Fibonacci Golden Zone scalping on ES futures (spec fo_spec.md). Run 2026-10-14T13:01:56.419Z; 500 control runs per variant. Results in dollars per contract after $30.76 a round trip.
data: 2378027 one-minute bars, 1737 New York sessions (1736 with an opening range), 2020-01-02 .. 2026-09-25

=== FO-1M-LIM ===
  DEV      n= 1098 net -54,434 $  avg -49.58 $  PF 0.70 t -4.42
  VAL      n=  347 net -17,344 $  avg -49.98 $  PF 0.67 t -2.85
  HOLDOUT  n=  426 net -35,242 $  avg -82.73 $  PF 0.62 t -3.52
  ALL      n=1871 on 1391 sessions; net -107,020 $ avg -57.20 $ (gross -26.44 $, cost 30.76 $ a trade); gross total -49,468 $; PF 0.67 t -6.29
  win rate 361/1871 = 19.3% (95% Wilson 17.6-21.1%); average winner 605 $, loser -216 $; average net R -0.39; ended by {"stop":1509,"target":358,"session close":4}; minutes held median 4; the 10 best trades 23,873 $
  setups 2610, ended as {"filled":1871,"expired":739}; median push 16.75 pts, median stop 3.06 pts (cost = 20% of it), median target 10.35 pts
  longs n=899 net -42,278 gross -14,625 | shorts n=972 net -64,741 gross -34,843; drawdown on closed trades -107,020 $
  by year (n, net $, gross $): 2020 283 -20,061 -11,356 | 2021 242 -4,900 2,544 | 2022 287 -17,096 -8,268 | 2023 286 -12,376 -3,579 | 2024 284 -15,617 -6,881 | 2025 274 -15,483 -7,055 | 2026 215 -21,486 -14,873
  by entry time New York (n, net $): 09:30 964 -56,763 | 10:00 563 -35,529 | 10:30 221 -4,953 | 11:00 123 -9,774
  by push size in points (n, net $, gross $, win %): under 5: 31 -1,614 -660 16% | 5 to 10: 290 -11,435 -2,515 22% | 10 to 20: 819 -46,348 -21,156 18% | 20 or more: 731 -47,623 -25,137 20%
  control (entries moved to other sessions, 500 runs, 1 s): mean trades 1809.22, median avg -27.58 $, 5-95% -42.90 .. -14.18 $; real avg -57.20 $ at percentile 0.00
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.67
  [PASS] 2 >= 50 trades in each period: 1098 / 347 / 426
  [FAIL] 3 t >= 2.5 on development: DEV t -4.42
  [FAIL] 4 above 95th pct of the control: percentile 0.00
  [FAIL] 5 positive without top-10 trades: -130,893 $
  [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -35,242 $ PF 0.62
  VERDICT Buried (1/6 gates)
  rule 3: 0 trades are open across a known hole; without them avg -57.20 $, gates passed 1/6 -> Buried (verdict unchanged)

=== FO-5M-CONF ===
  DEV      n=  408 net -538 $  avg -1.32 $  PF 1.00 t -0.03
  VAL      n=  119 net -2,056 $  avg -17.27 $  PF 0.94 t -0.29
  HOLDOUT  n=  153 net -30,505 $  avg -199.38 $  PF 0.61 t -2.49
  ALL      n=680 on 657 sessions; net -33,099 $ avg -48.68 $ (gross -17.92 $, cost 30.76 $ a trade); gross total -12,182 $; PF 0.86 t -1.56
  win rate 370/680 = 54.4% (95% Wilson 50.7-58.1%); average winner 553 $, loser -767 $; average net R -0.06; ended by {"stop":279,"target":344,"session close":57}; minutes held median 44; the 10 best trades 22,248 $
  setups 2427, ended as {"filled":680,"expired":786,"broken":961}; median push 20.50 pts, median stop 13.75 pts (cost = 4% of it), median target 11.57 pts
  longs n=326 net -8,445 gross 1,583 | shorts n=354 net -24,654 gross -13,765; drawdown on closed trades -36,226 $
  by year (n, net $, gross $): 2020 103 -9,084 -5,916 | 2021 97 409 3,393 | 2022 103 7,476 10,644 | 2023 105 661 3,890 | 2024 96 -7,800 -4,847 | 2025 96 -12,415 -9,463 | 2026 80 -12,345 -9,884
  by entry time New York (n, net $): 09:30 151 889 | 10:00 256 -4,022 | 10:30 159 -23,261 | 11:00 114 -6,706
  by push size in points (n, net $, gross $, win %): under 5: 7 190 405 86% | 5 to 10: 71 280 2,464 66% | 10 to 20: 243 -7,894 -420 54% | 20 or more: 359 -25,674 -14,631 52%
  control (entries moved to other sessions, 500 runs, 0 s): mean trades 672.88, median avg -36.40 $, 5-95% -82.93 .. 6.49 $; real avg -48.68 $ at percentile 34.80
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.94
  [PASS] 2 >= 50 trades in each period: 408 / 119 / 153
  [FAIL] 3 t >= 2.5 on development: DEV t -0.03
  [FAIL] 4 above 95th pct of the control: percentile 34.80
  [FAIL] 5 positive without top-10 trades: -55,347 $
  [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -30,505 $ PF 0.61
  VERDICT Buried (1/6 gates)
  rule 3: 0 trades are open across a known hole; without them avg -48.68 $, gates passed 1/6 -> Buried (verdict unchanged)

