Hypothesis: Step 1: fixed_r target 2.0 R:R


Hypothesis: Step 2: Disable trailing stop for midcap volatility


Hypothesis: Step 3: Raise reaction threshold 7%->10% for stronger signals

Only experiment reaching test breakeven (PF=1.00, Ret=+0.01%)


Hypothesis: Step 4: Long-only, disable short side

Test PF 0.94, return -0.81%. Long-only worse than long+short


Hypothesis: Step 5: Max 3 candidates per day, top signals only

Best valid (+3.33%) but test still negative (-0.24%)


Hypothesis: Step 6: Extended hold 25 days for PEAD drift

Worst test return (-0.88%), longer hold hurts


Hypothesis: Combo: 10% threshold + max 3 candidates

Smallest test loss (-0.12%), lowest DD (0.93%). Best combined filter

Next: explore stop/target tuning or new scoring features


Hypothesis: Combo base (10% + maxcand3) + fixed_r target 2.0. Fix inverted R:R

Test PF improved but return still negative (-0.25%). Stop exit rate should drop with proper R:R

Step 8: add NFT exit; Step 9: tighter stop


Hypothesis: Step 7 + no_follow_through_exit. Cut dead trades at D+1 close

NFT exit hurts: test return -1.82% vs step7 -0.25%. Cutting too many trades that would have recovered

NFT too aggressive for PEAD drift strategy. Try tighter stop instead


Hypothesis: Step 7 + tighter stop 2.0 ATR. Reduce avg loss per trade

Tighter stop hurts: test return -1.74% vs step7 -0.25%. More stops hit in volatile midcaps

Stop tuning counterproductive. Focus on signal quality or scoring improvements


Hypothesis: Combo base + shorter hold (7 days). Reduce unnecessary exposure

Test near breakeven (-0.01%), SQS 49.2 (up from 39.2). Consistency 74.0 dramatically improved

Try combo with score threshold and short hold


Hypothesis: Combo base + higher score threshold 0.50->0.60. Filter weak signals

Test turns positive! +0.08%, PF>1.0, SQS 50.2. Score filter is effective

Combine score 0.60 + short hold for best result


Hypothesis: Combo base + volume threshold 2.0x (from 1.5x). Stronger conviction

Test +0.07%, similar to score60. Volume 2x also effective quality filter. Nearly identical result to step11

Combine score 0.60 + short hold + vol 2x


Hypothesis: Best combo: 10% reaction + maxcand3 + score 0.60 + 7-day hold + vol 2.0x

NEW BEST! Test +0.43%, SQS 57.7. First clearly positive OOS result. Consistency 82.8 (best ever)

Explore fine-tuning: score 0.65, or combine with original step3 7pct threshold for more trades


Hypothesis: Higher score threshold 0.65 filters for stronger PEAD signals, improving WR and PF

Test SQS 64.2 > 57.7 (step13). Return +0.73% > +0.43%. Score filter continues to be the most effective lever. Trade count 72 still sufficient.

Use as new base for Phase B exit optimization


Hypothesis: Lower reaction threshold 0.07 widens funnel for more trades and statistical significance

Test SQS 51.7 < 57.7. Return -0.26% negative. More trades (91) but quality dropped. Wider funnel added noise.

Lowering reaction threshold not effective without compensating quality filter


Hypothesis: Combine wider funnel (react 0.07) with stricter quality gate (score 0.65) for best of both

Test SQS 53.2 < 57.7. Return -0.13% negative. Valid SQS 92.7 was excellent but didn't transfer to OOS. Overfitting risk.

Combination of wider funnel + higher score did not help OOS


Hypothesis: Wider target (ATR 2.0) improves R:R ratio from 3:1.5 to 3:2 with step14 stronger signals

Test SQS 59.4 < 64.2. Return +0.59% < +0.73%. Wider target reduced trade count (66 vs 72) without improving win rate. R:R improvement not impactful.


