{ "generated_utc": "2026-05-05T18:58:16.896005+00:00", "schema_version": "1.0", "title": "CrashTestYourStrategy \u2014 Synthetic Stress Data Verifiability Snapshot", "tagline": "Falsifiable model claims. Each synthetic stress profile publishes its claimed regime properties alongside the measured aggregate over 50 replicas.", "methodology_reference": "https://crashtestyourstrategy.com/methodology", "license": "CC-BY 4.0", "n_datasets": 32, "metrics_definitions": { "total_return": "Cumulative log-return over the stress-period window (warmup excluded).", "realized_vol_annualized": "Standard deviation of daily log-returns \u00d7 \u221a252.", "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)." }, "robustness_note": "Aggregated p95 and tail metrics are sample-sensitive at n=50; treat them as indicative rather than precise.", "datasets": [ { "profile": "demand_destruction", "asset": "WTI", "claimed_failure_mode": "TREND_DOWN + VOL_EXPANSION", "summary": "Imposed conditions for sustained downward trajectory with vol expansion (oil-specific).", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "demand_weakness", "sample_replica_seeds": [ 7308, 7309, 7310, 7311, 7312 ], "source_file": "demand_destruction_wti.json", "metrics_aggregated": { "total_return": { "median": -0.10711, "p5": -0.36384, "p25": -0.26637, "p75": 0.02707, "p95": 0.19073, "min": -0.41498, "max": 0.27505 }, "realized_vol_annualized": { "median": 0.28214, "p5": 0.24842, "p25": 0.26755, "p75": 0.31138, "p95": 0.35741, "min": 0.2318, "max": 0.37631 }, "max_drawdown": { "median": -0.22995, "p5": -0.41314, "p25": -0.3498, "p75": -0.18275, "p95": -0.12281, "min": -0.49185, "max": -0.1057 }, "autocorrelation_lag1": { "median": 0.02076, "p5": -0.15871, "p25": -0.06684, "p75": 0.0651, "p95": 0.14597, "min": -0.17747, "max": 0.15696 }, "kurtosis": { "median": -0.17688, "p5": -0.5368, "p25": -0.36003, "p75": 0.13961, "p95": 0.52141, "min": -0.69653, "max": 1.42626 }, "skewness": { "median": -0.01881, "p5": -0.28763, "p25": -0.13407, "p75": 0.11472, "p95": 0.29861, "min": -0.36887, "max": 0.50853 }, "tail_p1": { "median": -0.04137, "p5": -0.05422, "p25": -0.04634, "p75": -0.03762, "p95": -0.03323, "min": -0.05983, "max": -0.02906 }, "tail_p99": { "median": 0.03857, "p5": 0.03099, "p25": 0.03327, "p75": 0.04348, "p95": 0.05105, "min": 0.03025, "max": 0.05823 }, "sign_change_frequency": { "median": 0.5, "p5": 0.42742, "p25": 0.46774, "p75": 0.52419, "p95": 0.55726, "min": 0.3871, "max": 0.58065 }, "vol_of_vol": { "median": 0.04201, "p5": 0.02543, "p25": 0.03608, "p75": 0.05057, "p95": 0.06171, "min": 0.02111, "max": 0.09389 }, "avg_run_length": { "median": 1.98413, "p5": 1.78353, "p25": 1.89394, "p75": 2.11864, "p95": 2.31481, "min": 1.71233, "max": 2.55102 }, "rolling_30d_max_dd": { "median": -0.18207, "p5": -0.26101, "p25": -0.21817, "p75": -0.14654, "p95": -0.11602, "min": -0.32504, "max": -0.10306 }, "crash_window_vol": { "median": 0.28533, "p5": 0.21057, "p25": 0.25445, "p75": 0.32418, "p95": 0.38228, "min": 0.1862, "max": 0.41364 }, "retracement_from_trough": { "median": 0.15402, "p5": 0.0, "p25": 0.03172, "p75": 0.44668, "p95": 1.17187, "min": 0.0, "max": 3.00907 }, "sign_changes_5pct_count": { "median": 9.0, "p5": 4.0, "p25": 6.25, "p75": 10.0, "p95": 12.0, "min": 3.0, "max": 14.0 } }, "claim_validation": [ { "label": "Total return over case (TREND_DOWN aspect)", "claim": "deep decline, methodology \u221225% to \u221260%", "measured_median": -0.1071, "in_band": false, "note": "Measured median (-0.1071) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." }, { "label": "Realized volatility (VOL_EXPANSION aspect)", "claim": "\u2265 1.5\u00d7 WTI baseline (~0.45); methodology gating", "measured_median": 0.2821, "in_band": false, "note": "Measured median (0.2821) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 24, "WHIPSAW": 18, "TREND_DOWN": 16, "SLOW_BEAR": 14, "TREND_UP": 4, "V_RECOVERY": 3 }, "fm_distribution_pct": { "SIDEWAYS": 48.0, "WHIPSAW": 36.0, "TREND_DOWN": 32.0, "SLOW_BEAR": 28.0, "TREND_UP": 8.0, "V_RECOVERY": 6.0 }, "unclassified_count": 9, "unclassified_pct": 18.0, "sub_classifications": {}, "primary_fm_class": "TREND_DOWN", "primary_fm_fraction": 0.32, "expected_band": "40-80%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "hyperinflation_boost", "asset": "GOLD", "claimed_failure_mode": "TREND_UP + VOL_EXPANSION", "summary": "Imposed conditions for persistent upward advance with elevated volatility (gold-specific).", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "range", "sample_replica_seeds": [ 6092, 6093, 6094, 6095, 6096 ], "source_file": "hyperinflation_boost_gold.json", "metrics_aggregated": { "total_return": { "median": 0.13756, "p5": -0.02809, "p25": 0.05486, "p75": 0.21961, "p95": 0.37408, "min": -0.0857, "max": 0.44074 }, "realized_vol_annualized": { "median": 0.14495, "p5": 0.12529, "p25": 0.13541, "p75": 0.15748, "p95": 0.17525, "min": 0.11681, "max": 0.18262 }, "max_drawdown": { "median": -0.07264, "p5": -0.1421, "p25": -0.09353, "p75": -0.0568, "p95": -0.03655, "min": -0.17945, "max": -0.02982 }, "autocorrelation_lag1": { "median": -0.0294, "p5": -0.17611, "p25": -0.08523, "p75": 0.0307, "p95": 0.10781, "min": -0.20144, "max": 0.12865 }, "kurtosis": { "median": -0.09399, "p5": -0.59301, "p25": -0.36443, "p75": 0.21217, "p95": 0.83357, "min": -0.77352, "max": 1.46386 }, "skewness": { "median": 0.01429, "p5": -0.31117, "p25": -0.1356, "p75": 0.19493, "p95": 0.36834, "min": -0.61248, "max": 0.44247 }, "tail_p1": { "median": -0.0191, "p5": -0.02501, "p25": -0.02146, "p75": -0.01676, "p95": -0.01403, "min": -0.02713, "max": -0.01341 }, "tail_p99": { "median": 0.02102, "p5": 0.01743, "p25": 0.01948, "p75": 0.02301, "p95": 0.02536, "min": 0.01663, "max": 0.02752 }, "sign_change_frequency": { "median": 0.52016, "p5": 0.41935, "p25": 0.47581, "p75": 0.54032, "p95": 0.59758, "min": 0.3629, "max": 0.62097 }, "vol_of_vol": { "median": 0.02027, "p5": 0.01361, "p25": 0.01717, "p75": 0.02446, "p95": 0.02829, "min": 0.00961, "max": 0.03085 }, "avg_run_length": { "median": 1.90851, "p5": 1.66474, "p25": 1.83824, "p75": 2.08333, "p95": 2.35849, "min": 1.60256, "max": 2.71739 }, "rolling_30d_max_dd": { "median": -0.067, "p5": -0.11109, "p25": -0.083, "p75": -0.05657, "p95": -0.03655, "min": -0.13331, "max": -0.02982 }, "crash_window_vol": { "median": 0.14097, "p5": 0.11574, "p25": 0.13002, "p75": 0.1669, "p95": 0.18854, "min": 0.11195, "max": 0.21122 }, "retracement_from_trough": { "median": 1.0731, "p5": 0.01087, "p25": 0.36801, "p75": 2.36178, "p95": 4.30276, "min": 0.0, "max": 8.48201 }, "sign_changes_5pct_count": { "median": 2.5, "p5": 1.0, "p25": 2.0, "p75": 3.0, "p95": 5.0, "min": 1.0, "max": 6.0 } }, "claim_validation": [ { "label": "Total return over case (TREND_UP aspect)", "claim": "sustained advance, methodology +8% to +25% (annualized 4-6mo)", "measured_median": 0.1376, "in_band": true, "note": "within claimed range" }, { "label": "Realized volatility (VOL_EXPANSION aspect)", "claim": "\u2265 1.5\u00d7 GOLD baseline (~0.20); methodology gating", "measured_median": 0.1449, "in_band": false, "note": "Measured median (0.1449) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 41, "TREND_UP": 33, "WHIPSAW": 12, "V_RECOVERY": 1 }, "fm_distribution_pct": { "SIDEWAYS": 82.0, "TREND_UP": 66.0, "WHIPSAW": 24.0, "V_RECOVERY": 2.0 }, "unclassified_count": 1, "unclassified_pct": 2.0, "sub_classifications": {}, "primary_fm_class": "TREND_UP", "primary_fm_fraction": 0.66, "expected_band": "40-80%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "liquidity_stress_setup_synthetic", "asset": "BTC", "claimed_failure_mode": "", "summary": "", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "high_vol_sideways", "sample_replica_seeds": [ 20800, 20801, 20802, 20803, 20804 ], "source_file": "liquidity_stress_setup_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": 0.0765, "p5": -0.44575, "p25": -0.21353, "p75": 0.27469, "p95": 0.69414, "min": -0.741, "max": 1.11567 }, "realized_vol_annualized": { "median": 0.41833, "p5": 0.34631, "p25": 0.3699, "p75": 0.45902, "p95": 0.51868, "min": 0.31558, "max": 0.54985 }, "max_drawdown": { "median": -0.24026, "p5": -0.56491, "p25": -0.34698, "p75": -0.17846, "p95": -0.12671, "min": -0.741, "max": -0.1153 }, "autocorrelation_lag1": { "median": -0.00558, "p5": -0.14352, "p25": -0.06628, "p75": 0.05372, "p95": 0.19601, "min": -0.16349, "max": 0.20596 }, "kurtosis": { "median": 0.0175, "p5": -0.60698, "p25": -0.26163, "p75": 0.20455, "p95": 0.8475, "min": -0.77015, "max": 1.08853 }, "skewness": { "median": 0.00227, "p5": -0.39022, "p25": -0.1329, "p75": 0.14551, "p95": 0.42338, "min": -0.43257, "max": 0.51283 }, "tail_p1": { "median": -0.05737, "p5": -0.07582, "p25": -0.06201, "p75": -0.05169, "p95": -0.04434, "min": -0.08789, "max": -0.0403 }, "tail_p99": { "median": 0.05828, "p5": 0.04567, "p25": 0.05089, "p75": 0.06554, "p95": 0.07458, "min": 0.04102, "max": 0.08083 }, "sign_change_frequency": { "median": 0.49597, "p5": 0.41935, "p25": 0.45968, "p75": 0.52419, "p95": 0.58145, "min": 0.34677, "max": 0.60484 }, "vol_of_vol": { "median": 0.05566, "p5": 0.03774, "p25": 0.04647, "p75": 0.066, "p95": 0.08273, "min": 0.02597, "max": 0.10681 }, "avg_run_length": { "median": 2.00013, "p5": 1.7103, "p25": 1.89394, "p75": 2.15517, "p95": 2.35849, "min": 1.64474, "max": 2.84091 }, "rolling_30d_max_dd": { "median": -0.21312, "p5": -0.38265, "p25": -0.25965, "p75": -0.17517, "p95": -0.12671, "min": -0.4758, "max": -0.11286 }, "crash_window_vol": { "median": 0.39966, "p5": 0.31871, "p25": 0.3628, "p75": 0.46604, "p95": 0.51808, "min": 0.28091, "max": 0.59462 }, "retracement_from_trough": { "median": 0.45984, "p5": 0.0, "p25": 0.07181, "p75": 0.89694, "p95": 2.72206, "min": 0.0, "max": 4.76428 }, "sign_changes_5pct_count": { "median": 13.0, "p5": 8.45, "p25": 11.0, "p75": 15.0, "p95": 19.1, "min": 5.0, "max": 21.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 12, "V_RECOVERY": 12, "SLOW_BEAR": 10, "WHIPSAW": 10, "SIDEWAYS": 3, "TREND_UP": 1 }, "fm_distribution_pct": { "TREND_DOWN": 24.0, "V_RECOVERY": 24.0, "SLOW_BEAR": 20.0, "WHIPSAW": 20.0, "SIDEWAYS": 6.0, "TREND_UP": 2.0 }, "unclassified_count": 17, "unclassified_pct": 34.0, "sub_classifications": {}, "primary_fm_class": "LIQUIDITY_STRESS", "primary_fm_fraction": 0.0, "expected_band": "60-90%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "liquidity_stress_setup_synthetic", "asset": "SPY", "claimed_failure_mode": "", "summary": "", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "bull_trend", "sample_replica_seeds": [ 20700, 20701, 20702, 20703, 20704 ], "source_file": "liquidity_stress_setup_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": -0.01699, "p5": -0.4537, "p25": -0.21694, "p75": 0.11488, "p95": 0.72884, "min": -0.52951, "max": 1.06801 }, "realized_vol_annualized": { "median": 0.42158, "p5": 0.33931, "p25": 0.37845, "p75": 0.45289, "p95": 0.49755, "min": 0.32229, "max": 0.5142 }, "max_drawdown": { "median": -0.26973, "p5": -0.51012, "p25": -0.37649, "p75": -0.19811, "p95": -0.14677, "min": -0.55324, "max": -0.13927 }, "autocorrelation_lag1": { "median": -0.01881, "p5": -0.1324, "p25": -0.06902, "p75": 0.03921, "p95": 0.10628, "min": -0.18728, "max": 0.14219 }, "kurtosis": { "median": -0.02238, "p5": -0.47376, "p25": -0.34432, "p75": 0.1995, "p95": 0.51064, "min": -0.74709, "max": 2.01401 }, "skewness": { "median": -0.09008, "p5": -0.34532, "p25": -0.17232, "p75": 0.07395, "p95": 0.173, "min": -0.44793, "max": 0.54251 }, "tail_p1": { "median": -0.05879, "p5": -0.07261, "p25": -0.06516, "p75": -0.05242, "p95": -0.04606, "min": -0.07448, "max": -0.04508 }, "tail_p99": { "median": 0.05606, "p5": 0.04088, "p25": 0.04928, "p75": 0.06291, "p95": 0.07045, "min": 0.03701, "max": 0.07443 }, "sign_change_frequency": { "median": 0.50403, "p5": 0.43548, "p25": 0.47782, "p75": 0.53226, "p95": 0.57702, "min": 0.41935, "max": 0.59677 }, "vol_of_vol": { "median": 0.0568, "p5": 0.03616, "p25": 0.04634, "p75": 0.0644, "p95": 0.08151, "min": 0.0294, "max": 0.08474 }, "avg_run_length": { "median": 1.96863, "p5": 1.72303, "p25": 1.86567, "p75": 2.0748, "p95": 2.27273, "min": 1.66667, "max": 2.35849 }, "rolling_30d_max_dd": { "median": -0.23671, "p5": -0.32227, "p25": -0.28473, "p75": -0.1851, "p95": -0.14648, "min": -0.40887, "max": -0.1319 }, "crash_window_vol": { "median": 0.40876, "p5": 0.31946, "p25": 0.354, "p75": 0.46122, "p95": 0.54543, "min": 0.3011, "max": 0.60265 }, "retracement_from_trough": { "median": 0.38391, "p5": 0.00055, "p25": 0.09005, "p75": 0.74806, "p95": 2.72926, "min": 0.0, "max": 3.30623 }, "sign_changes_5pct_count": { "median": 13.0, "p5": 7.0, "p25": 12.0, "p75": 15.0, "p95": 18.55, "min": 5.0, "max": 21.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 50, "LIQUIDITY_STRESS": 37, "SHARP_CRASH": 33, "WHIPSAW": 17, "TREND_DOWN": 13, "SLOW_BEAR": 11, "V_RECOVERY": 8, "TREND_UP": 3 }, "fm_distribution_pct": { "VOL_EXPANSION": 100.0, "LIQUIDITY_STRESS": 74.0, "SHARP_CRASH": 66.0, "WHIPSAW": 34.0, "TREND_DOWN": 26.0, "SLOW_BEAR": 22.0, "V_RECOVERY": 16.0, "TREND_UP": 6.0 }, "unclassified_count": 0, "unclassified_pct": 0.