=== FO-1M-VWAP ===
  DEV      n=  524 net -32,225 $  avg -61.50 $  PF 0.47 t -7.50
  VAL      n=  204 net -7,831 $  avg -38.39 $  PF 0.66 t -2.46
  HOLDOUT  n=  153 net -12,346 $  avg -80.69 $  PF 0.46 t -3.79
  ALL      n=881 on 726 sessions; net -52,402 $ avg -59.48 $ (gross -28.72 $, cost 30.76 $ a trade); gross total -25,302 $; PF 0.51 t -8.36
  win rate 158/881 = 17.9% (95% Wilson 15.5-20.6%); average winner 346 $, loser -148 $; average net R -0.55; ended by {"stop":723,"target":158}; minutes held median 2; the 10 best trades 8,479 $
  setups 2610, ended as {"filled":881,"expired":942,"broken":787}; median push 11.50 pts, median stop 2.18 pts (cost = 28% of it), median target 7.26 pts
  longs n=405 net -19,638 gross -7,180 | shorts n=476 net -32,764 gross -18,122; drawdown on closed trades -52,765 $
  by year (n, net $, gross $): 2020 149 -10,718 -6,134 | 2021 145 -3,032 1,428 | 2022 86 -9,481 -6,836 | 2023 144 -8,995 -4,565 | 2024 178 -8,666 -3,191 | 2025 112 -6,441 -2,996 | 2026 67 -5,069 -3,008
  by entry time New York (n, net $): 09:30 587 -35,712 | 10:00 218 -10,389 | 10:30 50 -2,387 | 11:00 26 -3,913
  by push size in points (n, net $, gross $, win %): under 5: 31 -1,614 -660 16% | 5 to 10: 284 -11,690 -2,954 21% | 10 to 20: 483 -28,492 -13,635 17% | 20 or more: 83 -10,606 -8,053 11%
  control (entries moved to other sessions, 500 runs, 0 s): mean trades 871.68, median avg -30.17 $, 5-95% -42.14 .. -16.53 $; real avg -59.48 $ at percentile 0.00
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.66
  [PASS] 2 >= 50 trades in each period: 524 / 204 / 153
  [FAIL] 3 t >= 2.5 on development: DEV t -7.50
  [FAIL] 4 above 95th pct of the control: percentile 0.00
  [FAIL] 5 positive without top-10 trades: -60,881 $
  [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -12,346 $ PF 0.46
  VERDICT Buried (1/6 gates)
  rule 3: 0 trades are open across a known hole; without them avg -59.48 $, gates passed 1/6 -> Buried (verdict unchanged)

=== FO-5M-VWAP ===
  DEV      n=  156 net 5,096 $  avg 32.67 $  PF 1.21 t 1.05
  VAL      n=   61 net 3 $  avg 0.04 $  PF 1.00 t 0.00
  HOLDOUT  n=   34 net -2,655 $  avg -78.09 $  PF 0.70 t -0.93
  ALL      n=251 on 245 sessions; net 2,444 $ avg 9.74 $ (gross 40.50 $, cost 30.76 $ a trade); gross total 10,165 $; PF 1.05 t 0.36
  win rate 154/251 = 61.4% (95% Wilson 55.2-67.2%); average winner 313 $, loser -472 $; average net R 0.00; ended by {"stop":91,"target":149,"session close":11}; minutes held median 28; the 10 best trades 6,826 $
  setups 2427, ended as {"filled":251,"expired":1023,"broken":1153}; median push 12.75 pts, median stop 9.00 pts (cost = 7% of it), median target 6.85 pts
  longs n=117 net -1,651 gross 1,948 | shorts n=134 net 4,095 gross 8,217; drawdown on closed trades -6,157 $
  by year (n, net $, gross $): 2020 50 -2,564 -1,026 | 2021 50 2,994 4,532 | 2022 16 2,824 3,316 | 2023 40 1,842 3,072 | 2024 50 247 1,785 | 2025 35 -2,608 -1,531 | 2026 10 -292 16
  by entry time New York (n, net $): 09:30 83 3,765 | 10:00 99 3,230 | 10:30 44 -1,669 | 11:00 25 -2,883
  by push size in points (n, net $, gross $, win %): under 5: 7 190 405 86% | 5 to 10: 69 49 2,171 65% | 10 to 20: 137 188 4,402 58% | 20 or more: 38 2,018 3,187 63%
  control (entries moved to other sessions, 500 runs, 0 s): mean trades 250.40, median avg -34.86 $, 5-95% -84.73 .. 8.67 $; real avg 9.74 $ at percentile 95.20
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.00
  [FAIL] 2 >= 50 trades in each period: 156 / 61 / 34
  [FAIL] 3 t >= 2.5 on development: DEV t 1.05
  [PASS] 4 above 95th pct of the control: percentile 95.20
  [FAIL] 5 positive without top-10 trades: -4,382 $
  [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -2,655 $ PF 0.70
  VERDICT Buried (1/6 gates)
  rule 3: 0 trades are open across a known hole; without them avg 9.74 $, gates passed 1/6 -> Buried (verdict unchanged)