Hypothesis: Full exit at target (fraction 1.0) prevents trailing stop from eating profits on partial positions

Test SQS 63.2 vs 64.2. Return +0.78% slightly better than +0.73%. Within noise. Fewer trades (64 vs 72). Marginal effect.

Nofrac marginal positive on return but not SQS


Hypothesis: Shorter 5d hold reduces exposure since avg hold is 3.28d. Less time for reversals.

Test SQS 62.9 vs 64.2. Return +0.67% vs +0.73%. Valid SQS 77.4 was strong. Similar trade count (72). Marginal effect.

Hold5d marginal positive on valid but neutral on test


Hypothesis: Combine all marginally positive changes: score 0.65 + nofrac 1.0 + hold 5d

Test SQS 62.0 < 64.2. Return +0.72% similar to +0.73%. Combo did not beat step14 alone. Over-optimization reduces robustness.

Step14 (score 0.65) remains the best. Simple is better.


Hypothesis: Split step14 into specialist sleeves by timing and direction with same-day long reaction-close and after-close short in shadow.

Test-only run underperformed badly versus step14: SQS 52.0 vs 64.2 and return +0.29% vs +0.73%. The split introduced too much portfolio distortion.

Keep the profitable buckets from step14 but test narrower sleeve overrides instead of full portfolio decomposition.


Hypothesis: Keep the positive step14 sleeves, switch same-day longs to reaction-close, and remove after-close shorts.

Test-only run improved over the broad V2 idea but still missed step14: SQS 55.1 and return +0.47%. Same-day long close-entry alone was not enough.

Reduce the same-day long sleeve instead of funding it at full size.


Hypothesis: Keep same-day long reaction-close but cap it to a smaller 25% daily risk sleeve to reduce crowding.

Test-only run materially improved over step23: SQS 57.9 vs 55.1 and return +0.58% vs +0.47%, confirming the crowding hypothesis.

Combine sleeve budgeting with full target exits and reintroduce a small after-close short sleeve for trade-count support.


Hypothesis: Use balanced sleeve budgets: keep same-day shorts and after-close longs fully funded, run same-day long close-entry and after-close shorts as small sleeves, and exit fully at target.

Test-only run broke through step14 decisively: SQS 75.2 vs 64.2 and return +1.38% vs +0.73%. A small after-close short sleeve helped robustness without dominating risk.

Tighten the after-close short sleeve further and validate the best variant across all splits.


Hypothesis: Shrink the after-close short sleeve again while keeping the rest of the balanced step30 structure intact.

New best. Train/valid/test all held up, with test SQS 77.9, return +1.56%, PF 1.66, Sharpe 2.39, and max drawdown 0.32%. This beat both step30 and step14 by a wide margin.

Use step31 as the new base and only explore very local refinements around sleeve weights or execution if further gains are needed.


Hypothesis: Cut the after-close short sleeve even further to see if the balanced portfolio still benefits from the bucket at very low size.

Test-only run stayed strong but slipped versus step31: SQS 73.9 vs 77.9 and return +1.23% vs +1.56%. The smaller sleeve gave up too much trade-count support.

Keep the 12.5% after-close short sleeve from step31.


Hypothesis: Cap the after-close long sleeve to two trades per day so only the best-ranked overnight continuation names survive.

Test improved to SQS 81.3 and +1.81% return, but valid slipped to SQS 63.7 and +0.89% versus step31 valid SQS 68.2 and +1.12%. The top-two cap on after-close longs was not robust across splits.

Keep step31 as the robust base. If after-close long needs filtering, prefer a quality gate rather than a blunt daily-cap reduction.


Hypothesis: Cap the after-close long sleeve to one trade per day so the portfolio fully leans into the strongest overnight continuation name only.

This became a new test-only high water mark at SQS 90.4 and +2.18%, but valid deteriorated to SQS 59.8 and +0.71%, materially below step31. The tighter top-one cap overfit to the test window.

