Noise Area Breakout on YM (spec na_ym_spec.md). Run 2026-11-07T11:20:42.384Z; 500 control runs per variant data: 2347033 one-minute bars, 2020-01-01T18:01 .. 2026-09-25T17:00; cost 15.76 $ a round trip ##### AS session: 1757 weekday sessions in the data range, 1709 with an open and a close bar, 1706 with a previous close; 0 touch a known hole === NA-YM-AS-LS: long and short === DEV n= 727 net -2,308 $ avg -3.17 PF 0.97 t -0.26 VAL n= 198 net -3,875 $ avg -19.57 PF 0.74 t -1.22 HOLDOUT n= 242 net -4,784 $ avg -19.77 PF 0.83 t -0.87 ALL n=1167 on 787 sessions; net -10,967 $ avg -9.40 (gross 6.36, cost 15.76 a trade); PF 0.90 t -1.01; ended by {"session close":367,"stop":800} with two ticks of slippage per fill ($25.76 a round trip, information only, not a gate): avg -19.40, net -22,637 win rate 372/1167 = 31.9% (95% Wilson 29.3-34.6%); the 10 best trades 17,407; drawdown on closed trades -24,524 longs n=516 net -7,027 gross 1,105 | shorts n=651 net -3,940 gross 6,320 by year (n, net): 2020 179 11,479 | 2021 181 -5,623 | 2022 184 -3,655 | 2023 183 -4,509 | 2024 167 -1,937 | 2025 133 -6,516 | 2026 140 -206 control (first entries moved to other sessions, 500 runs, 2 s): mean trades 1,090, median avg -11.72, 5-95% -22.06 .. -2.66; real avg -9.40 at percentile 65.20 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.74 [PASS] 2 >= 50 trades in each period: 727 / 198 / 242 [FAIL] 3 t >= 2.5 on development: DEV t -0.26 [FAIL] 4 above 95th pct of the control: percentile 65.20 [FAIL] 5 positive without top-10 trades: -28,374 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -4,784 $ PF 0.83 VERDICT Buried (1/6 gates) rule 3: 0 trades in sessions touching a known hole; without them avg -9.40, gates passed 1/6 -> Buried (verdict unchanged) === NA-YM-AS-L: long only === DEV n= 328 net -3,509 $ avg -10.70 PF 0.86 t -0.80 VAL n= 71 net 1,316 $ avg 18.54 PF 1.38 t 0.63 HOLDOUT n= 117 net -4,834 $ avg -41.32 PF 0.65 t -1.30 ALL n=516 on 370 sessions; net -7,027 $ avg -13.62 (gross 2.14, cost 15.76 a trade); PF 0.84 t -1.15; ended by {"stop":343,"session close":173} with two ticks of slippage per fill ($25.76 a round trip, information only, not a gate): avg -23.62, net -12,187 win rate 177/516 = 34.3% (95% Wilson 30.3-38.5%); the 10 best trades 10,752; drawdown on closed trades -14,512 longs n=516 net -7,027 gross 1,105 | shorts n=0 net 0 gross 0 by year (n, net): 2020 81 6,473 | 2021 96 -3,293 | 2022 69 -3,892 | 2023 82 -2,797 | 2024 66 1,680 | 2025 52 -2,950 | 2026 70 -2,248 control (first entries moved to other sessions, 500 runs, 1 s): mean trades 413, median avg -14.80, 5-95% -30.77 .. -0.10; real avg -13.62 at percentile 55.00 [PASS] 1 PF >= 1.2 in validation: VAL PF 1.38 [PASS] 2 >= 50 trades in each period: 328 / 71 / 117 [FAIL] 3 t >= 2.5 on development: DEV t -0.80 [FAIL] 4 above 95th pct of the control: percentile 55.00 [FAIL] 5 positive without top-10 trades: -17,780 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -4,834 $ PF 0.65 VERDICT Buried (2/6 gates) rule 3: 0 trades in sessions touching a known hole; without them avg -13.62, gates passed 2/6 -> Buried (verdict unchanged) ##### LD session: 1757 weekday sessions in the data range, 1725 with an open and a close bar, 1723 with a previous close; 5 touch a known hole === NA-YM-LD-LS: long and short === DEV n= 1185 net -31,701 $ avg -26.75 PF 0.86 t -1.59 VAL n= 415 net -16,515 $ avg -39.80 PF 0.78 t -1.53 HOLDOUT n= 445 net 12,062 $ avg 27.11 PF 1.13 t 0.79 ALL n=2045 on 1158 sessions; net -36,154 $ avg -17.68 (gross -1.92, cost 15.76 a trade); PF 0.91 t -1.32; ended by {"stop":1582,"session close":463} with two ticks of slippage per fill ($25.76 a round trip, information only, not a gate): avg -27.68, net -56,604 win rate 624/2045 = 30.5% (95% Wilson 28.6-32.5%); the 10 best trades 34,712; drawdown on closed trades -61,302 longs n=1031 net -21,114 gross -4,865 | shorts n=1014 net -15,041 gross 940 by year (n, net): 2020 256 -215 | 2021 301 -2,909 | 2022 306 -14,668 | 2023 322 -13,910 | 2024 336 -14,825 | 2025 299 -2,432 | 2026 225 12,804 control (first entries moved to other sessions, 500 runs, 2 s): mean trades 1,987, median avg -18.89, 5-95% -30.70 .. -5.08; real avg -17.68 at percentile 55.60 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.78 [PASS] 2 >= 50 trades in each period: 1185 / 415 / 445 [FAIL] 3 t >= 2.5 on development: DEV t -1.59 [FAIL] 4 above 95th pct of the control: percentile 55.60 [FAIL] 5 positive without top-10 trades: -70,867 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 