CCI(20) on XAUUSD 1-hour bars (spec cci_spec.md). Run 2026-11-08T12:52:45.199Z; 500 control runs per variant. Results in R (1.5 x ATR14 of the 1-hour bars at the signal bar). data: 7067434 one-minute bars, 2004-06-11 00:19 .. 2026-10-07 16:57 New York (minute close stamps) 1-hour bars: 129857; positions from bar 500 (2004-07-14 23:00) === CCI-BRK-LS: 1-hour bars, long above +100, short below -100 (Lambert) === DEV n= 4534 net -392.84 R avg -0.087 R PF 0.81 t -4.59 VAL n= 3684 net -55.75 R avg -0.015 R PF 0.96 t -0.72 HOLDOUT n= 3682 net -10.69 R avg -0.003 R PF 0.99 t -0.15 ALL n=11900 net -459.28 R avg -0.039 R (gross 0.032 R, cost 0.071 R a trade); $ per ounce -1358.69; PF 0.91 t -3.37 win rate 3735/11900 = 31.4% (95% Wilson 30.6-32.2%); ended by {"exit":11704,"reversal":196}; hours held median 3.07 max 100.00; time in the market 41.2% the 10 best trades 106.02 R; net without the 10 best -565.31 R, without the 20 best -649.00 R worst open loss: -9.09 R; trades that were 3 R or more against the position at some point: 98 longs n=6111 net -46.67 R gross 389.58 R | shorts n=5789 net -412.61 R gross -8.73 R made across market closures of 36 h or more (weekends, holidays): 31.84 R (327.52 $ per ounce) of a gross 380.85 R drawdown on closed trades -495.77 R; including open losses -496.17 R; financing: scenario A (3% a year) net -532.17 R, scenario B (today's swap) net -554.42 R by year (n, net R): 2004 241 -43.95 | 2005 508 -92.37 | 2006 515 4.33 | 2007 529 -36.48 | 2008 556 -31.00 | 2009 569 -60.78 | 2010 515 -75.31 | 2011 541 -31.02 | 2012 560 -26.27 | 2013 505 44.84 | 2014 516 1.84 | 2015 521 -31.19 | 2016 545 -23.78 | 2017 533 1.65 | 2018 530 -19.38 | 2019 534 -29.73 | 2020 552 -6.43 | 2021 542 -26.76 | 2022 523 9.27 | 2023 523 3.22 | 2024 560 -8.76 | 2025 560 -6.66 | 2026 422 25.42 control (position series shifted in time, 500 runs, 9 s): mean trades 11900.25, median avg -0.069 R, 5-95% -0.084 .. -0.053 R; real avg -0.039 R at percentile 99.80 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.96 [PASS] 2 >= 50 trades in each period: 4534 / 3684 / 3682 [FAIL] 3 t >= 2.5 on development: DEV t -4.59 [PASS] 4 above 95th pct of the control: percentile 99.80 [FAIL] 5 positive without top-10 trades: -565.31 R [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -10.69 R PF 0.99 VERDICT Buried (2/6 gates) rule 3: 822 trades are open across a suspect or unclear gap; without them avg -0.093 R, gates passed 1/6 -> Buried (verdict unchanged) === CCI-BRK-L: 1-hour bars, long above +100 only === DEV n= 2395 net -112.35 R avg -0.047 R PF 0.89 t -1.89 VAL n= 1792 net 1.66 R avg 0.001 R PF 1.00 t 0.03 HOLDOUT n= 1924 net 64.02 R avg 0.033 R PF 1.09 t 1.20 ALL n=6111 net -46.67 R avg -0.008 R (gross 0.064 R, cost 0.071 R a trade); $ per ounce 548.13; PF 0.98 t -0.49 win rate 2017/6111 = 33.0% (95% Wilson 31.8-34.2%); ended by {"exit":6111}; hours held median 4.00 max 100.00; time in the market 22.7% the 10 best trades 82.38 R; net without the 10 best -129.05 R, without the 20 best -190.56 R worst open loss: -6.57 R; trades that were 3 R or more against the position at some point: 43 longs n=6111 net -46.67 R gross 389.58 R | shorts n=0 net 0.00 R gross 0.00 R made across market closures of 36 h or more (weekends, holidays): 42.08 R (225.61 $ per ounce) of a gross 389.58 R drawdown on closed trades -139.04 R; including open losses -139.37 R; financing: scenario A (3% a year) net -87.17 R, scenario B (today's swap) net -280.97 R by year (n, net R): 2004 133 -37.46 | 2005 276 -39.96 | 2006 263 25.41 | 2007 275 13.70 | 2008 276 11.61 | 2009 298 -10.27 | 2010 274 -31.58 | 2011 309 -21.11 | 2012 291 -22.70 | 2013 231 0.48 | 2014 248 -17.11 | 2015 224 -0.19 | 2016 273 -5.69 | 2017 266 34.23 | 2018 257 -2.79 | 2019 293 -7.26 | 2020 295 17.61 | 2021 270 -16.24 | 2022 248 6.96 | 2023 253 14.54 | 2024 327 1.54 | 2025 325 28.95 | 2026 206 10.67 control (position series shifted in time, 500 runs, 5 s): mean trades 6111.14, median avg -0.046 R, 5-95% -0.066 .. -0.024 R; real avg -0.008 R at percentile 100.00 [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.00 [PASS] 2 >= 50 trades in each period: 2395 / 1792 / 1924 [FAIL] 3 t >= 2.5 on development: DEV t -1.89 [PASS] 4 above 95th pct of the control: percentile 100.00 [FAIL] 5 positive without top-10 trades: -129.05 R [PASS] 6 holdout net positive (flagged used): HOLDOUT net 64.02 R PF 1.09 VERDICT Buried (3/6 gates) rule 3: 465 trades are open across a suspect or unclear gap; without them avg -0.066 R, gates passed 2/6 -> Buried (verdict unchanged) === CCI-REV-LS: 1-hour bars, back inside +-100, out at zero or a new extreme === DEV n= 4532 net -729.21 R avg -0.161 R PF 0.64 t -11.87 VAL n= 3681 net -323.57 R avg -0.088 R PF 0.77 t -5.94 HOLDOUT n= 3681 net -273.33 R avg -0.074 R PF 0.81 t -5.09 ALL n=11894 net -1326.10 R avg -0.111 R (gross -0.043 R, cost 0.068 R a trade); $ per ounce -7149.04; PF 0.73 t -13.51 win rate 5616/11894 = 47.2% (95% Wilson 46.3-48.1%); ended by {"exit":11866,"reversal":27,"end of data":1}; hours held median 3.00 max 111.60; time in the market 37.6% the 10 best trades 48.63 R; net without the 10 best -1374.73 R, without the 20 best -1412.81 R worst open loss: -20.32 R; trades that were 3 R or more against the position at some point: 97 longs n=5785 net -532.61 R gross -146.63 R | shorts n=6109 net -793.49 R gross -368.24 R made across market closures of 36 h or more (weekends, holidays): -17.66 R (-10.26 $ per ounce) of a gross -514.87 R drawdown on closed trades -1327.83 R; including open losses -1328.32 R; financing: scenario A (3% a year) net -1388.04 R, scenario B (today's swap) net -1360.97 R by year (n, net R): 2004 240 -57.89 | 2005 508 -144.09 | 2006 514 -57.22 | 2007 528 -80.20 | 2008 556 -98.98 | 2009 570 -97.46 | 2010 515 -34.81 | 2011 541 -75.24 | 2012 560 -83.32 | 2013 503 -56.37 | 2014 515 -58.64 | 2015 522 -47.86 | 2016 544 -33.28 | 2017 533 -53.89 | 2018 530 -23.10 | 2019 534 -50.44 | 2020 552 -71.40 | 