Don’t take our word for it
Verifiability
The realism is measured; the value is stated honestly — including where it isn’t there. Three checks: the simulator’s daily stylized facts against historical bands, the cross-asset model against a cheap baseline, and the synthetic library’s falsifiable per-profile claims.
Concepts are in the methodology; architecture and bands in the reference; failure-mode definitions in the ontology. Agents can pull these numbers live from validation://{asset} and validation://value.
Realism, per fact
For each asset, the model’s daily stylized facts are measured over 200 random 252-day windows of the simulated paths and compared, fact by fact, to bands derived identically from real history — eighteen facts in all (volatility, skew, kurtosis, volatility clustering, drawdown, and more). A missed fact is shown, not hidden.
| asset | in-band | vol | acf5 | kurt | max-dd |
|---|---|---|---|---|---|
| SPY | 18 / 18 | 0.21 | +0.09 | 1.57 | 0.20 |
| TLT | 18 / 18 | 0.18 | +0.01 | 0.07 | 0.21 |
| GOLD | 17 / 18 | 0.16 | +0.01 | 0.05 | 0.15 |
| BTC | 17 / 18 | 0.64 | +0.03 | 0.91 | 0.51 |
SPY and TLT match all eighteen. GOLD and BTC carry one honest caveat each — daily kurtosis comes out below the historical band (the synthetic tails are thinner than real gold / crypto), so for those two assets the empirical historical anchors carry the tail evidence.
Value vs a cheap baseline
A regime-conditional simulator should beat a static dependence model where it counts: in a crisis. Each pair’s correlation is measured in calm versus crisis windows — real history, the coupled model, and a Gauss-copula fitted to the same data. A copula has a single correlation by construction, so its calm and crisis numbers are identical: it cannot strengthen. The model can, and does.
| pair | calm (real / model) | crisis (real / model) | copula |
|---|---|---|---|
| SPY–TLT | −0.16 / −0.04 | −0.42 / −0.42 | −0.22 |
| SPY–BTC | +0.08 / +0.07 | +0.45 / +0.30 | +0.19 |
| TLT–GOLD | +0.19 / +0.32 | +0.13 / +0.15 | +0.26 |
Where it adds value: regime-conditional correlation that strengthens from calm to crisis (the copula’s stays flat), and emergent joint-crash lower-tail dependence above the Gaussian baseline (SPY–BTC λlower ≈ 0.19 model vs ≈ 0.11 copula). Where it does not: single-asset daily marginals are at parity with cheap baselines (no unique edge claimed there), the SPY–TLT calm correlation is understated, and the SPY–BTC crisis magnitude is undershot. Stated, then checked.
Live resource: validation://value. The hedge term structure and the 2022 break (a shared drawdown, not a correlation spike) are detailed in the reference.
Synthetic library — falsifiable per-profile claims
The 32 synthetic stress profiles (50 Monte-Carlo replicas per profile × asset) that power the example reports each publish their claimed regime properties — drawdown range, volatility band, autocorrelation, kurtosis, sign-change frequency — alongside the measured aggregate. This is the falsifiable-claims snapshot: where model behaviour aligns with the operational claims and where it deviates.
32
datasets evaluated
50 total
falsifiable claims
9
off-spec
License
CC-BY 4.0 Snapshot generated
2026-05-23Raw JSON
/verifiability_snapshot.json Replicas per dataset
50Aggregated p95 and tail metrics are sample-sensitive at n=50; treat them as indicative rather than precise.
Failure-mode conformance & limitations
Every published scenario clears the volatility-clustering gate — the admissibility requirement for a realistic market. Conformance to the named failure mode is a separate, descriptive measure: the fraction of a profile’s replicas that cross the strict ex-post threshold for the mode it is named for. It is reported, not enforced. The combinations below sit outside their expected band — disclosed as character rather than treated as failures.
| Profile × Asset | Named failure mode | Conformance | Expected band |
|---|---|---|---|
| Demand Destruction × WTI | TREND_DOWN | 28% (14/50) | 40-80% |
| Liquidity Stress Setup Synthetic × BTC | LIQUIDITY_STRESS | 0% (0/50) | 60-90% |
| Liquidity Stress Setup Synthetic × WTI | LIQUIDITY_STRESS | 42% (21/50) | 60-90% |
| Low Vol Grind × GOLD | VOL_COMPRESSION | 22% (11/50) | 60-90% |
| Low Vol Grind × QQQ | VOL_COMPRESSION | 42% (21/50) | 60-90% |
| Low Vol Grind × SPY | VOL_COMPRESSION | 50% (25/50) | 60-90% |
| Low Vol Grind × WTI | VOL_COMPRESSION | 2% (1/50) | 60-90% |
| Sharp Crash Setup Synthetic × BTC | SHARP_CRASH | 0% (0/50) | 20-50% |
| Sharp Crash Setup Synthetic × SPY | SHARP_CRASH | 52% (26/50) | 20-50% |
| Slow Decline With Partial Recovery × GOLD | SIDEWAYS | 14% (7/50) | 30-70% |
| Slow Stagflation × QQQ | VOL_EXPANSION | 34% (17/50) | 60-90% |
| Slow Stagflation × SPY | VOL_EXPANSION | 56% (28/50) | 60-90% |
| Vol Expansion Setup Synthetic × BTC | VOL_EXPANSION | 0% (0/50) | 60-90% |
| Vol Expansion Setup Synthetic × QQQ | VOL_EXPANSION | 28% (14/50) | 60-90% |
| Vol Expansion Setup Synthetic × SPY | VOL_EXPANSION | 48% (24/50) | 60-90% |
| Whipsaw Synthetic × BTC | WHIPSAW | 32% (16/50) | 50-80% |
| Whipsaw Synthetic × ETH | WHIPSAW | 28% (14/50) | 50-80% |
| Whipsaw Synthetic × QQQ | WHIPSAW | 38% (19/50) | 50-80% |
| Whipsaw Synthetic × SPY | WHIPSAW | 26% (13/50) | 50-80% |
19 of the banded profile-asset combinations sit outside their expected band in the current snapshot; these figures are read directly from the published library and update with it.
Why most of these occur. The majority follow directly from prioritising the clustering gate. A profile’s regime volatility is set to the level that preserves realistic clustering; for several volatility-expansion and -compression profiles, that level sits below the band’s intensity threshold. Where reproducing realistic clustering and maximising a failure mode’s intensity pull apart, clustering takes precedence — a price path a strategy genuinely responds to is worth more than one that fits a label more neatly.
Bitcoin is a special case. The failure-mode definitions are asset-uniform, referenced to each asset’s own long-run volatility. Bitcoin’s reference is already very high (~0.8 annualised), and even its historical stress events (Crypto Winter, Luna, FTX) do not cross the relative threshold — so volatility-based modes register near-zero conformance for synthetic Bitcoin as well. This is a limit of an asset-uniform definition, not of the scenario.
Methodology limitations & open issues
- Tail thickness on GOLD / BTC. Synthetic daily kurtosis for gold and crypto comes out below the historical band — the one stylized fact (of eighteen) those two assets miss. Disclosed as a residual; for those assets the empirical anchors carry the tail evidence.
- Identifiability per asset. The failure-mode gating definitions are not guaranteed to be separating across all assets — Bitcoin is the clearest case, where even historical stress events do not cross the relative threshold. Identifiability is assessed per asset against the empirical anchors.
- Power of test at n=50. With p̂ ≈ 0.5, the Wilson 95% CI half-width is ~14pp. Small effect sizes (≤14pp from band) are not statistically separable from sampling noise. Larger n is needed to resolve marginal cases.
- Multiple testing. The conformance check spans many profile-asset-failure-mode combinations with no multiplicity correction; some off-band combinations may reflect sampling variation rather than a true effect. The full set is reported rather than filtered.
- Window-mixing in 6-month case slices. Stress events concentrated within a sub-window of the case (e.g. Volmageddon 2018 was a 1-day VIX spike inside a 6-month window) get diluted in aggregate statistics. Six-month windows were chosen for trading-strategy realism, not failure-mode identifiability — a conscious trade-off.
- Anchor selection bias. The 31 empirical anchors were selected for stress severity and event-type coverage, not by random sampling — selection favours canonical events (Lehman, Dotcom, COVID) over the full distribution of stress regimes history produced.
- No out-of-sample walk-forward. Robustness scores are computed in-sample relative to the curated catalog; strategies are not validated on held-out post-catalog periods. On the roadmap, not yet implemented.
- Replica non-independence. Within a profile-asset combination, the 50 replicas share antecedent-phase parameters; the effective sample size is below 50, so the true uncertainty around each conformance figure is wider than a nominal n=50 implies.
Per-dataset claim validation
Each card lists the synthetic profile, the failure mode it claims to represent, and the result of comparing the claimed operational properties against the median across 50 Monte-Carlo replicas. Expand for full claim text, measured values, and aggregated metric distributions.
Demand DestructionWTITREND_DOWN + VOL_EXPANSION2 of 2 claims off-spec·50 replicas·126d stress + 250d pre-period
Demand DestructionWTITREND_DOWN + VOL_EXPANSION
2 of 2 claims off-spec·50 replicas·126d stress + 250d pre-period
Imposed conditions for sustained downward trajectory with vol expansion (oil-specific).
Claim validation
Total return over case (TREND_DOWN aspect)off-spec
Claim: deep decline, methodology −25% to −60%
Measured median: -0.1258
Measured median (-0.1258) is above the claimed upper bound (-0.2000). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation).
Realized volatility (VOL_EXPANSION aspect)off-spec
Claim: ≥ 1.5× WTI baseline (~0.45); methodology gating
Measured median: 0.2614
Measured median (0.2614) is below the claimed lower bound (0.4500). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation).
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.3714 | -0.2138 | -0.1258 | -0.0102 | 0.2273 |
| realized_vol_annualized | 0.1725 | 0.2145 | 0.2614 | 0.3024 | 0.4051 |
| max_drawdown | -0.4306 | -0.3000 | -0.2314 | -0.1605 | -0.0963 |
| autocorrelation_lag1 | -0.2040 | -0.0868 | -0.0083 | 0.0837 | 0.1520 |
| kurtosis | 0.0172 | 0.2547 | 0.6417 | 1.7971 | 3.3663 |
| skewness | -0.6871 | -0.3372 | -0.1133 | 0.1678 | 0.5081 |
| tail_p1 | -0.0607 | -0.0481 | -0.0399 | -0.0341 | -0.0236 |
| tail_p99 | 0.0230 | 0.0299 | 0.0370 | 0.0420 | 0.0579 |
| sign_change_frequency | 0.4266 | 0.4698 | 0.5000 | 0.5444 | 0.5815 |
| vol_of_vol | 0.0330 | 0.0427 | 0.0591 | 0.0752 | 0.1290 |
| avg_run_length | 1.7103 | 1.8251 | 1.9841 | 2.1098 | 2.3199 |
| rolling_30d_max_dd | -0.2860 | -0.2270 | -0.1800 | -0.1332 | -0.0891 |
| crash_window_vol | 0.1354 | 0.2166 | 0.2637 | 0.3454 | 0.4505 |
| retracement_from_trough | 0.0000 | 0.0662 | 0.1513 | 0.5220 | 0.9412 |
| sign_changes_5pct_count | 2.4500 | 4.0000 | 6.0000 | 8.0000 | 15.0000 |
Source file: demand_destruction_wti.json
Pre-period regime: range_high_vol
Sample seeds (first 5): 5900, 5901, 5902, 5903, 5904
Hyperinflation BoostGOLDTREND_UP + VOL_EXPANSION2 of 2 claims off-spec·50 replicas·126d stress + 250d pre-period
Hyperinflation BoostGOLDTREND_UP + VOL_EXPANSION
2 of 2 claims off-spec·50 replicas·126d stress + 250d pre-period
Imposed conditions for persistent upward advance with elevated volatility (gold-specific).
