docs(experiments): three rules, 24 assets, zero free parameters — the viable intersection is empty

[eaitbrahim]

Closes #251.

Measures every signal rule the codebase ships at its shipped constructor defaults, across the
whole 24-asset hourly corpus, at three fee levels. 270 backtests, 0 errors. Documentation only
— no code, no config, no rule status, no version bump.

Verdict

There is no asset-rule combination that clears the promotion trade floor with an edge surviving
even the cheapest fee we can reach — and the three rules fail for three unrelated reasons.

rule	n≥100	∧ gross>1	∧ net@0.6%>1	∧ net@1.2%>1	the lever
turtle_breakout	21/24	7	1 (ZEC)	0	cost
pullback_continuation	4/24	1	0	0	signal
rsi_meanrev	0/24	—	—	0	sample size
total	25/72	8	1	0

The single survivor, ZEC-turtle, is then eliminated by a temporal decomposition: three
consecutive losing years (2022–24) with 92.7% of lifetime PnL compressed into 2025–26.

Two earlier conclusions this supersedes

1. rsi_meanrev does not lack gross edge. #248 recorded that it "has no gross edge at all" on
the strength of BTC at 0.775. Across all 24 assets it has the best gross distribution of the
three rules — median gross PF 1.1631, against turtle's 0.9892 and pullback's 0.9292 over
the same universe. BTC sits near the bottom of its distribution. The rule does not lose; it is
not observable — 0 of 24 assets reach n≥100, median n=38. #248's figures came from widened
parameters (oversold 25–35), not defaults, so both documents are right about what they measured;
the error was generalising from one asset.

2. The 864-trial sweep winner is not overfit. #248 framed it as selection. Arm B evaluates that
config on the 18 assets it was never scored on: in-sample mean net PF 0.6335 → out-of-sample
0.6346, gross 1.5317. A clean three-decimal replication across disjoint assets. That is a
harder result than overfitting — overfitting has a methodology fix; a stable measurement of 0.63
does not.

pullback_continuation, measured for the first time

In RULE_REGISTRY since it was written, never backtested. Median gross 0.929, and a fee
collapse qualitatively unlike turtle's — PAXG-USDT 1.097 → 0.001 at maker. The cause is in
the win rates: 52–75% wins at PF≈1.0 is measured_1to1 taking small wins against small losses, so
a 1.2% round trip does not reduce the edge, it erases it. High win rate is the symptom of maximal
fee fragility here, not a strength.

Why the temporal probe is reported and never gated

Three reasons in §6, the third decisive: ZEC under pullback_continuation is the only
combination in the study with no losing complete year (1.06/1.17/1.16/1.13) — at gross PF
0.875. Perfectly stationary at losing slightly, reliably. A stationarity gate would wave it
through while rejecting ZEC-turtle, which at least made money gross. The probe is also
underpowered (passes zero-edge strategies ~50% of the time at four buckets) and fragile to bucket
boundaries (excluding partial 2021/2026 flips the verdict for 4 of 21 assets, including FET).

The principled instrument already exists and is now live: #247 wired g4_pbo_gate into
can_promote, where pbo=None blocks. It is deployed and nothing feeds it. Building a weaker
annual-bucket heuristic beside an unfed rigorous one is the wrong order of work.

Honesty notes recorded in the document rather than omitted

• The pre-registration lived in the dispatch brief, not the script docstring — weaker than
  every other harness here. The script now says so at the top instead of presenting the
  reconstruction as though it had always been there.
• The tail and regime probes were written after seeing Arm A. Post-hoc by construction, which
  is exactly why they are diagnostics.
• Four failed runs preceded the successful one, caused by piping into tail (buffers until EOF,
  then dies with the shell) and by pkill -f not reaping multiprocessing children. Both produced
  confident status reports that were false. §7.
• 27 combinations ran on 0.6.1 and the rest on 0.7.0 after fix(strategy): price fills at the taker rate, and wire the dormant PBO gate into promotion #247 deployed mid-run. Version
  independence was checked, not assumed: BTC-USD reproduces to six decimal places across the
  boundary.

What this leaves open

One lead, and it is cheap: does rsi_meanrev's gross edge survive being made to fire more
often? #248's 108-cell diagnostic widened the thresholds and found no net-viable cell, but never
asked whether widening preserved the gross edge or simply bought trades by accepting worse
setups. Different findings, different consequences, and the data separating them was never
computed.

A limit-order queue simulator has no target: its measured prize was one asset with ~8bp of headroom
below maker, and §6 removes that asset.

Ledger

Two rows — Arm A (a_priori) and Arm B (fitted, since the params were selected even though this
evaluation selects nothing further). Both diagnostic_only, both series_missing: true so the
CSCV matrix refuses them. verify_chain clean at 82 rows.

🤖 Generated with Claude Code