SYNTHETIC DATA · READ-ONLY BACKTEST · NOT_CAPITAL_READY — research evidence only. This run executed no order and moved no capital. SigmaX proposes; humans authorize. No capital authority, no allocation recommendation.
Rejected
The claim did not survive testing. Preserved as evidence, not promoted.
Provenance on this page is DERIVED, not taken from what the record says about itself: the declared data mode is checked against the dataset fingerprint the run hashed, and a self-declared trusted / review_ready is shown as a claim because nothing on this public surface verified it. data_mode "SYNTHETIC" is corroborated by a SYNTHETIC data_fingerprint => shown as declared
Rationale · Walk-forward FAILED for "Momentum survives fee stress (synthetic walk-forward)": OOS Sharpe -4.141484955316008 (return -0.13340316379658704), degradation 1.3174035831994368. In-sample 13.048009457138841/validation 9.350184661439368 did not survive out-of-sample. Supporting receipts (mechanism, regime, fee, safety) are preserved, but the headline claim is rejected.
What this run is trying to prove
Establish, on a fair and pre-registered basis, whether "A fee-aware MA-crossover momentum genome, selected on validation and evaluated out-of-sample, retains positive risk-adjusted return under 2x/5x fee stress across synthetic regimes." survives real-market out-of-sample testing net of fees and across regimes — and is therefore worth advancing toward human review.
Why it matters · Capital is never authorized by the Foundry (capital_authority="none"). The objective exists to separate a genuine, durable strategy edge from an in-sample artifact BEFORE any operator review, so that only trusted evidence — never an unsupported performance claim — reaches the decision record.
- real-market (non-synthetic) data over a strictly held-out OOS window
- walk-forward OOS edge that is positive after fees across a majority of folds
- evidence the edge is not concentrated in a single regime (regime replication)
- fee/slippage resilience: net-of-cost edge survives realistic execution assumptions
- forward shadow persistence on inert/paper data, unseen at fit/validation/OOS
- synthetic-only evidence (synthetic data can never be capital_ready or review-ready)
- in-sample / validation-only support with no out-of-sample test
- failed real-data out-of-sample (OOS Sharpe <= 0 after fees) => rejected or research_only
- missing fee or regime evidence (incomplete => proof_gap, not proven)
- single-fold dependence or look-ahead/leakage in the evaluation
- a negative control that reproduces the 'edge' (the result is an artifact)
- forward decay: an OOS edge that does not persist in shadow testing
Best evidence for
The strongest fair case in favour of the claim. None of it is proof on its own — each item carries its limitations, and any in-sample / validation number is shown as supports early pattern — not OOS proof.
Proposed mechanism for "A fee-aware MA-crossover momentum genome, selected on validation and evaluated out-of-sample, retains positive risk-adjusted return under 2x/5x fee stress across synthetic regimes." is structurally plausible (non-degenerate parameterization).
claim_type=strategy_edge · strategy_degenerate=false · genome_fast=39 · genome_slow=138 · genome_thresh=0
- plausible mechanism only — not yet causally verified
- parameterization could still be an overfit artifact
- synthetic data only — not real-market, never trusted proof
Strong in-sample fit (Sharpe 13.05). Preserved as supporting evidence — in-sample only, not trusted proof.
supports early pattern — not OOS proof
in_sample_sharpe=13.048
- in-sample only — overfit-prone, never trusted proof
- no held-out generalization established by this receipt
- synthetic data only — not real-market, never trusted proof
Survives validation (Sharpe 9.35). Preserved as supporting evidence — validation only, not trusted proof.
supports early pattern — not OOS proof
validation_sharpe=9.3502 · degradation_in_to_validation=3.6978
- validation only — tuned-window result, never trusted proof
- validation window may share regime structure with the fit window
- synthetic data only — not real-market, never trusted proof
Result is fee-resilient (not fee-fragile): OOS return stable from -13.34% (1x) to -13.98% (5x fees).
base_oos_return=-0.1334 · x2_oos_return=-0.135 · x5_oos_return=-0.1398 · fee_fragile=false
- fee robustness measured on summary OOS return only
- base OOS return is non-positive — fee-resilience does not rescue an unprofitable result
- synthetic data only — not real-market, never trusted proof
Safety gates held: can_go_live=false, live_broker_inert=true — no live-capital pathway was reachable for this run.
can_go_live=false · live_broker_inert=true · promoted_live=false · capital_mode=none · capital_authority=none · missing_live_keys_count=3
- safety gate proves the kill-switch held, NOT that the strategy has edge
- live broker remains inert (missing keys: AETHERFORGE_BROKER_API_KEY, AETHERFORGE_BROKER_API_SECRET, AETHERFORGE_EXCHANGE_API_KEY)
- synthetic data only — not real-market, never trusted proof
Best evidence against
The strongest case against the claim. These receipts are preserved and shown even when the headline verdict already reflects them — disconfirming evidence is never buried.
