Sample · abbreviated deliverable

H001 — evidence summary

Pre-registered daily BTC/USDT trend hypothesis (Donchian + ATR trail, long-only, EMA filter). Full experiment report on disk: H001_20260810T082405Z (research lab, Aug 2026).

Evidence verdict: insufficient for live capital

Context (locked before OOS)

Symbol / TF	BTC/USDT · 1d · Binance spot (public OHLCV)
Cost model	10 bps fee + 5 bps slippage per side (pre-registered)
Walk-forward	730 train / 180 test bars, step 180
Null test	100 permutations, pass if OOS PnL > 95th percentile of null
Min OOS trades gate	≥ 15 (pre-registered)

OOS combined (from report)

Trades	13
Expectancy / trade	8.76 (currency units on 1,000 start)
Total OOS PnL	113.92
Win rate	46.15%
Profit factor	2.48
Max DD (trade equity path)	−1.95%

Raw OOS metrics can look acceptable. Gates still failed — see below.

Gate results

oos_expectancy_gt_0	PASS
oos_total_pnl_gt_0	PASS
null_test_pass	FAIL — observed 113.9 < threshold 455.5; null mean 148.8
sample_adequate	FAIL — 13 trades < 15 required

Five primary evidence risks (example format)

Null test failure: OOS PnL is not distinguishable from shuffled-return null at the pre-registered bar — path/luck not ruled out.
Under-powered OOS sample: 13 trades vs 15 minimum; fold 7 had zero trades.
Fold instability: fold_1 negative expectancy (−6.51/trade) while other folds positive — fragile period dependence.
Interpretation risk: headline OOS PnL invites live deployment without null/sample gates.
Execution gap: daily spot backtest ≠ guaranteed fills/slippage in live; not modeled beyond fixed bps.

Recommended next experiment (scope only)

Do not tune H001 parameters on this OOS. Either archive hypothesis or open a new ID with pre-registered changes. If continuing trend family: lengthen history requirement or tighten null test before any paper trading — still no live capital until all gates pass.

This page is a marketing sample, not a client deliverable. Numbers are copied from the archived experiment report only. No performance promise is made for any strategy.

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