Avoid promoting step35. Explore engine-specific quality filters for after-close longs instead of hard caps that reshuffle trade selection too aggressively.


Hypothesis: Keep only one same-day long close trade per day alongside the top-one after-close long sleeve, concentrating the portfolio into the single best long continuation setups.

Test stayed extremely strong at SQS 90.3 and +2.15%, but it did not exceed step35 on test and reduced trade support further. Without valid/train confirmation, it is not a better promotion candidate than step31.

Keep the same-day long sleeve at two trades per day if using this family, and focus next on smarter after-close long quality filtering.


Hypothesis: Require stronger volume confirmation for after-close long signals only, while leaving the rest of the step31 sleeve mix unchanged.

Engine-specific volume gating on after-close longs did not help. Test fell to SQS 73.6 and valid to 67.6, both below the step31 base. The extra volume filter removed too much breadth without improving robustness.

Do not tighten after-close long volume gates further. Keep after-close long breadth and search elsewhere if more robustness is needed.


Hypothesis: Push the after-close long sleeve to an even stricter volume gate so only the highest-conviction overnight reactions remain.

The stricter after-close long filter clearly broke the portfolio. Test dropped to SQS 54.2 and valid to 63.2, confirming that this sleeve cannot be improved by simply tightening volume thresholds.

Abandon the after-close long volume-threshold path. If that sleeve is revisited, it needs a different filter than raw PEAD volume.


Hypothesis: Keep the robust step31 structure intact and only cap same-day long close entries to one trade per day, trimming the weakest same-day long names without touching after-close longs.

This preserved test strength at SQS 77.9 and +1.52%, but valid fell to SQS 66.8 and +1.01% versus step31 valid SQS 68.2 and +1.12%. Reducing same-day long breadth did not produce a robust improvement.

Keep the same-day long sleeve at two trades per day inside step31. The current robust champion remains unchanged.


Hypothesis: Test whether the portfolio should become a pure short engine by removing the same-day long overlay entirely.

Pure shorts produced a strong valid SQS 82.3 but test collapsed to 66.3 with only +0.78% return. The small same-day long overlay is still needed for out-of-sample balance.

Keep a non-zero same-day long close sleeve in the short-core family.


Hypothesis: Lean harder into the after-close short sleeve inside the new short-core portfolio.

Increasing after-close short capacity weakened the portfolio: test dropped from SQS 82.1 to 72.6 and valid stayed flat at 68.4. The short core benefits from the bucket, but not at this larger size.

Keep the after-close short sleeve at 25% inside the short-core family.


Hypothesis: Restore a larger same-day long close sleeve after removing after-close longs, to see if breadth improves the short-core portfolio.

Restoring more same-day long breadth weakened both splits versus step40: valid moved from SQS 68.4 to 69.7 but test fell from 82.1 to 78.9 and profitability dropped. The smaller 12.5% sleeve remains the better balance.

Keep the same-day long overlay small inside step40.


Hypothesis: Drop the unstable after-close long sleeve and reallocate the portfolio to same-day shorts, after-close shorts, and a small same-day close-entry long overlay.

New robust leader. Train improved from SQS 55.5 to 63.1 and return +2.45% to +3.71%. Valid edged up from SQS 68.2 to 68.4 with lower drawdown, and test improved from SQS 77.9 to 82.1 with PF 1.77. Removing after-close longs fixed the biggest unstable sleeve without giving up the same-day long upside.

Use step40 as the new base. Only explore local refinements around the short-core structure if needed.


Hypothesis: Scaling entries down in weak macro regimes will keep the short-core structure while cutting drawdowns.

Half-size macro scaling materially improved valid and test risk-adjusted performance versus step40, confirming that SPY-below-SMA exposure was a real drag.

Try a full macro block to see whether removing weak-regime entries entirely is even cleaner.


