9 EMA strategies on NQ futures (spec e9_spec.md). Run 2026-10-14T11:44:24.267Z; 500 control runs per variant. Results in dollars per contract after $15.76 a round trip. data: 2373779 one-minute bars, 1735 New York sessions, 2020-01-02 .. 2026-09-25 === E9-VWAP-M5 === DEV n= 6228 net -53,417 $ avg -8.58 $ PF 0.96 t -1.00 VAL n= 1955 net -42,063 $ avg -21.52 $ PF 0.91 t -1.17 HOLDOUT n= 2263 net -54,533 $ avg -24.10 $ PF 0.92 t -0.94 ALL n=10446 on 1735 sessions (6.02 a session); net -150,013 $ avg -14.36 $ (gross 1.40 $, cost 15.76 $ a trade); gross total 14,616 $; PF 0.94 t -1.73 win rate 2821/10446 = 27.0% (95% Wilson 26.2-27.9%); ended by {"ema exit":6843,"session close":607,"stop":2996}; minutes held median 11; the 10 best trades 122,892 $ longs n=5753 net -38,007 gross 52,661 | shorts n=4693 net -112,007 gross -38,045; drawdown on closed trades -170,233 $ by year (n, net $, gross $): 2020 1538 -11,756 12,483 | 2021 1582 -36,507 -11,574 | 2022 1572 19,319 44,094 | 2023 1536 -24,473 -266 | 2024 1592 -19,978 5,112 | 2025 1553 -52,598 -28,122 | 2026 1073 -24,021 -7,111 by entry hour New York (n, net $): 9h 442 -24,123 | 10h 2108 -30,369 | 11h 1702 -62,464 | 12h 1626 22,204 | 13h 1483 -17,017 | 14h 1499 -44,976 | 15h 1586 6,731 control (entries moved to other sessions, 500 runs, 5 s): mean trades 9047.42, median avg -13.97 $, 5-95% -23.33 .. -2.59 $; real avg -14.36 $ at percentile 48.60 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.91 [PASS] 2 >= 50 trades in each period: 6228 / 1955 / 2263 [FAIL] 3 t >= 2.0 on development: DEV t -1.00 [FAIL] 4 above 95th pct of the control: percentile 48.60 [FAIL] 5 positive without top-10 trades: -272,906 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -54,533 $ PF 0.92 VERDICT Buried (1/6 gates) rule 3: 1 trades are open across a known hole; without them avg -14.33 $, gates passed 1/6 -> Buried (verdict unchanged) === E9-VWAP-M15 === DEV n= 2353 net 40,255 $ avg 17.11 $ PF 1.06 t 0.80 VAL n= 729 net -37,435 $ avg -51.35 $ PF 0.86 t -1.16 HOLDOUT n= 862 net -92,892 $ avg -107.76 $ PF 0.77 t -2.17 ALL n=3944 on 1626 sessions (2.27 a session); net -90,072 $ avg -22.84 $ (gross -7.08 $, cost 15.76 $ a trade); gross total -27,915 $; PF 0.93 t -1.22 win rate 1039/3944 = 26.3% (95% Wilson 25.0-27.7%); ended by {"ema exit":1478,"stop":1748,"session close":718}; minutes held median 29; the 10 best trades 100,562 $ longs n=2144 net -22,673 gross 11,117 | shorts n=1800 net -67,400 gross -39,032; drawdown on closed trades -175,934 $ by year (n, net $, gross $): 2020 568 20,911 29,863 | 2021 617 3,631 13,355 | 2022 567 36,913 45,849 | 2023 601 -21,200 -11,728 | 2024 591 -26,506 -17,191 | 2025 579 -58,030 -48,905 | 2026 421 -45,792 -39,157 by entry hour New York (n, net $): 10h 644 -25,933 | 11h 638 -66,407 | 12h 731 -19,286 | 13h 676 26,602 | 14h 623 -18,284 | 15h 632 13,235 control (entries moved to other sessions, 500 runs, 2 s): mean trades 3398.50, median avg -5.91 $, 5-95% -34.34 .. 17.44 $; real avg -22.84 $ at percentile 13.80 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.86 [PASS] 2 >= 50 trades in each period: 2353 / 729 / 862 [FAIL] 3 t >= 2.0 on development: DEV t 0.80 [FAIL] 4 above 95th pct of the control: percentile 13.80 [FAIL] 5 positive without top-10 trades: -190,635 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -92,892 $ PF 0.77 VERDICT Buried (1/6 gates) rule 3: 0 trades are open across a known hole; without them avg -22.84 $, gates passed 1/6 -> Buried (verdict unchanged) === E9-X20-M5 === DEV n= 3193 net 82,502 $ avg 25.84 $ PF 1.08 t 1.28 VAL n= 1003 net -47,784 $ avg -47.64 $ PF 0.87 t -1.27 HOLDOUT n= 1163 net -21,697 $ avg -18.66 $ PF 0.96 t -0.33 ALL n=5359 on 1596 sessions (3.09 a session); net 13,021 $ avg 2.43 $ (gross 18.19 $, cost 15.76 $ a trade); gross total 97,479 $; PF 1.01 t 0.13 win rate 1260/5359 = 23.5% (95% Wilson 22.4-24.7%); ended by {"session close":953,"cross":691,"stop":3715}; minutes held median 19; the 10 best trades 138,127 $ longs n=2674 net 23,576 gross 65,719 | shorts n=2685 net -10,555 gross 31,760; drawdown on closed trades -106,535 $ by year (n, net $, gross $): 2020 796 -7,727 4,818 | 2021 843 720 14,005 | 2022 770 85,748 97,883 | 2023 784 3,762 16,117 | 2024 814 -40,151 -27,322 | 2025 775 -24,003 -11,789 | 2026 577 -5,327 3,766 by entry hour New York (n, net $): 9h 365 -545 | 10h 666 -19,696 | 11h 736 -30,052 | 12h 825 54,080 | 13h 842 53,778 | 14h 903 -55,487 | 15h 1022 10,944 control (entries moved to other sessions, 500 runs, 3 s): mean trades 3682.65, median avg -3.07 $, 5-95% -31.07 .. 26.12 $; real avg 2.43 $ at percentile 64.00 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.87 [PASS] 2 >= 50 trades in each period: 3193 / 1003 / 1163 [FAIL] 3 t >= 2.0 on development: DEV t 1.28 [FAIL] 4 above 95th pct of the control: percentile 64.00 [FAIL] 5 positive without top-10 trades: -125,106 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -21,697 $ PF 0.96 VERDICT Buried (1/6 gates) rule 3: 2 trades are open across a known hole; without them avg 2.27 $, gates passed 1/6 -> Buried (verdict unchanged)