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 33 }, "VOL_EXPANSION": { "with-spikes": 9, "smooth-elevated": 41 } }, "primary_fm_class": "LIQUIDITY_STRESS", "primary_fm_fraction": 0.74, "expected_band": "60-90%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "liquidity_stress_setup_synthetic", "asset": "WTI", "claimed_failure_mode": "", "summary": "", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "range_high_vol", "sample_replica_seeds": [ 22200, 22201, 22202, 22203, 22204 ], "source_file": "liquidity_stress_setup_synthetic_wti.json", "metrics_aggregated": { "total_return": { "median": -0.14959, "p5": -0.48562, "p25": -0.30447, "p75": 0.18412, "p95": 0.66187, "min": -0.59614, "max": 1.10008 }, "realized_vol_annualized": { "median": 0.54183, "p5": 0.44813, "p25": 0.50111, "p75": 0.59355, "p95": 0.64397, "min": 0.41228, "max": 0.68232 }, "max_drawdown": { "median": -0.37286, "p5": -0.5764, "p25": -0.45723, "p75": -0.26585, "p95": -0.18187, "min": -0.67027, "max": -0.16078 }, "autocorrelation_lag1": { "median": -0.02868, "p5": -0.16132, "p25": -0.11074, "p75": 0.04773, "p95": 0.12913, "min": -0.23218, "max": 0.18967 }, "kurtosis": { "median": -0.10252, "p5": -0.52055, "p25": -0.26942, "p75": 0.22436, "p95": 0.85048, "min": -0.69778, "max": 1.81742 }, "skewness": { "median": -0.00453, "p5": -0.46307, "p25": -0.11648, "p75": 0.11695, "p95": 0.35805, "min": -0.59439, "max": 0.45402 }, "tail_p1": { "median": -0.07597, "p5": -0.09792, "p25": -0.08607, "p75": -0.06794, "p95": -0.05996, "min": -0.10873, "max": -0.04855 }, "tail_p99": { "median": 0.07427, "p5": 0.05631, "p25": 0.06548, "p75": 0.08667, "p95": 0.09884, "min": 0.04967, "max": 0.11091 }, "sign_change_frequency": { "median": 0.50806, "p5": 0.42742, "p25": 0.47581, "p75": 0.54032, "p95": 0.60484, "min": 0.39516, "max": 0.6129 }, "vol_of_vol": { "median": 0.07455, "p5": 0.05088, "p25": 0.06068, "p75": 0.08967, "p95": 0.11117, "min": 0.0333, "max": 0.14775 }, "avg_run_length": { "median": 1.9536, "p5": 1.64474, "p25": 1.83824, "p75": 2.08333, "p95": 2.31481, "min": 1.62338, "max": 2.5 }, "rolling_30d_max_dd": { "median": -0.29413, "p5": -0.42492, "p25": -0.34713, "p75": -0.24132, "p95": -0.18187, "min": -0.50693, "max": -0.16078 }, "crash_window_vol": { "median": 0.5355, "p5": 0.37353, "p25": 0.4743, "p75": 0.5849, "p95": 0.6485, "min": 0.32342, "max": 0.77418 }, "retracement_from_trough": { "median": 0.23923, "p5": 0.0, "p25": 0.08661, "p75": 0.78003, "p95": 1.47936, "min": 0.0, "max": 1.65915 }, "sign_changes_5pct_count": { "median": 19.0, "p5": 10.9, "p25": 16.0, "p75": 21.0, "p95": 25.0, "min": 9.0, "max": 31.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 47, "LIQUIDITY_STRESS": 42, "SHARP_CRASH": 35, "TREND_DOWN": 15, "SLOW_BEAR": 14, "V_RECOVERY": 9, "WHIPSAW": 6 }, "fm_distribution_pct": { "VOL_EXPANSION": 94.0, "LIQUIDITY_STRESS": 84.0, "SHARP_CRASH": 70.0, "TREND_DOWN": 30.0, "SLOW_BEAR": 28.0, "V_RECOVERY": 18.0, "WHIPSAW": 12.0 }, "unclassified_count": 0, "unclassified_pct": 0.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 12, "with-spikes": 35 }, "SHARP_CRASH": { "tail-intensified": 35 } }, "primary_fm_class": "LIQUIDITY_STRESS", "primary_fm_fraction": 0.84, "expected_band": "60-90%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "low_vol_grind", "asset": "GOLD", "claimed_failure_mode": "VOL_COMPRESSION", "summary": "Sustained suppression of realized volatility over multiple months.", "n_replicas_evaluated": 50, "stress_period_days": 252, "pre_period_days": 250, "antecedent_regime": "range", "sample_replica_seeds": [ 1884, 1885, 1886, 1887, 1888 ], "source_file": "low_vol_grind_gold.json", "metrics_aggregated": { "total_return": { "median": 0.09632, "p5": -0.05036, "p25": 0.01373, "p75": 0.12982, "p95": 0.19691, "min": -0.09577, "max": 0.26751 }, "realized_vol_annualized": { "median": 0.07086, "p5": 0.05835, "p25": 0.06472, "p75": 0.0763, "p95": 0.08459, "min": 0.05547, "max": 0.09014 }, "max_drawdown": { "median": -0.05077, "p5": -0.10404, "p25": -0.06586, "p75": -0.04081, "p95": -0.02996, "min": -0.13824, "max": -0.02077 }, "autocorrelation_lag1": { "median": 0.00882, "p5": -0.08985, "p25": -0.04042, "p75": 0.05339, "p95": 0.0976, "min": -0.13625, "max": 0.13803 }, "kurtosis": { "median": -0.08236, "p5": -0.38903, "p25": -0.2088, "p75": 0.06384, "p95": 0.32986, "min": -0.45092, "max": 1.08345 }, "skewness": { "median": -0.00031, "p5": -0.28086, "p25": -0.12309, "p75": 0.08128, "p95": 0.1564, "min": -0.37006, "max": 0.21813 }, "tail_p1": { "median": -0.00996, "p5": -0.01225, "p25": -0.01067, "p75": -0.00894, "p95": -0.00802, "min": -0.01387, "max": -0.00765 }, "tail_p99": { "median": 0.01021, "p5": 0.00831, "p25": 0.00944, "p75": 0.01108, "p95": 0.01267, "min": 0.00739, "max": 0.01437 }, "sign_change_frequency": { "median": 0.492, "p5": 0.4378, "p25": 0.465, "p75": 0.515, "p95": 0.54, "min": 0.424, "max": 0.56 }, "vol_of_vol": { "median": 0.01049, "p5": 0.00733, "p25": 0.00893, "p75": 0.01206, "p95": 0.01397, "min": 0.00703, "max": 0.01612 }, "avg_run_length": { "median": 2.02419, "p5": 1.84559, "p25": 1.93451, "p75": 2.14075, "p95": 2.27257, "min": 1.78014, "max": 2.34579 }, "rolling_30d_max_dd": { "median": -0.04287, "p5": -0.06841, "p25": -0.04906, "p75": -0.03588, "p95": -0.02837, "min": -0.08743, "max": -0.02077 }, "crash_window_vol": { "median": 0.07121, "p5": 0.05103, "p25": 0.06251, "p75": 0.07946, "p95": 0.08701, "min": 0.04248, "max": 0.09246 }, "retracement_from_trough": { "median": 1.08175, "p5": 0.07585, "p25": 0.26293, "p75": 2.03604, "p95": 3.26603, "min": 0.0, "max": 6.63643 }, "sign_changes_5pct_count": { "median": 1.0, "p5": 0.0, "p25": 1.0, "p75": 2.0, "p95": 3.0, "min": 0.0, "max": 4.0 } }, "claim_validation": [ { "label": "Realized volatility (annualized)", "claim": "0.4\u20130.7\u00d7 GOLD baseline (~0.05\u20130.09)", "measured_median": 0.0709, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "shallow drawdowns < 8% (non-VIX) per methodology", "measured_median": -0.0508, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_COMPRESSION": 42, "TREND_UP": 27, "SIDEWAYS": 8, "WHIPSAW": 2 }, "fm_distribution_pct": { "VOL_COMPRESSION": 84.0, "TREND_UP": 54.0, "SIDEWAYS": 16.0, "WHIPSAW": 4.0 }, "unclassified_count": 5, "unclassified_pct": 10.0, "sub_classifications": {}, "primary_fm_class": "VOL_COMPRESSION", "primary_fm_fraction": 0.84, "expected_band": "60-90%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "low_vol_grind", "asset": "QQQ", "claimed_failure_mode": "VOL_COMPRESSION", "summary": "Sustained suppression of realized volatility over multiple months.", "n_replicas_evaluated": 50, "stress_period_days": 252, "pre_period_days": 250, "antecedent_regime": "bull_trend", "sample_replica_seeds": [ 21700, 21701, 21702, 21703, 21704 ], "source_file": "low_vol_grind_qqq.json", "metrics_aggregated": { "total_return": { "median": 0.09566, "p5": -0.1133, "p25": -0.00535, "p75": 0.20441, "p95": 0.27929, "min": -0.16028, "max": 0.46407 }, "realized_vol_annualized": { "median": 0.09535, "p5": 0.0802, "p25": 0.08659, "p75": 0.1028, "p95": 0.10846, "min": 0.07517, "max": 0.11386 }, "max_drawdown": { "median": -0.07308, "p5": -0.14876, "p25": -0.10365, "p75": -0.04878, "p95": -0.03794, "min": -0.21212, "max": -0.02932 }, "autocorrelation_lag1": { "median": -0.01276, "p5": -0.12865, "p25": -0.0463, "p75": 0.01351, "p95": 0.10878, "min": -0.17621, "max": 0.15938 }, "kurtosis": { "median": -0.0254, "p5": -0.45381, "p25": -0.21024, "p75": 0.10766, "p95": 0.5295, "min": -0.49627, "max": 0.9419 }, "skewness": { "median": 0.00433, "p5": -0.24746, "p25": -0.10461, "p75": 0.1078, "p95": 0.2091, "min": -0.30742, "max": 0.26387 }, "tail_p1": { "median": -0.01289, "p5": -0.01566, "p25": -0.01491, "p75": -0.01202, "p95": -0.01029, "min": -0.01698, "max": -0.00865 }, "tail_p99": { "median": 0.0138, "p5": 0.01126, "p25": 0.01278, "p75": 0.0151, "p95": 0.01716, "min": 0.01032, "max": 0.01885 }, "sign_change_frequency": { "median": 0.5, "p5": 0.456, "p25": 0.476, "p75": 0.523, "p95": 0.5502, "min": 0.428, "max": 0.588 }, "vol_of_vol": { "median": 0.01379, "p5": 0.00911, "p25": 0.01244, "p75": 0.01587, "p95": 0.01824, "min": 0.00785, "max": 0.0205 }, "avg_run_length": { "median": 1.99206, "p5": 1.81164, "p25": 1.90514, "p75": 2.09167, "p95": 2.18261, "min": 1.69595, "max": 2.32407 }, "rolling_30d_max_dd": { "median": -0.05748, "p5": -0.09006, "p25": -0.07656, "p75": -0.04692, "p95": -0.03572, "min": -0.09637, "max": -0.02932 }, "crash_window_vol": { "median": 0.09576, "p5": 0.06609, "p25": 0.08265, "p75": 0.10533, "p95": 0.11626, "min": 0.05692, "max": 0.12631 }, "retracement_from_trough": { "median": 0.78918, "p5": 0.03187, "p25": 0.17552, "p75": 2.08973, "p95": 4.67838, "min": 0.0, "max": 11.28043 }, "sign_changes_5pct_count": { "median": 2.0, "p5": 1.0, "p25": 1.0, "p75": 3.0, "p95": 5.0, "min": 1.0, "max": 6.0 } }, "claim_validation": [ { "label": "Realized volatility (annualized)", "claim": "0.4\u20130.7\u00d7 QQQ baseline (~0.08\u20130.15)", "measured_median": 0.0954, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "shallow drawdowns < 8% (non-VIX) per methodology", "measured_median": -0.0731, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 27, "VOL_COMPRESSION": 23, "WHIPSAW": 13 }, "fm_distribution_pct": { "TREND_UP": 54.0, "VOL_COMPRESSION": 46.0, "WHIPSAW": 26.0 }, "unclassified_count": 9, "unclassified_pct": 18.0, "sub_classifications": {}, "primary_fm_class": "VOL_COMPRESSION", "primary_fm_fraction": 0.46, "expected_band": "60-90%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "low_vol_grind", "asset": "SPY", "claimed_failure_mode": "VOL_COMPRESSION", "summary": "Sustained suppression of realized volatility over multiple months.", "n_replicas_evaluated": 50, "stress_period_days": 252, "pre_period_days": 250, "antecedent_regime": "bull_trend", "sample_replica_seeds": [ 1805, 1806, 1807, 1808, 1809 ], "source_file": "low_vol_grind_spy.json", "metrics_aggregated": { "total_return": { "median": 0.14891, "p5": -0.0551, "p25": 0.06013, "p75": 0.21593, "p95": 0.34797, "min": -0.11982, "max": 0.37662 }, "realized_vol_annualized": { "median": 0.07237, "p5": 0.05893, "p25": 0.06669, "p75": 0.07978, "p95": 0.08507, "min": 0.05645, "max": 0.08783 }, "max_drawdown": { "median": -0.04765, "p5": -0.112, "p25": -0.0635, "p75": -0.03598, "p95": -0.02293, "min": -0.12586, "max": -0.01817 }, "autocorrelation_lag1": { "median": -0.01692, "p5": -0.10527, "p25": -0.04736, "p75": 0.01608, "p95": 0.08073, "min": -0.14123, "max": 0.1437 }, "kurtosis": { "median": -0.03849, "p5": -0.45472, "p25": -0.20235, "p75": 0.1492, "p95": 0.79532, "min": -0.52927, "max": 1.33328 }, "skewness": { "median": -0.02517, "p5": -0.26126, "p25": -0.12373, "p75": 0.10235, "p95": 0.24607, "min": -0.34758, "max": 0.3654 }, "tail_p1": { "median": -0.00965, "p5": -0.01192, "p25": -0.01089, "p75": -0.00863, "p95": -0.00782, "min": -0.013, "max": -0.00741 }, "tail_p99": { "median": 0.01115, "p5": 0.00798, "p25": 0.00969, "p75": 0.01208, "p95": 0.01297, "min": 0.00744, "max": 0.01388 }, "sign_change_frequency": { "median": 0.504, "p5": 0.4698, "p25": 0.477, "p75": 0.528, "p95": 0.5524, "min": 0.436, "max": 0.576 }, "vol_of_vol": { "median": 0.01063, "p5": 0.00807, "p25": 0.0098, "p75": 0.01194, "p95": 0.01448, "min": 0.00752, "max": 0.01648 }, "avg_run_length": { "median": 1.97638, "p5": 1.80455, "p25": 1.88722, "p75": 2.08735, "p95": 2.11907, "min": 1.73103, "max": 2.28182 }, "rolling_30d_max_dd": { "median": -0.04209, "p5": -0.07012, "p25": -0.05471, "p75": -0.03291, "p95": -0.02293, "min": -0.07619, "max": -0.01817 }, "crash_window_vol": { "median": 0.07478, "p5": 0.05265, "p25": 0.06243, "p75": 0.08274, "p95": 0.09377, "min": 0.04427, "max": 0.10637 }, "retracement_from_trough": { "median": 1.5435, "p5": 0.02527, "p25": 0.29498, "p75": 3.60935, "p95": 11.19078, "min": 0.0, "max": 15.25363 }, "sign_changes_5pct_count": { "median": 1.0, "p5": 1.0, "p25": 1.0, "p75": 2.0, "p95": 3.0, "min": 0.0, "max": 4.0 } }, "claim_validation": [ { "label": "Realized volatility (annualized)", "claim": "0.4\u20130.7\u00d7 SPY baseline (~0.06\u20130.11)", "measured_median": 0.0724, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "shallow drawdowns < 8% (non-VIX) per methodology", "measured_median": -0.0476, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 36, "VOL_COMPRESSION": 33, "WHIPSAW": 5 }, "fm_distribution_pct": { "TREND_UP": 72.0, "VOL_COMPRESSION": 66.0, "WHIPSAW": 10.0 }, "unclassified_count": 9, "unclassified_pct": 18.0, "sub_classifications": {}, "primary_fm_class": "VOL_COMPRESSION", "primary_fm_fraction": 0.66, "expected_band": "60-90%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "low_vol_grind", "asset": "WTI", "claimed_failure_mode": "VOL_COMPRESSION", "summary": "Sustained suppression of realized volatility over multiple months.", "n_replicas_evaluated": 50, "stress_period_days": 252, "pre_period_days": 250, "antecedent_regime": "demand_weakness", "sample_replica_seeds": [ 21800, 21801, 21802, 21803, 21804 ], "source_file": "low_vol_grind_wti.json", "metrics_aggregated": { "total_return": { "median": 0.14421, "p5": -0.15666, "p25": 0.03155, "p75": 0.2262, "p95": 0.42729, "min": -0.22894, "max": 0.65425 }, "realized_vol_annualized": { "median": 0.1209, "p5": 0.10147, "p25": 0.10897, "p75": 0.13308, "p95": 0.14566, "min": 0.09317, "max": 0.16195 }, "max_drawdown": { "median": -0.09321, "p5": -0.20699, "p25": -0.12558, "p75": -0.0753, "p95": -0.04993, "min": -0.24452, "max": -0.04039 }, "autocorrelation_lag1": { "median": 0.00223, "p5": -0.09057, "p25": -0.04375, "p75": 0.04738, "p95": 0.09848, "min": -0.13938, "max": 