12,062 $ PF 1.13 VERDICT Buried (2/6 gates) rule 3: 9 trades in sessions touching a known hole; without them avg -18.47, gates passed 2/6 -> Buried (verdict unchanged) === NA-YM-LD-L: long only === DEV n= 592 net -16,815 $ avg -28.40 PF 0.84 t -1.27 VAL n= 218 net -14,461 $ avg -66.33 PF 0.63 t -2.10 HOLDOUT n= 221 net 10,162 $ avg 45.98 PF 1.23 t 0.92 ALL n=1031 on 639 sessions; net -21,114 $ avg -20.48 (gross -4.72, cost 15.76 a trade); PF 0.89 t -1.13; ended by {"stop":788,"session close":243} with two ticks of slippage per fill ($25.76 a round trip, information only, not a gate): avg -30.48, net -31,424 win rate 323/1031 = 31.3% (95% Wilson 28.6-34.2%); the 10 best trades 29,267; drawdown on closed trades -40,036 longs n=1031 net -21,114 gross -4,865 | shorts n=0 net 0 gross 0 by year (n, net): 2020 126 -6,306 | 2021 159 6,334 | 2022 142 -5,238 | 2023 165 -11,605 | 2024 171 -12,350 | 2025 166 -1,166 | 2026 102 9,217 control (first entries moved to other sessions, 500 runs, 1 s): mean trades 823, median avg -18.40, 5-95% -38.00 .. 6.55; real avg -20.48 at percentile 43.40 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.63 [PASS] 2 >= 50 trades in each period: 592 / 218 / 221 [FAIL] 3 t >= 2.5 on development: DEV t -1.27 [FAIL] 4 above 95th pct of the control: percentile 43.40 [FAIL] 5 positive without top-10 trades: -50,381 $ [PASS] 6 holdout net positive (flagged used): HOLDOUT net 10,162 $ PF 1.23 VERDICT Buried (2/6 gates) rule 3: 1 trades in sessions touching a known hole; without them avg -20.43, gates passed 2/6 -> Buried (verdict unchanged) ##### NY session: 1756 weekday sessions in the data range, 1730 with an open and a close bar, 1728 with a previous close; 2 touch a known hole === NA-YM-NY-LS: long and short === DEV n= 940 net -8,879 $ avg -9.45 PF 0.96 t -0.38 VAL n= 315 net -2,844 $ avg -9.03 PF 0.96 t -0.24 HOLDOUT n= 348 net -13,494 $ avg -38.78 PF 0.86 t -0.92 ALL n=1603 on 1044 sessions; net -25,218 $ avg -15.73 (gross 0.03, cost 15.76 a trade); PF 0.94 t -0.85; ended by {"stop":1088,"session close":515} with two ticks of slippage per fill ($25.76 a round trip, information only, not a gate): avg -25.73, net -41,248 win rate 551/1603 = 34.4% (95% Wilson 32.1-36.7%); the 10 best trades 39,802; drawdown on closed trades -35,347 longs n=802 net -12,510 gross 130 | shorts n=801 net -12,709 gross -85 by year (n, net): 2020 233 -8,007 | 2021 209 441 | 2022 261 -1,548 | 2023 237 235 | 2024 258 -8,116 | 2025 242 2,826 | 2026 163 -11,049 control (first entries moved to other sessions, 500 runs, 2 s): mean trades 1,621, median avg -16.88, 5-95% -35.69 .. 5.14; real avg -15.73 at percentile 53.00 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.96 [PASS] 2 >= 50 trades in each period: 940 / 315 / 348 [FAIL] 3 t >= 2.5 on development: DEV t -0.38 [FAIL] 4 above 95th pct of the control: percentile 53.00 [FAIL] 5 positive without top-10 trades: -65,021 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -13,494 $ PF 0.86 VERDICT Buried (1/6 gates) rule 3: 3 trades in sessions touching a known hole; without them avg -16.36, gates passed 1/6 -> Buried (verdict unchanged) === NA-YM-NY-L: long only === DEV n= 464 net -8,653 $ avg -18.65 PF 0.92 t -0.60 VAL n= 158 net -2,240 $ avg -14.18 PF 0.94 t -0.28 HOLDOUT n= 180 net -1,617 $ avg -8.98 PF 0.97 t -0.15 ALL n=802 on 554 sessions; net -12,510 $ avg -15.60 (gross 0.16, cost 15.76 a trade); PF 0.93 t -0.64; ended by {"stop":527,"session close":275} with two ticks of slippage per fill ($25.76 a round trip, information only, not a gate): avg -25.60, net -20,530 win rate 287/802 = 35.8% (95% Wilson 32.5-39.2%); the 10 best trades 29,207; drawdown on closed trades -24,232 longs n=802 net -12,510 gross 130 | shorts n=0 net 0 gross 0 by year (n, net): 2020 118 -5,875 | 2021 102 447 | 2022 121 -3,637 | 2023 123 412 | 2024 128 -5,037 | 2025 135 6,007 | 2026 75 -4,827 control (first entries moved to other sessions, 500 runs, 1 s): mean trades 663, median avg -16.31, 5-95% -47.33 .. 19.33; real avg -15.60 at percentile 50.80 [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.94 [PASS] 2 >= 50 trades in each period: 464 / 158 / 180 [FAIL] 3 t >= 2.5 on development: DEV t -0.60 [FAIL] 4 above 95th pct of the control: percentile 50.80 [FAIL] 5 positive without top-10 trades: -41,717 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -1,617 $ PF 0.97 VERDICT Buried (1/6 gates) rule 3: 0 trades in sessions touching a known hole; without them avg -15.60, gates passed 1/6 -> Buried (verdict unchanged)