{ "generated_utc": "2026-05-23T17:30:35.846561+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": "range_high_vol", "sample_replica_seeds": [ 5900, 5901, 5902, 5903, 5904 ], "source_file": "demand_destruction_wti.json", "metrics_aggregated": { "total_return": { "median": -0.12577, "p5": -0.37141, "p25": -0.21381, "p75": -0.01024, "p95": 0.2273, "min": -0.39874, "max": 0.28507 }, "realized_vol_annualized": { "median": 0.26143, "p5": 0.17249, "p25": 0.21446, "p75": 0.30244, "p95": 0.40507, "min": 0.1479, "max": 0.43211 }, "max_drawdown": { "median": -0.23135, "p5": -0.43056, "p25": -0.29997, "p75": -0.16052, "p95": -0.09634, "min": -0.44475, "max": -0.06643 }, "autocorrelation_lag1": { "median": -0.00832, "p5": -0.20397, "p25": -0.08677, "p75": 0.08366, "p95": 0.15198, "min": -0.29011, "max": 0.19275 }, "kurtosis": { "median": 0.64165, "p5": 0.01722, "p25": 0.25466, "p75": 1.79711, "p95": 3.36626, "min": -0.3197, "max": 5.39237 }, "skewness": { "median": -0.1133, "p5": -0.68711, "p25": -0.33721, "p75": 0.16781, "p95": 0.50807, "min": -1.06946, "max": 1.07868 }, "tail_p1": { "median": -0.03992, "p5": -0.06067, "p25": -0.04815, "p75": -0.03407, "p95": -0.02355, "min": -0.08307, "max": -0.02073 }, "tail_p99": { "median": 0.03696, "p5": 0.02302, "p25": 0.02989, "p75": 0.04203, "p95": 0.05794, "min": 0.01635, "max": 0.0857 }, "sign_change_frequency": { "median": 0.5, "p5": 0.42661, "p25": 0.46976, "p75": 0.54435, "p95": 0.58145, "min": 0.40323, "max": 0.60484 }, "vol_of_vol": { "median": 0.05909, "p5": 0.03299, "p25": 0.0427, "p75": 0.07516, "p95": 0.12902, "min": 0.02202, "max": 0.15255 }, "avg_run_length": { "median": 1.98413, "p5": 1.7103, "p25": 1.82511, "p75": 2.10982, "p95": 2.3199, "min": 1.64474, "max": 2.45098 }, "rolling_30d_max_dd": { "median": -0.18001, "p5": -0.286, "p25": -0.22698, "p75": -0.1332, "p95": -0.08915, "min": -0.31591, "max": -0.06643 }, "crash_window_vol": { "median": 0.26366, "p5": 0.13542, "p25": 0.21661, "p75": 0.34543, "p95": 0.45046, "min": 0.12034, "max": 0.62009 }, "retracement_from_trough": { "median": 0.15131, "p5": 0.0, "p25": 0.06615, "p75": 0.522, "p95": 0.94121, "min": 0.0, "max": 2.43265 }, "sign_changes_5pct_count": { "median": 6.0, "p5": 2.45, "p25": 4.0, "p75": 8.0, "p95": 15.0, "min": 2.0, "max": 18.0 } }, "claim_validation": [ { "label": "Total return over case (TREND_DOWN aspect)", "claim": "deep decline, methodology \u221225% to \u221260%", "measured_median": -0.1258, "in_band": false, "note": "Measured median (-0.1258) is above the claimed upper bound (-0.2000). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \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": 0.2614, "in_band": false, "note": "Measured median (0.2614) is below the claimed lower bound (0.4500). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \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": 18, "TREND_DOWN": 14, "WHIPSAW": 13, "SLOW_BEAR": 11, "TREND_UP": 4, "V_RECOVERY": 3, "SHARP_CRASH": 3 }, "fm_distribution_pct": { "SIDEWAYS": 36.0, "TREND_DOWN": 28.0, "WHIPSAW": 26.0, "SLOW_BEAR": 22.0, "TREND_UP": 8.0, "V_RECOVERY": 6.0, "SHARP_CRASH": 6.0 }, "unclassified_count": 10, "unclassified_pct": 20.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 3 } }, "primary_fm_class": "TREND_DOWN", "primary_fm_fraction": 0.28, "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 regime-switching 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": "inflationary_upcycle", "sample_replica_seeds": [ 797, 798, 799, 800, 801 ], "source_file": "hyperinflation_boost_gold.json", "metrics_aggregated": { "total_return": { "median": 0.28832, "p5": -0.09188, "p25": 0.08421, "p75": 0.4525, "p95": 0.69203, "min": -0.22592, "max": 0.78964 }, "realized_vol_annualized": { "median": 0.17026, "p5": 0.11519, "p25": 0.14477, "p75": 0.21866, "p95": 0.28931, "min": 0.11157, "max": 0.44605 }, "max_drawdown": { "median": -0.08106, "p5": -0.28605, "p25": -0.13627, "p75": -0.05368, "p95": -0.03093, "min": -0.47413, "max": -0.02645 }, "autocorrelation_lag1": { "median": -0.00047, "p5": -0.18135, "p25": -0.0635, "p75": 0.07719, "p95": 0.15892, "min": -0.35936, "max": 0.30522 }, "kurtosis": { "median": 1.00801, "p5": -0.26815, "p25": 0.33723, "p75": 2.09058, "p95": 6.42996, "min": -0.46162, "max": 14.49736 }, "skewness": { "median": -0.1178, "p5": -1.26233, "p25": -0.54955, "p75": 0.06252, "p95": 0.38357, "min": -2.4581, "max": 0.66163 }, "tail_p1": { "median": -0.02474, "p5": -0.0528, "p25": -0.0375, "p75": -0.01788, "p95": -0.01284, "min": -0.07696, "max": -0.01103 }, "tail_p99": { "median": 0.02577, "p5": 0.01873, "p25": 0.02253, "p75": 0.03353, "p95": 0.04779, "min": 0.0167, "max": 0.05561 }, "sign_change_frequency": { "median": 0.46774, "p5": 0.40323, "p25": 0.43548, "p75": 0.50605, "p95": 0.54556, "min": 0.37903, "max": 0.6129 }, "vol_of_vol": { "median": 0.04303, "p5": 0.01666, "p25": 0.02561, "p75": 0.07899, "p95": 0.10949, "min": 0.0108, "max": 0.12688 }, "avg_run_length": { "median": 2.11864, "p5": 1.8217, "p25": 1.96088, "p75": 2.27273, "p95": 2.45098, "min": 1.62338, "max": 2.60417 }, "rolling_30d_max_dd": { "median": -0.08106, "p5": -0.25436, "p25": -0.13482, "p75": -0.05368, "p95": -0.03093, "min": -0.30662, "max": -0.02645 }, "crash_window_vol": { "median": 0.20618, "p5": 0.12496, "p25": 0.16149, "p75": 0.28726, "p95": 0.40658, "min": 0.09984, "max": 0.46218 }, "retracement_from_trough": { "median": 1.54227, "p5": 0.01212, "p25": 0.53092, "p75": 4.43688, "p95": 8.99564, "min": 0.0, "max": 13.91232 }, "sign_changes_5pct_count": { "median": 3.5, "p5": 1.0, "p25": 2.0, "p75": 5.0, "p95": 9.0, "min": 1.0, "max": 13.0 } }, "claim_validation": [ { "label": "Total return over case (TREND_UP aspect)", "claim": "sustained advance, methodology +8% to +25% (annualized 4-6mo)", "measured_median": 0.2883, "in_band": false, "note": "Measured median (0.2883) is above the claimed upper bound (0.2500). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \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 GOLD baseline (~0.20); methodology gating", "measured_median": 0.1703, "in_band": false, "note": "Measured median (0.1703) is below the claimed lower bound (0.1950). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \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": 20, "WHIPSAW": 11, "VOL_EXPANSION": 10, "SIDEWAYS": 8, "LIQUIDITY_STRESS": 4, "SHARP_CRASH": 4, "V_RECOVERY": 2, "TREND_DOWN": 1 }, "fm_distribution_pct": { "TREND_UP": 40.0, "WHIPSAW": 22.0, "VOL_EXPANSION": 20.0, "SIDEWAYS": 16.0, "LIQUIDITY_STRESS": 8.0, "SHARP_CRASH": 8.0, "V_RECOVERY": 4.0, "TREND_DOWN": 2.0 }, "unclassified_count": 16, "unclassified_pct": 32.