FAILS held-out walk-forward OOS (Sharpe -4.14, return -13.34%): the edge does not survive out-of-sample.
oos_sharpe=-4.1415 · oos_return=-0.1334 · oos_max_drawdown=-0.7841 · positive_fold_frac=0.8 · degradation=1.3174 · n_folds=5 · passed=false
- rejection is dataset-specific — a different feature/horizon may still hold
- in-sample/validation strength is an overfit signature, not a usable edge
- synthetic data only — not real-market, never trusted proof
Regime classifier over-calls (dominant label "trend_down" at 31.7%, accuracy 68.1%); regime context is a limitation, not yet load-bearing.
accuracy=0.681 · crisis_recall=0.8 · dominant_label=trend_down · dominant_frac=0.317 · n_regimes=5
- regime classifier over-concentrates / under-accurate — context unreliable
- regime-conditional claims cannot lean on this calibration yet
- synthetic data only — not real-market, never trusted proof
Proof gaps
What is still missing before this claim could be trusted. Each gap is a reason it is NOT_CAPITAL_READY.
PROOF GAP: no real-market out-of-sample evidence exists — this run is synthetic. Real-data replication is required before any trust.
data_mode=SYNTHETIC · has_real_oos=false · oos_passed=false · run_limitations_count=5
- no real-market data has been observed — synthetic results are not transferable
- this gap blocks any trusted / review-ready / capital-ready status until closed
- synthetic data only — not real-market, never trusted proof
Next admissible test
walk_forward on REAL shadow data with regime-calibrated folds (data_replication)
Fastest path to evidence · Source REAL-market data for the traded asset(s) and re-run the walk-forward with regime-calibrated folds. The synthetic result — pass or fail — is not trusted proof; promoting the claim to real data is the single highest-leverage step and everything downstream depends on it.
- Synthetic non-transfer: an edge that exists in synthetic regimes vanishes on real-market data.
- Overfit collapse: strong in-sample/validation Sharpe that degrades to <= 0 out-of-sample.
- Single-fold dependence: the OOS result is carried by one lucky fold and is not broad.
- Fee fragility: a gross edge that turns negative once realistic fees and slippage are applied.
- Regime concentration: the edge exists only in the dominant regime and does not generalize.
- Look-ahead / leakage: the signal uses information not available at decision time.
- Artifact mechanism: a negative control reproduces the 'edge', revealing it as a measurement artifact.
- Forward decay: an OOS-validated edge that fails to persist in forward shadow testing.
Run limitations
- Synthetic data only — no real-market ingestion (real ingestion is on HOLD).
- SHADOW posture: no live orders, no exchange/broker connection, no capital moved.
- Walk-forward OOS is on synthetic regimes; results are illustrative, not an alpha claim.
- Single random seed; not yet replicated across independent synthetic draws.
- NOT capital-ready: a synthetic run can never be promoted to live.
Decision record
Research Decision Record
- Run:
real_synthetic_001 - Claim:
claim_momentum_fees - Decision: Do not promote strategy.
- Verdict:
rejected - Capital ready: NO
- Labels:
SYNTHETICNOT_CAPITAL_READYNOT_TRUSTEDREJECTED - Reviewed by:
operator_pending - Created at: 2026-06-10T00:05:00Z
Reason
Evidence is SYNTHETIC; synthetic data can never be capital-ready or review-ready. Walk-forward out-of-sample FAILED (oossharpe=-4.141484955316008, oosreturn=-0.13340316379658704); in-sample/validation-only is never trusted proof. Live trading is disabled (cangolive=false); the kill-switch held — a supporting safety receipt, not a promotion path. Fee stress was non-fragile (supporting receipt preserved) but cannot rescue a negative-OOS result.
The Proof Foundry proposes; the operator disposes. This record carries no capital authority and makes no unsupported alpha claim.
SigmaX proposes; humans authorize. This record carries no capital authority and makes no allocation recommendation.
This dossier is research evidence only. Every figure above is paired with its limitations and its in-sample / out-of-sample framing — no allocation recommendation is made. Data mode: SYNTHETIC. Archived record — recorded 93 days ago, not a current observation. Capital authority: none.