0.1502 }, "kurtosis": { "median": -0.05394, "p5": -0.32257, "p25": -0.16097, "p75": 0.20598, "p95": 0.51235, "min": -0.53083, "max": 0.8593 }, "skewness": { "median": 0.01383, "p5": -0.22244, "p25": -0.08604, "p75": 0.10495, "p95": 0.22226, "min": -0.32054, "max": 0.26646 }, "tail_p1": { "median": -0.01675, "p5": -0.0208, "p25": -0.01922, "p75": -0.01532, "p95": -0.01398, "min": -0.02233, "max": -0.0133 }, "tail_p99": { "median": 0.01793, "p5": 0.01369, "p25": 0.01557, "p75": 0.01979, "p95": 0.02263, "min": 0.01264, "max": 0.02594 }, "sign_change_frequency": { "median": 0.5, "p5": 0.4538, "p25": 0.48, "p75": 0.52, "p95": 0.548, "min": 0.416, "max": 0.56 }, "vol_of_vol": { "median": 0.018, "p5": 0.0128, "p25": 0.01584, "p75": 0.02028, "p95": 0.02424, "min": 0.01098, "max": 0.02509 }, "avg_run_length": { "median": 1.99206, "p5": 1.81884, "p25": 1.91603, "p75": 2.07438, "p95": 2.19314, "min": 1.78014, "max": 2.39048 }, "rolling_30d_max_dd": { "median": -0.07979, "p5": -0.10531, "p25": -0.08828, "p75": -0.0665, "p95": -0.0471, "min": -0.14666, "max": -0.03627 }, "crash_window_vol": { "median": 0.11851, "p5": 0.08511, "p25": 0.10267, "p75": 0.1419, "p95": 0.15287, "min": 0.07224, "max": 0.15823 }, "retracement_from_trough": { "median": 0.9685, "p5": 0.02727, "p25": 0.2638, "p75": 2.00359, "p95": 4.80653, "min": 0.0, "max": 7.16953 }, "sign_changes_5pct_count": { "median": 5.0, "p5": 1.0, "p25": 3.0, "p75": 5.0, "p95": 6.0, "min": 1.0, "max": 11.0 } }, "claim_validation": [ { "label": "Realized volatility (annualized)", "claim": "0.4\u20130.7\u00d7 WTI baseline (~0.12\u20130.21)", "measured_median": 0.1209, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "shallow drawdowns < 8% (non-VIX) per methodology", "measured_median": -0.0932, "in_band": false, "note": "Measured median (-0.0932) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 26, "WHIPSAW": 15, "VOL_COMPRESSION": 5 }, "fm_distribution_pct": { "TREND_UP": 52.0, "WHIPSAW": 30.0, "VOL_COMPRESSION": 10.0 }, "unclassified_count": 10, "unclassified_pct": 20.0, "sub_classifications": {}, "primary_fm_class": "VOL_COMPRESSION", "primary_fm_fraction": 0.1, "expected_band": "60-90%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "sharp_crash_setup_synthetic", "asset": "BTC", "claimed_failure_mode": "SHARP_CRASH (conditional)", "summary": "Imposed conditions for an institutional risk-off shock \u2014 agent-based simulator produces a spectrum of outcomes; per-replica conformance to SHARP_CRASH gating (\u226520% rolling-30d DD AND \u22651.5\u00d7 crash-window vol) varies in the 20-50% band per methodology expectations.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "parabolic_bull", "sample_replica_seeds": [ 20200, 20201, 20202, 20203, 20204 ], "source_file": "sharp_crash_setup_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": -0.01085, "p5": -0.66185, "p25": -0.50407, "p75": 0.16267, "p95": 0.40655, "min": -0.72401, "max": 0.70617 }, "realized_vol_annualized": { "median": 0.29488, "p5": 0.22481, "p25": 0.25995, "p75": 0.32156, "p95": 0.38586, "min": 0.21103, "max": 0.43215 }, "max_drawdown": { "median": -0.26413, "p5": -0.68767, "p25": -0.55952, "p75": -0.14263, "p95": -0.09207, "min": -0.72973, "max": -0.06576 }, "autocorrelation_lag1": { "median": -0.01516, "p5": -0.20245, "p25": -0.09356, "p75": 0.12732, "p95": 0.19939, "min": -0.21966, "max": 0.39062 }, "kurtosis": { "median": 5.93619, "p5": 2.58539, "p25": 4.41523, "p75": 7.90408, "p95": 10.33339, "min": 2.24865, "max": 13.89628 }, "skewness": { "median": -0.22747, "p5": -1.34124, "p25": -0.85338, "p75": 0.9028, "p95": 1.64242, "min": -1.74187, "max": 2.47895 }, "tail_p1": { "median": -0.05785, "p5": -0.09058, "p25": -0.06991, "p75": -0.04878, "p95": -0.03806, "min": -0.11321, "max": -0.03449 }, "tail_p99": { "median": 0.05562, "p5": 0.03398, "p25": 0.03935, "p75": 0.06761, "p95": 0.08852, "min": 0.03285, "max": 0.09437 }, "sign_change_frequency": { "median": 0.44355, "p5": 0.31815, "p25": 0.38105, "p75": 0.5, "p95": 0.54032, "min": 0.28226, "max": 0.56452 }, "vol_of_vol": { "median": 0.17884, "p5": 0.11773, "p25": 0.14546, "p75": 0.20185, "p95": 0.26433, "min": 0.10933, "max": 0.27472 }, "avg_run_length": { "median": 2.23214, "p5": 1.83824, "p25": 1.98413, "p75": 2.59088, "p95": 3.0907, "min": 1.76056, "max": 3.47222 }, "rolling_30d_max_dd": { "median": -0.24583, "p5": -0.4272, "p25": -0.32823, "p75": -0.14263, "p95": -0.09207, "min": -0.52234, "max": -0.06576 }, "crash_window_vol": { "median": 0.45131, "p5": 0.17533, "p25": 0.34616, "p75": 0.54579, "p95": 0.6103, "min": 0.11209, "max": 0.81467 }, "retracement_from_trough": { "median": 0.24537, "p5": 0.0, "p25": 0.0, "p75": 0.79185, "p95": 3.2848, "min": 0.0, "max": 6.92544 }, "sign_changes_5pct_count": { "median": 5.0, "p5": 2.0, "p25": 4.0, "p75": 7.0, "p95": 8.55, "min": 1.0, "max": 10.0 } }, "claim_validation": [ { "label": "Realized volatility over case (descriptive)", "claim": "elevated case-wide vol; aggregate proxy for crash-window vol-spike", "measured_median": 0.2949, "in_band": false, "note": "Measured median (0.2949) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation). (crypto-asset; relative-to-baseline criterion)" }, { "label": "Excess kurtosis (tail-modality descriptive)", "claim": "fat-tailed return distribution typical of SHARP_CRASH events; \u2265 1.5 indicates tail-intensified sub-classification", "measured_median": 5.9362, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 13, "WHIPSAW": 12, "SLOW_BEAR": 12, "TREND_UP": 9, "V_RECOVERY": 4 }, "fm_distribution_pct": { "TREND_DOWN": 26.0, "WHIPSAW": 24.0, "SLOW_BEAR": 24.0, "TREND_UP": 18.0, "V_RECOVERY": 8.0 }, "unclassified_count": 16, "unclassified_pct": 32.0, "sub_classifications": {}, "primary_fm_class": "SHARP_CRASH", "primary_fm_fraction": 0.0, "expected_band": "20-50%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "sharp_crash_setup_synthetic", "asset": "QQQ", "claimed_failure_mode": "SHARP_CRASH (conditional)", "summary": "Imposed conditions for an institutional risk-off shock \u2014 agent-based simulator produces a spectrum of outcomes; per-replica conformance to SHARP_CRASH gating (\u226520% rolling-30d DD AND \u22651.5\u00d7 crash-window vol) varies in the 20-50% band per methodology expectations.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "sideways_low_vol", "sample_replica_seeds": [ 20100, 20101, 20102, 20103, 20104 ], "source_file": "sharp_crash_setup_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.17764, "p5": -0.68991, "p25": -0.47242, "p75": 0.20329, "p95": 0.53512, "min": -0.73471, "max": 0.75574 }, "realized_vol_annualized": { "median": 0.31331, "p5": 0.24181, "p25": 0.28002, "p75": 0.34917, "p95": 0.39666, "min": 0.20882, "max": 0.41547 }, "max_drawdown": { "median": -0.27748, "p5": -0.70753, "p25": -0.49744, "p75": -0.14137, "p95": -0.07665, "min": -0.73768, "max": -0.06733 }, "autocorrelation_lag1": { "median": -0.01194, "p5": -0.25262, "p25": -0.06967, "p75": 0.09764, "p95": 0.26326, "min": -0.3214, "max": 0.33975 }, "kurtosis": { "median": 6.25477, "p5": 3.30187, "p25": 4.97952, "p75": 7.27398, "p95": 10.28871, "min": 2.78435, "max": 13.84838 }, "skewness": { "median": -0.22095, "p5": -1.86742, "p25": -1.04672, "p75": 0.47573, "p95": 1.49826, "min": -2.38041, "max": 2.18273 }, "tail_p1": { "median": -0.06473, "p5": -0.09135, "p25": -0.07496, "p75": -0.05445, "p95": -0.03177, "min": -0.09395, "max": -0.02548 }, "tail_p99": { "median": 0.0543, "p5": 0.02644, "p25": 0.04679, "p75": 0.06672, "p95": 0.08249, "min": 0.02334, "max": 0.09879 }, "sign_change_frequency": { "median": 0.45161, "p5": 0.32621, "p25": 0.38105, "p75": 0.50806, "p95": 0.54839, "min": 0.31452, "max": 0.56452 }, "vol_of_vol": { "median": 0.18828, "p5": 0.13751, "p25": 0.16739, "p75": 0.21929, "p95": 0.25943, "min": 0.11188, "max": 0.27872 }, "avg_run_length": { "median": 2.19298, "p5": 1.81159, "p25": 1.95312, "p75": 2.59088, "p95": 3.01611, "min": 1.76056, "max": 3.125 }, "rolling_30d_max_dd": { "median": -0.23963, "p5": -0.46325, "p25": -0.31976, "p75": -0.13858, "p95": -0.07267, "min": -0.57812, "max": -0.06614 }, "crash_window_vol": { "median": 0.47599, "p5": 0.12511, "p25": 0.32609, "p75": 0.56374, "p95": 0.67555, "min": 0.1172, "max": 0.75372 }, "retracement_from_trough": { "median": 0.17233, "p5": 0.0, "p25": 0.0, "p75": 0.71099, "p95": 2.53572, "min": 0.0, "max": 6.71833 }, "sign_changes_5pct_count": { "median": 6.0, "p5": 3.0, "p25": 5.0, "p75": 8.75, "p95": 11.0, "min": 2.0, "max": 12.0 } }, "claim_validation": [ { "label": "Realized volatility over case (descriptive)", "claim": "elevated case-wide vol; aggregate proxy for crash-window vol-spike", "measured_median": 0.3133, "in_band": true, "note": "within claimed range" }, { "label": "Excess kurtosis (tail-modality descriptive)", "claim": "fat-tailed return distribution typical of SHARP_CRASH events; \u2265 1.5 indicates tail-intensified sub-classification", "measured_median": 6.2548, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SHARP_CRASH": 25, "TREND_DOWN": 15, "SLOW_BEAR": 14, "SIDEWAYS": 8, "VOL_EXPANSION": 8, "LIQUIDITY_STRESS": 7, "TREND_UP": 6, "WHIPSAW": 5, "V_RECOVERY": 3 }, "fm_distribution_pct": { "SHARP_CRASH": 50.0, "TREND_DOWN": 30.0, "SLOW_BEAR": 28.0, "SIDEWAYS": 16.0, "VOL_EXPANSION": 16.0, "LIQUIDITY_STRESS": 14.0, "TREND_UP": 12.0, "WHIPSAW": 10.0, "V_RECOVERY": 6.0 }, "unclassified_count": 7, "unclassified_pct": 14.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 25 }, "VOL_EXPANSION": { "with-spikes": 6, "smooth-elevated": 2 } }, "primary_fm_class": "SHARP_CRASH", "primary_fm_fraction": 0.5, "expected_band": "20-50%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "sharp_crash_setup_synthetic", "asset": "SPY", "claimed_failure_mode": "SHARP_CRASH (conditional)", "summary": "Imposed conditions for an institutional risk-off shock \u2014 agent-based simulator produces a spectrum of outcomes; per-replica conformance to SHARP_CRASH gating (\u226520% rolling-30d DD AND \u22651.5\u00d7 crash-window vol) varies in the 20-50% band per methodology expectations.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "bull_trend", "sample_replica_seeds": [ 20000, 20001, 20002, 20003, 20004 ], "source_file": "sharp_crash_setup_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": 0.04867, "p5": -0.57855, "p25": -0.32129, "p75": 0.22595, "p95": 0.45763, "min": -0.73883, "max": 0.58098 }, "realized_vol_annualized": { "median": 0.28778, "p5": 0.21506, "p25": 0.2641, "p75": 0.31948, "p95": 0.37085, "min": 0.16993, "max": 0.38967 }, "max_drawdown": { "median": -0.1733, "p5": -0.59938, "p25": -0.40704, "p75": -0.12871, "p95": -0.07581, "min": -0.74279, "max": -0.05996 }, "autocorrelation_lag1": { "median": 0.04698, "p5": -0.28697, "p25": -0.09415, "p75": 0.15661, "p95": 0.25194, "min": -0.35906, "max": 0.27136 }, "kurtosis": { "median": 5.74502, "p5": 2.92153, "p25": 4.20946, "p75": 7.26361, "p95": 11.92588, "min": 2.52423, "max": 28.80036 }, "skewness": { "median": -0.01146, "p5": -1.49529, "p25": -0.53121, "p75": 0.65292, "p95": 1.72877, "min": -2.53827, "max": 3.98182 }, "tail_p1": { "median": -0.05321, "p5": -0.08102, "p25": -0.06431, "p75": -0.04549, "p95": -0.03198, "min": -0.0893, "max": -0.02453 }, "tail_p99": { "median": 0.05631, "p5": 0.03537, "p25": 0.04618, "p75": 0.06096, "p95": 0.07382, "min": 0.02262, "max": 0.08406 }, "sign_change_frequency": { "median": 0.47581, "p5": 0.31452, "p25": 0.42944, "p75": 0.51411, "p95": 0.55645, "min": 0.26613, "max": 0.56452 }, "vol_of_vol": { "median": 0.17943, "p5": 0.11994, "p25": 0.1444, "p75": 0.20222, "p95": 0.24092, "min": 0.09399, "max": 0.25809 }, "avg_run_length": { "median": 2.08333, "p5": 1.78571, "p25": 1.93059, "p75": 2.30429, "p95": 3.125, "min": 1.76056, "max": 3.67647 }, "rolling_30d_max_dd": { "median": -0.17163, "p5": -0.41931, "p25": -0.28417, "p75": -0.12784, "p95": -0.07581, "min": -0.48012, "max": -0.05996 }, "crash_window_vol": { "median": 0.4082, "p5": 0.1374, "p25": 0.29768, "p75": 0.50531, "p95": 0.64297, "min": 0.11762, "max": 0.71939 }, "retracement_from_trough": { "median": 0.42042, "p5": 0.0, "p25": 0.01821, "p75": 1.14169, "p95": 3.53359, "min": 0.0, "max": 5.30789 }, "sign_changes_5pct_count": { "median": 5.0, "p5": 3.0, "p25": 5.0, "p75": 7.0, "p95": 9.0, "min": 1.0, "max": 11.0 } }, "claim_validation": [ { "label": "Realized volatility over case (descriptive)", "claim": "elevated case-wide vol; aggregate proxy for crash-window vol-spike", "measured_median": 0.2878, "in_band": true, "note": "within claimed range" }, { "label": "Excess kurtosis (tail-modality descriptive)", "claim": "fat-tailed return distribution typical of SHARP_CRASH events; \u2265 1.5 indicates tail-intensified sub-classification", "measured_median": 5.745, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 24, "SHARP_CRASH": 15, "TREND_UP": 14, "TREND_DOWN": 13, "SLOW_BEAR": 12, "LIQUIDITY_STRESS": 11, "WHIPSAW": 9, "SIDEWAYS": 4, "V_RECOVERY": 3 }, "fm_distribution_pct": { "VOL_EXPANSION": 48.0, "SHARP_CRASH": 30.0, "TREND_UP": 28.0, "TREND_DOWN": 26.0, "SLOW_BEAR": 24.0, "LIQUIDITY_STRESS": 22.0, "WHIPSAW": 18.0, "SIDEWAYS": 8.0, "V_RECOVERY": 6.0 }, "unclassified_count": 4, "unclassified_pct": 8.