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 10 }, "SHARP_CRASH": { "tail-intensified": 4 } }, "primary_fm_class": "TREND_UP", "primary_fm_fraction": 0.4, "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 regime-switching 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": "unstable_decay", "sample_replica_seeds": [ 5186, 5187, 5188, 5189, 5190 ], "source_file": "liquidity_stress_setup_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": -0.14796, "p5": -0.43578, "p25": -0.23565, "p75": -0.01923, "p95": 0.2125, "min": -0.54431, "max": 0.47705 }, "realized_vol_annualized": { "median": 0.38648, "p5": 0.25641, "p25": 0.32557, "p75": 0.43626, "p95": 0.51423, "min": 0.23206, "max": 0.61902 }, "max_drawdown": { "median": -0.30162, "p5": -0.48051, "p25": -0.37496, "p75": -0.23452, "p95": -0.12529, "min": -0.5777, "max": -0.06525 }, "autocorrelation_lag1": { "median": -0.0074, "p5": -0.23247, "p25": -0.11429, "p75": 0.06288, "p95": 0.15271, "min": -0.31052, "max": 0.2406 }, "kurtosis": { "median": 0.67967, "p5": -0.2848, "p25": 0.17067, "p75": 2.09237, "p95": 4.72239, "min": -0.36446, "max": 8.47523 }, "skewness": { "median": -0.13203, "p5": -0.97984, "p25": -0.31076, "p75": 0.1694, "p95": 0.51511, "min": -1.65099, "max": 1.16287 }, "tail_p1": { "median": -0.05927, "p5": -0.09436, "p25": -0.07323, "p75": -0.04746, "p95": -0.03977, "min": -0.1049, "max": -0.03567 }, "tail_p99": { "median": 0.05233, "p5": 0.03265, "p25": 0.04252, "p75": 0.06695, "p95": 0.08258, "min": 0.02915, "max": 0.09677 }, "sign_change_frequency": { "median": 0.49194, "p5": 0.44718, "p25": 0.47581, "p75": 0.52419, "p95": 0.58871, "min": 0.43548, "max": 0.6129 }, "vol_of_vol": { "median": 0.07485, "p5": 0.04053, "p25": 0.05056, "p75": 0.12927, "p95": 0.18574, "min": 0.03209, "max": 0.27606 }, "avg_run_length": { "median": 2.01613, "p5": 1.68919, "p25": 1.89394, "p75": 2.08333, "p95": 2.21452, "min": 1.62338, "max": 2.27273 }, "rolling_30d_max_dd": { "median": -0.23651, "p5": -0.33388, "p25": -0.29464, "p75": -0.18901, "p95": -0.12124, "min": -0.5258, "max": -0.06525 }, "crash_window_vol": { "median": 0.41081, "p5": 0.2692, "p25": 0.32455, "p75": 0.50778, "p95": 0.69694, "min": 0.18313, "max": 0.91433 }, "retracement_from_trough": { "median": 0.33345, "p5": 0.0, "p25": 0.07228, "p75": 0.6275, "p95": 1.9936, "min": 0.0, "max": 3.28092 }, "sign_changes_5pct_count": { "median": 10.5, "p5": 5.45, "p25": 8.0, "p75": 13.75, "p95": 18.55, "min": 2.0, "max": 21.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 19, "WHIPSAW": 12, "SLOW_BEAR": 12, "V_RECOVERY": 7, "TREND_UP": 2, "SIDEWAYS": 1 }, "fm_distribution_pct": { "TREND_DOWN": 38.0, "WHIPSAW": 24.0, "SLOW_BEAR": 24.0, "V_RECOVERY": 14.0, "TREND_UP": 4.0, "SIDEWAYS": 2.0 }, "unclassified_count": 13, "unclassified_pct": 26.0, "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 regime-switching 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": "weak_bear", "sample_replica_seeds": [ 4784, 4785, 4786, 4787, 4788 ], "source_file": "liquidity_stress_setup_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": -0.26037, "p5": -0.51617, "p25": -0.35169, "p75": -0.05498, "p95": 0.30086, "min": -0.71672, "max": 0.51554 }, "realized_vol_annualized": { "median": 0.3534, "p5": 0.25799, "p25": 0.31009, "p75": 0.41076, "p95": 0.51897, "min": 0.2143, "max": 0.60498 }, "max_drawdown": { "median": -0.31972, "p5": -0.55673, "p25": -0.41196, "p75": -0.2453, "p95": -0.11603, "min": -0.71672, "max": -0.07821 }, "autocorrelation_lag1": { "median": -0.00318, "p5": -0.1853, "p25": -0.05551, "p75": 0.08096, "p95": 0.14191, "min": -0.30156, "max": 0.17628 }, "kurtosis": { "median": 0.86793, "p5": -0.08415, "p25": 0.24974, "p75": 1.62493, "p95": 3.91368, "min": -0.21395, "max": 6.34628 }, "skewness": { "median": -0.06247, "p5": -0.71379, "p25": -0.35214, "p75": 0.08737, "p95": 0.67941, "min": -1.21211, "max": 1.09473 }, "tail_p1": { "median": -0.05138, "p5": -0.09381, "p25": -0.06977, "p75": -0.04277, "p95": -0.03731, "min": -0.1126, "max": -0.03405 }, "tail_p99": { "median": 0.05179, "p5": 0.03255, "p25": 0.03941, "p75": 0.06603, "p95": 0.07825, "min": 0.02634, "max": 0.09013 }, "sign_change_frequency": { "median": 0.49597, "p5": 0.41855, "p25": 0.46169, "p75": 0.54637, "p95": 0.57702, "min": 0.3629, "max": 0.58871 }, "vol_of_vol": { "median": 0.07686, "p5": 0.03701, "p25": 0.06005, "p75": 0.11851, "p95": 0.20013, "min": 0.01857, "max": 0.24471 }, "avg_run_length": { "median": 2.00013, "p5": 1.72303, "p25": 1.81825, "p75": 2.14604, "p95": 2.36378, "min": 1.68919, "max": 2.71739 }, "rolling_30d_max_dd": { "median": -0.22917, "p5": -0.4394, "p25": -0.31304, "p75": -0.18484, "p95": -0.11142, "min": -0.46043, "max": -0.07821 }, "crash_window_vol": { "median": 0.36901, "p5": 0.21669, "p25": 0.29072, "p75": 0.49116, "p95": 0.70431, "min": 0.20205, "max": 0.83457 }, "retracement_from_trough": { "median": 0.11245, "p5": 0.0, "p25": 0.02773, "p75": 0.39187, "p95": 1.9333, "min": 0.0, "max": 3.75712 }, "sign_changes_5pct_count": { "median": 10.0, "p5": 5.0, "p25": 7.25, "p75": 12.0, "p95": 16.1, "min": 4.0, "max": 20.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 48, "LIQUIDITY_STRESS": 39, "SHARP_CRASH": 30, "TREND_DOWN": 27, "SLOW_BEAR": 25, "WHIPSAW": 10, "V_RECOVERY": 3, "TREND_UP": 3 }, "fm_distribution_pct": { "VOL_EXPANSION": 96.0, "LIQUIDITY_STRESS": 78.0, "SHARP_CRASH": 60.0, "TREND_DOWN": 54.0, "SLOW_BEAR": 50.0, "WHIPSAW": 20.0, "V_RECOVERY": 6.0, "TREND_UP": 6.0 }, "unclassified_count": 0, "unclassified_pct": 0.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 30 }, "VOL_EXPANSION": { "with-spikes": 13, "smooth-elevated": 35 } }, "primary_fm_class": "LIQUIDITY_STRESS", "primary_fm_fraction": 0.78, "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 regime-switching 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": "demand_weakness", "sample_replica_seeds": [ 3665, 3666, 3667, 3668, 3669 ], "source_file": "liquidity_stress_setup_synthetic_wti.json", "metrics_aggregated": { "total_return": { "median": -0.26867, "p5": -0.6028, "p25": -0.42805, "p75": 0.00977, "p95": 0.34265, "min": -0.73646, "max": 0.71758 }, "realized_vol_annualized": { "median": 0.45526, "p5": 0.31052, "p25": 0.37475, "p75": 0.54678, "p95": 0.69644, "min": 0.29384, "max": 0.76196 }, "max_drawdown": { "median": -0.38476, "p5": -0.69721, "p25": -0.52922, "p75": -0.31419, "p95": -0.18666, "min": -0.75159, "max": -0.09614 }, "autocorrelation_lag1": { "median": 0.03031, "p5": -0.14182, "p25": -0.03887, "p75": 0.07976, "p95": 0.18497, "min": -0.23172, "max": 0.27261 }, "kurtosis": { "median": 1.03011, "p5": -0.52714, "p25": 0.00023, "p75": 2.31287, "p95": 3.79907, "min": -0.85759, "max": 6.74517 }, "skewness": { "median": -0.08383, "p5": -0.97471, "p25": -0.36461, "p75": 0.14856, "p95": 0.55635, "min": -1.6918, "max": 0.96398 }, "tail_p1": { "median": -0.07086, "p5": -0.12855, "p25": -0.09024, "p75": -0.05638, "p95": -0.04471, "min": -0.15452, "max": -0.03638 }, "tail_p99": { "median": 0.05954, "p5": 0.03903, "p25": 0.04696, "p75": 0.08493, "p95": 0.11319, "min": 0.0334, "max": 0.13474 }, "sign_change_frequency": { "median": 0.5, "p5": 0.45081, "p25": 0.47581, "p75": 0.51613, "p95": 0.55282, "min": 0.40323, "max": 0.64516 }, "vol_of_vol": { "median": 0.12138, "p5": 0.04388, "p25": 0.05869, "p75": 0.18252, "p95": 0.28147, "min": 0.03319, "max": 0.35651 }, "avg_run_length": { "median": 1.98413, "p5": 1.79736, "p25": 1.92308, "p75": 2.08333, "p95": 2.19751, "min": 1.54321, "max": 2.45098 }, "rolling_30d_max_dd": { "median": -0.30279, "p5": -0.5182, "p25": -0.37724, "p75": -0.24108, "p95": -0.17425, "min": -0.60735, "max": -0.09614 }, "crash_window_vol": { "median": 0.45125, "p5": 0.28972, "p25": 0.35963, "p75": 0.72218, "p95": 0.98427, "min": 0.24826, "max": 1.26182 }, "retracement_from_trough": { "median": 0.18, "p5": 0.00135, "p25": 0.06688, "p75": 0.41389, "p95": 0.77864, "min": 0.0, "max": 3.74964 }, "sign_changes_5pct_count": { "median": 13.0, "p5": 5.45, "p25": 10.0, "p75": 16.0, "p95": 20.0, "min": 4.0, "max": 24.