Claim validation
Total return over case (TREND_UP aspect)off-spec
Claim: sustained advance, methodology +8% to +25% (annualized 4-6mo)
Measured median: 0.2883
Measured median (0.2883) is above the claimed upper bound (0.2500). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation).
Realized volatility (VOL_EXPANSION aspect)off-spec
Claim: ≥ 1.5× GOLD baseline (~0.20); methodology gating
Measured median: 0.1703
Measured median (0.1703) is below the claimed lower bound (0.1950). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation).
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.0919 | 0.0842 | 0.2883 | 0.4525 | 0.6920 |
| realized_vol_annualized | 0.1152 | 0.1448 | 0.1703 | 0.2187 | 0.2893 |
| max_drawdown | -0.2861 | -0.1363 | -0.0811 | -0.0537 | -0.0309 |
| autocorrelation_lag1 | -0.1814 | -0.0635 | -0.0005 | 0.0772 | 0.1589 |
| kurtosis | -0.2681 | 0.3372 | 1.0080 | 2.0906 | 6.4300 |
| skewness | -1.2623 | -0.5495 | -0.1178 | 0.0625 | 0.3836 |
| tail_p1 | -0.0528 | -0.0375 | -0.0247 | -0.0179 | -0.0128 |
| tail_p99 | 0.0187 | 0.0225 | 0.0258 | 0.0335 | 0.0478 |
| sign_change_frequency | 0.4032 | 0.4355 | 0.4677 | 0.5060 | 0.5456 |
| vol_of_vol | 0.0167 | 0.0256 | 0.0430 | 0.0790 | 0.1095 |
| avg_run_length | 1.8217 | 1.9609 | 2.1186 | 2.2727 | 2.4510 |
| rolling_30d_max_dd | -0.2544 | -0.1348 | -0.0811 | -0.0537 | -0.0309 |
| crash_window_vol | 0.1250 | 0.1615 | 0.2062 | 0.2873 | 0.4066 |
| retracement_from_trough | 0.0121 | 0.5309 | 1.5423 | 4.4369 | 8.9956 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 3.5000 | 5.0000 | 9.0000 |
Source file: hyperinflation_boost_gold.json
Pre-period regime: inflationary_upcycle
Sample seeds (first 5): 797, 798, 799, 800, 801
Liquidity Stress Setup SyntheticBTC all claims in-band·50 replicas·126d stress + 250d pre-period
Liquidity Stress Setup SyntheticBTC
all claims in-band·50 replicas·126d stress + 250d pre-period
Claim validation
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.4358 | -0.2356 | -0.1480 | -0.0192 | 0.2125 |
| realized_vol_annualized | 0.2564 | 0.3256 | 0.3865 | 0.4363 | 0.5142 |
| max_drawdown | -0.4805 | -0.3750 | -0.3016 | -0.2345 | -0.1253 |
| autocorrelation_lag1 | -0.2325 | -0.1143 | -0.0074 | 0.0629 | 0.1527 |
| kurtosis | -0.2848 | 0.1707 | 0.6797 | 2.0924 | 4.7224 |
| skewness | -0.9798 | -0.3108 | -0.1320 | 0.1694 | 0.5151 |
| tail_p1 | -0.0944 | -0.0732 | -0.0593 | -0.0475 | -0.0398 |
| tail_p99 | 0.0326 | 0.0425 | 0.0523 | 0.0669 | 0.0826 |
| sign_change_frequency | 0.4472 | 0.4758 | 0.4919 | 0.5242 | 0.5887 |
| vol_of_vol | 0.0405 | 0.0506 | 0.0748 | 0.1293 | 0.1857 |
| avg_run_length | 1.6892 | 1.8939 | 2.0161 | 2.0833 | 2.2145 |
| rolling_30d_max_dd | -0.3339 | -0.2946 | -0.2365 | -0.1890 | -0.1212 |
| crash_window_vol | 0.2692 | 0.3246 | 0.4108 | 0.5078 | 0.6969 |
| retracement_from_trough | 0.0000 | 0.0723 | 0.3335 | 0.6275 | 1.9936 |
| sign_changes_5pct_count | 5.4500 | 8.0000 | 10.5000 | 13.7500 | 18.5500 |
Source file: liquidity_stress_setup_synthetic_btc.json
Pre-period regime: unstable_decay
Sample seeds (first 5): 5186, 5187, 5188, 5189, 5190
Liquidity Stress Setup SyntheticSPY all claims in-band·50 replicas·126d stress + 250d pre-period
Liquidity Stress Setup SyntheticSPY
all claims in-band·50 replicas·126d stress + 250d pre-period
Claim validation
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.5162 | -0.3517 | -0.2604 | -0.0550 | 0.3009 |
| realized_vol_annualized | 0.2580 | 0.3101 | 0.3534 | 0.4108 | 0.5190 |
| max_drawdown | -0.5567 | -0.4120 | -0.3197 | -0.2453 | -0.1160 |
| autocorrelation_lag1 | -0.1853 | -0.0555 | -0.0032 | 0.0810 | 0.1419 |
| kurtosis | -0.0842 | 0.2497 | 0.8679 | 1.6249 | 3.9137 |
| skewness | -0.7138 | -0.3521 | -0.0625 | 0.0874 | 0.6794 |
| tail_p1 | -0.0938 | -0.0698 | -0.0514 | -0.0428 | -0.0373 |
| tail_p99 | 0.0326 | 0.0394 | 0.0518 | 0.0660 | 0.0783 |
| sign_change_frequency | 0.4185 | 0.4617 | 0.4960 | 0.5464 | 0.5770 |
| vol_of_vol | 0.0370 | 0.0600 | 0.0769 | 0.1185 | 0.2001 |
| avg_run_length | 1.7230 | 1.8182 | 2.0001 | 2.1460 | 2.3638 |
| rolling_30d_max_dd | -0.4394 | -0.3130 | -0.2292 | -0.1848 | -0.1114 |
| crash_window_vol | 0.2167 | 0.2907 | 0.3690 | 0.4912 | 0.7043 |
| retracement_from_trough | 0.0000 | 0.0277 | 0.1124 | 0.3919 | 1.9333 |
| sign_changes_5pct_count | 5.0000 | 7.2500 | 10.0000 | 12.0000 | 16.1000 |
Source file: liquidity_stress_setup_synthetic_spy.json
Pre-period regime: weak_bear
Sample seeds (first 5): 4784, 4785, 4786, 4787, 4788
Liquidity Stress Setup SyntheticWTI all claims in-band·50 replicas·126d stress + 250d pre-period
Liquidity Stress Setup SyntheticWTI
all claims in-band·50 replicas·126d stress + 250d pre-period
Claim validation
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.6028 | -0.4280 | -0.2687 | 0.0098 | 0.3427 |
| realized_vol_annualized | 0.3105 | 0.3748 | 0.4553 | 0.5468 | 0.6964 |
| max_drawdown | -0.6972 | -0.5292 | -0.3848 | -0.3142 | -0.1867 |
| autocorrelation_lag1 | -0.1418 | -0.0389 | 0.0303 | 0.0798 | 0.1850 |
| kurtosis | -0.5271 | 0.0002 | 1.0301 | 2.3129 | 3.7991 |
| skewness | -0.9747 | -0.3646 | -0.0838 | 0.1486 | 0.5564 |
| tail_p1 | -0.1285 | -0.0902 | -0.0709 | -0.0564 | -0.0447 |
| tail_p99 | 0.0390 | 0.0470 | 0.0595 | 0.0849 | 0.1132 |
| sign_change_frequency | 0.4508 | 0.4758 | 0.5000 | 0.5161 | 0.5528 |
| vol_of_vol | 0.0439 | 0.0587 | 0.1214 | 0.1825 | 0.2815 |
| avg_run_length | 1.7974 | 1.9231 | 1.9841 | 2.0833 | 2.1975 |
| rolling_30d_max_dd | -0.5182 | -0.3772 | -0.3028 | -0.2411 | -0.1742 |
| crash_window_vol | 0.2897 | 0.3596 | 0.4512 | 0.7222 | 0.9843 |
| retracement_from_trough | 0.0014 | 0.0669 | 0.1800 | 0.4139 | 0.7786 |
| sign_changes_5pct_count | 5.4500 | 10.0000 | 13.0000 | 16.0000 | 20.0000 |
Source file: liquidity_stress_setup_synthetic_wti.json
Pre-period regime: demand_weakness
Sample seeds (first 5): 3665, 3666, 3667, 3668, 3669
Low Vol GrindGOLDVOL_COMPRESSION all claims in-band·50 replicas·252d stress + 250d pre-period
Low Vol GrindGOLDVOL_COMPRESSION
all claims in-band·50 replicas·252d stress + 250d pre-period
Sustained suppression of realized volatility over multiple months.
Claim validation
Realized volatility (annualized)in-band
Claim: 0.4–0.7× GOLD baseline (~0.05–0.09)
Measured median: 0.1004
within claimed range
Maximum drawdown (median)in-band
Claim: shallow drawdowns < 8% (non-VIX) per methodology
Measured median: -0.0870
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.1527 | -0.0182 | 0.0549 | 0.1368 | 0.2600 |
| realized_vol_annualized | 0.0762 | 0.0889 | 0.1004 | 0.1127 | 0.1348 |
| max_drawdown | -0.2172 | -0.1253 | -0.0870 | -0.0609 | -0.0407 |
| autocorrelation_lag1 | -0.1171 | -0.0565 | -0.0126 | 0.0372 | 0.1079 |
| kurtosis | -0.2674 | 0.0412 | 0.5653 | 1.4558 | 2.5469 |
| skewness | -0.4945 | -0.3053 | -0.1006 | 0.0900 | 0.4712 |
| tail_p1 | -0.0225 | -0.0174 | -0.0148 | -0.0126 | -0.0101 |
| tail_p99 | 0.0115 | 0.0128 | 0.0151 | 0.0174 | 0.0216 |
| sign_change_frequency | 0.4494 | 0.4810 | 0.5040 | 0.5200 | 0.5604 |
| vol_of_vol | 0.0125 | 0.0156 | 0.0208 | 0.0318 | 0.0443 |
| avg_run_length | 1.7790 | 1.9160 | 1.9764 | 2.0701 | 2.2148 |
| rolling_30d_max_dd | -0.1623 | -0.0908 | -0.0713 | -0.0570 | -0.0365 |
| crash_window_vol | 0.0738 | 0.0901 | 0.1080 | 0.1441 | 0.1959 |
| retracement_from_trough | 0.1062 | 0.2525 | 0.6930 | 1.3911 | 3.9378 |
| sign_changes_5pct_count | 1.0000 | 1.0000 | 3.0000 | 4.0000 | 7.0000 |
Source file: low_vol_grind_gold.json
Pre-period regime: range
Sample seeds (first 5): 1025, 1026, 1027, 1028, 1029
Low Vol GrindQQQVOL_COMPRESSION all claims in-band·50 replicas·252d stress + 250d pre-period
Low Vol GrindQQQVOL_COMPRESSION
all claims in-band·50 replicas·252d stress + 250d pre-period
Sustained suppression of realized volatility over multiple months.