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 14, "with-spikes": 10 }, "SHARP_CRASH": { "tail-intensified": 15 } }, "primary_fm_class": "SHARP_CRASH", "primary_fm_fraction": 0.3, "expected_band": "20-50%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "slow_crash_no_recovery_synthetic", "asset": "GOLD", "claimed_failure_mode": "SLOW_BEAR + TREND_DOWN (adversarial)", "summary": "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%.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "inflationary_upcycle", "sample_replica_seeds": [ 21600, 21601, 21602, 21603, 21604 ], "source_file": "slow_crash_no_recovery_synthetic_gold.json", "metrics_aggregated": { "total_return": { "median": -0.21581, "p5": -0.42644, "p25": -0.33615, "p75": -0.12134, "p95": 0.00256, "min": -0.5084, "max": 0.14021 }, "realized_vol_annualized": { "median": 0.15726, "p5": 0.13849, "p25": 0.14905, "p75": 0.16264, "p95": 0.18145, "min": 0.13183, "max": 0.199 }, "max_drawdown": { "median": -0.22307, "p5": -0.43836, "p25": -0.34928, "p75": -0.1803, "p95": -0.10015, "min": -0.52334, "max": -0.05346 }, "autocorrelation_lag1": { "median": -0.02325, "p5": -0.1772, "p25": -0.07374, "p75": 0.05384, "p95": 0.11576, "min": -0.1961, "max": 0.12633 }, "kurtosis": { "median": -0.07814, "p5": -0.64044, "p25": -0.2935, "p75": 0.09338, "p95": 0.44564, "min": -0.74846, "max": 1.10923 }, "skewness": { "median": 0.01084, "p5": -0.27814, "p25": -0.11154, "p75": 0.14256, "p95": 0.26185, "min": -0.34059, "max": 0.52523 }, "tail_p1": { "median": -0.02355, "p5": -0.02866, "p25": -0.02524, "p75": -0.02204, "p95": -0.01977, "min": -0.03303, "max": -0.0177 }, "tail_p99": { "median": 0.01976, "p5": 0.01553, "p25": 0.01764, "p75": 0.02154, "p95": 0.02399, "min": 0.0146, "max": 0.02632 }, "sign_change_frequency": { "median": 0.49194, "p5": 0.39879, "p25": 0.46774, "p75": 0.52016, "p95": 0.55645, "min": 0.3871, "max": 0.56452 }, "vol_of_vol": { "median": 0.02251, "p5": 0.01258, "p25": 0.01909, "p75": 0.02664, "p95": 0.03063, "min": 0.00908, "max": 0.04184 }, "avg_run_length": { "median": 2.01613, "p5": 1.78571, "p25": 1.90874, "p75": 2.11864, "p95": 2.47794, "min": 1.76056, "max": 2.55102 }, "rolling_30d_max_dd": { "median": -0.13838, "p5": -0.21121, "p25": -0.17525, "p75": -0.11314, "p95": -0.07793, "min": -0.24854, "max": -0.05346 }, "crash_window_vol": { "median": 0.15271, "p5": 0.11839, "p25": 0.13959, "p75": 0.16466, "p95": 0.19197, "min": 0.10074, "max": 0.22437 }, "retracement_from_trough": { "median": 0.0218, "p5": 0.0, "p25": 0.00692, "p75": 0.0913, "p95": 0.38533, "min": 0.0, "max": 1.72854 }, "sign_changes_5pct_count": { "median": 2.5, "p5": 1.0, "p25": 1.0, "p75": 3.0, "p95": 5.0, "min": 1.0, "max": 5.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "persistent decline with no rebound, methodology \u221225% to \u221260%", "measured_median": -0.2158, "in_band": false, "note": "Measured median (-0.2158) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." }, { "label": "Maximum drawdown (median)", "claim": "drawdowns deepen monotonically; methodology \u221225% to \u221270%", "measured_median": -0.2231, "in_band": false, "note": "Measured median (-0.2231) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 24, "SLOW_BEAR": 22, "SIDEWAYS": 7, "WHIPSAW": 4, "TREND_UP": 2, "VOL_EXPANSION": 1, "SHARP_CRASH": 1 }, "fm_distribution_pct": { "TREND_DOWN": 48.0, "SLOW_BEAR": 44.0, "SIDEWAYS": 14.0, "WHIPSAW": 8.0, "TREND_UP": 4.0, "VOL_EXPANSION": 2.0, "SHARP_CRASH": 2.0 }, "unclassified_count": 18, "unclassified_pct": 36.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 1 }, "SHARP_CRASH": { "broad-distribution": 1 } }, "primary_fm_class": "SLOW_BEAR", "primary_fm_fraction": 0.44, "expected_band": "40-80%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "slow_crash_no_recovery_synthetic", "asset": "QQQ", "claimed_failure_mode": "SLOW_BEAR + TREND_DOWN (adversarial)", "summary": "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%.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "sideways_low_vol", "sample_replica_seeds": [ 21500, 21501, 21502, 21503, 21504 ], "source_file": "slow_crash_no_recovery_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.24693, "p5": -0.40814, "p25": -0.3323, "p75": -0.15303, "p95": -0.00521, "min": -0.49595, "max": 0.08321 }, "realized_vol_annualized": { "median": 0.15888, "p5": 0.13383, "p25": 0.14881, "p75": 0.16751, "p95": 0.17885, "min": 0.12312, "max": 0.18131 }, "max_drawdown": { "median": -0.26339, "p5": -0.42356, "p25": -0.33933, "p75": -0.20665, "p95": -0.12138, "min": -0.50561, "max": -0.07567 }, "autocorrelation_lag1": { "median": 0.00919, "p5": -0.16577, "p25": -0.067, "p75": 0.06365, "p95": 0.1257, "min": -0.18362, "max": 0.16808 }, "kurtosis": { "median": -0.09357, "p5": -0.65368, "p25": -0.35359, "p75": 0.15084, "p95": 0.60208, "min": -0.78833, "max": 1.19986 }, "skewness": { "median": 0.04939, "p5": -0.30876, "p25": -0.0832, "p75": 0.22168, "p95": 0.37381, "min": -0.41757, "max": 0.46212 }, "tail_p1": { "median": -0.02374, "p5": -0.02796, "p25": -0.02571, "p75": -0.02102, "p95": -0.01938, "min": -0.0285, "max": -0.01707 }, "tail_p99": { "median": 0.01943, "p5": 0.01363, "p25": 0.0178, "p75": 0.02309, "p95": 0.02554, "min": 0.01324, "max": 0.02897 }, "sign_change_frequency": { "median": 0.48387, "p5": 0.3871, "p25": 0.45161, "p75": 0.50605, "p95": 0.55645, "min": 0.32258, "max": 0.58871 }, "vol_of_vol": { "median": 0.02045, "p5": 0.01255, "p25": 0.01761, "p75": 0.02637, "p95": 0.02939, "min": 0.01036, "max": 0.03043 }, "avg_run_length": { "median": 2.04918, "p5": 1.78571, "p25": 1.96088, "p75": 2.19298, "p95": 2.55102, "min": 1.68919, "max": 3.04878 }, "rolling_30d_max_dd": { "median": -0.1389, "p5": -0.20439, "p25": -0.16995, "p75": -0.1209, "p95": -0.09333, "min": -0.26705, "max": -0.07567 }, "crash_window_vol": { "median": 0.1591, "p5": 0.11773, "p25": 0.14329, "p75": 0.16985, "p95": 0.18378, "min": 0.09574, "max": 0.20162 }, "retracement_from_trough": { "median": 0.04465, "p5": 0.0, "p25": 0.00354, "p75": 0.09233, "p95": 0.74014, "min": 0.0, "max": 1.64515 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 1.0, "p75": 3.0, "p95": 5.0, "min": 1.0, "max": 6.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "persistent decline with no rebound, methodology \u221225% to \u221260%", "measured_median": -0.2469, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "drawdowns deepen monotonically; methodology \u221225% to \u221270%", "measured_median": -0.2634, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 29, "SLOW_BEAR": 23, "SIDEWAYS": 9, "WHIPSAW": 7, "TREND_UP": 1, "VOL_COMPRESSION": 1, "V_RECOVERY": 1 }, "fm_distribution_pct": { "TREND_DOWN": 58.0, "SLOW_BEAR": 46.0, "SIDEWAYS": 18.0, "WHIPSAW": 14.0, "TREND_UP": 2.0, "VOL_COMPRESSION": 2.0, "V_RECOVERY": 2.0 }, "unclassified_count": 12, "unclassified_pct": 24.0, "sub_classifications": {}, "primary_fm_class": "SLOW_BEAR", "primary_fm_fraction": 0.46, "expected_band": "40-80%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "slow_crash_no_recovery_synthetic", "asset": "SPY", "claimed_failure_mode": "SLOW_BEAR + TREND_DOWN (adversarial)", "summary": "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%.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "bull_trend", "sample_replica_seeds": [ 21400, 21401, 21402, 21403, 21404 ], "source_file": "slow_crash_no_recovery_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": -0.21131, "p5": -0.49509, "p25": -0.32439, "p75": -0.15757, "p95": -0.03813, "min": -0.5271, "max": 0.06746 }, "realized_vol_annualized": { "median": 0.1588, "p5": 0.13791, "p25": 0.14635, "p75": 0.17144, "p95": 0.1826, "min": 0.13306, "max": 0.18894 }, "max_drawdown": { "median": -0.25177, "p5": -0.50082, "p25": -0.36007, "p75": -0.19283, "p95": -0.09338, "min": -0.53516, "max": -0.07525 }, "autocorrelation_lag1": { "median": -0.0068, "p5": -0.2217, "p25": -0.10237, "p75": 0.05419, "p95": 0.1254, "min": -0.25129, "max": 0.18419 }, "kurtosis": { "median": -0.16022, "p5": -0.5522, "p25": -0.32383, "p75": 0.07451, "p95": 0.53752, "min": -0.6688, "max": 1.49336 }, "skewness": { "median": -0.00499, "p5": -0.31506, "p25": -0.13294, "p75": 0.15192, "p95": 0.43957, "min": -0.40544, "max": 0.55111 }, "tail_p1": { "median": -0.02342, "p5": -0.02983, "p25": -0.02511, "p75": -0.02206, "p95": -0.01957, "min": -0.03121, "max": -0.01801 }, "tail_p99": { "median": 0.01918, "p5": 0.01596, "p25": 0.01723, "p75": 0.02098, "p95": 0.02431, "min": 0.01512, "max": 0.02631 }, "sign_change_frequency": { "median": 0.47581, "p5": 0.3871, "p25": 0.43145, "p75": 0.53024, "p95": 0.57258, "min": 0.37097, "max": 0.64516 }, "vol_of_vol": { "median": 0.02037, "p5": 0.01296, "p25": 0.01873, "p75": 0.02664, "p95": 0.03229, "min": 0.01004, "max": 0.04434 }, "avg_run_length": { "median": 2.08333, "p5": 1.73611, "p25": 1.87274, "p75": 2.29415, "p95": 2.55102, "min": 1.54321, "max": 2.65957 }, "rolling_30d_max_dd": { "median": -0.1411, "p5": -0.22151, "p25": -0.18135, "p75": -0.11984, "p95": -0.07713, "min": -0.25832, "max": -0.06761 }, "crash_window_vol": { "median": 0.15617, "p5": 0.12674, "p25": 0.14285, "p75": 0.17368, "p95": 0.19765, "min": 0.11988, "max": 0.2151 }, "retracement_from_trough": { "median": 0.02653, "p5": 0.0, "p25": 0.0, "p75": 0.10435, "p95": 0.4142, "min": 0.0, "max": 1.43114 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 1.0, "p75": 3.0, "p95": 5.0, "min": 0.0, "max": 5.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "persistent decline with no rebound, methodology \u221225% to \u221260%", "measured_median": -0.2113, "in_band": false, "note": "Measured median (-0.2113) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." }, { "label": "Maximum drawdown (median)", "claim": "drawdowns deepen monotonically; methodology \u221225% to \u221270%", "measured_median": -0.2518, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 25, "SLOW_BEAR": 22, "SIDEWAYS": 7, "WHIPSAW": 3 }, "fm_distribution_pct": { "TREND_DOWN": 50.0, "SLOW_BEAR": 44.0, "SIDEWAYS": 14.0, "WHIPSAW": 6.0 }, "unclassified_count": 18, "unclassified_pct": 36.0, "sub_classifications": {}, "primary_fm_class": "SLOW_BEAR", "primary_fm_fraction": 0.44, "expected_band": "40-80%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "slow_decline_with_partial_recovery", "asset": "GOLD", "claimed_failure_mode": "SIDEWAYS-with-bearish-bias (mixed FM ex-post)", "summary": "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 \u2014 empirical characterization, not a profile failure.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "demand_weakness", "sample_replica_seeds": [ 2526, 2527, 2528, 2529, 2530 ], "source_file": "slow_decline_with_partial_recovery_gold.json", "metrics_aggregated": { "total_return": { "median": -0.11074, "p5": -0.23896, "p25": -0.16632, "p75": -0.05464, "p95": 0.06233, "min": -0.35626, "max": 0.11313 }, "realized_vol_annualized": { "median": 0.13943, "p5": 0.11768, "p25": 0.12518, "p75": 0.14935, "p95": 0.16477, "min": 0.09667, "max": 0.16764 }, "max_drawdown": { "median": -0.14465, "p5": -0.2564, "p25": -0.18614, "p75": -0.10597, "p95": -0.06308, "min": -0.35957, "max": -0.0527 }, "autocorrelation_lag1": { "median": -0.02067, "p5": -0.13529, "p25": -0.05898, "p75": 0.02673, "p95": 0.12641, "min": -0.16422, "max": 0.17284 }, "kurtosis": { "median": -0.09481, "p5": -0.51615, "p25": -0.33604, "p75": 0.24106, "p95": 0.72373, "min": -0.73213, "max": 2.03886 }, "skewness": { "median": 0.00375, "p5": -0.38904, "p25": -0.16958, "p75": 0.16967, "p95": 0.27199, "min": -0.5007, "max": 0.32659 }, "tail_p1": { "median": -0.0205, "p5": -0.0247, "p25": -0.02163, "p75": -0.01818, "p95": -0.01587, "min": -0.02867, "max": -0.0135 }, "tail_p99": { "median": 0.01833, "p5": 0.01344, "p25": 0.01714, "p75": 0.01983, "p95": 0.02389, "min": 0.01239, "max": 0.02595 }, "sign_change_frequency": { "median": 0.49194, "p5": 0.40685, "p25": 0.45968, "p75": 0.51613, "p95": 0.56089, "min": 0.40323, "max": 0.59677 }, "vol_of_vol": { "median": 0.01975, "p5": 0.01217, "p25": 0.01552, "p75": 0.02408, "p95": 0.03042, "min": 0.01145, "max": 0.03541 }, "avg_run_length": { "median": 2.01665, "p5": 1.77188, "p25": 1.92308, "p75": 2.15517, "p95": 2.42977, "min": 1.66667, "max": 2.45098 }, "rolling_30d_max_dd": { "median": -0.09465, "p5": -0.15017, "p25": -0.1132, "p75": -0.08204, "p95": -0.05674, "min": -0.17586, "max": -0.05267 }, "crash_window_vol": { "median": 0.13332, "p5": 0.0959, "p25": 0.11259, "p75": 0.15484, "p95": 0.18241, "min": 0.09161, "max": 0.19109 }, "retracement_from_trough": { "median": 0.07333, "p5": 0.0, "p25": 0.0, "p75": 0.21248, "p95": 1.39211, "min": 0.0, "max": 1.96044 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 1.0, "p75": 3.0, "p95": 4.55, "min": 0.0, "max": 7.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "moderate decline with mid-period rebounds permitted, typically \u22125% to \u221220%", "measured_median": -0.1107, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "moderate drawdowns, typically \u221210% to \u221225%", "measured_median": -0.1447, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 24, "WHIPSAW": 16, "TREND_DOWN": 4, "SLOW_BEAR": 2, "TREND_UP": 2 }, "fm_distribution_pct": { "SIDEWAYS": 48.0, "WHIPSAW": 32.0, "TREND_DOWN": 8.0, "SLOW_BEAR": 4.0, "TREND_UP": 4.0 }, "unclassified_count": 22, "unclassified_pct": 44.0, "sub_classifications": {}, "primary_fm_class": "SIDEWAYS", "primary_fm_fraction": 0.48, "expected_band": "30-70%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "slow_decline_with_partial_recovery", "asset": "QQQ", "claimed_failure_mode": "SIDEWAYS-with-bearish-bias (mixed FM ex-post)", "summary": "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 \u2014 empirical characterization, not a profile failure.