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 26, "SLOW_BEAR": 25, "SHARP_CRASH": 24, "LIQUIDITY_STRESS": 21, "VOL_EXPANSION": 21, "WHIPSAW": 6, "SIDEWAYS": 4, "V_RECOVERY": 3 }, "fm_distribution_pct": { "TREND_DOWN": 52.0, "SLOW_BEAR": 50.0, "SHARP_CRASH": 48.0, "LIQUIDITY_STRESS": 42.0, "VOL_EXPANSION": 42.0, "WHIPSAW": 12.0, "SIDEWAYS": 8.0, "V_RECOVERY": 6.0 }, "unclassified_count": 4, "unclassified_pct": 8.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 24 }, "VOL_EXPANSION": { "with-spikes": 18, "smooth-elevated": 3 } }, "primary_fm_class": "LIQUIDITY_STRESS", "primary_fm_fraction": 0.42, "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 regime-switching 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": [ 1025, 1026, 1027, 1028, 1029 ], "source_file": "low_vol_grind_gold.json", "metrics_aggregated": { "total_return": { "median": 0.05494, "p5": -0.15271, "p25": -0.01817, "p75": 0.13684, "p95": 0.25998, "min": -0.20447, "max": 0.27694 }, "realized_vol_annualized": { "median": 0.10045, "p5": 0.07621, "p25": 0.08886, "p75": 0.11271, "p95": 0.13475, "min": 0.06458, "max": 0.17768 }, "max_drawdown": { "median": -0.08699, "p5": -0.21723, "p25": -0.12533, "p75": -0.06086, "p95": -0.04071, "min": -0.27442, "max": -0.03334 }, "autocorrelation_lag1": { "median": -0.01263, "p5": -0.11711, "p25": -0.05649, "p75": 0.03716, "p95": 0.10793, "min": -0.13017, "max": 0.17226 }, "kurtosis": { "median": 0.56532, "p5": -0.26738, "p25": 0.04118, "p75": 1.45582, "p95": 2.54693, "min": -0.3991, "max": 4.42973 }, "skewness": { "median": -0.10056, "p5": -0.49446, "p25": -0.30534, "p75": 0.08998, "p95": 0.47118, "min": -0.8278, "max": 1.06399 }, "tail_p1": { "median": -0.01478, "p5": -0.02248, "p25": -0.01738, "p75": -0.01258, "p95": -0.01015, "min": -0.02871, "max": -0.00887 }, "tail_p99": { "median": 0.01509, "p5": 0.01153, "p25": 0.01282, "p75": 0.01743, "p95": 0.02162, "min": 0.01007, "max": 0.02335 }, "sign_change_frequency": { "median": 0.504, "p5": 0.4494, "p25": 0.481, "p75": 0.52, "p95": 0.5604, "min": 0.44, "max": 0.572 }, "vol_of_vol": { "median": 0.02075, "p5": 0.01251, "p25": 0.01563, "p75": 0.03181, "p95": 0.04431, "min": 0.00833, "max": 0.04831 }, "avg_run_length": { "median": 1.97638, "p5": 1.77897, "p25": 1.91603, "p75": 2.07013, "p95": 2.21476, "min": 1.74306, "max": 2.26126 }, "rolling_30d_max_dd": { "median": -0.07132, "p5": -0.16225, "p25": -0.0908, "p75": -0.05697, "p95": -0.03655, "min": -0.1992, "max": -0.03317 }, "crash_window_vol": { "median": 0.10802, "p5": 0.07385, "p25": 0.09006, "p75": 0.14413, "p95": 0.1959, "min": 0.0518, "max": 0.22785 }, "retracement_from_trough": { "median": 0.69299, "p5": 0.10621, "p25": 0.25251, "p75": 1.39109, "p95": 3.93777, "min": 0.02588, "max": 7.12347 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 1.0, "p75": 4.0, "p95": 7.0, "min": 0.0, "max": 8.0 } }, "claim_validation": [ { "label": "Realized volatility (annualized)", "claim": "0.4\u20130.7\u00d7 GOLD baseline (~0.05\u20130.09)", "measured_median": 0.1004, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "shallow drawdowns < 8% (non-VIX) per methodology", "measured_median": -0.087, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 35, "TREND_UP": 20, "WHIPSAW": 15, "VOL_COMPRESSION": 11, "TREND_DOWN": 1 }, "fm_distribution_pct": { "SIDEWAYS": 70.0, "TREND_UP": 40.0, "WHIPSAW": 30.0, "VOL_COMPRESSION": 22.0, "TREND_DOWN": 2.0 }, "unclassified_count": 7, "unclassified_pct": 14.0, "sub_classifications": {}, "primary_fm_class": "VOL_COMPRESSION", "primary_fm_fraction": 0.22, "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 regime-switching 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": [ 7939, 7940, 7941, 7942, 7943 ], "source_file": "low_vol_grind_qqq.json", "metrics_aggregated": { "total_return": { "median": 0.13873, "p5": -0.21906, "p25": 0.03324, "p75": 0.21498, "p95": 0.33641, "min": -0.33166, "max": 0.43087 }, "realized_vol_annualized": { "median": 0.10972, "p5": 0.07974, "p25": 0.09322, "p75": 0.11952, "p95": 0.14416, "min": 0.07346, "max": 0.16 }, "max_drawdown": { "median": -0.07568, "p5": -0.30172, "p25": -0.12941, "p75": -0.05849, "p95": -0.03336, "min": -0.3557, "max": -0.02958 }, "autocorrelation_lag1": { "median": 0.00747, "p5": -0.12582, "p25": -0.0429, "p75": 0.03319, "p95": 0.15853, "min": -0.17391, "max": 0.18456 }, "kurtosis": { "median": 1.00476, "p5": -0.24263, "p25": 0.138, "p75": 2.12281, "p95": 3.25365, "min": -0.3369, "max": 5.52102 }, "skewness": { "median": -0.13696, "p5": -0.70694, "p25": -0.36234, "p75": 0.03727, "p95": 0.24032, "min": -1.61451, "max": 0.51056 }, "tail_p1": { "median": -0.01627, "p5": -0.02701, "p25": -0.0208, "p75": -0.0132, "p95": -0.01129, "min": -0.0322, "max": -0.00934 }, "tail_p99": { "median": 0.01561, "p5": 0.01244, "p25": 0.013, "p75": 0.0181, "p95": 0.02319, "min": 0.01078, "max": 0.02928 }, "sign_change_frequency": { "median": 0.496, "p5": 0.4436, "p25": 0.476, "p75": 0.516, "p95": 0.5382, "min": 0.424, "max": 0.552 }, "vol_of_vol": { "median": 0.02835, "p5": 0.01252, "p25": 0.01721, "p75": 0.03626, "p95": 0.05207, "min": 0.01059, "max": 0.06532 }, "avg_run_length": { "median": 2.008, "p5": 1.85174, "p25": 1.93077, "p75": 2.09167, "p95": 2.24325, "min": 1.80576, "max": 2.34579 }, "rolling_30d_max_dd": { "median": -0.07027, "p5": -0.19957, "p25": -0.10267, "p75": -0.05236, "p95": -0.03336, "min": -0.23865, "max": -0.02958 }, "crash_window_vol": { "median": 0.12515, "p5": 0.07514, "p25": 0.09922, "p75": 0.16024, "p95": 0.22256, "min": 0.0585, "max": 0.23274 }, "retracement_from_trough": { "median": 0.79575, "p5": 0.00547, "p25": 0.14813, "p75": 2.19169, "p95": 6.16914, "min": 0.0, "max": 12.10911 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 4.0, "p95": 6.0, "min": 1.0, "max": 8.0 } }, "claim_validation": [ { "label": "Realized volatility (annualized)", "claim": "0.4\u20130.7\u00d7 QQQ baseline (~0.08\u20130.15)", "measured_median": 0.1097, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "shallow drawdowns < 8% (non-VIX) per methodology", "measured_median": -0.0757, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 30, "VOL_COMPRESSION": 21, "WHIPSAW": 11, "SIDEWAYS": 4, "TREND_DOWN": 3, "SLOW_BEAR": 2 }, "fm_distribution_pct": { "TREND_UP": 60.0, "VOL_COMPRESSION": 42.0, "WHIPSAW": 22.0, "SIDEWAYS": 8.0, "TREND_DOWN": 6.0, "SLOW_BEAR": 4.0 }, "unclassified_count": 4, "unclassified_pct": 8.0, "sub_classifications": {}, "primary_fm_class": "VOL_COMPRESSION", "primary_fm_fraction": 0.42, "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 regime-switching 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": [ 2181, 2182, 2183, 2184, 2185 ], "source_file": "low_vol_grind_spy.json", "metrics_aggregated": { "total_return": { "median": 0.10779, "p5": -0.13491, "p25": 0.03862, "p75": 0.21096, "p95": 0.34497, "min": -0.17145, "max": 0.44686 }, "realized_vol_annualized": { "median": 0.10353, "p5": 0.08139, "p25": 0.08983, "p75": 0.11502, "p95": 0.13713, "min": 0.07299, "max": 0.19636 }, "max_drawdown": { "median": -0.07818, "p5": -0.21746, "p25": -0.1405, "p75": -0.05872, "p95": -0.03885, "min": -0.28819, "max": -0.03558 }, "autocorrelation_lag1": { "median": 0.01724, "p5": -0.07915, "p25": -0.02864, "p75": 0.06707, "p95": 0.10853, "min": -0.15205, "max": 0.18352 }, "kurtosis": { "median": 1.04352, "p5": -0.31376, "p25": 0.30135, "p75": 1.68316, "p95": 4.80456, "min": -0.44736, "max": 28.69837 }, "skewness": { "median": -0.15999, "p5": -0.7696, "p25": -0.41385, "p75": -0.06607, "p95": 0.25017, "min": -3.1673, "max": 0.93199 }, "tail_p1": { "median": -0.01535, "p5": -0.0256, "p25": -0.01921, "p75": -0.01274, "p95": -0.01119, "min": -0.0276, "max": -0.01012 }, "tail_p99": { "median": 0.01486, "p5": 0.01076, "p25": 0.01309, "p75": 0.01732, "p95": 0.01994, "min": 0.01029, "max": 0.02474 }, "sign_change_frequency": { "median": 0.49, "p5": 0.4378, "p25": 0.469, "p75": 0.504, "p95": 0.5386, "min": 0.424, "max": 0.56 }, "vol_of_vol": { "median": 0.02305, "p5": 0.01247, "p25": 0.01767, "p75": 0.03643, "p95": 0.05099, "min": 0.00987, "max": 0.09034 }, "avg_run_length": { "median": 2.03242, "p5": 1.85057, "p25": 1.97638, "p75": 2.12265, "p95": 2.27257, "min": 1.78014, "max": 2.34579 }, "rolling_30d_max_dd": { "median": -0.06734, "p5": -0.17009, "p25": -0.10056, "p75": -0.05712, "p95": -0.03837, "min": -0.21238, "max": -0.03558 }, "crash_window_vol": { "median": 0.1237, "p5": 0.07718, "p25": 0.09325, "p75": 0.16894, "p95": 0.21648, "min": 0.07113, "max": 0.37655 }, "retracement_from_trough": { "median": 0.87224, "p5": 0.0339, "p25": 0.28383, "p75": 2.05469, "p95": 5.47741, "min": 0.0, "max": 8.78834 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 1.25, "p75": 4.0, "p95": 5.55, "min": 1.0, "max": 8.0 } }, "claim_validation": [ { "label": "Realized volatility (annualized)", "claim": "0.4\u20130.7\u00d7 SPY baseline (~0.06\u20130.11)", "measured_median": 0.1035, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "shallow drawdowns < 8% (non-VIX) per methodology", "measured_median": -0.0782, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 27, "VOL_COMPRESSION": 25, "SIDEWAYS": 22, "WHIPSAW": 12, "SHARP_CRASH": 1 }, "fm_distribution_pct": { "TREND_UP": 54.0, "VOL_COMPRESSION": 50.0, "SIDEWAYS": 44.0, "WHIPSAW": 24.0, "SHARP_CRASH": 2.0 }, "unclassified_count": 8, "unclassified_pct": 16.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 1 } }, "primary_fm_class": "VOL_COMPRESSION", "primary_fm_fraction": 0.5, "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 regime-switching 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": "range_high_vol", "sample_replica_seeds": [ 1062, 1063, 1064, 1065, 1066 ], "source_file": "low_vol_grind_wti.json", "metrics_aggregated": { "total_return": { "median": -0.00395, "p5": -0.23655, "p25": -0.12407, "p75": 0.06798, "p95": 0.18304, "min": -0.26193, "max": 0.23235 }, "realized_vol_annualized": { "median": 0.1149, "p5": 0.0829, "p25": 0.09252, "p75": 0.13217, "p95": 0.1434, "min": 0.07607, "max": 0.16647 }, "max_drawdown": { "median": -0.12459, "p5": -0.2566, "p25": -0.18295, "p75": -0.08861, "p95": -0.0427, "min": -0.38593, "max": -0.0347 }, "autocorrelation_lag1": { "median": 0.01065, "p5": -0.12081, "p25": -0.04746, "p75": 0.07095, "p95": 0.11679, "min": -0.20835, "max": 0.165 }, "kurtosis": { "median": 0.8163, "p5": -0.17446, "p25": 0.35013, "p75": 1.58554, "p95": 3.24781, "min": -0.27066, "max": 5.1808 }, "skewness": { "median": -0.25685, "p5": -0.89499, "p25": -0.46237, "p75": -0.01693, "p95": 0.23695, "min": -1.23581, "max": 0.43702 }, "tail_p1": { "median": -0.01916, "p5": -0.02637, "p25": -0.02138, "p75": -0.0146, "p95": -0.01089, "min": -0.03182, "max": -0.01006 }, "tail_p99": { "median": 0.01633, "p5": 0.01098, "p25": 0.01367, "p75": 0.01875, "p95": 0.0234, "min": 0.00997, "max": 0.02749 }, "sign_change_frequency": { "median": 0.492, "p5": 0.46, "p25": 0.477, "p75": 0.516, "p95": 0.548, "min": 0.42, "max": 0.592 }, "vol_of_vol": { "median": 0.02834, "p5": 0.01366, "p25": 0.02073, "p75": 0.03939, "p95": 0.05037, "min": 0.01142, "max": 0.05756 }, "avg_run_length": { "median": 2.02419, "p5": 1.81884, "p25": 1.93077, "p75": 2.08735, "p95": 2.16379, "min": 1.68456, "max": 2.36792 }, "rolling_30d_max_dd": { "median": -0.09699, "p5": -0.18708, "p25": -0.13401, "p75": -0.06719, "p95": -0.0416, "min": -0.25121, "max": -0.0347 }, "crash_window_vol": { "median": 0.14293, "p5": 0.08123, "p25": 0.10673, "p75": 0.17268, "p95": 0.20125, "min": 0.07069, "max": 0.21031 }, "retracement_from_trough": { "median": 0.31603, "p5": 0.01035, "p25": 0.10053, "p75": 0.80802, "p95": 3.46476, "min": 0.0, "max": 4.00758 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.25, "p75": 4.0, "p95": 6.55, "min": 1.0, "max": 8.0 } }, "claim_validation": [ { "label": "Realized volatility (annualized)", "claim": "0.4\u20130.7\u00d7 WTI baseline (~0.12\u20130.21)", "measured_median": 0.1149, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "shallow drawdowns < 8% (non-VIX) per methodology", "measured_median": -0.1246, "in_band": false, "note": "Measured median (-0.1246) is below the claimed lower bound (-0.0800). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \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": { "WHIPSAW": 20, "TREND_UP": 11, "TREND_DOWN": 4, "VOL_COMPRESSION": 1, "SLOW_BEAR": 1 }, "fm_distribution_pct": { "WHIPSAW": 40.0, "TREND_UP": 22.0, "TREND_DOWN": 8.0, "VOL_COMPRESSION": 2.0, "SLOW_BEAR": 2.0 }, "unclassified_count": 16, "unclassified_pct": 32.0, "sub_classifications": {}, "primary_fm_class": "VOL_COMPRESSION", "primary_fm_fraction": 0.02, "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 regime-switching 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 regime-switching 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": [ 4458, 4459, 4460, 4461, 4462 ], "source_file": "sharp_crash_setup_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": -0.05353, "p5": -0.65029, "p25": -0.43126, "p75": 0.13411, "p95": 0.56422, "min": -0.72417, "max": 0.85642 }, "realized_vol_annualized": { "median": 0.29335, "p5": 0.21953, "p25": 0.25623, "p75": 0.32971, "p95": 0.39463, "min": 0.19218, "max": 0.41113 }, "max_drawdown": { "median": -0.21226, "p5": -0.6739, "p25": -0.49051, "p75": -0.14165, "p95": -0.10516, "min": -0.72539, "max": -0.07893 }, "autocorrelation_lag1": { "median": 0.00906, "p5": -0.23122, "p25": -0.09617, "p75": 0.16921, "p95": 0.3114, "min": -0.35312, "max": 0.43611 }, "kurtosis": { "median": 6.45857, "p5": 3.02327, "p25": 4.52832, "p75": 8.51338, "p95": 11.11565, "min": 2.46711, "max": 14.58955 }, "skewness": { "median": -0.34816, "p5": -1.60412, "p25": -0.9014, "p75": 0.40988, "p95": 1.05341, "min": -2.40414, "max": 2.26391 }, "tail_p1": { "median": -0.05715, "p5": -0.09067, "p25": -0.06559, "p75": -0.04819, "p95": -0.03633, "min": -0.10109, "max": -0.0284 }, "tail_p99": { "median": 0.0499, "p5": 0.03559, "p25": 0.04115, "p75": 0.06086, "p95": 0.07248, "min": 0.02509, "max": 0.07926 }, "sign_change_frequency": { "median": 0.47984, "p5": 0.33065, "p25": 0.42742, "p75": 0.51411, "p95": 0.56895, "min": 0.32258, "max": 0.62903 }, "vol_of_vol": { "median": 0.17343, "p5": 0.12466, "p25": 0.14788, "p75": 0.20708, "p95": 0.26001, "min": 0.10884, "max": 0.26811 }, "avg_run_length": { "median": 2.06626, "p5": 1.74711, "p25": 1.93059, "p75": 2.31481, "p95": 2.97619, "min": 1.58228, "max": 3.04878 }, "rolling_30d_max_dd": { "median": -0.21226, "p5": -0.46039, "p25": -0.34343, "p75": -0.14165, "p95": -0.10516, "min": -0.55616, "max": -0.07893 }, "crash_window_vol": { "median": 0.44275, "p5": 0.24438, "p25": 0.35155, "p75": 0.55195, "p95": 0.66782, "min": 0.10217, "max": 0.73949 }, "retracement_from_trough": { "median": 0.30804, "p5": 0.0, "p25": 0.00567, "p75": 0.91663, "p95": 2.86598, "min": 0.0, "max": 5.70694 }, "sign_changes_5pct_count": { "median": 5.0, "p5": 3.0, "p25": 5.0, "p75": 7.0, "p95": 8.55, "min": 3.0, "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": 0.2933, "in_band": false, "note": "Measured median (0.2933) is below the claimed lower bound (0.8000). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \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": 6.4586, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "WHIPSAW": 14, "TREND_DOWN": 12, "TREND_UP": 10, "SLOW_BEAR": 9, "V_RECOVERY": 3 }, "fm_distribution_pct": { "WHIPSAW": 28.0, "TREND_DOWN": 24.0, "TREND_UP": 20.0, "SLOW_BEAR": 18.0, "V_RECOVERY": 6.0 }, "unclassified_count": 15, "unclassified_pct": 30.0, "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 regime-switching 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 regime-switching 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": [ 8198, 8199, 8200, 8201, 8202 ], "source_file": "sharp_crash_setup_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.12488, "p5": -0.60696, "p25": -0.28339, "p75": 0.04557, "p95": 0.38703, "min": -0.65047, "max": 0.64878 }, "realized_vol_annualized": { "median": 0.29226, "p5": 0.21483, "p25": 0.25608, "p75": 0.33386, "p95": 0.37749, "min": 0.19065, "max": 0.40944 }, "max_drawdown": { "median": -0.24272, "p5": -0.61614, "p25": -0.38086, "p75": -0.17041, "p95": -0.08696, "min": -0.66866, "max": -0.03346 }, "autocorrelation_lag1": { "median": 0.04589, "p5": -0.29074, "p25": -0.05602, "p75": 0.12892, "p95": 0.22271, "min": -0.37601, "max": 0.37449 }, "kurtosis": { "median": 6.88394, "p5": 3.45359, "p25": 5.13762, "p75": 9.48857, "p95": 12.16817, "min": 2.15756, "max": 16.36186 }, "skewness": { "median": -0.10648, "p5": -2.05714, "p25": -1.0771, "p75": 0.63596, "p95": 1.4915, "min": -3.17567, "max": 2.13164 }, "tail_p1": { "median": -0.05615, "p5": -0.07975, "p25": -0.06898, "p75": -0.0498, "p95": -0.03323, "min": -0.09187, "max": -0.01793 }, "tail_p99": { "median": 0.05178, "p5": 0.02731, "p25": 0.04468, "p75": 0.06296, "p95": 0.0779, "min": 0.01395, "max": 0.08695 }, "sign_change_frequency": { "median": 0.47581, "p5": 0.33347, "p25": 0.42944, "p75": 0.51411, "p95": 0.54839, "min": 0.28226, "max": 0.59677 }, "vol_of_vol": { "median": 0.17838, "p5": 0.12379, "p25": 0.1561, "p75": 0.21249, "p95": 0.23899, "min": 0.09879, "max": 0.27479 }, "avg_run_length": { "median": 2.08333, "p5": 1.81159, "p25": 1.93059, "p75": 2.30429, "p95": 2.95524, "min": 1.66667, "max": 3.47222 }, "rolling_30d_max_dd": { "median": -0.23209, "p5": -0.43877, "p25": -0.30011, "p75": -0.16662, "p95": -0.08169, "min": -0.49004, "max": -0.03346 }, "crash_window_vol": { "median": 0.42818, "p5": 0.1839, "p25": 0.34441, "p75": 0.48759, "p95": 0.67458, "min": 0.17735, "max": 0.75442 }, "retracement_from_trough": { "median": 0.24978, "p5": 0.0, "p25": 0.00414, "p75": 0.71399, "p95": 3.39133, "min": 0.0, "max": 4.37994 }, "sign_changes_5pct_count": { "median": 6.0, "p5": 2.0, "p25": 4.0, "p75": 7.0, "p95": 9.0, "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": 0.2923, "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": 6.8839, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SHARP_CRASH": 25, "TREND_DOWN": 12, "SLOW_BEAR": 11, "SIDEWAYS": 10, "WHIPSAW": 9, "VOL_EXPANSION": 7, "V_RECOVERY": 5, "TREND_UP": 5, "LIQUIDITY_STRESS": 5 }, "fm_distribution_pct": { "SHARP_CRASH": 50.0, "TREND_DOWN": 24.0, "SLOW_BEAR": 22.0, "SIDEWAYS": 20.0, "WHIPSAW": 18.0, "VOL_EXPANSION": 14.0, "V_RECOVERY": 10.0, "TREND_UP": 10.0, "LIQUIDITY_STRESS": 10.0 }, "unclassified_count": 6, "unclassified_pct": 12.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 25 }, "VOL_EXPANSION": { "smooth-elevated": 3, "with-spikes": 4 } }, "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 regime-switching 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 regime-switching 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": [ 4056, 4057, 4058, 4059, 4060 ], "source_file": "sharp_crash_setup_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": -0.03896, "p5": -0.65454, "p25": -0.20778, "p75": 0.22306, "p95": 0.4185, "min": -0.70925, "max": 1.15617 }, "realized_vol_annualized": { "median": 0.29054, "p5": 0.22969, "p25": 0.26989, "p75": 0.33046, "p95": 0.38603, "min": 0.19252, "max": 0.42813 }, "max_drawdown": { "median": -0.21081, "p5": -0.68246, "p25": -0.31852, "p75": -0.12211, "p95": -0.07608, "min": -0.71805, "max": -0.04462 }, "autocorrelation_lag1": { "median": -0.00638, "p5": -0.29666, "p25": -0.12736, "p75": 0.11439, "p95": 0.21212, "min": -0.38447, "max": 0.36305 }, "kurtosis": { "median": 6.39558, "p5": 3.27685, "p25": 5.03354, "p75": 8.14613, "p95": 11.80297, "min": 2.53699, "max": 14.58245 }, "skewness": { "median": 0.00512, "p5": -1.82834, "p25": -0.80227, "p75": 0.9297, "p95": 1.90913, "min": -2.07816, "max": 1.9354 }, "tail_p1": { "median": -0.05706, "p5": -0.08998, "p25": -0.06638, "p75": -0.04471, "p95": -0.03704, "min": -0.10213, "max": -0.01563 }, "tail_p99": { "median": 0.05501, "p5": 0.03412, "p25": 0.04318, "p75": 0.06328, "p95": 0.08724, "min": 0.02192, "max": 0.09876 }, "sign_change_frequency": { "median": 0.47581, "p5": 0.37298, "p25": 0.45161, "p75": 0.5, "p95": 0.55282, "min": 0.30645, "max": 0.57258 }, "vol_of_vol": { "median": 0.18614, "p5": 0.1251, "p25": 0.1596, "p75": 0.21352, "p95": 0.24897, "min": 0.08983, "max": 0.29752 }, "avg_run_length": { "median": 2.08333, "p5": 1.79736, "p25": 1.98413, "p75": 2.19298, "p95": 2.65278, "min": 1.73611, "max": 3.20513 }, "rolling_30d_max_dd": { "median": -0.20511, "p5": -0.42358, "p25": -0.28818, "p75": -0.11446, "p95": -0.07608, "min": -0.4867, "max": -0.04462 }, "crash_window_vol": { "median": 0.48544, "p5": 0.14264, "p25": 0.40694, "p75": 0.56909, "p95": 0.70011, "min": 0.11228, "max": 0.8451 }, "retracement_from_trough": { "median": 0.2756, "p5": 0.0, "p25": 0.06612, "p75": 1.04322, "p95": 3.35966, "min": 0.0, "max": 5.08394 }, "sign_changes_5pct_count": { "median": 5.0, "p5": 2.0, "p25": 4.0, "p75": 6.75, "p95": 9.55, "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": 0.2905, "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": 6.3956, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SHARP_CRASH": 26, "VOL_EXPANSION": 22, "LIQUIDITY_STRESS": 15, "TREND_UP": 14, "WHIPSAW": 12, "TREND_DOWN": 9, "SLOW_BEAR": 7, "SIDEWAYS": 3, "V_RECOVERY": 1 }, "fm_distribution_pct": { "SHARP_CRASH": 52.0, "VOL_EXPANSION": 44.0, "LIQUIDITY_STRESS": 30.0, "TREND_UP": 28.0, "WHIPSAW": 24.0, "TREND_DOWN": 18.0, "SLOW_BEAR": 14.0, "SIDEWAYS": 6.0, "V_RECOVERY": 2.0 }, "unclassified_count": 4, "unclassified_pct": 8.