2021 541 -37.97 | 2022 523 -22.24 | 2023 523 -9.90 | 2024 559 -48.00 | 2025 561 -54.35 | 2026 422 -29.48 control (position series shifted in time, 500 runs, 8 s): mean trades 11894.16, median avg -0.071 R, 5-95% -0.086 .. -0.054 R; real avg -0.111 R at percentile 0.00 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.77 [PASS] 2 >= 50 trades in each period: 4532 / 3681 / 3681 [FAIL] 3 t >= 2.5 on development: DEV t -11.87 [FAIL] 4 above 95th pct of the control: percentile 0.00 [FAIL] 5 positive without top-10 trades: -1374.73 R [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -273.33 R PF 0.81 VERDICT Buried (1/6 gates) rule 3: 967 trades are open across a suspect or unclear gap; without them avg -0.106 R, gates passed 1/6 -> Buried (verdict unchanged) === CCI-ZERO-LS: 1-hour bars, the side of the zero line, always in the market === DEV n= 4644 net -182.28 R avg -0.039 R PF 0.93 t -1.52 VAL n= 3950 net -0.03 R avg -0.000 R PF 1.00 t -0.00 HOLDOUT n= 3823 net 44.64 R avg 0.012 R PF 1.02 t 0.42 ALL n=12417 net -137.68 R avg -0.011 R (gross 0.060 R, cost 0.071 R a trade); $ per ounce 387.47; PF 0.98 t -0.69 win rate 3239/12417 = 26.1% (95% Wilson 25.3-26.9%); ended by {"reversal":12416,"end of data":1}; hours held median 6.00 max 287.00; time in the market 100.0% the 10 best trades 204.47 R; net without the 10 best -342.14 R, without the 20 best -468.15 R worst open loss: -14.00 R; trades that were 3 R or more against the position at some point: 184 longs n=6208 net 277.59 R gross 715.60 R | shorts n=6209 net -415.27 R gross 27.52 R made across market closures of 36 h or more (weekends, holidays): 48.76 R (193.02 $ per ounce) of a gross 743.11 R drawdown on closed trades -260.69 R; including open losses -261.21 R; financing: scenario A (3% a year) net -315.68 R, scenario B (today's swap) net -345.39 R by year (n, net R): 2004 236 -40.64 | 2005 520 -54.60 | 2006 502 38.77 | 2007 561 -17.96 | 2008 572 16.24 | 2009 544 -20.76 | 2010 572 -98.26 | 2011 566 -38.55 | 2012 571 33.49 | 2013 558 91.66 | 2014 631 14.49 | 2015 550 -29.53 | 2016 568 -6.22 | 2017 503 10.30 | 2018 586 -59.74 | 2019 554 -20.99 | 2020 550 62.05 | 2021 588 -51.84 | 2022 550 -2.72 | 2023 595 -48.43 | 2024 573 -0.36 | 2025 559 42.60 | 2026 408 43.35 control (position series shifted in time, 500 runs, 9 s): mean trades 12416.83, median avg -0.068 R, 5-95% -0.095 .. -0.043 R; real avg -0.011 R at percentile 100.00 [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.00 [PASS] 2 >= 50 trades in each period: 4644 / 3950 / 3823 [FAIL] 3 t >= 2.5 on development: DEV t -1.52 [PASS] 4 above 95th pct of the control: percentile 100.00 [FAIL] 5 positive without top-10 trades: -342.14 R [PASS] 6 holdout net positive (flagged used): HOLDOUT net 44.64 R PF 1.02 VERDICT Buried (3/6 gates) rule 3: 1585 trades are open across a suspect or unclear gap; without them avg -0.156 R, gates passed 1/6 -> Buried (verdict unchanged) buy and hold over the same data, for reference: 384 -> 4109.91