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "sideways_low_vol", "sample_replica_seeds": [ 3099, 3100, 3101, 3102, 3103 ], "source_file": "slow_decline_with_partial_recovery_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.07897, "p5": -0.2068, "p25": -0.14277, "p75": 0.0055, "p95": 0.09609, "min": -0.24101, "max": 0.19384 }, "realized_vol_annualized": { "median": 0.1381, "p5": 0.11918, "p25": 0.12685, "p75": 0.14477, "p95": 0.15602, "min": 0.11771, "max": 0.16637 }, "max_drawdown": { "median": -0.13263, "p5": -0.22667, "p25": -0.18615, "p75": -0.08255, "p95": -0.06513, "min": -0.26753, "max": -0.05104 }, "autocorrelation_lag1": { "median": -0.00155, "p5": -0.13937, "p25": -0.05261, "p75": 0.03996, "p95": 0.15283, "min": -0.1778, "max": 0.20045 }, "kurtosis": { "median": -0.02998, "p5": -0.52973, "p25": -0.27709, "p75": 0.30434, "p95": 0.73226, "min": -0.70586, "max": 1.32064 }, "skewness": { "median": -0.00162, "p5": -0.24551, "p25": -0.09168, "p75": 0.15185, "p95": 0.29559, "min": -0.46655, "max": 0.34683 }, "tail_p1": { "median": -0.01931, "p5": -0.02377, "p25": -0.02053, "p75": -0.01762, "p95": -0.01568, "min": -0.02602, "max": -0.0148 }, "tail_p99": { "median": 0.01815, "p5": 0.01496, "p25": 0.01682, "p75": 0.01956, "p95": 0.02391, "min": 0.01408, "max": 0.02565 }, "sign_change_frequency": { "median": 0.5, "p5": 0.43911, "p25": 0.46774, "p75": 0.53226, "p95": 0.58871, "min": 0.39516, "max": 0.6129 }, "vol_of_vol": { "median": 0.01898, "p5": 0.01111, "p25": 0.01496, "p75": 0.02244, "p95": 0.02597, "min": 0.01029, "max": 0.02642 }, "avg_run_length": { "median": 1.98413, "p5": 1.68919, "p25": 1.86567, "p75": 2.11864, "p95": 2.25446, "min": 1.62338, "max": 2.5 }, "rolling_30d_max_dd": { "median": -0.0954, "p5": -0.14196, "p25": -0.11282, "p75": -0.07267, "p95": -0.06174, "min": -0.16009, "max": -0.04725 }, "crash_window_vol": { "median": 0.1381, "p5": 0.11086, "p25": 0.12238, "p75": 0.15242, "p95": 0.17007, "min": 0.09691, "max": 0.17699 }, "retracement_from_trough": { "median": 0.15484, "p5": 0.0, "p25": 0.04362, "p75": 0.40528, "p95": 1.37725, "min": 0.0, "max": 2.04851 }, "sign_changes_5pct_count": { "median": 2.0, "p5": 1.0, "p25": 2.0, "p75": 3.0, "p95": 5.0, "min": 0.0, "max": 5.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "moderate decline with mid-period rebounds permitted, typically \u22125% to \u221220%", "measured_median": -0.079, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "moderate drawdowns, typically \u221210% to \u221225%", "measured_median": -0.1326, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 21, "WHIPSAW": 11, "VOL_COMPRESSION": 9, "TREND_UP": 4, "TREND_DOWN": 1 }, "fm_distribution_pct": { "SIDEWAYS": 42.0, "WHIPSAW": 22.0, "VOL_COMPRESSION": 18.0, "TREND_UP": 8.0, "TREND_DOWN": 2.0 }, "unclassified_count": 24, "unclassified_pct": 48.0, "sub_classifications": {}, "primary_fm_class": "SIDEWAYS", "primary_fm_fraction": 0.42, "expected_band": "30-70%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "slow_decline_with_partial_recovery", "asset": "SPY", "claimed_failure_mode": "SIDEWAYS-with-bearish-bias (mixed FM ex-post)", "summary": "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 \u2014 empirical characterization, not a profile failure.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "weak_bear", "sample_replica_seeds": [ 2447, 2448, 2449, 2450, 2451 ], "source_file": "slow_decline_with_partial_recovery_spy.json", "metrics_aggregated": { "total_return": { "median": -0.07324, "p5": -0.20003, "p25": -0.12725, "p75": -0.01969, "p95": 0.0582, "min": -0.20269, "max": 0.10624 }, "realized_vol_annualized": { "median": 0.13923, "p5": 0.12357, "p25": 0.13129, "p75": 0.15494, "p95": 0.16332, "min": 0.12087, "max": 0.17398 }, "max_drawdown": { "median": -0.12658, "p5": -0.22679, "p25": -0.16441, "p75": -0.09764, "p95": -0.06951, "min": -0.25994, "max": -0.05118 }, "autocorrelation_lag1": { "median": -0.00476, "p5": -0.15673, "p25": -0.09157, "p75": 0.0348, "p95": 0.1067, "min": -0.16983, "max": 0.15264 }, "kurtosis": { "median": -0.05946, "p5": -0.61242, "p25": -0.25295, "p75": 0.13348, "p95": 0.55134, "min": -0.70002, "max": 6.31708 }, "skewness": { "median": 0.08688, "p5": -0.32196, "p25": -0.12672, "p75": 0.22819, "p95": 0.39956, "min": -0.39905, "max": 1.41115 }, "tail_p1": { "median": -0.01974, "p5": -0.02539, "p25": -0.02155, "p75": -0.01785, "p95": -0.01628, "min": -0.02646, "max": -0.01507 }, "tail_p99": { "median": 0.01963, "p5": 0.01468, "p25": 0.01749, "p75": 0.02068, "p95": 0.02285, "min": 0.01377, "max": 0.02925 }, "sign_change_frequency": { "median": 0.5, "p5": 0.42742, "p25": 0.47581, "p75": 0.54637, "p95": 0.58065, "min": 0.39516, "max": 0.6129 }, "vol_of_vol": { "median": 0.01809, "p5": 0.01263, "p25": 0.01487, "p75": 0.02093, "p95": 0.02808, "min": 0.01166, "max": 0.04157 }, "avg_run_length": { "median": 1.98413, "p5": 1.71233, "p25": 1.81825, "p75": 2.08333, "p95": 2.31481, "min": 1.62338, "max": 2.5 }, "rolling_30d_max_dd": { "median": -0.09673, "p5": -0.13198, "p25": -0.11542, "p75": -0.08414, "p95": -0.05645, "min": -0.15353, "max": -0.05118 }, "crash_window_vol": { "median": 0.13689, "p5": 0.1059, "p25": 0.12405, "p75": 0.14847, "p95": 0.1776, "min": 0.09964, "max": 0.1951 }, "retracement_from_trough": { "median": 0.23105, "p5": 0.0, "p25": 0.07675, "p75": 0.41306, "p95": 0.99599, "min": 0.0, "max": 2.26421 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 4.0, "p95": 5.55, "min": 1.0, "max": 6.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "moderate decline with mid-period rebounds permitted, typically \u22125% to \u221220%", "measured_median": -0.0732, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "moderate drawdowns, typically \u221210% to \u221225%", "measured_median": -0.1266, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 32, "WHIPSAW": 19, "TREND_UP": 2, "TREND_DOWN": 1 }, "fm_distribution_pct": { "SIDEWAYS": 64.0, "WHIPSAW": 38.0, "TREND_UP": 4.0, "TREND_DOWN": 2.0 }, "unclassified_count": 17, "unclassified_pct": 34.0, "sub_classifications": {}, "primary_fm_class": "SIDEWAYS", "primary_fm_fraction": 0.64, "expected_band": "30-70%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "slow_stagflation", "asset": "QQQ", "claimed_failure_mode": "SLOW_BEAR + VOL_EXPANSION", "summary": "Imposed conditions for persistent decline combined with elevated realized volatility.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "sideways_low_vol", "sample_replica_seeds": [ 9334, 9335, 9336, 9337, 9338 ], "source_file": "slow_stagflation_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.15225, "p5": -0.41278, "p25": -0.24027, "p75": 0.04185, "p95": 0.2273, "min": -0.60262, "max": 0.56117 }, "realized_vol_annualized": { "median": 0.36714, "p5": 0.29398, "p25": 0.3375, "p75": 0.39143, "p95": 0.41257, "min": 0.279, "max": 0.47735 }, "max_drawdown": { "median": -0.29513, "p5": -0.4523, "p25": -0.37939, "p75": -0.21129, "p95": -0.15407, "min": -0.60414, "max": -0.09523 }, "autocorrelation_lag1": { "median": 0.00685, "p5": -0.14734, "p25": -0.05444, "p75": 0.07186, "p95": 0.11789, "min": -0.19259, "max": 0.18844 }, "kurtosis": { "median": -0.02843, "p5": -0.58108, "p25": -0.26991, "p75": 0.16525, "p95": 0.67244, "min": -0.7712, "max": 0.92135 }, "skewness": { "median": 0.09706, "p5": -0.30027, "p25": -0.13525, "p75": 0.29548, "p95": 0.44404, "min": -0.48966, "max": 0.55343 }, "tail_p1": { "median": -0.05021, "p5": -0.06272, "p25": -0.05704, "p75": -0.04563, "p95": -0.03657, "min": -0.06568, "max": -0.03479 }, "tail_p99": { "median": 0.04817, "p5": 0.03715, "p25": 0.0442, "p75": 0.05577, "p95": 0.06434, "min": 0.03254, "max": 0.06844 }, "sign_change_frequency": { "median": 0.48387, "p5": 0.43024, "p25": 0.45968, "p75": 0.52419, "p95": 0.57339, "min": 0.40323, "max": 0.60484 }, "vol_of_vol": { "median": 0.05131, "p5": 0.03176, "p25": 0.03781, "p75": 0.06148, "p95": 0.07731, "min": 0.02401, "max": 0.09601 }, "avg_run_length": { "median": 2.04918, "p5": 1.73403, "p25": 1.89394, "p75": 2.15517, "p95": 2.30163, "min": 1.64474, "max": 2.45098 }, "rolling_30d_max_dd": { "median": -0.22975, "p5": -0.33885, "p25": -0.25644, "p75": -0.18945, "p95": -0.14848, "min": -0.36226, "max": -0.09523 }, "crash_window_vol": { "median": 0.35601, "p5": 0.26737, "p25": 0.30974, "p75": 0.40045, "p95": 0.4372, "min": 0.24164, "max": 0.48047 }, "retracement_from_trough": { "median": 0.15437, "p5": 0.0, "p25": 0.05126, "p75": 0.43077, "p95": 1.801, "min": 0.0, "max": 2.45092 }, "sign_changes_5pct_count": { "median": 11.5, "p5": 6.0, "p25": 9.25, "p75": 13.0, "p95": 15.55, "min": 4.0, "max": 20.0 } }, "claim_validation": [ { "label": "Total return over case (SLOW_BEAR aspect)", "claim": "moderate-to-deep decline, methodology \u221225% to \u221260%", "measured_median": -0.1522, "in_band": false, "note": "Measured median (-0.1522) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." }, { "label": "Realized volatility (VOL_EXPANSION aspect)", "claim": "\u2265 1.5\u00d7 QQQ baseline (~0.32); methodology gating", "measured_median": 0.3671, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 41, "LIQUIDITY_STRESS": 35, "SHARP_CRASH": 25, "TREND_DOWN": 19, "SLOW_BEAR": 11, "V_RECOVERY": 10, "WHIPSAW": 9, "SIDEWAYS": 4 }, "fm_distribution_pct": { "VOL_EXPANSION": 82.0, "LIQUIDITY_STRESS": 70.0, "SHARP_CRASH": 50.0, "TREND_DOWN": 38.0, "SLOW_BEAR": 22.0, "V_RECOVERY": 20.0, "WHIPSAW": 18.0, "SIDEWAYS": 8.0 }, "unclassified_count": 0, "unclassified_pct": 0.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 40, "with-spikes": 1 }, "SHARP_CRASH": { "tail-intensified": 25 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.82, "expected_band": "60-90%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "slow_stagflation", "asset": "SPY", "claimed_failure_mode": "SLOW_BEAR + VOL_EXPANSION", "summary": "Imposed conditions for persistent decline combined with elevated realized volatility.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "sideways_low_vol", "sample_replica_seeds": [ 22000, 22001, 22002, 22003, 22004 ], "source_file": "slow_stagflation_spy.json", "metrics_aggregated": { "total_return": { "median": -0.05879, "p5": -0.29677, "p25": -0.20819, "p75": 0.12264, "p95": 0.27251, "min": -0.46429, "max": 0.39219 }, "realized_vol_annualized": { "median": 0.27762, "p5": 0.20814, "p25": 0.25446, "p75": 0.29774, "p95": 0.32063, "min": 0.20282, "max": 0.33213 }, "max_drawdown": { "median": -0.21185, "p5": -0.36565, "p25": -0.28316, "p75": -0.14718, "p95": -0.10042, "min": -0.49971, "max": -0.08867 }, "autocorrelation_lag1": { "median": -0.01264, "p5": -0.11562, "p25": -0.05549, "p75": 0.04821, "p95": 0.12114, "min": -0.13897, "max": 0.16613 }, "kurtosis": { "median": -0.10543, "p5": -0.61202, "p25": -0.43533, "p75": 0.1322, "p95": 0.41535, "min": -0.78953, "max": 0.75465 }, "skewness": { "median": 0.01943, "p5": -0.30631, "p25": -0.10595, "p75": 0.12703, "p95": 0.23621, "min": -0.37683, "max": 0.29458 }, "tail_p1": { "median": -0.03776, "p5": -0.0477, "p25": -0.04251, "p75": -0.03433, "p95": -0.02653, "min": -0.05283, "max": -0.0233 }, "tail_p99": { "median": 0.03635, "p5": 0.02742, "p25": 0.03357, "p75": 0.0415, "p95": 0.04594, "min": 0.02619, "max": 0.05144 }, "sign_change_frequency": { "median": 0.5, "p5": 0.42298, "p25": 0.45968, "p75": 0.53226, "p95": 0.56895, "min": 0.39516, "max": 0.58871 }, "vol_of_vol": { "median": 0.03587, "p5": 0.02054, "p25": 0.02915, "p75": 0.04016, "p95": 0.05379, "min": 0.01704, "max": 0.05576 }, "avg_run_length": { "median": 1.98413, "p5": 1.74711, "p25": 1.86567, "p75": 2.15517, "p95": 2.33884, "min": 1.68919, "max": 2.5 }, "rolling_30d_max_dd": { "median": -0.17125, "p5": -0.27004, "p25": -0.21432, "p75": -0.12794, "p95": -0.10042, "min": -0.28336, "max": -0.08867 }, "crash_window_vol": { "median": 0.2657, "p5": 0.19467, "p25": 0.24048, "p75": 0.30042, "p95": 0.34366, "min": 0.1764, "max": 0.37239 }, "retracement_from_trough": { "median": 0.21068, "p5": 0.0, "p25": 0.11313, "p75": 0.74353, "p95": 1.98712, "min": 0.0, "max": 2.43972 }, "sign_changes_5pct_count": { "median": 7.0, "p5": 4.0, "p25": 6.0, "p75": 10.0, "p95": 11.0, "min": 3.0, "max": 13.0 } }, "claim_validation": [ { "label": "Total return over case (SLOW_BEAR aspect)", "claim": "moderate-to-deep decline, methodology \u221225% to \u221260%", "measured_median": -0.0588, "in_band": false, "note": "Measured median (-0.0588) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." }, { "label": "Realized volatility (VOL_EXPANSION aspect)", "claim": "\u2265 1.5\u00d7 SPY baseline (~0.24); methodology gating", "measured_median": 0.2776, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 40, "LIQUIDITY_STRESS": 23, "SHARP_CRASH": 15, "WHIPSAW": 13, "TREND_DOWN": 13, "TREND_UP": 11, "SLOW_BEAR": 8, "SIDEWAYS": 6, "V_RECOVERY": 2 }, "fm_distribution_pct": { "VOL_EXPANSION": 80.0, "LIQUIDITY_STRESS": 46.0, "SHARP_CRASH": 30.0, "WHIPSAW": 26.0, "TREND_DOWN": 26.0, "TREND_UP": 22.0, "SLOW_BEAR": 16.0, "SIDEWAYS": 12.0, "V_RECOVERY": 4.0 }, "unclassified_count": 3, "unclassified_pct": 6.