Claim validation
Realized volatility (annualized)in-band
Claim: 0.4–0.7× QQQ baseline (~0.08–0.15)
Measured median: 0.1097
within claimed range
Maximum drawdown (median)in-band
Claim: shallow drawdowns < 8% (non-VIX) per methodology
Measured median: -0.0757
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.2191 | 0.0332 | 0.1387 | 0.2150 | 0.3364 |
| realized_vol_annualized | 0.0797 | 0.0932 | 0.1097 | 0.1195 | 0.1442 |
| max_drawdown | -0.3017 | -0.1294 | -0.0757 | -0.0585 | -0.0334 |
| autocorrelation_lag1 | -0.1258 | -0.0429 | 0.0075 | 0.0332 | 0.1585 |
| kurtosis | -0.2426 | 0.1380 | 1.0048 | 2.1228 | 3.2536 |
| skewness | -0.7069 | -0.3623 | -0.1370 | 0.0373 | 0.2403 |
| tail_p1 | -0.0270 | -0.0208 | -0.0163 | -0.0132 | -0.0113 |
| tail_p99 | 0.0124 | 0.0130 | 0.0156 | 0.0181 | 0.0232 |
| sign_change_frequency | 0.4436 | 0.4760 | 0.4960 | 0.5160 | 0.5382 |
| vol_of_vol | 0.0125 | 0.0172 | 0.0284 | 0.0363 | 0.0521 |
| avg_run_length | 1.8517 | 1.9308 | 2.0080 | 2.0917 | 2.2433 |
| rolling_30d_max_dd | -0.1996 | -0.1027 | -0.0703 | -0.0524 | -0.0334 |
| crash_window_vol | 0.0751 | 0.0992 | 0.1252 | 0.1602 | 0.2226 |
| retracement_from_trough | 0.0055 | 0.1481 | 0.7957 | 2.1917 | 6.1691 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 3.0000 | 4.0000 | 6.0000 |
Source file: low_vol_grind_qqq.json
Pre-period regime: bull_trend
Sample seeds (first 5): 7939, 7940, 7941, 7942, 7943
Low Vol GrindSPYVOL_COMPRESSION all claims in-band·50 replicas·252d stress + 250d pre-period
Low Vol GrindSPYVOL_COMPRESSION
all claims in-band·50 replicas·252d stress + 250d pre-period
Sustained suppression of realized volatility over multiple months.
Claim validation
Realized volatility (annualized)in-band
Claim: 0.4–0.7× SPY baseline (~0.06–0.11)
Measured median: 0.1035
within claimed range
Maximum drawdown (median)in-band
Claim: shallow drawdowns < 8% (non-VIX) per methodology
Measured median: -0.0782
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.1349 | 0.0386 | 0.1078 | 0.2110 | 0.3450 |
| realized_vol_annualized | 0.0814 | 0.0898 | 0.1035 | 0.1150 | 0.1371 |
| max_drawdown | -0.2175 | -0.1405 | -0.0782 | -0.0587 | -0.0389 |
| autocorrelation_lag1 | -0.0791 | -0.0286 | 0.0172 | 0.0671 | 0.1085 |
| kurtosis | -0.3138 | 0.3014 | 1.0435 | 1.6832 | 4.8046 |
| skewness | -0.7696 | -0.4138 | -0.1600 | -0.0661 | 0.2502 |
| tail_p1 | -0.0256 | -0.0192 | -0.0154 | -0.0127 | -0.0112 |
| tail_p99 | 0.0108 | 0.0131 | 0.0149 | 0.0173 | 0.0199 |
| sign_change_frequency | 0.4378 | 0.4690 | 0.4900 | 0.5040 | 0.5386 |
| vol_of_vol | 0.0125 | 0.0177 | 0.0231 | 0.0364 | 0.0510 |
| avg_run_length | 1.8506 | 1.9764 | 2.0324 | 2.1227 | 2.2726 |
| rolling_30d_max_dd | -0.1701 | -0.1006 | -0.0673 | -0.0571 | -0.0384 |
| crash_window_vol | 0.0772 | 0.0932 | 0.1237 | 0.1689 | 0.2165 |
| retracement_from_trough | 0.0339 | 0.2838 | 0.8722 | 2.0547 | 5.4774 |
| sign_changes_5pct_count | 1.0000 | 1.2500 | 3.0000 | 4.0000 | 5.5500 |
Source file: low_vol_grind_spy.json
Pre-period regime: bull_trend
Sample seeds (first 5): 2181, 2182, 2183, 2184, 2185
Low Vol GrindWTIVOL_COMPRESSION1 of 2 claim off-spec·50 replicas·252d stress + 250d pre-period
Low Vol GrindWTIVOL_COMPRESSION
1 of 2 claim off-spec·50 replicas·252d stress + 250d pre-period
Sustained suppression of realized volatility over multiple months.
Claim validation
Realized volatility (annualized)in-band
Claim: 0.4–0.7× WTI baseline (~0.12–0.21)
Measured median: 0.1149
within claimed range
Maximum drawdown (median)off-spec
Claim: shallow drawdowns < 8% (non-VIX) per methodology
Measured median: -0.1246
Measured median (-0.1246) is below the claimed lower bound (-0.0800). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation).
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.2366 | -0.1241 | -0.0040 | 0.0680 | 0.1830 |
| realized_vol_annualized | 0.0829 | 0.0925 | 0.1149 | 0.1322 | 0.1434 |
| max_drawdown | -0.2566 | -0.1830 | -0.1246 | -0.0886 | -0.0427 |
| autocorrelation_lag1 | -0.1208 | -0.0475 | 0.0106 | 0.0709 | 0.1168 |
| kurtosis | -0.1745 | 0.3501 | 0.8163 | 1.5855 | 3.2478 |
| skewness | -0.8950 | -0.4624 | -0.2569 | -0.0169 | 0.2369 |
| tail_p1 | -0.0264 | -0.0214 | -0.0192 | -0.0146 | -0.0109 |
| tail_p99 | 0.0110 | 0.0137 | 0.0163 | 0.0187 | 0.0234 |
| sign_change_frequency | 0.4600 | 0.4770 | 0.4920 | 0.5160 | 0.5480 |
| vol_of_vol | 0.0137 | 0.0207 | 0.0283 | 0.0394 | 0.0504 |
| avg_run_length | 1.8188 | 1.9308 | 2.0242 | 2.0873 | 2.1638 |
| rolling_30d_max_dd | -0.1871 | -0.1340 | -0.0970 | -0.0672 | -0.0416 |
| crash_window_vol | 0.0812 | 0.1067 | 0.1429 | 0.1727 | 0.2013 |
| retracement_from_trough | 0.0103 | 0.1005 | 0.3160 | 0.8080 | 3.4648 |
| sign_changes_5pct_count | 1.0000 | 2.2500 | 3.0000 | 4.0000 | 6.5500 |
Source file: low_vol_grind_wti.json
Pre-period regime: range_high_vol
Sample seeds (first 5): 1062, 1063, 1064, 1065, 1066
Sharp Crash Setup SyntheticBTCSHARP_CRASH (conditional)1 of 2 claim off-spec·50 replicas·126d stress + 250d pre-period
Sharp Crash Setup SyntheticBTCSHARP_CRASH (conditional)
1 of 2 claim off-spec·50 replicas·126d stress + 250d pre-period
Imposed conditions for an institutional risk-off shock — regime-switching simulator produces a spectrum of outcomes; per-replica conformance to SHARP_CRASH gating (≥20% rolling-30d DD AND ≥1.5× crash-window vol) varies in the 20-50% band per methodology expectations.
Claim validation
Realized volatility over case (descriptive)off-spec
Claim: elevated case-wide vol; aggregate proxy for crash-window vol-spike
Measured median: 0.2933
Measured median (0.2933) is below the claimed lower bound (0.8000). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation). (crypto-asset; relative-to-baseline criterion)
Excess kurtosis (tail-modality descriptive)in-band
Claim: fat-tailed return distribution typical of SHARP_CRASH events; ≥ 1.5 indicates tail-intensified sub-classification
Measured median: 6.4586
within claimed range (crypto-asset; relative-to-baseline criterion)
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.6503 | -0.4313 | -0.0535 | 0.1341 | 0.5642 |
| realized_vol_annualized | 0.2195 | 0.2562 | 0.2933 | 0.3297 | 0.3946 |
| max_drawdown | -0.6739 | -0.4905 | -0.2123 | -0.1416 | -0.1052 |
| autocorrelation_lag1 | -0.2312 | -0.0962 | 0.0091 | 0.1692 | 0.3114 |
| kurtosis | 3.0233 | 4.5283 | 6.4586 | 8.5134 | 11.1157 |
| skewness | -1.6041 | -0.9014 | -0.3482 | 0.4099 | 1.0534 |
| tail_p1 | -0.0907 | -0.0656 | -0.0571 | -0.0482 | -0.0363 |
| tail_p99 | 0.0356 | 0.0411 | 0.0499 | 0.0609 | 0.0725 |
| sign_change_frequency | 0.3306 | 0.4274 | 0.4798 | 0.5141 | 0.5689 |
| vol_of_vol | 0.1247 | 0.1479 | 0.1734 | 0.2071 | 0.2600 |
| avg_run_length | 1.7471 | 1.9306 | 2.0663 | 2.3148 | 2.9762 |
| rolling_30d_max_dd | -0.4604 | -0.3434 | -0.2123 | -0.1416 | -0.1052 |
| crash_window_vol | 0.2444 | 0.3515 | 0.4427 | 0.5520 | 0.6678 |
| retracement_from_trough | 0.0000 | 0.0057 | 0.3080 | 0.9166 | 2.8660 |
| sign_changes_5pct_count | 3.0000 | 5.0000 | 5.0000 | 7.0000 | 8.5500 |
Source file: sharp_crash_setup_synthetic_btc.json
Pre-period regime: parabolic_bull
Sample seeds (first 5): 4458, 4459, 4460, 4461, 4462
Sharp Crash Setup SyntheticQQQSHARP_CRASH (conditional) all claims in-band·50 replicas·126d stress + 250d pre-period
Sharp Crash Setup SyntheticQQQSHARP_CRASH (conditional)
all claims in-band·50 replicas·126d stress + 250d pre-period
Imposed conditions for an institutional risk-off shock — regime-switching simulator produces a spectrum of outcomes; per-replica conformance to SHARP_CRASH gating (≥20% rolling-30d DD AND ≥1.5× crash-window vol) varies in the 20-50% band per methodology expectations.