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 26 }, "VOL_EXPANSION": { "with-spikes": 13, "smooth-elevated": 9 } }, "primary_fm_class": "SHARP_CRASH", "primary_fm_fraction": 0.52, "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 regime-switching 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": "range", "sample_replica_seeds": [ 5674, 5675, 5676, 5677, 5678 ], "source_file": "slow_crash_no_recovery_synthetic_gold.json", "metrics_aggregated": { "total_return": { "median": -0.52602, "p5": -0.69497, "p25": -0.61101, "p75": -0.37305, "p95": -0.16482, "min": -0.77029, "max": -0.04766 }, "realized_vol_annualized": { "median": 0.21052, "p5": 0.15641, "p25": 0.18147, "p75": 0.24819, "p95": 0.30719, "min": 0.12431, "max": 0.329 }, "max_drawdown": { "median": -0.53275, "p5": -0.69665, "p25": -0.61571, "p75": -0.37305, "p95": -0.19482, "min": -0.77029, "max": -0.15219 }, "autocorrelation_lag1": { "median": 0.16341, "p5": -0.00717, "p25": 0.06453, "p75": 0.23981, "p95": 0.39702, "min": -0.0482, "max": 0.46007 }, "kurtosis": { "median": 0.98255, "p5": -0.40262, "p25": 0.29862, "p75": 2.06688, "p95": 4.50918, "min": -0.63868, "max": 5.86854 }, "skewness": { "median": -0.62758, "p5": -1.31668, "p25": -0.834, "p75": -0.31944, "p95": 0.14212, "min": -1.78027, "max": 0.52027 }, "tail_p1": { "median": -0.04209, "p5": -0.05603, "p25": -0.04703, "p75": -0.03622, "p95": -0.0309, "min": -0.06411, "max": -0.02133 }, "tail_p99": { "median": 0.01891, "p5": 0.01357, "p25": 0.01648, "p75": 0.02564, "p95": 0.04398, "min": 0.01222, "max": 0.05102 }, "sign_change_frequency": { "median": 0.41935, "p5": 0.32258, "p25": 0.38105, "p75": 0.47379, "p95": 0.52863, "min": 0.28226, "max": 0.53226 }, "vol_of_vol": { "median": 0.05243, "p5": 0.02482, "p25": 0.03754, "p75": 0.07036, "p95": 0.09178, "min": 0.01811, "max": 0.11071 }, "avg_run_length": { "median": 2.35849, "p5": 1.87839, "p25": 2.09216, "p75": 2.59088, "p95": 3.04878, "min": 1.86567, "max": 3.47222 }, "rolling_30d_max_dd": { "median": -0.28665, "p5": -0.40857, "p25": -0.32755, "p75": -0.24233, "p95": -0.1563, "min": -0.50666, "max": -0.12338 }, "crash_window_vol": { "median": 0.23034, "p5": 0.13989, "p25": 0.20106, "p75": 0.2719, "p95": 0.33779, "min": 0.12863, "max": 0.38915 }, "retracement_from_trough": { "median": 0.00534, "p5": 0.0, "p25": 0.0, "p75": 0.03631, "p95": 0.26639, "min": 0.0, "max": 0.70857 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 1.0, "p75": 5.0, "p95": 7.0, "min": 1.0, "max": 11.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "persistent decline with no rebound, methodology \u221225% to \u221260%", "measured_median": -0.526, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "drawdowns deepen monotonically; methodology \u221225% to \u221270%", "measured_median": -0.5327, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SHARP_CRASH": 39, "TREND_DOWN": 30, "LIQUIDITY_STRESS": 27, "VOL_EXPANSION": 27, "SLOW_BEAR": 26, "WHIPSAW": 1, "SIDEWAYS": 1 }, "fm_distribution_pct": { "SHARP_CRASH": 78.0, "TREND_DOWN": 60.0, "LIQUIDITY_STRESS": 54.0, "VOL_EXPANSION": 54.0, "SLOW_BEAR": 52.0, "WHIPSAW": 2.0, "SIDEWAYS": 2.0 }, "unclassified_count": 3, "unclassified_pct": 6.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 39 }, "VOL_EXPANSION": { "smooth-elevated": 27 } }, "primary_fm_class": "SLOW_BEAR", "primary_fm_fraction": 0.52, "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 regime-switching 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": "bull_trend", "sample_replica_seeds": [ 5763, 5764, 5765, 5766, 5767 ], "source_file": "slow_crash_no_recovery_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.50463, "p5": -0.74067, "p25": -0.61234, "p75": -0.3374, "p95": -0.13807, "min": -0.75527, "max": 0.07123 }, "realized_vol_annualized": { "median": 0.21905, "p5": 0.16154, "p25": 0.1913, "p75": 0.25791, "p95": 0.30732, "min": 0.11829, "max": 0.42809 }, "max_drawdown": { "median": -0.50887, "p5": -0.74102, "p25": -0.62403, "p75": -0.38078, "p95": -0.21976, "min": -0.75527, "max": -0.10798 }, "autocorrelation_lag1": { "median": 0.25639, "p5": 0.06551, "p25": 0.16903, "p75": 0.31392, "p95": 0.43768, "min": -0.04033, "max": 0.49217 }, "kurtosis": { "median": 1.15554, "p5": -0.15511, "p25": 0.38434, "p75": 2.12484, "p95": 5.00229, "min": -0.72532, "max": 38.11082 }, "skewness": { "median": -0.61103, "p5": -1.47847, "p25": -0.94811, "p75": -0.19124, "p95": 0.54854, "min": -4.85411, "max": 0.64494 }, "tail_p1": { "median": -0.04416, "p5": -0.06049, "p25": -0.0498, "p75": -0.03687, "p95": -0.03107, "min": -0.06434, "max": -0.01954 }, "tail_p99": { "median": 0.01824, "p5": 0.01263, "p25": 0.01519, "p75": 0.03369, "p95": 0.04455, "min": 0.01045, "max": 0.04986 }, "sign_change_frequency": { "median": 0.38306, "p5": 0.27258, "p25": 0.33266, "p75": 0.42742, "p95": 0.48387, "min": 0.23387, "max": 0.56452 }, "vol_of_vol": { "median": 0.06155, "p5": 0.02376, "p25": 0.03787, "p75": 0.07676, "p95": 0.12155, "min": 0.0149, "max": 0.22613 }, "avg_run_length": { "median": 2.57759, "p5": 2.04918, "p25": 2.31481, "p75": 2.95889, "p95": 3.6036, "min": 1.76056, "max": 4.16667 }, "rolling_30d_max_dd": { "median": -0.32366, "p5": -0.45808, "p25": -0.38574, "p75": -0.25251, "p95": -0.14254, "min": -0.53323, "max": -0.10798 }, "crash_window_vol": { "median": 0.22921, "p5": 0.15495, "p25": 0.19694, "p75": 0.2764, "p95": 0.39648, "min": 0.09225, "max": 0.72558 }, "retracement_from_trough": { "median": 0.01252, "p5": 0.0, "p25": 0.0, "p75": 0.04779, "p95": 0.40529, "min": 0.0, "max": 1.64998 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 5.0, "p95": 7.0, "min": 1.0, "max": 9.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "persistent decline with no rebound, methodology \u221225% to \u221260%", "measured_median": -0.5046, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "drawdowns deepen monotonically; methodology \u221225% to \u221270%", "measured_median": -0.5089, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SLOW_BEAR": 31, "TREND_DOWN": 31, "SHARP_CRASH": 7, "WHIPSAW": 2, "SIDEWAYS": 2, "LIQUIDITY_STRESS": 1, "VOL_EXPANSION": 1 }, "fm_distribution_pct": { "SLOW_BEAR": 62.0, "TREND_DOWN": 62.0, "SHARP_CRASH": 14.0, "WHIPSAW": 4.0, "SIDEWAYS": 4.0, "LIQUIDITY_STRESS": 2.0, "VOL_EXPANSION": 2.0 }, "unclassified_count": 15, "unclassified_pct": 30.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 7 }, "VOL_EXPANSION": { "smooth-elevated": 1 } }, "primary_fm_class": "SLOW_BEAR", "primary_fm_fraction": 0.62, "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 regime-switching 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": "sideways_low_vol", "sample_replica_seeds": [ 10005, 10006, 10007, 10008, 10009 ], "source_file": "slow_crash_no_recovery_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": -0.47104, "p5": -0.74238, "p25": -0.60345, "p75": -0.21617, "p95": -0.02618, "min": -0.84097, "max": 0.2977 }, "realized_vol_annualized": { "median": 0.20818, "p5": 0.16462, "p25": 0.18778, "p75": 0.24116, "p95": 0.30074, "min": 0.14339, "max": 0.35321 }, "max_drawdown": { "median": -0.47607, "p5": -0.74238, "p25": -0.60717, "p75": -0.30149, "p95": -0.17469, "min": -0.84097, "max": -0.10988 }, "autocorrelation_lag1": { "median": 0.17878, "p5": -0.00363, "p25": 0.08238, "p75": 0.28002, "p95": 0.3785, "min": -0.07733, "max": 0.39781 }, "kurtosis": { "median": 1.55005, "p5": -0.28831, "p25": 0.67818, "p75": 2.56654, "p95": 