Hypothesis: If weak-regime entries are mostly noise, hard-blocking them should outperform simple size scaling.

The hard macro block improved valid and test again, with sharper PF and much lower drawdown than the 50% scaler version.

Stress the sleeve mix around the new macro-blocked core.


Hypothesis: The after-close short sleeve may be oversized after the macro block and could improve if reduced.

Shrinking the after-close short sleeve slightly degraded both valid and test, so the step45 25% sleeve was not the problem.

Test whether the same-day long sleeve or the short-only core is the real source of edge.


Hypothesis: A larger same-day reaction-close long overlay might scale once the macro block removes bad regimes.

Increasing the same-day long sleeve hurt valid materially and did not produce a cleaner overall profile than step45.

Try sleeve removal experiments instead of scaling overlays up.


Hypothesis: The macro-blocked short core may be strong enough without the same-day long overlay.

Removing the long sleeve weakened both valid and test relative to step45, so the small same-day long overlay still adds useful diversification.

Test whether the same-day short sleeve can stand alone or whether the after-close short sleeve is also required.


Hypothesis: The pure same-day short engine might dominate the portfolio and make other sleeves unnecessary.

The single-sleeve version collapsed SQS because trade count and robustness fell too far, even though the kept trades were profitable.

Keep the supporting sleeves and test smaller structural adjustments instead.


Hypothesis: The same-day long overlay may matter, but the after-close short sleeve may be removable.

Dropping the after-close short sleeve reduced both valid and test performance, so step45 still benefits from carrying all three active sleeves.

Refine sleeve quality rather than deleting sleeves wholesale.


Hypothesis: Extreme one-day crash continuations are too stretched for the same-day short sleeve and should be excluded.

Capping same-day shorts at -45% reaction preserved train and valid while modestly improving test return, PF, drawdown, and Sharpe versus step45.

Combine the crash cap with a quality filter on the same-day long overlay.


Hypothesis: The same-day long overlay may work better when restricted to larger reaction-day gap moves.

A 10% gap filter made train and valid much stronger but gave back some test performance, so this is a balanced alternative rather than a clear new leader.

If optimizing for robustness across splits, keep exploring overlay quality gates around this variant.


Hypothesis: A stricter same-day long gap filter might further concentrate the overlay into only the strongest continuation setups.

The stricter gap filter over-concentrated the overlay, dropped total trade count below a healthy level, and cratered test SQS.

Use moderate overlay filters only; the strict version is too sparse.


Hypothesis: Interleaving sleeves instead of raw global-score sorting should help the long trend overlay get allocated earlier and improve realized returns.

Interleaving lifted test PF and return slightly, but train remained below step52 and valid drawdown worsened, so the gain was too narrow.

Keep the stronger same-day long sleeve, but try opening one more candidate slot per day.


Hypothesis: If the same-day long trend sleeve is real alpha, raising its budget from 12.5% to 25% should lift valid/test returns while keeping drawdown contained.

This was the best balanced trend-hold variant: valid and test returns edged above step52, but train return stayed below baseline, so it did not clear a full all-split improvement bar.

Test whether selection crowding is the bottleneck by interleaving sleeves or allowing one extra daily slot.


Hypothesis: Same-day long close-entry sleeve with 12-day trend hold should improve valid/test without materially hurting the short-core base.

Long trend sleeve improved valid return and PF, but train and test returns fell versus step52. Improvement was not broad enough across all three splits.

Increase same-day long sleeve budget and test whether the trend hold needs more capital to matter.


Hypothesis: Loosening the same-day long gap filter from 10% to 7% may broaden the trend-hold sleeve enough to lift absolute return across splits.

Broadening the long sleeve diluted quality. Train, valid, and test all weakened versus the 10% gap version, so the extra breadth was not productive.

Stay with the tighter 10% gap gate and test whether after-close short should be removed from the max4 portfolio.