Claim validation
Realized volatility over case (descriptive)in-band
Claim: elevated case-wide vol; aggregate proxy for crash-window vol-spike
Measured median: 0.2923
within claimed range
Excess kurtosis (tail-modality descriptive)in-band
Claim: fat-tailed return distribution typical of SHARP_CRASH events; ≥ 1.5 indicates tail-intensified sub-classification
Measured median: 6.8839
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.6070 | -0.2834 | -0.1249 | 0.0456 | 0.3870 |
| realized_vol_annualized | 0.2148 | 0.2561 | 0.2923 | 0.3339 | 0.3775 |
| max_drawdown | -0.6161 | -0.3809 | -0.2427 | -0.1704 | -0.0870 |
| autocorrelation_lag1 | -0.2907 | -0.0560 | 0.0459 | 0.1289 | 0.2227 |
| kurtosis | 3.4536 | 5.1376 | 6.8839 | 9.4886 | 12.1682 |
| skewness | -2.0571 | -1.0771 | -0.1065 | 0.6360 | 1.4915 |
| tail_p1 | -0.0798 | -0.0690 | -0.0561 | -0.0498 | -0.0332 |
| tail_p99 | 0.0273 | 0.0447 | 0.0518 | 0.0630 | 0.0779 |
| sign_change_frequency | 0.3335 | 0.4294 | 0.4758 | 0.5141 | 0.5484 |
| vol_of_vol | 0.1238 | 0.1561 | 0.1784 | 0.2125 | 0.2390 |
| avg_run_length | 1.8116 | 1.9306 | 2.0833 | 2.3043 | 2.9552 |
| rolling_30d_max_dd | -0.4388 | -0.3001 | -0.2321 | -0.1666 | -0.0817 |
| crash_window_vol | 0.1839 | 0.3444 | 0.4282 | 0.4876 | 0.6746 |
| retracement_from_trough | 0.0000 | 0.0041 | 0.2498 | 0.7140 | 3.3913 |
| sign_changes_5pct_count | 2.0000 | 4.0000 | 6.0000 | 7.0000 | 9.0000 |
Source file: sharp_crash_setup_synthetic_qqq.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 8198, 8199, 8200, 8201, 8202
Sharp Crash Setup SyntheticSPYSHARP_CRASH (conditional) all claims in-band·50 replicas·126d stress + 250d pre-period
Sharp Crash Setup SyntheticSPYSHARP_CRASH (conditional)
all claims in-band·50 replicas·126d stress + 250d pre-period
Imposed conditions for an institutional risk-off shock — regime-switching simulator produces a spectrum of outcomes; per-replica conformance to SHARP_CRASH gating (≥20% rolling-30d DD AND ≥1.5× crash-window vol) varies in the 20-50% band per methodology expectations.
Claim validation
Realized volatility over case (descriptive)in-band
Claim: elevated case-wide vol; aggregate proxy for crash-window vol-spike
Measured median: 0.2905
within claimed range
Excess kurtosis (tail-modality descriptive)in-band
Claim: fat-tailed return distribution typical of SHARP_CRASH events; ≥ 1.5 indicates tail-intensified sub-classification
Measured median: 6.3956
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.6545 | -0.2078 | -0.0390 | 0.2231 | 0.4185 |
| realized_vol_annualized | 0.2297 | 0.2699 | 0.2905 | 0.3305 | 0.3860 |
| max_drawdown | -0.6825 | -0.3185 | -0.2108 | -0.1221 | -0.0761 |
| autocorrelation_lag1 | -0.2967 | -0.1274 | -0.0064 | 0.1144 | 0.2121 |
| kurtosis | 3.2769 | 5.0335 | 6.3956 | 8.1461 | 11.8030 |
| skewness | -1.8283 | -0.8023 | 0.0051 | 0.9297 | 1.9091 |
| tail_p1 | -0.0900 | -0.0664 | -0.0571 | -0.0447 | -0.0370 |
| tail_p99 | 0.0341 | 0.0432 | 0.0550 | 0.0633 | 0.0872 |
| sign_change_frequency | 0.3730 | 0.4516 | 0.4758 | 0.5000 | 0.5528 |
| vol_of_vol | 0.1251 | 0.1596 | 0.1861 | 0.2135 | 0.2490 |
| avg_run_length | 1.7974 | 1.9841 | 2.0833 | 2.1930 | 2.6528 |
| rolling_30d_max_dd | -0.4236 | -0.2882 | -0.2051 | -0.1145 | -0.0761 |
| crash_window_vol | 0.1426 | 0.4069 | 0.4854 | 0.5691 | 0.7001 |
| retracement_from_trough | 0.0000 | 0.0661 | 0.2756 | 1.0432 | 3.3597 |
| sign_changes_5pct_count | 2.0000 | 4.0000 | 5.0000 | 6.7500 | 9.5500 |
Source file: sharp_crash_setup_synthetic_spy.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 4056, 4057, 4058, 4059, 4060
Slow Crash No Recovery SyntheticGOLDSLOW_BEAR + TREND_DOWN (adversarial) all claims in-band·50 replicas·126d stress + 250d pre-period
Slow Crash No Recovery SyntheticGOLDSLOW_BEAR + TREND_DOWN (adversarial)
all claims in-band·50 replicas·126d stress + 250d pre-period
Adversarial probe: amplified bear drift + sustained dip-buyer suppression vetoes the rebounds present in real historical slow bears. Tests strategies under conditions strict-historically rare. Expected SLOW_BEAR-conformance 40-80%.
Claim validation
Total return over casein-band
Claim: persistent decline with no rebound, methodology −25% to −60%
Measured median: -0.5260
within claimed range
Maximum drawdown (median)in-band
Claim: drawdowns deepen monotonically; methodology −25% to −70%
Measured median: -0.5327
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.6950 | -0.6110 | -0.5260 | -0.3730 | -0.1648 |
| realized_vol_annualized | 0.1564 | 0.1815 | 0.2105 | 0.2482 | 0.3072 |
| max_drawdown | -0.6966 | -0.6157 | -0.5327 | -0.3730 | -0.1948 |
| autocorrelation_lag1 | -0.0072 | 0.0645 | 0.1634 | 0.2398 | 0.3970 |
| kurtosis | -0.4026 | 0.2986 | 0.9826 | 2.0669 | 4.5092 |
| skewness | -1.3167 | -0.8340 | -0.6276 | -0.3194 | 0.1421 |
| tail_p1 | -0.0560 | -0.0470 | -0.0421 | -0.0362 | -0.0309 |
| tail_p99 | 0.0136 | 0.0165 | 0.0189 | 0.0256 | 0.0440 |
| sign_change_frequency | 0.3226 | 0.3810 | 0.4194 | 0.4738 | 0.5286 |
| vol_of_vol | 0.0248 | 0.0375 | 0.0524 | 0.0704 | 0.0918 |
| avg_run_length | 1.8784 | 2.0922 | 2.3585 | 2.5909 | 3.0488 |
| rolling_30d_max_dd | -0.4086 | -0.3276 | -0.2867 | -0.2423 | -0.1563 |
| crash_window_vol | 0.1399 | 0.2011 | 0.2303 | 0.2719 | 0.3378 |
| retracement_from_trough | 0.0000 | 0.0000 | 0.0053 | 0.0363 | 0.2664 |
| sign_changes_5pct_count | 1.0000 | 1.0000 | 3.0000 | 5.0000 | 7.0000 |
Source file: slow_crash_no_recovery_synthetic_gold.json
Pre-period regime: range
Sample seeds (first 5): 5674, 5675, 5676, 5677, 5678
Slow Crash No Recovery SyntheticQQQSLOW_BEAR + TREND_DOWN (adversarial) all claims in-band·50 replicas·126d stress + 250d pre-period
Slow Crash No Recovery SyntheticQQQSLOW_BEAR + TREND_DOWN (adversarial)
all claims in-band·50 replicas·126d stress + 250d pre-period
Adversarial probe: amplified bear drift + sustained dip-buyer suppression vetoes the rebounds present in real historical slow bears. Tests strategies under conditions strict-historically rare. Expected SLOW_BEAR-conformance 40-80%.
Claim validation
Total return over casein-band
Claim: persistent decline with no rebound, methodology −25% to −60%
Measured median: -0.5046
within claimed range
Maximum drawdown (median)in-band
Claim: drawdowns deepen monotonically; methodology −25% to −70%
Measured median: -0.5089
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.7407 | -0.6123 | -0.5046 | -0.3374 | -0.1381 |
| realized_vol_annualized | 0.1615 | 0.1913 | 0.2190 | 0.2579 | 0.3073 |
| max_drawdown | -0.7410 | -0.6240 | -0.5089 | -0.3808 | -0.2198 |
| autocorrelation_lag1 | 0.0655 | 0.1690 | 0.2564 | 0.3139 | 0.4377 |
| kurtosis | -0.1551 | 0.3843 | 1.1555 | 2.1248 | 5.0023 |
| skewness | -1.4785 | -0.9481 | -0.6110 | -0.1912 | 0.5485 |
| tail_p1 | -0.0605 | -0.0498 | -0.0442 | -0.0369 | -0.0311 |
| tail_p99 | 0.0126 | 0.0152 | 0.0182 | 0.0337 | 0.0445 |
| sign_change_frequency | 0.2726 | 0.3327 | 0.3831 | 0.4274 | 0.4839 |
| vol_of_vol | 0.0238 | 0.0379 | 0.0616 | 0.0768 | 0.1216 |
| avg_run_length | 2.0492 | 2.3148 | 2.5776 | 2.9589 | 3.6036 |
| rolling_30d_max_dd | -0.4581 | -0.3857 | -0.3237 | -0.2525 | -0.1425 |
| crash_window_vol | 0.1550 | 0.1969 | 0.2292 | 0.2764 | 0.3965 |
| retracement_from_trough | 0.0000 | 0.0000 | 0.0125 | 0.0478 | 0.4053 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 3.0000 | 5.0000 | 7.0000 |
Source file: slow_crash_no_recovery_synthetic_qqq.json
Pre-period regime: bull_trend
Sample seeds (first 5): 5763, 5764, 5765, 5766, 5767
Slow Crash No Recovery SyntheticSPYSLOW_BEAR + TREND_DOWN (adversarial) all claims in-band·50 replicas·126d stress + 250d pre-period
Slow Crash No Recovery SyntheticSPYSLOW_BEAR + TREND_DOWN (adversarial)
all claims in-band·50 replicas·126d stress + 250d pre-period
Adversarial probe: amplified bear drift + sustained dip-buyer suppression vetoes the rebounds present in real historical slow bears. Tests strategies under conditions strict-historically rare. Expected SLOW_BEAR-conformance 40-80%.