6.14422, "min": -0.48726, "max": 12.94426 }, "skewness": { "median": -0.66794, "p5": -1.66507, "p25": -1.11533, "p75": -0.08373, "p95": 0.43546, "min": -1.91035, "max": 1.53691 }, "tail_p1": { "median": -0.04329, "p5": -0.05701, "p25": -0.04861, "p75": -0.03682, "p95": -0.03072, "min": -0.06522, "max": -0.02465 }, "tail_p99": { "median": 0.01963, "p5": 0.01252, "p25": 0.0155, "p75": 0.03023, "p95": 0.04102, "min": 0.00775, "max": 0.05032 }, "sign_change_frequency": { "median": 0.41129, "p5": 0.28952, "p25": 0.37903, "p75": 0.45161, "p95": 0.49637, "min": 0.22581, "max": 0.52419 }, "vol_of_vol": { "median": 0.05412, "p5": 0.02354, "p25": 0.03945, "p75": 0.06739, "p95": 0.09816, "min": 0.01951, "max": 0.11431 }, "avg_run_length": { "median": 2.40474, "p5": 1.99853, "p25": 2.19298, "p75": 2.60417, "p95": 3.38999, "min": 1.89394, "max": 4.31034 }, "rolling_30d_max_dd": { "median": -0.27299, "p5": -0.43524, "p25": -0.35172, "p75": -0.20687, "p95": -0.1541, "min": -0.46643, "max": -0.10988 }, "crash_window_vol": { "median": 0.23859, "p5": 0.16307, "p25": 0.19615, "p75": 0.28011, "p95": 0.37262, "min": 0.1211, "max": 0.42839 }, "retracement_from_trough": { "median": 0.01258, "p5": 0.0, "p25": 0.0, "p75": 0.07547, "p95": 0.68069, "min": 0.0, "max": 1.54594 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.25, "p75": 4.75, "p95": 7.55, "min": 1.0, "max": 9.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "persistent decline with no rebound, methodology \u221225% to \u221260%", "measured_median": -0.471, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "drawdowns deepen monotonically; methodology \u221225% to \u221270%", "measured_median": -0.4761, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SLOW_BEAR": 23, "TREND_DOWN": 23, "SHARP_CRASH": 18, "VOL_EXPANSION": 11, "LIQUIDITY_STRESS": 10, "SIDEWAYS": 4, "WHIPSAW": 3, "V_RECOVERY": 1 }, "fm_distribution_pct": { "SLOW_BEAR": 46.0, "TREND_DOWN": 46.0, "SHARP_CRASH": 36.0, "VOL_EXPANSION": 22.0, "LIQUIDITY_STRESS": 20.0, "SIDEWAYS": 8.0, "WHIPSAW": 6.0, "V_RECOVERY": 2.0 }, "unclassified_count": 14, "unclassified_pct": 28.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 11 }, "SHARP_CRASH": { "tail-intensified": 18 } }, "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 regime-switching 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": "range", "sample_replica_seeds": [ 6462, 6463, 6464, 6465, 6466 ], "source_file": "slow_decline_with_partial_recovery_gold.json", "metrics_aggregated": { "total_return": { "median": -0.24354, "p5": -0.42469, "p25": -0.32018, "p75": -0.12157, "p95": 0.01958, "min": -0.44444, "max": 0.25902 }, "realized_vol_annualized": { "median": 0.1782, "p5": 0.13427, "p25": 0.15311, "p75": 0.20908, "p95": 0.3109, "min": 0.12443, "max": 0.35661 }, "max_drawdown": { "median": -0.25801, "p5": -0.43633, "p25": -0.33803, "p75": -0.18867, "p95": -0.10958, "min": -0.46099, "max": -0.08539 }, "autocorrelation_lag1": { "median": 0.03886, "p5": -0.15319, "p25": -0.03073, "p75": 0.11468, "p95": 0.20185, "min": -0.20757, "max": 0.2915 }, "kurtosis": { "median": 0.85478, "p5": -0.2668, "p25": 0.26898, "p75": 1.51409, "p95": 3.18814, "min": -0.51019, "max": 4.37495 }, "skewness": { "median": -0.18294, "p5": -0.85568, "p25": -0.44182, "p75": 0.13374, "p95": 0.31656, "min": -1.40999, "max": 0.47578 }, "tail_p1": { "median": -0.03112, "p5": -0.04943, "p25": -0.03613, "p75": -0.02697, "p95": -0.02261, "min": -0.05299, "max": -0.01796 }, "tail_p99": { "median": 0.02234, "p5": 0.01497, "p25": 0.01819, "p75": 0.03085, "p95": 0.04499, "min": 0.0109, "max": 0.05785 }, "sign_change_frequency": { "median": 0.48387, "p5": 0.40685, "p25": 0.45161, "p75": 0.5, "p95": 0.54476, "min": 0.37903, "max": 0.58065 }, "vol_of_vol": { "median": 0.04189, "p5": 0.01907, "p25": 0.03279, "p75": 0.05933, "p95": 0.09736, "min": 0.01634, "max": 0.11986 }, "avg_run_length": { "median": 2.04918, "p5": 1.82358, "p25": 1.98413, "p75": 2.19298, "p95": 2.42977, "min": 1.71233, "max": 2.60417 }, "rolling_30d_max_dd": { "median": -0.16866, "p5": -0.27326, "p25": -0.21379, "p75": -0.13122, "p95": -0.09088, "min": -0.28611, "max": -0.06997 }, "crash_window_vol": { "median": 0.18356, "p5": 0.13383, "p25": 0.15714, "p75": 0.2401, "p95": 0.33528, "min": 0.11317, "max": 0.37697 }, "retracement_from_trough": { "median": 0.04774, "p5": 0.0, "p25": 0.00656, "p75": 0.11201, "p95": 0.63393, "min": 0.0, "max": 1.27135 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.25, "p75": 5.0, "p95": 8.1, "min": 1.0, "max": 9.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "moderate decline with mid-period rebounds permitted, typically \u22125% to \u221220%", "measured_median": -0.2435, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "moderate drawdowns, typically \u221210% to \u221225%", "measured_median": -0.258, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 26, "SLOW_BEAR": 22, "VOL_EXPANSION": 14, "LIQUIDITY_STRESS": 11, "SHARP_CRASH": 11, "WHIPSAW": 7, "SIDEWAYS": 7, "TREND_UP": 1 }, "fm_distribution_pct": { "TREND_DOWN": 52.0, "SLOW_BEAR": 44.0, "VOL_EXPANSION": 28.0, "LIQUIDITY_STRESS": 22.0, "SHARP_CRASH": 22.0, "WHIPSAW": 14.0, "SIDEWAYS": 14.0, "TREND_UP": 2.0 }, "unclassified_count": 11, "unclassified_pct": 22.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 11 }, "VOL_EXPANSION": { "smooth-elevated": 14 } }, "primary_fm_class": "SIDEWAYS", "primary_fm_fraction": 0.14, "expected_band": "30-70%", "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 regime-switching 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": [ 8423, 8424, 8425, 8426, 8427 ], "source_file": "slow_decline_with_partial_recovery_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.15282, "p5": -0.40079, "p25": -0.24578, "p75": -0.07397, "p95": 0.02195, "min": -0.49591, "max": 0.05533 }, "realized_vol_annualized": { "median": 0.1764, "p5": 0.12859, "p25": 0.15818, "p75": 0.19689, "p95": 0.26763, "min": 0.12038, "max": 0.29157 }, "max_drawdown": { "median": -0.21079, "p5": -0.42268, "p25": -0.28769, "p75": -0.16066, "p95": -0.09366, "min": -0.50271, "max": -0.06483 }, "autocorrelation_lag1": { "median": 0.0252, "p5": -0.16222, "p25": -0.05493, "p75": 0.08961, "p95": 0.20777, "min": -0.2121, "max": 0.34651 }, "kurtosis": { "median": 1.33026, "p5": -0.0336, "p25": 0.52769, "p75": 2.25554, "p95": 4.38835, "min": -0.34867, "max": 7.00646 }, "skewness": { "median": -0.31318, "p5": -1.02512, "p25": -0.58112, "p75": -0.10296, "p95": 0.47318, "min": -1.18926, "max": 0.82168 }, "tail_p1": { "median": -0.03087, "p5": -0.04443, "p25": -0.03535, "p75": -0.02589, "p95": -0.02048, "min": -0.04542, "max": -0.01801 }, "tail_p99": { "median": 0.02399, "p5": 0.01526, "p25": 0.01853, "p75": 0.02916, "p95": 0.03946, "min": 0.01077, "max": 0.04731 }, "sign_change_frequency": { "median": 0.47581, "p5": 0.41935, "p25": 0.45363, "p75": 0.50806, "p95": 0.55282, "min": 0.37903, "max": 0.58065 }, "vol_of_vol": { "median": 0.0459, "p5": 0.02317, "p25": 0.0307, "p75": 0.06517, "p95": 0.09449, "min": 0.01483, "max": 0.11448 }, "avg_run_length": { "median": 2.08333, "p5": 1.79736, "p25": 1.95312, "p75": 2.18353, "p95": 2.35849, "min": 1.71233, "max": 2.60417 }, "rolling_30d_max_dd": { "median": -0.15711, "p5": -0.25488, "p25": -0.17755, "p75": -0.11861, "p95": -0.07572, "min": -0.30121, "max": -0.06483 }, "crash_window_vol": { "median": 0.20245, "p5": 0.13439, "p25": 0.16168, "p75": 0.24703, "p95": 0.30166, "min": 0.11928, "max": 0.4266 }, "retracement_from_trough": { "median": 0.10051, "p5": 0.0, "p25": 0.01365, "p75": 0.27213, "p95": 1.00446, "min": 0.0, "max": 1.20459 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 5.0, "p95": 8.0, "min": 0.0, "max": 10.