VWAP strategies on ES futures (spec vw_spec.md). Run 2026-10-14T10:00:34.172Z; 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, 2020-01-02 .. 2026-09-25

=== VW-TREND ===
  DEV      n= 7014 net -116,101 $  avg -16.55 $  PF 0.91 t -2.11
  VAL      n= 2145 net -31,355 $  avg -14.62 $  PF 0.92 t -1.00
  HOLDOUT  n= 2548 net -106,564 $  avg -41.82 $  PF 0.83 t -2.27
  ALL      n=11707 on 1678 sessions (6.74 a session); net -254,020 $ avg -21.70 $ (gross 9.06 $, cost 30.76 $ a trade); gross total 106,088 $; PF 0.89 t -3.22
  win rate 2395/11707 = 20.5% (95% Wilson 19.7-21.2%); ended by {"cross":10029,"session close":1678}; minutes held median 15; the 10 best trades 95,380 $
  longs n=5905 net -96,988 gross 84,650 | shorts n=5802 net -157,032 gross 21,438; drawdown on closed trades -255,992 $
  by year (n, net $, gross $): 2020 1875 -49,375 8,300 | 2021 1724 -29,818 23,213 | 2022 1665 -2,490 48,725 | 2023 1750 -34,417 19,413 | 2024 1747 -33,988 19,750 | 2025 1650 -19,404 31,350 | 2026 1296 -84,527 -44,662
  by entry hour New York (n, net $): 9h 2026 -43,145 | 10h 3013 -87,080 | 11h 1798 -77,881 | 12h 1384 11,903 | 13h 1196 -28,439 | 14h 1091 2,441 | 15h 1199 -31,819
  control (entries moved to other sessions, 500 runs, 2 s): mean trades 3959.75, median avg -23.44 $, 5-95% -50.23 .. -0.75 $; real avg -21.70 $ at percentile 55.40
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.92
  [PASS] 2 >= 50 trades in each period: 7014 / 2145 / 2548
  [FAIL] 3 t >= 2.0 on development: DEV t -2.11
  [FAIL] 4 above 95th pct of the control: percentile 55.40
  [FAIL] 5 positive without top-10 trades: -349,400 $
  [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -106,564 $ PF 0.83
  VERDICT Buried (1/6 gates)
  rule 3: 1 trades are open across a known hole; without them avg -21.53 $, gates passed 1/6 -> Buried (verdict unchanged)

=== VW-REV ===
  DEV      n= 7014 net -315,401 $  avg -44.97 $  PF 0.75 t -5.73
  VAL      n= 2145 net -100,605 $  avg -46.90 $  PF 0.76 t -3.21
  HOLDOUT  n= 2548 net -50,189 $  avg -19.70 $  PF 0.91 t -1.07
  ALL      n=11707 on 1678 sessions (6.74 a session); net -466,195 $ avg -39.82 $ (gross -9.06 $, cost 30.76 $ a trade); gross total -106,087 $; PF 0.79 t -5.92
  win rate 8486/11707 = 72.5% (95% Wilson 71.7-73.3%); ended by {"cross":10029,"session close":1678}; minutes held median 15; the 10 best trades 26,980 $
  longs n=5802 net -199,907 gross -21,437 | shorts n=5905 net -266,288 gross -84,650; drawdown on closed trades -488,764 $
  by year (n, net $, gross $): 2020 1875 -65,975 -8,300 | 2021 1724 -76,243 -23,212 | 2022 1665 -99,940 -48,725 | 2023 1750 -73,242 -19,412 | 2024 1747 -73,488 -19,750 | 2025 1650 -82,104 -31,350 | 2026 1296 4,798 44,663
  by entry hour New York (n, net $): 9h 2026 -81,495 | 10h 3013 -98,280 | 11h 1798 -32,731 | 12h 1384 -97,047 | 13h 1196 -45,139 | 14h 1091 -69,559 | 15h 1199 -41,944
  control (entries moved to other sessions, 500 runs, 2 s): mean trades 3959.75, median avg -38.05 $, 5-95% -60.77 .. -11.29 $; real avg -39.82 $ at percentile 44.60
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.76
  [PASS] 2 >= 50 trades in each period: 7014 / 2145 / 2548
  [FAIL] 3 t >= 2.0 on development: DEV t -5.73
  [FAIL] 4 above 95th pct of the control: percentile 44.60
  [FAIL] 5 positive without top-10 trades: -493,175 $
  [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -50,189 $ PF 0.91
  VERDICT Buried (1/6 gates)
  rule 3: 1 trades are open across a known hole; without them avg -39.99 $, gates passed 1/6 -> Buried (verdict unchanged)

=== VW-BANDS ===
  DEV      n= 4681 net -188,621 $  avg -40.30 $  PF 0.78 t -5.71
  VAL      n= 1573 net -62,220 $  avg -39.55 $  PF 0.78 t -3.34
  HOLDOUT  n= 1549 net -80,867 $  avg -52.21 $  PF 0.78 t -3.28
  ALL      n=7803 on 1643 sessions (4.49 a session); net -331,708 $ avg -42.51 $ (gross -11.75 $, cost 30.76 $ a trade); gross total -91,687 $; PF 0.78 t -7.33
  win rate 1751/7803 = 22.4% (95% Wilson 21.5-23.4%); ended by {"stop":5886,"vwap":1295,"session close":622}; minutes held median 10; the 10 best trades 42,117 $
  longs n=3689 net -153,261 gross -39,787 | shorts n=4114 net -178,447 gross -51,900; drawdown on closed trades -347,466 $
  by year (n, net $, gross $): 2020 1247 -28,195 10,162 | 2021 1011 -42,022 -10,924 | 2022 1187 -69,260 -32,747 | 2023 1236 -49,144 -11,124 | 2024 1308 -52,217 -11,983 | 2025 1055 -49,375 -16,923 | 2026 759 -41,494 -18,147
  by entry hour New York (n, net $): 10h 2762 -129,948 | 11h 1459 -73,643 | 12h 978 -10,467 | 13h 830 -41,614 | 14h 865 -28,582 | 15h 909 -47,454
  control (entries moved to other sessions, 500 runs, 3 s): mean trades 6711.23, median avg -32.10 $, 5-95% -37.77 .. -26.51 $; real avg -42.51 $ at percentile 0.00
  [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.78
  [PASS] 2 >= 50 trades in each period: 4681 / 1573 / 1549
  [FAIL] 3 t >= 2.0 on development: DEV t -5.71
  [FAIL] 4 above 95th pct of the control: percentile 0.00
  [FAIL] 5 positive without top-10 trades: -373,825 $
  [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -80,867 $ PF 0.78
  VERDICT Buried (1/6 gates)
  rule 3: 0 trades are open across a known hole; without them avg -42.51 $, gates passed 1/6 -> Buried (verdict unchanged)