Claim validation
Total return over casein-band
Claim: persistent decline with no rebound, methodology −25% to −60%
Measured median: -0.4710
within claimed range
Maximum drawdown (median)in-band
Claim: drawdowns deepen monotonically; methodology −25% to −70%
Measured median: -0.4761
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.7424 | -0.6035 | -0.4710 | -0.2162 | -0.0262 |
| realized_vol_annualized | 0.1646 | 0.1878 | 0.2082 | 0.2412 | 0.3007 |
| max_drawdown | -0.7424 | -0.6072 | -0.4761 | -0.3015 | -0.1747 |
| autocorrelation_lag1 | -0.0036 | 0.0824 | 0.1788 | 0.2800 | 0.3785 |
| kurtosis | -0.2883 | 0.6782 | 1.5500 | 2.5665 | 6.1442 |
| skewness | -1.6651 | -1.1153 | -0.6679 | -0.0837 | 0.4355 |
| tail_p1 | -0.0570 | -0.0486 | -0.0433 | -0.0368 | -0.0307 |
| tail_p99 | 0.0125 | 0.0155 | 0.0196 | 0.0302 | 0.0410 |
| sign_change_frequency | 0.2895 | 0.3790 | 0.4113 | 0.4516 | 0.4964 |
| vol_of_vol | 0.0235 | 0.0394 | 0.0541 | 0.0674 | 0.0982 |
| avg_run_length | 1.9985 | 2.1930 | 2.4047 | 2.6042 | 3.3900 |
| rolling_30d_max_dd | -0.4352 | -0.3517 | -0.2730 | -0.2069 | -0.1541 |
| crash_window_vol | 0.1631 | 0.1961 | 0.2386 | 0.2801 | 0.3726 |
| retracement_from_trough | 0.0000 | 0.0000 | 0.0126 | 0.0755 | 0.6807 |
| sign_changes_5pct_count | 1.0000 | 2.2500 | 3.0000 | 4.7500 | 7.5500 |
Source file: slow_crash_no_recovery_synthetic_spy.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 10005, 10006, 10007, 10008, 10009
Slow Decline With Partial RecoveryGOLDSIDEWAYS-with-bearish-bias (mixed FM ex-post) all claims in-band·50 replicas·126d stress + 250d pre-period
Slow Decline With Partial RecoveryGOLDSIDEWAYS-with-bearish-bias (mixed FM ex-post)
all claims in-band·50 replicas·126d stress + 250d pre-period
Imposed conditions for moderate bear regime where mid-period rebounds are permitted. Per-replica ex-post FM distribution: primarily SIDEWAYS (42-64%) + WHIPSAW (22-38%) + scattered SLOW_BEAR/TREND_DOWN. The mild bearish drift produces sideways-with-bear-bias rather than full SLOW_BEAR — empirical characterization, not a profile failure.
Claim validation
Total return over casein-band
Claim: moderate decline with mid-period rebounds permitted, typically −5% to −20%
Measured median: -0.2435
within claimed range
Maximum drawdown (median)in-band
Claim: moderate drawdowns, typically −10% to −25%
Measured median: -0.2580
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.4247 | -0.3202 | -0.2435 | -0.1216 | 0.0196 |
| realized_vol_annualized | 0.1343 | 0.1531 | 0.1782 | 0.2091 | 0.3109 |
| max_drawdown | -0.4363 | -0.3380 | -0.2580 | -0.1887 | -0.1096 |
| autocorrelation_lag1 | -0.1532 | -0.0307 | 0.0389 | 0.1147 | 0.2019 |
| kurtosis | -0.2668 | 0.2690 | 0.8548 | 1.5141 | 3.1881 |
| skewness | -0.8557 | -0.4418 | -0.1829 | 0.1337 | 0.3166 |
| tail_p1 | -0.0494 | -0.0361 | -0.0311 | -0.0270 | -0.0226 |
| tail_p99 | 0.0150 | 0.0182 | 0.0223 | 0.0308 | 0.0450 |
| sign_change_frequency | 0.4068 | 0.4516 | 0.4839 | 0.5000 | 0.5448 |
| vol_of_vol | 0.0191 | 0.0328 | 0.0419 | 0.0593 | 0.0974 |
| avg_run_length | 1.8236 | 1.9841 | 2.0492 | 2.1930 | 2.4298 |
| rolling_30d_max_dd | -0.2733 | -0.2138 | -0.1687 | -0.1312 | -0.0909 |
| crash_window_vol | 0.1338 | 0.1571 | 0.1836 | 0.2401 | 0.3353 |
| retracement_from_trough | 0.0000 | 0.0066 | 0.0477 | 0.1120 | 0.6339 |
| sign_changes_5pct_count | 1.0000 | 2.2500 | 3.0000 | 5.0000 | 8.1000 |
Source file: slow_decline_with_partial_recovery_gold.json
Pre-period regime: range
Sample seeds (first 5): 6462, 6463, 6464, 6465, 6466
Slow Decline With Partial RecoveryQQQSIDEWAYS-with-bearish-bias (mixed FM ex-post) all claims in-band·50 replicas·126d stress + 250d pre-period
Slow Decline With Partial RecoveryQQQSIDEWAYS-with-bearish-bias (mixed FM ex-post)
all claims in-band·50 replicas·126d stress + 250d pre-period
Imposed conditions for moderate bear regime where mid-period rebounds are permitted. Per-replica ex-post FM distribution: primarily SIDEWAYS (42-64%) + WHIPSAW (22-38%) + scattered SLOW_BEAR/TREND_DOWN. The mild bearish drift produces sideways-with-bear-bias rather than full SLOW_BEAR — empirical characterization, not a profile failure.
Claim validation
Total return over casein-band
Claim: moderate decline with mid-period rebounds permitted, typically −5% to −20%
Measured median: -0.1528
within claimed range
Maximum drawdown (median)in-band
Claim: moderate drawdowns, typically −10% to −25%
Measured median: -0.2108
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.4008 | -0.2458 | -0.1528 | -0.0740 | 0.0220 |
| realized_vol_annualized | 0.1286 | 0.1582 | 0.1764 | 0.1969 | 0.2676 |
| max_drawdown | -0.4227 | -0.2877 | -0.2108 | -0.1607 | -0.0937 |
| autocorrelation_lag1 | -0.1622 | -0.0549 | 0.0252 | 0.0896 | 0.2078 |
| kurtosis | -0.0336 | 0.5277 | 1.3303 | 2.2555 | 4.3883 |
| skewness | -1.0251 | -0.5811 | -0.3132 | -0.1030 | 0.4732 |
| tail_p1 | -0.0444 | -0.0353 | -0.0309 | -0.0259 | -0.0205 |
| tail_p99 | 0.0153 | 0.0185 | 0.0240 | 0.0292 | 0.0395 |
| sign_change_frequency | 0.4194 | 0.4536 | 0.4758 | 0.5081 | 0.5528 |
| vol_of_vol | 0.0232 | 0.0307 | 0.0459 | 0.0652 | 0.0945 |
| avg_run_length | 1.7974 | 1.9531 | 2.0833 | 2.1835 | 2.3585 |
| rolling_30d_max_dd | -0.2549 | -0.1776 | -0.1571 | -0.1186 | -0.0757 |
| crash_window_vol | 0.1344 | 0.1617 | 0.2024 | 0.2470 | 0.3017 |
| retracement_from_trough | 0.0000 | 0.0137 | 0.1005 | 0.2721 | 1.0045 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 3.0000 | 5.0000 | 8.0000 |
Source file: slow_decline_with_partial_recovery_qqq.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 8423, 8424, 8425, 8426, 8427
Slow Decline With Partial RecoverySPYSIDEWAYS-with-bearish-bias (mixed FM ex-post) all claims in-band·50 replicas·126d stress + 250d pre-period
Slow Decline With Partial RecoverySPYSIDEWAYS-with-bearish-bias (mixed FM ex-post)
all claims in-band·50 replicas·126d stress + 250d pre-period
Imposed conditions for moderate bear regime where mid-period rebounds are permitted. Per-replica ex-post FM distribution: primarily SIDEWAYS (42-64%) + WHIPSAW (22-38%) + scattered SLOW_BEAR/TREND_DOWN. The mild bearish drift produces sideways-with-bear-bias rather than full SLOW_BEAR — empirical characterization, not a profile failure.
Claim validation
Total return over casein-band
Claim: moderate decline with mid-period rebounds permitted, typically −5% to −20%
Measured median: -0.1458
within claimed range
Maximum drawdown (median)in-band
Claim: moderate drawdowns, typically −10% to −25%
Measured median: -0.2215
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.3507 | -0.2624 | -0.1458 | -0.0889 | 0.0104 |
| realized_vol_annualized | 0.1278 | 0.1451 | 0.1794 | 0.2079 | 0.2883 |
| max_drawdown | -0.3863 | -0.3056 | -0.2215 | -0.1620 | -0.1065 |
| autocorrelation_lag1 | -0.1364 | -0.0799 | 0.0340 | 0.1037 | 0.2201 |
| kurtosis | 0.0524 | 0.6047 | 1.0901 | 2.1608 | 4.2975 |
| skewness | -0.8344 | -0.5132 | -0.1872 | 0.0221 | 0.5963 |
| tail_p1 | -0.0527 | -0.0381 | -0.0308 | -0.0233 | -0.0192 |
| tail_p99 | 0.0151 | 0.0187 | 0.0226 | 0.0323 | 0.0477 |
| sign_change_frequency | 0.4068 | 0.4597 | 0.4919 | 0.5081 | 0.5617 |
| vol_of_vol | 0.0179 | 0.0295 | 0.0427 | 0.0790 | 0.1132 |
| avg_run_length | 1.7701 | 1.9531 | 2.0161 | 2.1552 | 2.4298 |
| rolling_30d_max_dd | -0.2598 | -0.1890 | -0.1548 | -0.1161 | -0.0927 |
| crash_window_vol | 0.1121 | 0.1369 | 0.1790 | 0.2482 | 0.3927 |
| retracement_from_trough | 0.0000 | 0.0067 | 0.1121 | 0.3592 | 0.9873 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 3.0000 | 5.0000 | 6.5500 |
Source file: slow_decline_with_partial_recovery_spy.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 2409, 2410, 2411, 2412, 2413
Slow StagflationQQQSLOW_BEAR + VOL_EXPANSION1 of 2 claim off-spec·50 replicas·126d stress + 250d pre-period
Slow StagflationQQQSLOW_BEAR + VOL_EXPANSION
1 of 2 claim off-spec·50 replicas·126d stress + 250d pre-period
Imposed conditions for persistent decline combined with elevated realized volatility.
Claim validation
Total return over case (SLOW_BEAR aspect)in-band
Claim: moderate-to-deep decline, methodology −25% to −60%
Measured median: -0.2047
within claimed range
Realized volatility (VOL_EXPANSION aspect)off-spec
Claim: ≥ 1.5× QQQ baseline (~0.32); methodology gating
Measured median: 0.2712
Measured median (0.2712) is below the claimed lower bound (0.3150). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation).