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 40 }, "SHARP_CRASH": { "tail-intensified": 15 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.8, "expected_band": "60-90%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "v_recovery_setup_synthetic", "asset": "BTC", "claimed_failure_mode": "", "summary": "", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "parabolic_bull", "sample_replica_seeds": [ 21200, 21201, 21202, 21203, 21204 ], "source_file": "v_recovery_setup_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": 0.18446, "p5": -0.55568, "p25": -0.37115, "p75": 0.37895, "p95": 0.58781, "min": -0.6442, "max": 0.70405 }, "realized_vol_annualized": { "median": 0.20679, "p5": 0.16989, "p25": 0.18885, "p75": 0.22929, "p95": 0.25999, "min": 0.14979, "max": 0.31039 }, "max_drawdown": { "median": -0.14578, "p5": -0.55964, "p25": -0.42743, "p75": -0.09606, "p95": -0.05331, "min": -0.65261, "max": -0.03276 }, "autocorrelation_lag1": { "median": -0.00492, "p5": -0.22684, "p25": -0.10454, "p75": 0.08564, "p95": 0.23763, "min": -0.30194, "max": 0.27506 }, "kurtosis": { "median": 3.25842, "p5": 0.78047, "p25": 2.25796, "p75": 4.8691, "p95": 6.7696, "min": 0.40966, "max": 10.23243 }, "skewness": { "median": -0.21139, "p5": -1.3674, "p25": -0.77779, "p75": 0.15442, "p95": 1.05442, "min": -1.85022, "max": 1.60548 }, "tail_p1": { "median": -0.03993, "p5": -0.05875, "p25": -0.0458, "p75": -0.03228, "p95": -0.02237, "min": -0.07214, "max": -0.016 }, "tail_p99": { "median": 0.03377, "p5": 0.01764, "p25": 0.02852, "p75": 0.04209, "p95": 0.05842, "min": 0.01423, "max": 0.0615 }, "sign_change_frequency": { "median": 0.44355, "p5": 0.35484, "p25": 0.39516, "p75": 0.48387, "p95": 0.54839, "min": 0.30645, "max": 0.62097 }, "vol_of_vol": { "median": 0.10213, "p5": 0.05755, "p25": 0.08077, "p75": 0.12665, "p95": 0.15213, "min": 0.04809, "max": 0.1804 }, "avg_run_length": { "median": 2.23214, "p5": 1.81159, "p25": 2.04918, "p75": 2.5, "p95": 2.77778, "min": 1.60256, "max": 3.20513 }, "rolling_30d_max_dd": { "median": -0.14403, "p5": -0.31924, "p25": -0.23732, "p75": -0.09497, "p95": -0.05331, "min": -0.45136, "max": -0.03276 }, "crash_window_vol": { "median": 0.29502, "p5": 0.12174, "p25": 0.24508, "p75": 0.3642, "p95": 0.43698, "min": 0.10083, "max": 0.60001 }, "retracement_from_trough": { "median": 1.3836, "p5": 0.0, "p25": 0.00301, "p75": 3.36461, "p95": 7.89718, "min": 0.0, "max": 12.2746 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 5.0, "p95": 6.55, "min": 1.0, "max": 7.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 15, "SLOW_BEAR": 13, "TREND_DOWN": 13, "V_RECOVERY": 6, "WHIPSAW": 5 }, "fm_distribution_pct": { "TREND_UP": 30.0, "SLOW_BEAR": 26.0, "TREND_DOWN": 26.0, "V_RECOVERY": 12.0, "WHIPSAW": 10.0 }, "unclassified_count": 13, "unclassified_pct": 26.0, "sub_classifications": {}, "primary_fm_class": null, "primary_fm_fraction": 0.0, "expected_band": null, "in_expected_band": null, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "v_recovery_setup_synthetic", "asset": "GOLD", "claimed_failure_mode": "", "summary": "", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "inflationary_upcycle", "sample_replica_seeds": [ 21300, 21301, 21302, 21303, 21304 ], "source_file": "v_recovery_setup_synthetic_gold.json", "metrics_aggregated": { "total_return": { "median": 0.12835, "p5": -0.56195, "p25": -0.12875, "p75": 0.27937, "p95": 0.62045, "min": -0.6046, "max": 0.71426 }, "realized_vol_annualized": { "median": 0.22129, "p5": 0.16337, "p25": 0.20038, "p75": 0.2443, "p95": 0.27657, "min": 0.13883, "max": 0.29681 }, "max_drawdown": { "median": -0.15495, "p5": -0.57889, "p25": -0.27961, "p75": -0.10056, "p95": -0.06048, "min": -0.60984, "max": -0.04195 }, "autocorrelation_lag1": { "median": 0.01902, "p5": -0.20694, "p25": -0.05408, "p75": 0.14104, "p95": 0.20511, "min": -0.48309, "max": 0.27594 }, "kurtosis": { "median": 3.70894, "p5": 1.63013, "p25": 2.89546, "p75": 5.48114, "p95": 8.55206, "min": 1.23319, "max": 12.81192 }, "skewness": { "median": -0.34087, "p5": -1.66437, "p25": -0.86148, "p75": 0.24223, "p95": 0.88208, "min": -1.96267, "max": 2.18471 }, "tail_p1": { "median": -0.04075, "p5": -0.06351, "p25": -0.0485, "p75": -0.03306, "p95": -0.02654, "min": -0.06444, "max": -0.02468 }, "tail_p99": { "median": 0.0352, "p5": 0.01902, "p25": 0.02919, "p75": 0.04545, "p95": 0.05418, "min": 0.01555, "max": 0.0645 }, "sign_change_frequency": { "median": 0.46774, "p5": 0.3504, "p25": 0.41129, "p75": 0.5, "p95": 0.525, "min": 0.33065, "max": 0.57258 }, "vol_of_vol": { "median": 0.1115, "p5": 0.06325, "p25": 0.08879, "p75": 0.13406, "p95": 0.1616, "min": 0.05019, "max": 0.17402 }, "avg_run_length": { "median": 2.11864, "p5": 1.8915, "p25": 1.98413, "p75": 2.40385, "p95": 2.8125, "min": 1.73611, "max": 2.97619 }, "rolling_30d_max_dd": { "median": -0.14289, "p5": -0.35158, "p25": -0.26449, "p75": -0.10056, "p95": -0.06048, "min": -0.38851, "max": -0.04195 }, "crash_window_vol": { "median": 0.30198, "p5": 0.14964, "p25": 0.26346, "p75": 0.36711, "p95": 0.44751, "min": 0.1313, "max": 0.50544 }, "retracement_from_trough": { "median": 1.62569, "p5": 0.0, "p25": 0.25781, "p75": 2.46244, "p95": 6.61878, "min": 0.0, "max": 14.50434 }, "sign_changes_5pct_count": { "median": 4.0, "p5": 1.0, "p25": 3.0, "p75": 5.0, "p95": 7.55, "min": 0.0, "max": 9.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 23, "SHARP_CRASH": 16, "TREND_UP": 12, "V_RECOVERY": 11, "LIQUIDITY_STRESS": 10, "SLOW_BEAR": 10, "TREND_DOWN": 10, "SIDEWAYS": 9, "WHIPSAW": 9 }, "fm_distribution_pct": { "VOL_EXPANSION": 46.0, "SHARP_CRASH": 32.0, "TREND_UP": 24.0, "V_RECOVERY": 22.0, "LIQUIDITY_STRESS": 20.0, "SLOW_BEAR": 20.0, "TREND_DOWN": 20.0, "SIDEWAYS": 18.0, "WHIPSAW": 18.0 }, "unclassified_count": 5, "unclassified_pct": 10.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 23 }, "SHARP_CRASH": { "tail-intensified": 16 } }, "primary_fm_class": null, "primary_fm_fraction": 0.0, "expected_band": null, "in_expected_band": null, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "v_recovery_setup_synthetic", "asset": "QQQ", "claimed_failure_mode": "", "summary": "", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "bull_trend", "sample_replica_seeds": [ 21100, 21101, 21102, 21103, 21104 ], "source_file": "v_recovery_setup_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": 0.09175, "p5": -0.5071, "p25": -0.42916, "p75": 0.24103, "p95": 0.6022, "min": -0.62079, "max": 1.11118 }, "realized_vol_annualized": { "median": 0.21562, "p5": 0.16343, "p25": 0.1883, "p75": 0.24158, "p95": 0.26734, "min": 0.15428, "max": 0.27581 }, "max_drawdown": { "median": -0.16385, "p5": -0.53096, "p25": -0.45129, "p75": -0.1048, "p95": -0.06401, "min": -0.64621, "max": -0.05796 }, "autocorrelation_lag1": { "median": 0.01532, "p5": -0.16796, "p25": -0.03836, "p75": 0.09932, "p95": 0.22136, "min": -0.22182, "max": 0.32078 }, "kurtosis": { "median": 3.94807, "p5": 1.50959, "p25": 2.72697, "p75": 5.91397, "p95": 9.04641, "min": -0.06032, "max": 12.65114 }, "skewness": { "median": -0.18819, "p5": -1.52795, "p25": -0.60571, "p75": 0.35813, "p95": 1.10294, "min": -2.42471, "max": 1.72752 }, "tail_p1": { "median": -0.03757, "p5": -0.05727, "p25": -0.04536, "p75": -0.03377, "p95": -0.02469, "min": -0.07197, "max": -0.02151 }, "tail_p99": { "median": 0.03766, "p5": 0.02012, "p25": 0.02743, "p75": 0.0424, "p95": 0.04994, "min": 0.01427, "max": 0.06074 }, "sign_change_frequency": { "median": 0.45161, "p5": 0.33347, "p25": 0.39516, "p75": 0.50806, "p95": 0.54476, "min": 0.28226, "max": 0.58065 }, "vol_of_vol": { "median": 0.10869, "p5": 0.06525, "p25": 0.08639, "p75": 0.12966, "p95": 0.14421, "min": 0.04045, "max": 0.1553 }, "avg_run_length": { "median": 2.19298, "p5": 1.82358, "p25": 1.95312, "p75": 2.5, "p95": 2.95524, "min": 1.71233, "max": 3.47222 }, "rolling_30d_max_dd": { "median": -0.15864, "p5": -0.29695, "p25": -0.26417, "p75": -0.0993, "p95": -0.06171, "min": -0.38119, "max": -0.05637 }, "crash_window_vol": { "median": 0.29893, "p5": 0.11635, "p25": 0.22928, "p75": 0.35164, "p95": 0.4481, "min": 0.07261, "max": 0.48176 }, "retracement_from_trough": { "median": 0.9632, "p5": 0.0, "p25": 0.00409, "p75": 2.36855, "p95": 4.81572, "min": 0.0, "max": 15.58476 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 3.0, "p75": 5.0, "p95": 6.0, "min": 1.0, "max": 9.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 19, "SLOW_BEAR": 15, "TREND_DOWN": 15, "TREND_UP": 14, "SHARP_CRASH": 7, "V_RECOVERY": 7, "WHIPSAW": 6 }, "fm_distribution_pct": { "SIDEWAYS": 38.0, "SLOW_BEAR": 30.0, "TREND_DOWN": 30.0, "TREND_UP": 28.0, "SHARP_CRASH": 14.0, "V_RECOVERY": 14.0, "WHIPSAW": 12.0 }, "unclassified_count": 10, "unclassified_pct": 20.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 7 } }, "primary_fm_class": null, "primary_fm_fraction": 0.0, "expected_band": null, "in_expected_band": null, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "v_recovery_setup_synthetic", "asset": "SPY", "claimed_failure_mode": "", "summary": "", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "weak_bear", "sample_replica_seeds": [ 21000, 21001, 21002, 21003, 21004 ], "source_file": "v_recovery_setup_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": 0.04093, "p5": -0.57561, "p25": -0.46964, "p75": 0.20597, "p95": 0.41132, "min": -0.60171, "max": 1.2084 }, "realized_vol_annualized": { "median": 0.23098, "p5": 0.17509, "p25": 0.20707, "p75": 0.24819, "p95": 0.28906, "min": 0.13309, "max": 0.31927 }, "max_drawdown": { "median": -0.1776, "p5": -0.59974, "p25": -0.48492, "p75": -0.10935, "p95": -0.05858, "min": -0.62668, "max": -0.04184 }, "autocorrelation_lag1": { "median": 0.02289, "p5": -0.22041, "p25": -0.06582, "p75": 0.09741, "p95": 0.24724, "min": -0.27108, "max": 0.29781 }, "kurtosis": { "median": 3.75821, "p5": 1.37454, "p25": 2.83368, "p75": 4.76665, "p95": 7.30364, "min": 1.07044, "max": 8.87738 }, "skewness": { "median": -0.27138, "p5": -1.4454, "p25": -0.74647, "p75": 0.14799, "p95": 0.78635, "min": -2.14524, "max": 1.77788 }, "tail_p1": { "median": -0.04425, "p5": -0.06298, "p25": -0.05066, "p75": -0.03278, "p95": -0.02377, "min": -0.06658, "max": -0.01518 }, "tail_p99": { "median": 0.03618, "p5": 0.02217, "p25": 0.0301, "p75": 0.04278, "p95": 0.05482, "min": 0.01956, "max": 0.07119 }, "sign_change_frequency": { "median": 0.45968, "p5": 0.34597, "p25": 0.41129, "p75": 0.49194, "p95": 0.55645, "min": 0.29839, "max": 0.60484 }, "vol_of_vol": { "median": 0.11626, "p5": 0.07375, "p25": 0.09943, "p75": 0.13071, "p95": 0.16913, "min": 0.05439, "max": 0.18431 }, "avg_run_length": { "median": 2.15517, "p5": 1.78571, "p25": 2.01613, "p75": 2.40385, "p95": 2.84884, "min": 1.64474, "max": 3.28947 }, "rolling_30d_max_dd": { "median": -0.17087, "p5": -0.36221, "p25": -0.25342, "p75": -0.0935, "p95": -0.05858, "min": -0.39186, "max": -0.04184 }, "crash_window_vol": { "median": 0.31265, "p5": 0.11528, "p25": 0.24873, "p75": 0.38643, "p95": 0.47153, "min": 0.10222, "max": 0.58382 }, "retracement_from_trough": { "median": 0.55596, "p5": 0.0, "p25": 0.0, "p75": 2.06223, "p95": 5.13634, "min": 0.0, "max": 28.87618 }, "sign_changes_5pct_count": { "median": 4.0, "p5": 1.45, "p25": 3.0, "p75": 5.75, "p95": 7.0, "min": 1.0, "max": 7.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 18, "SHARP_CRASH": 17, "SLOW_BEAR": 13, "TREND_DOWN": 13, "TREND_UP": 13, "WHIPSAW": 12, "VOL_EXPANSION": 8, "LIQUIDITY_STRESS": 4, "V_RECOVERY": 4 }, "fm_distribution_pct": { "SIDEWAYS": 36.0, "SHARP_CRASH": 34.0, "SLOW_BEAR": 26.0, "TREND_DOWN": 26.0, "TREND_UP": 26.0, "WHIPSAW": 24.0, "VOL_EXPANSION": 16.0, "LIQUIDITY_STRESS": 8.0, "V_RECOVERY": 8.0 }, "unclassified_count": 3, "unclassified_pct": 6.