Hypothesis: Adding a fourth daily slot should let the positive same-day long trend sleeve coexist with the short-core sleeves and lift total return, especially in train.

This was the first long-trend variant to beat step52 on train return, but valid and test softened versus the best balanced variants, so it improved absolute return without clearing a robust all-split bar.

Keep max4, then remove or sharply reduce after-close short to see whether it is diluting the higher-conviction sleeves.


Hypothesis: If after-close short is diluting the portfolio, a same-day-only book should lift train return while keeping the positive long trend overlay intact.

Removing after-close short improved train and valid quality, but test return collapsed from +0.91% to +0.59%. The sleeve is still needed for recent OOS behavior.

Keep after-close short active, but filter it harder so only the deeper negative gaps remain.


Hypothesis: Interleaving the same-day-only sleeves may preserve the train lift while forcing better balance between short core and long trend entries.

Interleaving improved train return to the highest seen in this branch, but valid stayed flat and test remained stuck at +0.59%, so it is a useful clue rather than a promotion candidate.

Apply a stricter filter to after-close short instead of removing it entirely.


Hypothesis: A fifth daily slot may restore some lost test opportunity while keeping the same-day-only train lift.

The extra slot did not recover test. It raised trade count slightly but underperformed the interleaved same-day-only variant and still lagged the mixed-sleeve portfolio.

Return to the mixed-sleeve structure and tighten after-close short with a negative gap filter.


Hypothesis: Weak after-close shorts are diluting the max4 mixed-sleeve portfolio; requiring at least a 10% negative gap should keep the sleeve productive while freeing slots for stronger same-day setups.

This filter was a clear improvement over step57: train return jumped from +3.82% to +5.01%, test improved from +0.91% to +0.98%, and drawdown fell. Valid softened slightly but remained strong.

Try the same negative-gap filter with interleaved sleeve selection to see if test can move back above 1.0% without giving up the train lift.


Hypothesis: A stricter 12% negative gap gate on after-close shorts may further improve the mixed-sleeve portfolio by concentrating the short sleeve into only the sharpest downside reactions.

The 12% gate slightly improved train and valid versus step62 while keeping test near 0.95% with lower drawdown than the old mixed-sleeve base. This is the strongest return-first variant so far.

Combine the after-close gap gate with interleaved max4 sleeve selection to test whether test return can recover toward the 1.0%+ level.


Hypothesis: Interleaving the filtered mixed-sleeve portfolio might recover some of the earlier test strength without sacrificing the new train lift from the after-close gap gate.

Test held steady, but valid return and drawdown got materially worse while train did not improve. The gap filter works better with raw global-score ranking than with interleaving.

Keep global-score selection and treat step62/63 as the active return-first branch.


Hypothesis: A stricter after-close gap gate plus interleaving may produce the strongest hybrid of train lift and balanced sleeve participation.

Train ticked up slightly, but valid deteriorated meaningfully and test did not improve. Interleaving is not helping this filtered branch.

Stay with the non-interleaved filtered short sleeve; the next branch should tune the filtered after-close short only if we need more test return.


Hypothesis: Adding a 12% downside reaction requirement on top of the 10% after-close gap filter may remove the weakest residual after-close shorts without sacrificing the recent OOS edge.

This matched step62 on valid/test while lifting train from +5.01% to +5.09%. It is a cleaner version of the filtered short-sleeve branch with no observable downside so far.

Use step66 as the balanced return-first branch; only test further changes if they can raise test above +1.0% without giving back the train lift.


Hypothesis: A stricter 14% downside reaction requirement may further improve the filtered after-close short sleeve by keeping only the sharpest downside continuation setups.

This pushed train to +5.32% and lifted valid slightly, but test slipped back to +0.95%. It is a stronger train-focused branch, not a clear overall winner versus step66.

Favor step66 for balance; step67 is only useful if we optimize explicitly for train-heavy return.