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.4956 | -0.3308 | -0.2047 | -0.0972 | 0.1434 |
| realized_vol_annualized | 0.1863 | 0.2341 | 0.2712 | 0.3311 | 0.4551 |
| max_drawdown | -0.5242 | -0.4021 | -0.2762 | -0.1973 | -0.1611 |
| autocorrelation_lag1 | -0.1575 | -0.0758 | -0.0067 | 0.1021 | 0.1678 |
| kurtosis | -0.2043 | 0.5546 | 1.0897 | 1.7164 | 4.7040 |
| skewness | -0.7796 | -0.4829 | -0.1827 | -0.0714 | 0.3601 |
| tail_p1 | -0.0794 | -0.0607 | -0.0475 | -0.0378 | -0.0312 |
| tail_p99 | 0.0213 | 0.0314 | 0.0358 | 0.0530 | 0.0697 |
| sign_change_frequency | 0.3943 | 0.4677 | 0.4919 | 0.5081 | 0.5484 |
| vol_of_vol | 0.0249 | 0.0438 | 0.0653 | 0.1118 | 0.1667 |
| avg_run_length | 1.8116 | 1.9531 | 2.0161 | 2.1186 | 2.5060 |
| rolling_30d_max_dd | -0.3609 | -0.2885 | -0.2092 | -0.1586 | -0.1098 |
| crash_window_vol | 0.2033 | 0.2497 | 0.3064 | 0.3777 | 0.5725 |
| retracement_from_trough | 0.0137 | 0.0559 | 0.1304 | 0.2630 | 0.8424 |
| sign_changes_5pct_count | 2.4500 | 4.2500 | 7.0000 | 9.0000 | 16.5500 |
Source file: slow_stagflation_qqq.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 1624, 1625, 1626, 1627, 1628
Slow StagflationSPYSLOW_BEAR + VOL_EXPANSION all claims in-band·50 replicas·126d stress + 250d pre-period
Slow StagflationSPYSLOW_BEAR + VOL_EXPANSION
all claims in-band·50 replicas·126d stress + 250d pre-period
Imposed conditions for persistent decline combined with elevated realized volatility.
Claim validation
Total return over case (SLOW_BEAR aspect)in-band
Claim: moderate-to-deep decline, methodology −25% to −60%
Measured median: -0.2744
within claimed range
Realized volatility (VOL_EXPANSION aspect)in-band
Claim: ≥ 1.5× SPY baseline (~0.24); methodology gating
Measured median: 0.2632
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.5287 | -0.3705 | -0.2744 | -0.1981 | -0.0064 |
| realized_vol_annualized | 0.1905 | 0.2203 | 0.2632 | 0.3333 | 0.4216 |
| max_drawdown | -0.5324 | -0.3949 | -0.3235 | -0.2545 | -0.1746 |
| autocorrelation_lag1 | -0.1511 | -0.0450 | 0.0313 | 0.0965 | 0.2125 |
| kurtosis | -0.0932 | 0.2449 | 0.9073 | 1.6680 | 2.9091 |
| skewness | -0.7381 | -0.4196 | -0.1895 | 0.1387 | 0.6599 |
| tail_p1 | -0.0702 | -0.0571 | -0.0433 | -0.0370 | -0.0302 |
| tail_p99 | 0.0204 | 0.0294 | 0.0358 | 0.0492 | 0.0718 |
| sign_change_frequency | 0.4222 | 0.4536 | 0.4919 | 0.5161 | 0.5448 |
| vol_of_vol | 0.0264 | 0.0343 | 0.0552 | 0.1129 | 0.1563 |
| avg_run_length | 1.8236 | 1.9231 | 2.0161 | 2.1835 | 2.3448 |
| rolling_30d_max_dd | -0.4243 | -0.2692 | -0.2106 | -0.1673 | -0.1409 |
| crash_window_vol | 0.2002 | 0.2321 | 0.2797 | 0.3789 | 0.5548 |
| retracement_from_trough | 0.0000 | 0.0000 | 0.0386 | 0.1067 | 0.6760 |
| sign_changes_5pct_count | 3.0000 | 4.0000 | 6.0000 | 8.7500 | 13.0000 |
Source file: slow_stagflation_spy.json
Pre-period regime: weak_bear
Sample seeds (first 5): 7482, 7483, 7484, 7485, 7486
V Recovery Setup SyntheticBTC all claims in-band·50 replicas·126d stress + 250d pre-period
V Recovery Setup SyntheticBTC
all claims in-band·50 replicas·126d stress + 250d pre-period
Claim validation
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.5801 | -0.4524 | -0.0270 | 0.2464 | 0.4237 |
| realized_vol_annualized | 0.1707 | 0.2019 | 0.2216 | 0.2432 | 0.2812 |
| max_drawdown | -0.5874 | -0.4683 | -0.1703 | -0.1218 | -0.0757 |
| autocorrelation_lag1 | -0.2724 | -0.1224 | -0.0395 | 0.0949 | 0.2238 |
| kurtosis | 1.3893 | 2.5489 | 3.8820 | 5.5130 | 10.1593 |
| skewness | -1.3955 | -0.7914 | -0.2440 | 0.1615 | 0.8889 |
| tail_p1 | -0.0583 | -0.0488 | -0.0413 | -0.0357 | -0.0269 |
| tail_p99 | 0.0202 | 0.0302 | 0.0367 | 0.0413 | 0.0587 |
| sign_change_frequency | 0.3343 | 0.3871 | 0.4556 | 0.4980 | 0.5689 |
| vol_of_vol | 0.0735 | 0.0907 | 0.1119 | 0.1375 | 0.1623 |
| avg_run_length | 1.7471 | 1.9921 | 2.1741 | 2.5510 | 2.9450 |
| rolling_30d_max_dd | -0.3724 | -0.2585 | -0.1703 | -0.1176 | -0.0757 |
| crash_window_vol | 0.1552 | 0.2392 | 0.3230 | 0.3931 | 0.4733 |
| retracement_from_trough | 0.0000 | 0.0022 | 0.2447 | 2.1829 | 3.5271 |
| sign_changes_5pct_count | 1.0000 | 3.0000 | 4.0000 | 5.0000 | 7.0000 |
Source file: v_recovery_setup_synthetic_btc.json
Pre-period regime: unstable_decay
Sample seeds (first 5): 4330, 4331, 4332, 4333, 4334
V Recovery Setup SyntheticGOLD all claims in-band·50 replicas·126d stress + 250d pre-period
V Recovery Setup SyntheticGOLD
all claims in-band·50 replicas·126d stress + 250d pre-period
Claim validation
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.5737 | -0.1051 | 0.1138 | 0.3125 | 0.5559 |
| realized_vol_annualized | 0.1778 | 0.1938 | 0.2157 | 0.2531 | 0.2955 |
| max_drawdown | -0.5874 | -0.2831 | -0.1394 | -0.0818 | -0.0636 |
| autocorrelation_lag1 | -0.2598 | -0.1334 | -0.0190 | 0.1174 | 0.2219 |
| kurtosis | 1.6363 | 2.6593 | 4.0171 | 5.6034 | 7.3133 |
| skewness | -1.5915 | -0.7298 | -0.0408 | 0.5242 | 1.0163 |
| tail_p1 | -0.0620 | -0.0513 | -0.0375 | -0.0335 | -0.0255 |
| tail_p99 | 0.0204 | 0.0297 | 0.0380 | 0.0432 | 0.0546 |
| sign_change_frequency | 0.3226 | 0.4355 | 0.4758 | 0.5242 | 0.5698 |
| vol_of_vol | 0.0706 | 0.0902 | 0.1078 | 0.1316 | 0.1622 |
| avg_run_length | 1.7453 | 1.8939 | 2.0833 | 2.2727 | 3.0488 |
| rolling_30d_max_dd | -0.3525 | -0.2668 | -0.1369 | -0.0788 | -0.0636 |
| crash_window_vol | 0.1197 | 0.2038 | 0.2980 | 0.3696 | 0.4806 |
| retracement_from_trough | 0.0000 | 0.1672 | 0.9026 | 3.3282 | 7.2592 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 3.0000 | 4.7500 | 7.0000 |
Source file: v_recovery_setup_synthetic_gold.json
Pre-period regime: range
Sample seeds (first 5): 6109, 6110, 6111, 6112, 6113
V Recovery Setup SyntheticQQQ all claims in-band·50 replicas·126d stress + 250d pre-period
V Recovery Setup SyntheticQQQ
all claims in-band·50 replicas·126d stress + 250d pre-period
Claim validation
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.5430 | -0.2167 | 0.1093 | 0.2622 | 0.4922 |
| realized_vol_annualized | 0.1719 | 0.2065 | 0.2274 | 0.2603 | 0.2868 |
| max_drawdown | -0.5577 | -0.3039 | -0.1510 | -0.0954 | -0.0637 |
| autocorrelation_lag1 | -0.2477 | -0.1236 | -0.0127 | 0.0635 | 0.1966 |
| kurtosis | 1.8485 | 2.7439 | 3.9644 | 5.0591 | 6.9244 |
| skewness | -1.3633 | -0.5099 | -0.1589 | 0.4892 | 1.1747 |
| tail_p1 | -0.0606 | -0.0475 | -0.0409 | -0.0341 | -0.0247 |
| tail_p99 | 0.0270 | 0.0328 | 0.0403 | 0.0510 | 0.0588 |
| sign_change_frequency | 0.3387 | 0.4133 | 0.4637 | 0.5161 | 0.5484 |
| vol_of_vol | 0.0638 | 0.1000 | 0.1213 | 0.1482 | 0.1680 |
| avg_run_length | 1.8116 | 1.9231 | 2.1369 | 2.3925 | 2.9070 |
| rolling_30d_max_dd | -0.3115 | -0.2330 | -0.1418 | -0.0927 | -0.0637 |
| crash_window_vol | 0.1144 | 0.1909 | 0.2725 | 0.3399 | 0.4829 |
| retracement_from_trough | 0.0000 | 0.0171 | 0.7772 | 2.6581 | 7.1661 |
| sign_changes_5pct_count | 2.4500 | 3.0000 | 4.0000 | 5.0000 | 8.0000 |
Source file: v_recovery_setup_synthetic_qqq.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 6198, 6199, 6200, 6201, 6202
V Recovery Setup SyntheticSPY all claims in-band·50 replicas·126d stress + 250d pre-period
V Recovery Setup SyntheticSPY
all claims in-band·50 replicas·126d stress + 250d pre-period
Claim validation
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.5962 | -0.4230 | 0.0665 | 0.2354 | 0.5922 |
| realized_vol_annualized | 0.1728 | 0.2128 | 0.2298 | 0.2517 | 0.2957 |
| max_drawdown | -0.6064 | -0.4721 | -0.1967 | -0.1214 | -0.0699 |
| autocorrelation_lag1 | -0.1213 | -0.0084 | 0.0320 | 0.1146 | 0.2393 |
| kurtosis | 1.5878 | 3.1076 | 4.2863 | 5.9413 | 7.7887 |
| skewness | -1.8567 | -1.0581 | -0.4942 | 0.0406 | 0.7200 |
| tail_p1 | -0.0677 | -0.0531 | -0.0447 | -0.0383 | -0.0289 |
| tail_p99 | 0.0242 | 0.0291 | 0.0359 | 0.0456 | 0.0571 |
| sign_change_frequency | 0.3343 | 0.4032 | 0.4597 | 0.5000 | 0.5456 |
| vol_of_vol | 0.0760 | 0.0965 | 0.1249 | 0.1410 | 0.1783 |
| avg_run_length | 1.8217 | 1.9841 | 2.1552 | 2.4510 | 2.9450 |
| rolling_30d_max_dd | -0.3540 | -0.2574 | -0.1900 | -0.1150 | -0.0699 |
| crash_window_vol | 0.1489 | 0.2653 | 0.3392 | 0.3952 | 0.4658 |
| retracement_from_trough | 0.0000 | 0.0005 | 1.0262 | 1.8603 | 6.3181 |
| sign_changes_5pct_count | 2.0000 | 3.0000 | 4.0000 | 6.0000 | 7.0000 |
Source file: v_recovery_setup_synthetic_spy.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 2056, 2057, 2058, 2059, 2060
Vol Expansion Setup SyntheticBTCVOL_EXPANSION (conditional)1 of 2 claim off-spec·50 replicas·252d stress + 250d pre-period
Vol Expansion Setup SyntheticBTCVOL_EXPANSION (conditional)
1 of 2 claim off-spec·50 replicas·252d stress + 250d pre-period
Imposed conditions for sustained vol elevation via persistent HFT withdrawal and vol-trader amplification — per-replica conformance to VOL_EXPANSION gating (median ≥1.5× baseline AND ≥2 distinct windows ≥1.5×) varies in the 60-90% band per methodology expectations.