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 17 }, "VOL_EXPANSION": { "smooth-elevated": 6, "with-spikes": 2 } }, "primary_fm_class": null, "primary_fm_fraction": 0.0, "expected_band": null, "in_expected_band": null, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "vol_expansion_setup_synthetic", "asset": "BTC", "claimed_failure_mode": "VOL_EXPANSION (conditional)", "summary": "Imposed conditions for sustained vol elevation via persistent HFT withdrawal and vol-trader amplification \u2014 per-replica conformance to VOL_EXPANSION gating (median \u22651.5\u00d7 baseline AND \u22652 distinct windows \u22651.5\u00d7) varies in the 60-90% band per methodology expectations.", "n_replicas_evaluated": 50, "stress_period_days": 252, "pre_period_days": 250, "antecedent_regime": "unstable_decay", "sample_replica_seeds": [ 20500, 20501, 20502, 20503, 20504 ], "source_file": "vol_expansion_setup_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": 0.11985, "p5": -0.36129, "p25": -0.03839, "p75": 0.28922, "p95": 0.69302, "min": -0.54926, "max": 1.52006 }, "realized_vol_annualized": { "median": 0.31757, "p5": 0.21309, "p25": 0.26895, "p75": 0.38089, "p95": 0.43105, "min": 0.19325, "max": 0.45012 }, "max_drawdown": { "median": -0.26442, "p5": -0.44991, "p25": -0.33868, "p75": -0.21505, "p95": -0.1525, "min": -0.58696, "max": -0.06762 }, "autocorrelation_lag1": { "median": 0.00075, "p5": -0.09198, "p25": -0.04744, "p75": 0.03128, "p95": 0.10161, "min": -0.14127, "max": 0.1299 }, "kurtosis": { "median": -0.09592, "p5": -0.36653, "p25": -0.24109, "p75": 0.10805, "p95": 0.45892, "min": -0.51023, "max": 0.57384 }, "skewness": { "median": 0.02609, "p5": -0.1605, "p25": -0.06221, "p75": 0.1211, "p95": 0.21135, "min": -0.30419, "max": 0.27823 }, "tail_p1": { "median": -0.04373, "p5": -0.06101, "p25": -0.0535, "p75": -0.03718, "p95": -0.02906, "min": -0.06478, "max": -0.02683 }, "tail_p99": { "median": 0.04649, "p5": 0.03051, "p25": 0.03775, "p75": 0.05444, "p95": 0.06295, "min": 0.02442, "max": 0.08066 }, "sign_change_frequency": { "median": 0.496, "p5": 0.4578, "p25": 0.472, "p75": 0.515, "p95": 0.536, "min": 0.416, "max": 0.568 }, "vol_of_vol": { "median": 0.04477, "p5": 0.03092, "p25": 0.03736, "p75": 0.05516, "p95": 0.06772, "min": 0.02718, "max": 0.07591 }, "avg_run_length": { "median": 2.008, "p5": 1.85926, "p25": 1.93451, "p75": 2.10924, "p95": 2.17414, "min": 1.75524, "max": 2.39048 }, "rolling_30d_max_dd": { "median": -0.19789, "p5": -0.3185, "p25": -0.24466, "p75": -0.17256, "p95": -0.13686, "min": -0.3424, "max": -0.06762 }, "crash_window_vol": { "median": 0.30835, "p5": 0.20796, "p25": 0.25778, "p75": 0.37757, "p95": 0.4289, "min": 0.1697, "max": 0.48924 }, "retracement_from_trough": { "median": 0.52508, "p5": 0.0618, "p25": 0.26579, "p75": 0.92118, "p95": 2.42411, "min": 0.0, "max": 5.88282 }, "sign_changes_5pct_count": { "median": 18.0, "p5": 8.45, "p25": 13.25, "p75": 24.0, "p95": 29.1, "min": 7.0, "max": 31.0 } }, "claim_validation": [ { "label": "Realized volatility (VOL_EXPANSION median gating)", "claim": "\u2265 1.5\u00d7 BTC baseline (~1.20); methodology gating", "measured_median": 0.3176, "in_band": false, "note": "Measured median (0.3176) 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 \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation). (crypto-asset; relative-to-baseline criterion)" }, { "label": "Total return over case (descriptive)", "claim": "direction-neutral by design; \u00b120% is acceptable spread", "measured_median": 0.1198, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "WHIPSAW": 13, "V_RECOVERY": 11, "TREND_DOWN": 7, "SLOW_BEAR": 6, "TREND_UP": 2 }, "fm_distribution_pct": { "WHIPSAW": 26.0, "V_RECOVERY": 22.0, "TREND_DOWN": 14.0, "SLOW_BEAR": 12.0, "TREND_UP": 4.0 }, "unclassified_count": 17, "unclassified_pct": 34.0, "sub_classifications": {}, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.0, "expected_band": "60-90%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "vol_expansion_setup_synthetic", "asset": "GOLD", "claimed_failure_mode": "VOL_EXPANSION (conditional)", "summary": "Imposed conditions for sustained vol elevation via persistent HFT withdrawal and vol-trader amplification \u2014 per-replica conformance to VOL_EXPANSION gating (median \u22651.5\u00d7 baseline AND \u22652 distinct windows \u22651.5\u00d7) varies in the 60-90% band per methodology expectations.", "n_replicas_evaluated": 50, "stress_period_days": 252, "pre_period_days": 250, "antecedent_regime": "range", "sample_replica_seeds": [ 22100, 22101, 22102, 22103, 22104 ], "source_file": "vol_expansion_setup_synthetic_gold.json", "metrics_aggregated": { "total_return": { "median": -0.00189, "p5": -0.33167, "p25": -0.14052, "p75": 0.15647, "p95": 0.45062, "min": -0.60785, "max": 1.09292 }, "realized_vol_annualized": { "median": 0.24496, "p5": 0.1538, "p25": 0.20019, "p75": 0.29212, "p95": 0.33205, "min": 0.14565, "max": 0.35061 }, "max_drawdown": { "median": -0.23951, "p5": -0.4378, "p25": -0.30065, "p75": -0.18537, "p95": -0.11704, "min": -0.61003, "max": -0.09193 }, "autocorrelation_lag1": { "median": -0.0119, "p5": -0.1028, "p25": -0.05502, "p75": 0.03101, "p95": 0.09955, "min": -0.18843, "max": 0.1344 }, "kurtosis": { "median": -0.08257, "p5": -0.47849, "p25": -0.24088, "p75": 0.14316, "p95": 0.45712, "min": -0.523, "max": 0.67508 }, "skewness": { "median": -0.0038, "p5": -0.22582, "p25": -0.10743, "p75": 0.1114, "p95": 0.19466, "min": -0.31633, "max": 0.29553 }, "tail_p1": { "median": -0.03347, "p5": -0.0527, "p25": -0.04194, "p75": -0.0283, "p95": -0.02118, "min": -0.05495, "max": -0.01952 }, "tail_p99": { "median": 0.03494, "p5": 0.02124, "p25": 0.02791, "p75": 0.04232, "p95": 0.0462, "min": 0.02067, "max": 0.04722 }, "sign_change_frequency": { "median": 0.5, "p5": 0.4316, "p25": 0.484, "p75": 0.524, "p95": 0.56, "min": 0.4, "max": 0.596 }, "vol_of_vol": { "median": 0.03309, "p5": 0.02114, "p25": 0.02793, "p75": 0.0439, "p95": 0.05798, "min": 0.01433, "max": 0.06826 }, "avg_run_length": { "median": 1.99206, "p5": 1.78014, "p25": 1.90152, "p75": 2.05738, "p95": 2.30506, "min": 1.67333, "max": 2.48515 }, "rolling_30d_max_dd": { "median": -0.15981, "p5": -0.25777, "p25": -0.20404, "p75": -0.13845, "p95": -0.09167, "min": -0.31544, "max": -0.07466 }, "crash_window_vol": { "median": 0.21934, "p5": 0.1412, "p25": 0.1927, "p75": 0.27252, "p95": 0.33557, "min": 0.12756, "max": 0.37247 }, "retracement_from_trough": { "median": 0.3538, "p5": 0.0, "p25": 0.15806, "p75": 0.69658, "p95": 2.06278, "min": 0.0, "max": 2.65494 }, "sign_changes_5pct_count": { "median": 13.0, "p5": 4.45, "p25": 8.0, "p75": 17.0, "p95": 20.55, "min": 3.0, "max": 22.0 } }, "claim_validation": [ { "label": "Realized volatility (VOL_EXPANSION median gating)", "claim": "\u2265 1.5\u00d7 GOLD baseline (~0.20); methodology gating", "measured_median": 0.245, "in_band": true, "note": "within claimed range" }, { "label": "Total return over case (descriptive)", "claim": "direction-neutral by design; \u00b120% is acceptable spread", "measured_median": -0.0019, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 40, "LIQUIDITY_STRESS": 30, "WHIPSAW": 20, "SHARP_CRASH": 14, "TREND_DOWN": 8, "V_RECOVERY": 7, "SIDEWAYS": 7, "SLOW_BEAR": 5, "TREND_UP": 3 }, "fm_distribution_pct": { "VOL_EXPANSION": 80.0, "LIQUIDITY_STRESS": 60.0, "WHIPSAW": 40.0, "SHARP_CRASH": 28.0, "TREND_DOWN": 16.0, "V_RECOVERY": 14.0, "SIDEWAYS": 14.0, "SLOW_BEAR": 10.0, "TREND_UP": 6.0 }, "unclassified_count": 3, "unclassified_pct": 6.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 40 }, "SHARP_CRASH": { "tail-intensified": 14 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.8, "expected_band": "60-90%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "vol_expansion_setup_synthetic", "asset": "QQQ", "claimed_failure_mode": "VOL_EXPANSION (conditional)", "summary": "Imposed conditions for sustained vol elevation via persistent HFT withdrawal and vol-trader amplification \u2014 per-replica conformance to VOL_EXPANSION gating (median \u22651.5\u00d7 baseline AND \u22652 distinct windows \u22651.5\u00d7) varies in the 60-90% band per methodology expectations.", "n_replicas_evaluated": 50, "stress_period_days": 252, "pre_period_days": 250, "antecedent_regime": "weak_bear", "sample_replica_seeds": [ 20400, 20401, 20402, 20403, 20404 ], "source_file": "vol_expansion_setup_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": 0.03898, "p5": -0.32868, "p25": -0.13643, "p75": 0.24354, "p95": 1.01536, "min": -0.59923, "max": 1.84613 }, "realized_vol_annualized": { "median": 0.34861, "p5": 0.2309, "p25": 0.27514, "p75": 0.37927, "p95": 0.41864, "min": 0.22441, "max": 0.44867 }, "max_drawdown": { "median": -0.259, "p5": -0.54322, "p25": -0.37494, "p75": -0.21439, "p95": -0.15259, "min": -0.65072, "max": -0.12326 }, "autocorrelation_lag1": { "median": -0.00727, "p5": -0.1135, "p25": -0.04746, "p75": 0.05958, "p95": 0.10431, "min": -0.13003, "max": 0.13662 }, "kurtosis": { "median": 0.02098, "p5": -0.42452, "p25": -0.22186, "p75": 0.14495, "p95": 0.48232, "min": -0.46004, "max": 2.78168 }, "skewness": { "median": 0.05063, "p5": -0.21053, "p25": -0.11622, "p75": 0.11859, "p95": 0.20447, "min": -0.32528, "max": 0.59728 }, "tail_p1": { "median": -0.04757, "p5": -0.06116, "p25": -0.05298, "p75": -0.03945, "p95": -0.03253, "min": -0.06807, "max": -0.0293 }, "tail_p99": { "median": 0.04849, "p5": 0.03222, "p25": 0.0409, "p75": 0.05496, "p95": 0.0642, "min": 0.02667, "max": 0.06952 }, "sign_change_frequency": { "median": 0.504, "p5": 0.4436, "p25": 0.477, "p75": 0.52, "p95": 0.5462, "min": 0.424, "max": 0.576 }, "vol_of_vol": { "median": 0.04954, "p5": 0.0344, "p25": 0.04033, "p75": 0.05592, "p95": 0.06369, "min": 0.02925, "max": 0.0678 }, "avg_run_length": { "median": 1.97638, "p5": 1.82481, "p25": 1.91603, "p75": 2.08735, "p95": 2.24325, "min": 1.73103, "max": 2.34579 }, "rolling_30d_max_dd": { "median": -0.20365, "p5": -0.33201, "p25": -0.25917, "p75": -0.17493, "p95": -0.12972, "min": -0.40845, "max": -0.10701 }, "crash_window_vol": { "median": 0.31508, "p5": 0.20986, "p25": 0.27462, "p75": 0.36673, "p95": 0.40421, "min": 0.1979, "max": 0.42762 }, "retracement_from_trough": { "median": 0.32238, "p5": 0.01933, "p25": 0.12151, "p75": 1.06883, "p95": 3.25341, "min": 0.0, "max": 7.04562 }, "sign_changes_5pct_count": { "median": 19.0, "p5": 9.45, "p25": 15.0, "p75": 24.0, "p95": 29.55, "min": 7.0, "max": 35.0 } }, "claim_validation": [ { "label": "Realized volatility (VOL_EXPANSION median gating)", "claim": "\u2265 1.5\u00d7 QQQ baseline (~0.32); methodology gating", "measured_median": 0.3486, "in_band": true, "note": "within claimed range" }, { "label": "Total return over case (descriptive)", "claim": "direction-neutral by design; \u00b120% is acceptable spread", "measured_median": 0.039, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 29, "LIQUIDITY_STRESS": 27, "SHARP_CRASH": 17, "SIDEWAYS": 13, "V_RECOVERY": 12, "WHIPSAW": 12, "TREND_DOWN": 11, "SLOW_BEAR": 8, "TREND_UP": 1 }, "fm_distribution_pct": { "VOL_EXPANSION": 58.0, "LIQUIDITY_STRESS": 54.0, "SHARP_CRASH": 34.0, "SIDEWAYS": 26.0, "V_RECOVERY": 24.0, "WHIPSAW": 24.0, "TREND_DOWN": 22.0, "SLOW_BEAR": 16.0, "TREND_UP": 2.0 }, "unclassified_count": 4, "unclassified_pct": 8.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 17 }, "VOL_EXPANSION": { "smooth-elevated": 29 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.58, "expected_band": "60-90%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "vol_expansion_setup_synthetic", "asset": "SPY", "claimed_failure_mode": "VOL_EXPANSION (conditional)", "summary": "Imposed conditions for sustained vol elevation via persistent HFT withdrawal and vol-trader amplification \u2014 per-replica conformance to VOL_EXPANSION gating (median \u22651.5\u00d7 baseline AND \u22652 distinct windows \u22651.5\u00d7) varies in the 60-90% band per methodology expectations.", "n_replicas_evaluated": 50, "stress_period_days": 252, "pre_period_days": 250, "antecedent_regime": "bull_trend", "sample_replica_seeds": [ 20300, 20301, 20302, 20303, 20304 ], "source_file": "vol_expansion_setup_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": 0.10185, "p5": -0.40358, "p25": -0.1318, "p75": 0.34357, "p95": 0.73919, "min": -0.71608, "max": 2.46238 }, "realized_vol_annualized": { "median": 0.3166, "p5": 0.22, "p25": 0.2899, "p75": 0.35458, "p95": 0.4131, "min": 0.19265, "max": 0.42723 }, "max_drawdown": { "median": -0.24306, "p5": -0.52702, "p25": -0.32775, "p75": -0.18876, "p95": -0.14067, "min": -0.72517, "max": -0.11662 }, "autocorrelation_lag1": { "median": -0.0111, "p5": -0.09145, "p25": -0.05799, "p75": 0.02753, "p95": 0.08215, "min": -0.1176, "max": 0.12545 }, "kurtosis": { "median": 0.00742, "p5": -0.3909, "p25": -0.12292, "p75": 0.23066, "p95": 0.56359, "min": -0.51023, "max": 0.73308 }, "skewness": { "median": 0.02081, "p5": -0.29647, "p25": -0.13599, "p75": 0.10482, "p95": 0.2847, "min": -0.3548, "max": 0.35345 }, "tail_p1": { "median": -0.04493, "p5": -0.06185, "p25": -0.0536, "p75": -0.04053, "p95": -0.02843, "min": -0.06713, "max": -0.02684 }, "tail_p99": { "median": 0.04497, "p5": 0.03285, "p25": 0.04074, "p75": 0.05176, "p95": 0.06049, "min": 0.03049, "max": 0.06617 }, "sign_change_frequency": { "median": 0.502, "p5": 0.4618, "p25": 0.48, "p75": 0.519, "p95": 0.556, "min": 0.424, "max": 0.572 }, "vol_of_vol": { "median": 0.0478, "p5": 0.03207, "p25": 0.03952, "p75": 0.05629, "p95": 0.06542, "min": 0.02673, "max": 0.0732 }, "avg_run_length": { "median": 1.98422, "p5": 1.79286, "p25": 1.91972, "p75": 2.07438, "p95": 2.15547, "min": 1.74306, "max": 2.34579 }, "rolling_30d_max_dd": { "median": -0.19663, "p5": -0.29137, "p25": -0.23913, "p75": -0.16271, "p95": -0.11344, "min": -0.3314, "max": -0.10392 }, "crash_window_vol": { "median": 0.31001, "p5": 0.21565, "p25": 0.26171, "p75": 0.3682, "p95": 0.44112, "min": 0.14681, "max": 0.50111 }, "retracement_from_trough": { "median": 0.49301, "p5": 0.00146, "p25": 0.21575, "p75": 0.9854, "p95": 3.76188, "min": 0.0, "max": 5.16455 }, "sign_changes_5pct_count": { "median": 19.0, "p5": 8.45, "p25": 13.5, "p75": 22.0, "p95": 27.55, "min": 7.0, "max": 31.0 } }, "claim_validation": [ { "label": "Realized volatility (VOL_EXPANSION median gating)", "claim": "\u2265 1.5\u00d7 SPY baseline (~0.24); methodology gating", "measured_median": 0.3166, "in_band": true, "note": "within claimed range" }, { "label": "Total return over case (descriptive)", "claim": "direction-neutral by design; \u00b120% is acceptable spread", "measured_median": 0.1018, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 44, "LIQUIDITY_STRESS": 32, "SHARP_CRASH": 21, "V_RECOVERY": 17, "WHIPSAW": 11, "TREND_DOWN": 7, "SLOW_BEAR": 6, "SIDEWAYS": 3, "TREND_UP": 2 }, "fm_distribution_pct": { "VOL_EXPANSION": 88.0, "LIQUIDITY_STRESS": 64.0, "SHARP_CRASH": 42.0, "V_RECOVERY": 34.0, "WHIPSAW": 22.0, "TREND_DOWN": 14.0, "SLOW_BEAR": 12.0, "SIDEWAYS": 6.0, "TREND_UP": 4.0 }, "unclassified_count": 1, "unclassified_pct": 2.