "old": " · published 2026-09-24T03:40:18Z by ProEA Lab.", "new": " · built by ProEA Lab; not published at build time. `publishedAt` keeps its v2-core name: it holds 2026-09-24T03:40:18Z, the time of the lab commit `2026-09-24-final-r2` was built from, not a publication time." }, { "where": "methodology.md §14, what r3 left unchanged", "path": null, "old": "table or published value changed (`disclosures.evidenceHistory.revisions`).", "new": "table or existing value changed (`disclosures.evidenceHistory.revisions`)." } ] }, { "id": "PFC-18", "date": "2026-09-24", "severity": "minor", "item": "The word for when the gate was written", "what": "Texts said when the promotion gate, what amendments A5 and A6 added and the readings before FINAL were written with a word that can also mean repaired: the summary sentence, the new values of PFC-3, PFC-13 and PFC-15, PFC-13's heading, what, why and record of its edits, the FINAL runner, the pinned files, the r5 entry of the evidence history, and methodology.md's Profit factor bullet, disclosures extension, readings and section 15. They now say set. The same word for a constant amount or size, and the lab test repaired after the FINAL unlock, are unchanged.", "why": "These texts state when the gate and the amendments were written, after VAL and before FINAL (disclosures.gateTiming); none of them was repaired. Set says only when.", "oldValue": "The summary sentence and PFC-3: \"failed the promotion gate we fixed after validation and before its final test\"; PFC-13: \"When the promotion gate was fixed\", \"were fixed\", \"as fixed before the results were known\" and \"the amendment that fixed what it describes\"; the FINAL runner: \"that the protocol and amendments A1–A6 fixed before it\"; the pinned files: \"the record of what was fixed before FINAL\"; the r5 entry: \"when the promotion gate was fixed\" and \"were fixed (after VAL, before FINAL)\"; PFC-15 and methodology.md: \"a reading fixed before FINAL\", \"readings fixed before FINAL\", \"Reading fixed before FINAL\", \"which amendment A5 fixed after VAL\" and \"When the gate was fixed\".", "newValue": "The summary sentence and PFC-3 say Long-only Drift Premium \"failed the promotion gate we set after validation and before its final test\"; PFC-13 is headed When the promotion gate was set; the FINAL runner, the pinned files, PFC-15, the r5 entry and methodology.md say set.", "changes": [ { "where": "summary.json disclosures.summarySentence", "path": "disclosures.summarySentence", "old": "the promotion gate we fixed after validation", "new": "the promotion gate we set after validation" }, { "where": "summary.json disclosures.postFinalCorrections[2].newValue", "path": "disclosures.postFinalCorrections[2].newValue", "old": "the promotion gate we fixed after validation", "new": "the promotion gate we set after validation" }, { "where": "summary.json disclosures.finalRunner", "path": "disclosures.finalRunner", "old": "that the protocol and amendments A1–A6 fixed before it", "new": "that the protocol and amendments A1–A6 set before it" }, { "where": "summary.json disclosures.pinnedFiles.summary", "path": "disclosures.pinnedFiles.summary", "old": "the record of what was fixed before FINAL", "new": "the record of what was set before FINAL" }, { "where": "summary.json disclosures.evidenceHistory.revisions[2].change", "path": "disclosures.evidenceHistory.revisions[2].change", "old": "when the promotion gate was fixed,", "new": "when the promotion gate was set," }, { "where": "summary.json disclosures.evidenceHistory.revisions[2].relation", "path": "disclosures.evidenceHistory.revisions[2].relation", "old": "were fixed (after VAL, before FINAL)", "new": "were set (after VAL, before FINAL)" }, { "where": "summary.json disclosures.postFinalCorrections[12].item", "path": "disclosures.postFinalCorrections[12].item", "old": "When the promotion gate was fixed", "new": "When the promotion gate was set" }, { "where": "summary.json disclosures.postFinalCorrections[12].what", "path": "disclosures.postFinalCorrections[12].what", "old": "were fixed. They now say when:", "new": "were set. They now say when:" }, { "where": "summary.json disclosures.postFinalCorrections[12].why", "path": "disclosures.postFinalCorrections[12].why", "old": "Describing any of them as fixed before the results were known", "new": "Describing any of them as set before the results were known" }, { "where": "summary.json disclosures.postFinalCorrections[12].newValue", "path": "disclosures.postFinalCorrections[12].newValue", "old": "the promotion gate we fixed after validation", "new": "the promotion gate we set after validation" }, { "where": "summary.json disclosures.postFinalCorrections[12].newValue", "path": "disclosures.postFinalCorrections[12].newValue", "old": "names the amendment that fixed what it describes", "new": "names the amendment that set what it describes" }, { "where": "summary.json disclosures.postFinalCorrections[12].changes[0].new", "path": "disclosures.postFinalCorrections[12].changes[0].new", "old": "the promotion gate we fixed after validation", "new": "the promotion gate we set after validation" }, { "where": "summary.json disclosures.postFinalCorrections[12].changes[1].new", "path": "disclosures.postFinalCorrections[12].changes[1].new", "old": "the promotion gate we fixed after validation", "new": "the promotion gate we set after validation" }, { "where": "summary.json disclosures.postFinalCorrections[12].changes[9].new", "path": "disclosures.postFinalCorrections[12].changes[9].new", "old": "amendments A1–A6 fixed before it", "new": "amendments A1–A6 set before it" }, { "where": "summary.json disclosures.postFinalCorrections[12].changes[10].new", "path": "disclosures.postFinalCorrections[12].changes[10].new", "old": "the record of what was fixed before FINAL", "new": "the record of what was set before FINAL" }, { "where": "summary.json disclosures.postFinalCorrections[12].changes[11].new", "path": "disclosures.postFinalCorrections[12].changes[11].new", "old": "which amendment A5 fixed after VAL.", "new": "which amendment A5 set after VAL." }, { "where": "summary.json disclosures.postFinalCorrections[14].newValue", "path": "disclosures.postFinalCorrections[14].newValue", "old": "a reading fixed before FINAL", "new": "a reading set before FINAL" }, { "where": "methodology.md §1, the Profit factor bullet", "path": null, "old": "are below the gate's 1.2, which amendment A5 fixed after VAL.", "new": "are below the gate's 1.2, which amendment A5 set after VAL." }, { "where": "methodology.md §9, the disclosures extension", "path": null, "old": "the FINAL runner, readings fixed before FINAL, TradingView metadata", "new": "the FINAL runner, readings set before FINAL, TradingView metadata" }, { "where": "methodology.md §12, the labels of the readings before FINAL (4)", "path": null, "old": "\n- Reading fixed before FINAL: ", "new": "\n- Reading set before FINAL: " }, { "where": "methodology.md §15, the heading of PFC-13's bullet", "path": null, "old": "- **When the gate was fixed (PFC-13).**", "new": "- **When the gate was set (PFC-13).**" } ] } ] } }