Claim validation
Realized volatility (VOL_EXPANSION median gating)off-spec
Claim: ≥ 1.5× BTC baseline (~1.20); methodology gating
Measured median: 0.2509
Measured median (0.2509) is below the claimed lower bound (1.2000). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation). (crypto-asset; relative-to-baseline criterion)
Total return over case (descriptive)in-band
Claim: direction-neutral by design; ±20% is acceptable spread
Measured median: 0.2524
within claimed range (crypto-asset; relative-to-baseline criterion)
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.2883 | 0.0554 | 0.2524 | 0.3728 | 0.6024 |
| realized_vol_annualized | 0.1459 | 0.2024 | 0.2509 | 0.2915 | 0.3988 |
| max_drawdown | -0.4501 | -0.2673 | -0.1696 | -0.1287 | -0.0797 |
| autocorrelation_lag1 | -0.1518 | -0.0677 | 0.0182 | 0.0773 | 0.1439 |
| kurtosis | 0.6743 | 1.7502 | 3.4110 | 5.8158 | 12.1037 |
| skewness | -1.0229 | -0.3987 | -0.0988 | 0.2326 | 1.4912 |
| tail_p1 | -0.0745 | -0.0554 | -0.0398 | -0.0324 | -0.0217 |
| tail_p99 | 0.0236 | 0.0336 | 0.0399 | 0.0542 | 0.0706 |
| sign_change_frequency | 0.4320 | 0.4770 | 0.4980 | 0.5270 | 0.5502 |
| vol_of_vol | 0.0375 | 0.0647 | 0.0813 | 0.1329 | 0.1878 |
| avg_run_length | 1.8116 | 1.8908 | 2.0000 | 2.0873 | 2.3028 |
| rolling_30d_max_dd | -0.3969 | -0.2475 | -0.1554 | -0.1169 | -0.0773 |
| crash_window_vol | 0.1556 | 0.2288 | 0.3528 | 0.4875 | 0.6274 |
| retracement_from_trough | 0.0230 | 0.1744 | 0.7224 | 1.8394 | 3.6492 |
| sign_changes_5pct_count | 4.0000 | 7.0000 | 10.5000 | 13.7500 | 20.5500 |
Source file: vol_expansion_setup_synthetic_btc.json
Pre-period regime: high_vol_sideways
Sample seeds (first 5): 3011, 3012, 3013, 3014, 3015
Vol Expansion Setup SyntheticGOLDVOL_EXPANSION (conditional) all claims in-band·50 replicas·252d stress + 250d pre-period
Vol Expansion Setup SyntheticGOLDVOL_EXPANSION (conditional)
all claims in-band·50 replicas·252d stress + 250d pre-period
Imposed conditions for sustained vol elevation via persistent HFT withdrawal and vol-trader amplification — per-replica conformance to VOL_EXPANSION gating (median ≥1.5× baseline AND ≥2 distinct windows ≥1.5×) varies in the 60-90% band per methodology expectations.
Claim validation
Realized volatility (VOL_EXPANSION median gating)in-band
Claim: ≥ 1.5× GOLD baseline (~0.20); methodology gating
Measured median: 0.2733
within claimed range
Total return over case (descriptive)in-band
Claim: direction-neutral by design; ±20% is acceptable spread
Measured median: -0.0112
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.4973 | -0.2687 | -0.0112 | 0.1545 | 0.5594 |
| realized_vol_annualized | 0.1641 | 0.2292 | 0.2733 | 0.3299 | 0.4412 |
| max_drawdown | -0.5982 | -0.3781 | -0.2613 | -0.1988 | -0.1336 |
| autocorrelation_lag1 | -0.1120 | -0.0334 | 0.0180 | 0.0887 | 0.1652 |
| kurtosis | 0.8437 | 2.1959 | 3.4037 | 5.1588 | 11.8801 |
| skewness | -1.3012 | -0.5670 | -0.1290 | 0.2601 | 0.9425 |
| tail_p1 | -0.0961 | -0.0624 | -0.0498 | -0.0393 | -0.0253 |
| tail_p99 | 0.0255 | 0.0352 | 0.0479 | 0.0569 | 0.0715 |
| sign_change_frequency | 0.4520 | 0.4770 | 0.5040 | 0.5270 | 0.5502 |
| vol_of_vol | 0.0424 | 0.0723 | 0.1117 | 0.1547 | 0.2259 |
| avg_run_length | 1.8116 | 1.8908 | 1.9764 | 2.0873 | 2.2018 |
| rolling_30d_max_dd | -0.4532 | -0.2707 | -0.2283 | -0.1577 | -0.1167 |
| crash_window_vol | 0.1868 | 0.2670 | 0.3533 | 0.5260 | 0.7308 |
| retracement_from_trough | 0.0000 | 0.0993 | 0.2808 | 0.8513 | 1.5472 |
| sign_changes_5pct_count | 5.9000 | 9.0000 | 13.0000 | 16.0000 | 22.0000 |
Source file: vol_expansion_setup_synthetic_gold.json
Pre-period regime: inflationary_upcycle
Sample seeds (first 5): 4790, 4791, 4792, 4793, 4794
Vol Expansion Setup SyntheticQQQVOL_EXPANSION (conditional)1 of 2 claim off-spec·50 replicas·252d stress + 250d pre-period
Vol Expansion Setup SyntheticQQQVOL_EXPANSION (conditional)
1 of 2 claim off-spec·50 replicas·252d stress + 250d pre-period
Imposed conditions for sustained vol elevation via persistent HFT withdrawal and vol-trader amplification — per-replica conformance to VOL_EXPANSION gating (median ≥1.5× baseline AND ≥2 distinct windows ≥1.5×) varies in the 60-90% band per methodology expectations.
Claim validation
Realized volatility (VOL_EXPANSION median gating)off-spec
Claim: ≥ 1.5× QQQ baseline (~0.32); methodology gating
Measured median: 0.2672
Measured median (0.2672) is below the claimed lower bound (0.3150). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination — calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation).
Total return over case (descriptive)in-band
Claim: direction-neutral by design; ±20% is acceptable spread
Measured median: 0.0609
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.4101 | -0.1570 | 0.0609 | 0.2672 | 0.6791 |
| realized_vol_annualized | 0.1703 | 0.2037 | 0.2672 | 0.3212 | 0.4148 |
| max_drawdown | -0.5741 | -0.3673 | -0.2371 | -0.1659 | -0.1341 |
| autocorrelation_lag1 | -0.0909 | -0.0493 | -0.0045 | 0.0659 | 0.1254 |
| kurtosis | 0.8367 | 2.1174 | 3.1434 | 4.6126 | 7.1629 |
| skewness | -1.3097 | -0.7119 | -0.2127 | 0.0451 | 0.3847 |
| tail_p1 | -0.0899 | -0.0612 | -0.0503 | -0.0355 | -0.0240 |
| tail_p99 | 0.0219 | 0.0365 | 0.0446 | 0.0548 | 0.0717 |
| sign_change_frequency | 0.4578 | 0.4810 | 0.5040 | 0.5230 | 0.5462 |
| vol_of_vol | 0.0411 | 0.0738 | 0.1072 | 0.1467 | 0.1818 |
| avg_run_length | 1.8248 | 1.9051 | 1.9764 | 2.0701 | 2.1741 |
| rolling_30d_max_dd | -0.4033 | -0.2975 | -0.1998 | -0.1453 | -0.1067 |
| crash_window_vol | 0.1731 | 0.2764 | 0.3795 | 0.4775 | 0.7009 |
| retracement_from_trough | 0.0018 | 0.1058 | 0.3000 | 1.1955 | 2.8155 |
| sign_changes_5pct_count | 5.0000 | 8.2500 | 13.0000 | 16.0000 | 23.0000 |
Source file: vol_expansion_setup_synthetic_qqq.json
Pre-period regime: sideways_low_vol
Sample seeds (first 5): 4879, 4880, 4881, 4882, 4883
Vol Expansion Setup SyntheticSPYVOL_EXPANSION (conditional) all claims in-band·50 replicas·252d stress + 250d pre-period
Vol Expansion Setup SyntheticSPYVOL_EXPANSION (conditional)
all claims in-band·50 replicas·252d stress + 250d pre-period
Imposed conditions for sustained vol elevation via persistent HFT withdrawal and vol-trader amplification — per-replica conformance to VOL_EXPANSION gating (median ≥1.5× baseline AND ≥2 distinct windows ≥1.5×) varies in the 60-90% band per methodology expectations.
Claim validation
Realized volatility (VOL_EXPANSION median gating)in-band
Claim: ≥ 1.5× SPY baseline (~0.24); methodology gating
Measured median: 0.2390
within claimed range
Total return over case (descriptive)in-band
Claim: direction-neutral by design; ±20% is acceptable spread
Measured median: 0.0983
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.2234 | -0.0841 | 0.0983 | 0.2591 | 0.7079 |
| realized_vol_annualized | 0.1557 | 0.1892 | 0.2390 | 0.2918 | 0.4263 |
| max_drawdown | -0.3976 | -0.3060 | -0.2021 | -0.1424 | -0.0790 |
| autocorrelation_lag1 | -0.1055 | -0.0404 | -0.0104 | 0.0862 | 0.1853 |
| kurtosis | 0.4643 | 1.9754 | 4.2593 | 5.7122 | 9.1654 |
| skewness | -1.2700 | -0.6041 | -0.2600 | -0.0237 | 0.6889 |
| tail_p1 | -0.0776 | -0.0578 | -0.0435 | -0.0319 | -0.0223 |
| tail_p99 | 0.0221 | 0.0289 | 0.0380 | 0.0528 | 0.0766 |
| sign_change_frequency | 0.4418 | 0.4770 | 0.4960 | 0.5160 | 0.5440 |
| vol_of_vol | 0.0341 | 0.0522 | 0.0918 | 0.1320 | 0.2150 |
| avg_run_length | 1.8321 | 1.9308 | 2.0080 | 2.0873 | 2.2522 |
| rolling_30d_max_dd | -0.3224 | -0.2399 | -0.1715 | -0.1087 | -0.0766 |
| crash_window_vol | 0.1584 | 0.2406 | 0.3298 | 0.5162 | 0.6084 |
| retracement_from_trough | 0.0094 | 0.2359 | 0.4422 | 1.1864 | 4.8372 |
| sign_changes_5pct_count | 5.0000 | 8.0000 | 10.5000 | 13.0000 | 21.0000 |
Source file: vol_expansion_setup_synthetic_spy.json
Pre-period regime: bull_trend
Sample seeds (first 5): 737, 738, 739, 740, 741
Whipsaw SyntheticBTCWHIPSAW + SIDEWAYS all claims in-band·50 replicas·126d stress + 250d pre-period
Whipsaw SyntheticBTCWHIPSAW + SIDEWAYS
all claims in-band·50 replicas·126d stress + 250d pre-period
Repeated directional reversals with bounded range and no decisive resolution.