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 43, "with-spikes": 1 }, "SHARP_CRASH": { "tail-intensified": 21 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.88, "expected_band": "60-90%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "whipsaw_synthetic", "asset": "BTC", "claimed_failure_mode": "WHIPSAW + SIDEWAYS", "summary": "Repeated directional reversals with bounded range and no decisive resolution.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "unstable_decay", "sample_replica_seeds": [ 9442, 9443, 9444, 9445, 9446 ], "source_file": "whipsaw_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": 0.01829, "p5": -0.17139, "p25": -0.07304, "p75": 0.07914, "p95": 0.21343, "min": -0.21082, "max": 0.3497 }, "realized_vol_annualized": { "median": 0.14719, "p5": 0.12624, "p25": 0.13552, "p75": 0.16752, "p95": 0.18839, "min": 0.11816, "max": 0.19864 }, "max_drawdown": { "median": -0.09929, "p5": -0.20621, "p25": -0.14418, "p75": -0.07505, "p95": -0.05531, "min": -0.24453, "max": -0.03934 }, "autocorrelation_lag1": { "median": 4e-05, "p5": -0.13041, "p25": -0.08466, "p75": 0.05208, "p95": 0.09925, "min": -0.17713, "max": 0.20301 }, "kurtosis": { "median": -0.11554, "p5": -0.58162, "p25": -0.35698, "p75": 0.11971, "p95": 0.56673, "min": -0.87641, "max": 0.88376 }, "skewness": { "median": -0.04492, "p5": -0.36896, "p25": -0.1387, "p75": 0.02864, "p95": 0.31563, "min": -0.51229, "max": 0.4701 }, "tail_p1": { "median": -0.02038, "p5": -0.0296, "p25": -0.02355, "p75": -0.01819, "p95": -0.01642, "min": -0.03387, "max": -0.01556 }, "tail_p99": { "median": 0.0205, "p5": 0.0154, "p25": 0.01811, "p75": 0.02353, "p95": 0.02646, "min": 0.0151, "max": 0.0277 }, "sign_change_frequency": { "median": 0.50806, "p5": 0.43105, "p25": 0.48387, "p75": 0.52419, "p95": 0.57258, "min": 0.41129, "max": 0.62903 }, "vol_of_vol": { "median": 0.02043, "p5": 0.01244, "p25": 0.0162, "p75": 0.0237, "p95": 0.03091, "min": 0.00779, "max": 0.03792 }, "avg_run_length": { "median": 1.95312, "p5": 1.73611, "p25": 1.89394, "p75": 2.04918, "p95": 2.29588, "min": 1.58228, "max": 2.40385 }, "rolling_30d_max_dd": { "median": -0.0852, "p5": -0.13185, "p25": -0.10265, "p75": -0.06871, "p95": -0.05472, "min": -0.14575, "max": -0.03934 }, "crash_window_vol": { "median": 0.15266, "p5": 0.11634, "p25": 0.13546, "p75": 0.17345, "p95": 0.19099, "min": 0.10071, "max": 0.25025 }, "retracement_from_trough": { "median": 0.39537, "p5": 0.0, "p25": 0.11666, "p75": 0.91904, "p95": 2.82869, "min": 0.0, "max": 4.03525 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 4.0, "p95": 6.0, "min": 0.0, "max": 8.0 } }, "claim_validation": [ { "label": "Sign-change frequency (descriptive proxy)", "claim": "elevated frequency of return-direction reversals (\u2265 40% of bars; true \u22653-5 sign-changes >5% magnitude criterion is per-replica \u2014 Phase 17)", "measured_median": 0.5081, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" }, { "label": "Total return over case", "claim": "near-zero net direction; methodology \u00b110%", "measured_median": 0.0183, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "WHIPSAW": 23, "TREND_UP": 12 }, "fm_distribution_pct": { "WHIPSAW": 46.0, "TREND_UP": 24.0 }, "unclassified_count": 17, "unclassified_pct": 34.0, "sub_classifications": {}, "primary_fm_class": "WHIPSAW", "primary_fm_fraction": 0.46, "expected_band": "50-80%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "whipsaw_synthetic", "asset": "ETH", "claimed_failure_mode": "WHIPSAW + SIDEWAYS", "summary": "Repeated directional reversals with bounded range and no decisive resolution.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "unstable_decay", "sample_replica_seeds": [ 7169, 7170, 7171, 7172, 7173 ], "source_file": "whipsaw_synthetic_eth.json", "metrics_aggregated": { "total_return": { "median": 0.06796, "p5": -0.07339, "p25": -0.03811, "p75": 0.14298, "p95": 0.27368, "min": -0.09053, "max": 0.34247 }, "realized_vol_annualized": { "median": 0.15439, "p5": 0.1249, "p25": 0.13794, "p75": 0.16406, "p95": 0.1786, "min": 0.12232, "max": 0.18292 }, "max_drawdown": { "median": -0.0969, "p5": -0.16112, "p25": -0.13613, "p75": -0.06998, "p95": -0.04458, "min": -0.20616, "max": -0.0309 }, "autocorrelation_lag1": { "median": -0.00859, "p5": -0.16423, "p25": -0.082, "p75": 0.0702, "p95": 0.14859, "min": -0.24267, "max": 0.21179 }, "kurtosis": { "median": -0.12345, "p5": -0.65457, "p25": -0.26532, "p75": 0.12192, "p95": 0.48657, "min": -0.78877, "max": 1.84191 }, "skewness": { "median": -0.02237, "p5": -0.38906, "p25": -0.15594, "p75": 0.15221, "p95": 0.29444, "min": -0.51854, "max": 0.42497 }, "tail_p1": { "median": -0.02079, "p5": -0.02586, "p25": -0.0228, "p75": -0.01891, "p95": -0.01714, "min": -0.02959, "max": -0.01565 }, "tail_p99": { "median": 0.02108, "p5": 0.0165, "p25": 0.01915, "p75": 0.02417, "p95": 0.02807, "min": 0.01608, "max": 0.03145 }, "sign_change_frequency": { "median": 0.5, "p5": 0.41492, "p25": 0.47581, "p75": 0.52419, "p95": 0.56089, "min": 0.39516, "max": 0.60484 }, "vol_of_vol": { "median": 0.02023, "p5": 0.01295, "p25": 0.01738, "p75": 0.02405, "p95": 0.03103, "min": 0.01129, "max": 0.04113 }, "avg_run_length": { "median": 1.98413, "p5": 1.77188, "p25": 1.89394, "p75": 2.08333, "p95": 2.38344, "min": 1.64474, "max": 2.5 }, "rolling_30d_max_dd": { "median": -0.08109, "p5": -0.13758, "p25": -0.1081, "p75": -0.06827, "p95": -0.04225, "min": -0.17626, "max": -0.0309 }, "crash_window_vol": { "median": 0.14118, "p5": 0.10907, "p25": 0.13319, "p75": 0.16771, "p95": 0.2056, "min": 0.10768, "max": 0.21309 }, "retracement_from_trough": { "median": 0.47684, "p5": 0.00723, "p25": 0.18251, "p75": 1.23958, "p95": 4.36099, "min": 0.0, "max": 7.9608 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 4.0, "p95": 5.55, "min": 1.0, "max": 6.0 } }, "claim_validation": [ { "label": "Sign-change frequency (descriptive proxy)", "claim": "elevated frequency of return-direction reversals (\u2265 40% of bars; true \u22653-5 sign-changes >5% magnitude criterion is per-replica \u2014 Phase 17)", "measured_median": 0.5, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" }, { "label": "Total return over case", "claim": "near-zero net direction; methodology \u00b110%", "measured_median": 0.068, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 24, "WHIPSAW": 22 }, "fm_distribution_pct": { "TREND_UP": 48.0, "WHIPSAW": 44.0 }, "unclassified_count": 9, "unclassified_pct": 18.0, "sub_classifications": {}, "primary_fm_class": "WHIPSAW", "primary_fm_fraction": 0.44, "expected_band": "50-80%", "in_expected_band": false, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "whipsaw_synthetic", "asset": "QQQ", "claimed_failure_mode": "WHIPSAW + SIDEWAYS", "summary": "Repeated directional reversals with bounded range and no decisive resolution.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "sideways_low_vol", "sample_replica_seeds": [ 7721, 7722, 7723, 7724, 7725 ], "source_file": "whipsaw_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.00076, "p5": -0.14679, "p25": -0.05333, "p75": 0.06076, "p95": 0.23322, "min": -0.20494, "max": 0.28674 }, "realized_vol_annualized": { "median": 0.14816, "p5": 0.12817, "p25": 0.13974, "p75": 0.16523, "p95": 0.1768, "min": 0.12503, "max": 0.20087 }, "max_drawdown": { "median": -0.10095, "p5": -0.19264, "p25": -0.13094, "p75": -0.08304, "p95": -0.05758, "min": -0.25191, "max": -0.03218 }, "autocorrelation_lag1": { "median": 0.0065, "p5": -0.14641, "p25": -0.05863, "p75": 0.04812, "p95": 0.14532, "min": -0.30268, "max": 0.31214 }, "kurtosis": { "median": -0.17819, "p5": -0.54438, "p25": -0.29183, "p75": 0.11591, "p95": 0.90834, "min": -0.77069, "max": 1.47178 }, "skewness": { "median": 0.00586, "p5": -0.25745, "p25": -0.08371, "p75": 0.11909, "p95": 0.21495, "min": -0.37386, "max": 0.34294 }, "tail_p1": { "median": -0.02075, "p5": -0.02575, "p25": -0.02304, "p75": -0.01918, "p95": -0.01675, "min": -0.02615, "max": -0.01375 }, "tail_p99": { "median": 0.02076, "p5": 0.01689, "p25": 0.01895, "p75": 0.02271, "p95": 0.02645, "min": 0.01496, "max": 0.02828 }, "sign_change_frequency": { "median": 0.50806, "p5": 0.43831, "p25": 0.47782, "p75": 0.54032, "p95": 0.58952, "min": 0.41129, "max": 0.6129 }, "vol_of_vol": { "median": 0.02096, "p5": 0.01292, "p25": 0.01633, "p75": 0.02577, "p95": 0.02992, "min": 0.01208, "max": 0.0309 }, "avg_run_length": { "median": 1.95312, "p5": 1.68721, "p25": 1.83824, "p75": 2.0748, "p95": 2.25999, "min": 1.62338, "max": 2.40385 }, "rolling_30d_max_dd": { "median": -0.08734, "p5": -0.1381, "p25": -0.10879, "p75": -0.07159, "p95": -0.05758, "min": -0.18883, "max": -0.03218 }, "crash_window_vol": { "median": 0.146, "p5": 0.11464, "p25": 0.12913, "p75": 0.16387, "p95": 0.18324, "min": 0.10683, "max": 0.19529 }, "retracement_from_trough": { "median": 0.41581, "p5": 0.0, "p25": 0.1792, "p75": 0.76246, "p95": 2.68643, "min": 0.0, "max": 2.91518 }, "sign_changes_5pct_count": { "median": 4.0, "p5": 1.45, "p25": 3.0, "p75": 4.0, "p95": 5.55, "min": 0.0, "max": 6.0 } }, "claim_validation": [ { "label": "Sign-change frequency (descriptive proxy)", "claim": "elevated frequency of return-direction reversals (\u2265 40% of bars; true \u22653-5 sign-changes >5% magnitude criterion is per-replica \u2014 Phase 17)", "measured_median": 0.5081, "in_band": true, "note": "within claimed range" }, { "label": "Total return over case", "claim": "near-zero net direction; methodology \u00b110%", "measured_median": -0.0008, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 42, "WHIPSAW": 26, "TREND_UP": 11, "VOL_COMPRESSION": 7, "TREND_DOWN": 1 }, "fm_distribution_pct": { "SIDEWAYS": 84.0, "WHIPSAW": 52.0, "TREND_UP": 22.0, "VOL_COMPRESSION": 14.0, "TREND_DOWN": 2.0 }, "unclassified_count": 4, "unclassified_pct": 8.0, "sub_classifications": {}, "primary_fm_class": "WHIPSAW", "primary_fm_fraction": 0.52, "expected_band": "50-80%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } }, { "profile": "whipsaw_synthetic", "asset": "SPY", "claimed_failure_mode": "WHIPSAW + SIDEWAYS", "summary": "Repeated directional reversals with bounded range and no decisive resolution.", "n_replicas_evaluated": 50, "stress_period_days": 126, "pre_period_days": 250, "antecedent_regime": "bull_trend", "sample_replica_seeds": [ 8941, 8942, 8943, 8944, 8945 ], "source_file": "whipsaw_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": 0.02536, "p5": -0.16757, "p25": -0.04989, "p75": 0.09597, "p95": 0.26424, "min": -0.2267, "max": 0.44589 }, "realized_vol_annualized": { "median": 0.15303, "p5": 0.13228, "p25": 0.1414, "p75": 0.16793, "p95": 0.17643, "min": 0.1252, "max": 0.17947 }, "max_drawdown": { "median": -0.09976, "p5": -0.19752, "p25": -0.14063, "p75": -0.07761, "p95": -0.05673, "min": -0.24766, "max": -0.03722 }, "autocorrelation_lag1": { "median": -8e-05, "p5": -0.1175, "p25": -0.04117, "p75": 0.0822, "p95": 0.14909, "min": -0.17387, "max": 0.16979 }, "kurtosis": { "median": -0.10514, "p5": -0.5544, "p25": -0.33631, "p75": 0.23822, "p95": 0.74546, "min": -0.74231, "max": 1.22808 }, "skewness": { "median": -0.02608, "p5": -0.56472, "p25": -0.20634, "p75": 0.07043, "p95": 0.20565, "min": -0.69734, "max": 0.56003 }, "tail_p1": { "median": -0.0211, "p5": -0.0265, "p25": -0.02338, "p75": -0.01986, "p95": -0.01697, "min": -0.02828, "max": -0.01493 }, "tail_p99": { "median": 0.01993, "p5": 0.01608, "p25": 0.01845, "p75": 0.024, "p95": 0.02575, "min": 0.01443, "max": 0.02648 }, "sign_change_frequency": { "median": 0.49194, "p5": 0.41492, "p25": 0.45968, "p75": 0.52218, "p95": 0.54919, "min": 0.39516, "max": 0.59677 }, "vol_of_vol": { "median": 0.02161, "p5": 0.01315, "p25": 0.01777, "p75": 0.0252, "p95": 0.03017, "min": 0.01142, "max": 0.03602 }, "avg_run_length": { "median": 2.01613, "p5": 1.80935, "p25": 1.90122, "p75": 2.15517, "p95": 2.38344, "min": 1.66667, "max": 2.5 }, "rolling_30d_max_dd": { "median": -0.0886, "p5": -0.12892, "p25": -0.113, "p75": -0.07555, "p95": -0.05673, "min": -0.15503, "max": -0.03722 }, "crash_window_vol": { "median": 0.15522, "p5": 0.13288, "p25": 0.14335, "p75": 0.17546, "p95": 0.1895, "min": 0.10848, "max": 0.21433 }, "retracement_from_trough": { "median": 0.6135, "p5": 0.05478, "p25": 0.22993, "p75": 1.23222, "p95": 3.50274, "min": 0.0, "max": 4.11966 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.25, "p75": 4.0, "p95": 6.0, "min": 1.0, "max": 10.0 } }, "claim_validation": [ { "label": "Sign-change frequency (descriptive proxy)", "claim": "elevated frequency of return-direction reversals (\u2265 40% of bars; true \u22653-5 sign-changes >5% magnitude criterion is per-replica \u2014 Phase 17)", "measured_median": 0.4919, "in_band": true, "note": "within claimed range" }, { "label": "Total return over case", "claim": "near-zero net direction; methodology \u00b110%", "measured_median": 0.0254, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 41, "WHIPSAW": 25, "TREND_UP": 13 }, "fm_distribution_pct": { "SIDEWAYS": 82.0, "WHIPSAW": 50.0, "TREND_UP": 26.0 }, "unclassified_count": 7, "unclassified_pct": 14.0, "sub_classifications": {}, "primary_fm_class": "WHIPSAW", "primary_fm_fraction": 0.5, "expected_band": "50-80%", "in_expected_band": true, "interpretation": "Per-replica ex-post FM classification under the methodology operational gating definitions. Each replica may satisfy multiple FMs (multi-tag) or none (sub-threshold) \u2014 counts may not sum to n_replicas. The profile name describes the imposed conditions on the agent-based simulator, not a guarantee of the output FM-class for each replica." } } ] }