Claim validation
Sign-change frequency (descriptive proxy)in-band
Claim: elevated frequency of return-direction reversals (≥ 40% of bars; true ≥3-5 sign-changes >5% magnitude criterion is per-replica — Phase 17)
Measured median: 0.5081
within claimed range (crypto-asset; relative-to-baseline criterion)
Total return over casein-band
Claim: near-zero net direction; methodology ±10%
Measured median: 0.0676
within claimed range (crypto-asset; relative-to-baseline criterion)
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.1958 | 0.0058 | 0.0676 | 0.1419 | 0.2628 |
| realized_vol_annualized | 0.1196 | 0.1395 | 0.1580 | 0.1874 | 0.2740 |
| max_drawdown | -0.2725 | -0.1306 | -0.0909 | -0.0671 | -0.0408 |
| autocorrelation_lag1 | -0.1732 | -0.1086 | -0.0258 | 0.0295 | 0.1249 |
| kurtosis | -0.0673 | 0.3365 | 1.1340 | 3.1599 | 5.5088 |
| skewness | -1.0925 | -0.4402 | -0.1123 | 0.0784 | 0.6068 |
| tail_p1 | -0.0525 | -0.0339 | -0.0237 | -0.0201 | -0.0153 |
| tail_p99 | 0.0169 | 0.0206 | 0.0234 | 0.0302 | 0.0407 |
| sign_change_frequency | 0.4032 | 0.4839 | 0.5081 | 0.5484 | 0.5726 |
| vol_of_vol | 0.0169 | 0.0257 | 0.0387 | 0.0661 | 0.1096 |
| avg_run_length | 1.7361 | 1.8116 | 1.9531 | 2.0492 | 2.4510 |
| rolling_30d_max_dd | -0.2431 | -0.1193 | -0.0808 | -0.0655 | -0.0408 |
| crash_window_vol | 0.1049 | 0.1386 | 0.1609 | 0.2517 | 0.3763 |
| retracement_from_trough | 0.0046 | 0.3528 | 0.8868 | 1.3940 | 2.6081 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 3.5000 | 5.0000 | 7.0000 |
Source file: whipsaw_synthetic_btc.json
Pre-period regime: unstable_decay
Sample seeds (first 5): 1400, 1401, 1402, 1403, 1404
Whipsaw SyntheticETHWHIPSAW + SIDEWAYS all claims in-band·50 replicas·126d stress + 250d pre-period
Whipsaw SyntheticETHWHIPSAW + SIDEWAYS
all claims in-band·50 replicas·126d stress + 250d pre-period
Repeated directional reversals with bounded range and no decisive resolution.
Claim validation
Sign-change frequency (descriptive proxy)in-band
Claim: elevated frequency of return-direction reversals (≥ 40% of bars; true ≥3-5 sign-changes >5% magnitude criterion is per-replica — Phase 17)
Measured median: 0.4960
within claimed range (crypto-asset; relative-to-baseline criterion)
Total return over casein-band
Claim: near-zero net direction; methodology ±10%
Measured median: 0.1053
within claimed range (crypto-asset; relative-to-baseline criterion)
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.1569 | 0.0102 | 0.1053 | 0.2114 | 0.3354 |
| realized_vol_annualized | 0.1136 | 0.1324 | 0.1722 | 0.2259 | 0.3256 |
| max_drawdown | -0.2576 | -0.1578 | -0.0900 | -0.0668 | -0.0385 |
| autocorrelation_lag1 | -0.1712 | -0.0435 | 0.0118 | 0.0618 | 0.1715 |
| kurtosis | -0.4323 | 0.4809 | 1.2999 | 3.1940 | 6.4073 |
| skewness | -0.9593 | -0.3746 | -0.0173 | 0.1775 | 0.9104 |
| tail_p1 | -0.0582 | -0.0367 | -0.0284 | -0.0184 | -0.0144 |
| tail_p99 | 0.0167 | 0.0200 | 0.0255 | 0.0379 | 0.0537 |
| sign_change_frequency | 0.4274 | 0.4698 | 0.4960 | 0.5242 | 0.5645 |
| vol_of_vol | 0.0141 | 0.0236 | 0.0475 | 0.1019 | 0.1467 |
| avg_run_length | 1.7606 | 1.8939 | 2.0001 | 2.1098 | 2.3148 |
| rolling_30d_max_dd | -0.2300 | -0.1506 | -0.0817 | -0.0658 | -0.0385 |
| crash_window_vol | 0.1123 | 0.1408 | 0.1868 | 0.3025 | 0.4512 |
| retracement_from_trough | 0.0099 | 0.2309 | 0.7197 | 2.0162 | 4.2061 |
| sign_changes_5pct_count | 1.0000 | 2.2500 | 4.0000 | 6.0000 | 9.0000 |
Source file: whipsaw_synthetic_eth.json
Pre-period regime: parabolic_bull
Sample seeds (first 5): 3859, 3860, 3861, 3862, 3863
Whipsaw SyntheticQQQWHIPSAW + SIDEWAYS all claims in-band·50 replicas·126d stress + 250d pre-period
Whipsaw SyntheticQQQWHIPSAW + SIDEWAYS
all claims in-band·50 replicas·126d stress + 250d pre-period
Repeated directional reversals with bounded range and no decisive resolution.
Claim validation
Sign-change frequency (descriptive proxy)in-band
Claim: elevated frequency of return-direction reversals (≥ 40% of bars; true ≥3-5 sign-changes >5% magnitude criterion is per-replica — Phase 17)
Measured median: 0.5000
within claimed range
Total return over casein-band
Claim: near-zero net direction; methodology ±10%
Measured median: 0.0498
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.0731 | 0.0040 | 0.0498 | 0.1467 | 0.4329 |
| realized_vol_annualized | 0.1123 | 0.1331 | 0.1509 | 0.1852 | 0.2959 |
| max_drawdown | -0.1693 | -0.1235 | -0.0915 | -0.0611 | -0.0472 |
| autocorrelation_lag1 | -0.1638 | -0.0834 | -0.0471 | 0.0064 | 0.0966 |
| kurtosis | -0.1141 | 0.2119 | 0.9117 | 2.4450 | 5.8174 |
| skewness | -0.7891 | -0.2496 | -0.0535 | 0.1790 | 0.5775 |
| tail_p1 | -0.0444 | -0.0283 | -0.0227 | -0.0184 | -0.0155 |
| tail_p99 | 0.0161 | 0.0193 | 0.0219 | 0.0315 | 0.0485 |
| sign_change_frequency | 0.4552 | 0.4839 | 0.5000 | 0.5302 | 0.5645 |
| vol_of_vol | 0.0150 | 0.0209 | 0.0307 | 0.0592 | 0.1183 |
| avg_run_length | 1.7606 | 1.8727 | 1.9841 | 2.0492 | 2.1760 |
| rolling_30d_max_dd | -0.1551 | -0.1042 | -0.0784 | -0.0603 | -0.0472 |
| crash_window_vol | 0.1027 | 0.1286 | 0.1590 | 0.2115 | 0.3566 |
| retracement_from_trough | 0.0466 | 0.2716 | 0.7482 | 1.5708 | 4.4419 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 3.0000 | 4.7500 | 7.0000 |
Source file: whipsaw_synthetic_qqq.json
Pre-period regime: bull_trend
Sample seeds (first 5): 6756, 6757, 6758, 6759, 6760
Whipsaw SyntheticSPYWHIPSAW + SIDEWAYS all claims in-band·50 replicas·126d stress + 250d pre-period
Whipsaw SyntheticSPYWHIPSAW + SIDEWAYS
all claims in-band·50 replicas·126d stress + 250d pre-period
Repeated directional reversals with bounded range and no decisive resolution.
Claim validation
Sign-change frequency (descriptive proxy)in-band
Claim: elevated frequency of return-direction reversals (≥ 40% of bars; true ≥3-5 sign-changes >5% magnitude criterion is per-replica — Phase 17)
Measured median: 0.4919
within claimed range
Total return over casein-band
Claim: near-zero net direction; methodology ±10%
Measured median: 0.0242
within claimed range
Aggregated metrics across 50 replicas
| Metric | p5 | p25 | median | p75 | p95 |
|---|---|---|---|---|---|
| total_return | -0.2096 | -0.0573 | 0.0242 | 0.1206 | 0.2949 |
| realized_vol_annualized | 0.1078 | 0.1327 | 0.1680 | 0.2113 | 0.3214 |
| max_drawdown | -0.2838 | -0.1844 | -0.1141 | -0.0804 | -0.0419 |
| autocorrelation_lag1 | -0.1296 | -0.0419 | 0.0144 | 0.1022 | 0.1965 |
| kurtosis | -0.2620 | 0.3709 | 1.6523 | 2.8819 | 6.1490 |
| skewness | -0.9821 | -0.4525 | 0.0321 | 0.2226 | 0.9923 |
| tail_p1 | -0.0515 | -0.0406 | -0.0233 | -0.0182 | -0.0142 |
| tail_p99 | 0.0144 | 0.0194 | 0.0249 | 0.0379 | 0.0560 |
| sign_change_frequency | 0.4274 | 0.4677 | 0.4919 | 0.5161 | 0.5484 |
| vol_of_vol | 0.0143 | 0.0217 | 0.0457 | 0.0904 | 0.1311 |
| avg_run_length | 1.8116 | 1.9231 | 2.0161 | 2.1186 | 2.3148 |
| rolling_30d_max_dd | -0.2713 | -0.1499 | -0.0999 | -0.0685 | -0.0419 |
| crash_window_vol | 0.1040 | 0.1317 | 0.2125 | 0.2827 | 0.4182 |
| retracement_from_trough | 0.0076 | 0.1622 | 0.3915 | 1.0002 | 2.9737 |
| sign_changes_5pct_count | 1.0000 | 2.0000 | 4.0000 | 5.0000 | 9.5500 |
Source file: whipsaw_synthetic_spy.json
Pre-period regime: weak_bear
Sample seeds (first 5): 998, 999, 1000, 1001, 1002
Metric definitions
- total_return
- Cumulative log-return over the stress-period window (warmup excluded).
- realized_vol_annualized
- Standard deviation of daily log-returns × √252.
- max_drawdown
- Peak-to-trough drawdown of the cumulative-equity curve (negative value).
- autocorrelation_lag1
- Pearson correlation of log-returns at lag 1.
- kurtosis
- Excess kurtosis of log-returns (zero = Gaussian).
- skewness
- Pearson skewness of log-returns.
- tail_p1
- 1st-percentile single-bar log-return (left-tail proxy).
- tail_p99
- 99th-percentile single-bar log-return (right-tail proxy).
- sign_change_frequency
- Fraction of bars where the return changes sign vs. the previous bar.
- vol_of_vol
- Standard deviation of rolling 20-day realized volatility.
- avg_run_length
- Average length of consecutive same-sign return runs (regime-persistence proxy).
Disclaimer: Results are based on model-driven simulations under simplified assumptions. Does not imply future performance. Does not constitute investment advice, a recommendation, or a forecast.