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "moderate decline with mid-period rebounds permitted, typically \u22125% to \u221220%", "measured_median": -0.1528, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "moderate drawdowns, typically \u221210% to \u221225%", "measured_median": -0.2108, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 15, "SIDEWAYS": 15, "WHIPSAW": 13, "SLOW_BEAR": 12, "V_RECOVERY": 2 }, "fm_distribution_pct": { "TREND_DOWN": 30.0, "SIDEWAYS": 30.0, "WHIPSAW": 26.0, "SLOW_BEAR": 24.0, "V_RECOVERY": 4.0 }, "unclassified_count": 19, "unclassified_pct": 38.0, "sub_classifications": {}, "primary_fm_class": "SIDEWAYS", "primary_fm_fraction": 0.3, "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 regime-switching 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": "sideways_low_vol", "sample_replica_seeds": [ 2409, 2410, 2411, 2412, 2413 ], "source_file": "slow_decline_with_partial_recovery_spy.json", "metrics_aggregated": { "total_return": { "median": -0.14584, "p5": -0.35071, "p25": -0.26237, "p75": -0.08887, "p95": 0.01043, "min": -0.53161, "max": 0.08706 }, "realized_vol_annualized": { "median": 0.17941, "p5": 0.12784, "p25": 0.1451, "p75": 0.20793, "p95": 0.28832, "min": 0.10765, "max": 0.31005 }, "max_drawdown": { "median": -0.22152, "p5": -0.38626, "p25": -0.30562, "p75": -0.16202, "p95": -0.10649, "min": -0.53516, "max": -0.06833 }, "autocorrelation_lag1": { "median": 0.03404, "p5": -0.13636, "p25": -0.07992, "p75": 0.1037, "p95": 0.22012, "min": -0.24827, "max": 0.26944 }, "kurtosis": { "median": 1.09006, "p5": 0.05245, "p25": 0.60466, "p75": 2.16082, "p95": 4.29748, "min": -0.18561, "max": 6.46904 }, "skewness": { "median": -0.18723, "p5": -0.83441, "p25": -0.5132, "p75": 0.02207, "p95": 0.59627, "min": -1.68625, "max": 1.06677 }, "tail_p1": { "median": -0.0308, "p5": -0.05274, "p25": -0.03805, "p75": -0.02328, "p95": -0.01925, "min": -0.06114, "max": -0.01794 }, "tail_p99": { "median": 0.02255, "p5": 0.01514, "p25": 0.01875, "p75": 0.03233, "p95": 0.04767, "min": 0.01324, "max": 0.05221 }, "sign_change_frequency": { "median": 0.49194, "p5": 0.40685, "p25": 0.45968, "p75": 0.50806, "p95": 0.56169, "min": 0.35484, "max": 0.58871 }, "vol_of_vol": { "median": 0.04269, "p5": 0.01793, "p25": 0.02946, "p75": 0.07895, "p95": 0.11324, "min": 0.01347, "max": 0.12129 }, "avg_run_length": { "median": 2.01613, "p5": 1.77008, "p25": 1.95312, "p75": 2.15517, "p95": 2.42977, "min": 1.68919, "max": 2.77778 }, "rolling_30d_max_dd": { "median": -0.1548, "p5": -0.25982, "p25": -0.18898, "p75": -0.1161, "p95": -0.09269, "min": -0.29759, "max": -0.06833 }, "crash_window_vol": { "median": 0.17899, "p5": 0.11211, "p25": 0.13693, "p75": 0.24822, "p95": 0.39268, "min": 0.1031, "max": 0.42583 }, "retracement_from_trough": { "median": 0.11214, "p5": 0.0, "p25": 0.0067, "p75": 0.35916, "p95": 0.98732, "min": 0.0, "max": 1.858 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 5.0, "p95": 6.55, "min": 1.0, "max": 9.0 } }, "claim_validation": [ { "label": "Total return over case", "claim": "moderate decline with mid-period rebounds permitted, typically \u22125% to \u221220%", "measured_median": -0.1458, "in_band": true, "note": "within claimed range" }, { "label": "Maximum drawdown (median)", "claim": "moderate drawdowns, typically \u221210% to \u221225%", "measured_median": -0.2215, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 16, "TREND_DOWN": 16, "SLOW_BEAR": 13, "WHIPSAW": 12, "SHARP_CRASH": 6, "VOL_EXPANSION": 6, "LIQUIDITY_STRESS": 5, "TREND_UP": 1, "V_RECOVERY": 1 }, "fm_distribution_pct": { "SIDEWAYS": 32.0, "TREND_DOWN": 32.0, "SLOW_BEAR": 26.0, "WHIPSAW": 24.0, "SHARP_CRASH": 12.0, "VOL_EXPANSION": 12.0, "LIQUIDITY_STRESS": 10.0, "TREND_UP": 2.0, "V_RECOVERY": 2.0 }, "unclassified_count": 16, "unclassified_pct": 32.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 6 }, "VOL_EXPANSION": { "smooth-elevated": 6 } }, "primary_fm_class": "SIDEWAYS", "primary_fm_fraction": 0.32, "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 regime-switching 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": [ 1624, 1625, 1626, 1627, 1628 ], "source_file": "slow_stagflation_qqq.json", "metrics_aggregated": { "total_return": { "median": -0.20466, "p5": -0.49563, "p25": -0.33081, "p75": -0.09719, "p95": 0.14337, "min": -0.53047, "max": 0.21568 }, "realized_vol_annualized": { "median": 0.27125, "p5": 0.18629, "p25": 0.23415, "p75": 0.33112, "p95": 0.45515, "min": 0.14508, "max": 0.54313 }, "max_drawdown": { "median": -0.27623, "p5": -0.52421, "p25": -0.40208, "p75": -0.19733, "p95": -0.16109, "min": -0.5453, "max": -0.05143 }, "autocorrelation_lag1": { "median": -0.00669, "p5": -0.15749, "p25": -0.07578, "p75": 0.1021, "p95": 0.16778, "min": -0.41785, "max": 0.27023 }, "kurtosis": { "median": 1.08974, "p5": -0.20427, "p25": 0.55465, "p75": 1.71639, "p95": 4.70401, "min": -0.45183, "max": 8.13351 }, "skewness": { "median": -0.18274, "p5": -0.77965, "p25": -0.48291, "p75": -0.07141, "p95": 0.36014, "min": -0.84494, "max": 1.09488 }, "tail_p1": { "median": -0.04753, "p5": -0.07942, "p25": -0.06072, "p75": -0.03779, "p95": -0.03122, "min": -0.08086, "max": -0.02003 }, "tail_p99": { "median": 0.03584, "p5": 0.02131, "p25": 0.03143, "p75": 0.05305, "p95": 0.0697, "min": 0.01878, "max": 0.0731 }, "sign_change_frequency": { "median": 0.49194, "p5": 0.39435, "p25": 0.46774, "p75": 0.50806, "p95": 0.54839, "min": 0.31452, "max": 0.57258 }, "vol_of_vol": { "median": 0.06533, "p5": 0.0249, "p25": 0.0438, "p75": 0.11175, "p95": 0.16668, "min": 0.01357, "max": 0.17403 }, "avg_run_length": { "median": 2.01613, "p5": 1.81159, "p25": 1.95312, "p75": 2.11864, "p95": 2.506, "min": 1.73611, "max": 3.125 }, "rolling_30d_max_dd": { "median": -0.20916, "p5": -0.36086, "p25": -0.2885, "p75": -0.1586, "p95": -0.10978, "min": -0.43135, "max": -0.05143 }, "crash_window_vol": { "median": 0.30642, "p5": 0.20329, "p25": 0.24975, "p75": 0.37769, "p95": 0.57249, "min": 0.15297, "max": 0.71104 }, "retracement_from_trough": { "median": 0.13044, "p5": 0.01372, "p25": 0.05592, "p75": 0.263, "p95": 0.84235, "min": 0.0, "max": 1.21015 }, "sign_changes_5pct_count": { "median": 7.0, "p5": 2.45, "p25": 4.25, "p75": 9.0, "p95": 16.55, "min": 1.0, "max": 20.0 } }, "claim_validation": [ { "label": "Total return over case (SLOW_BEAR aspect)", "claim": "moderate-to-deep decline, methodology \u221225% to \u221260%", "measured_median": -0.2047, "in_band": true, "note": "within claimed range" }, { "label": "Realized volatility (VOL_EXPANSION aspect)", "claim": "\u2265 1.5\u00d7 QQQ baseline (~0.32); methodology gating", "measured_median": 0.2712, "in_band": false, "note": "Measured median (0.2712) is below the claimed lower bound (0.3150). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \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": 26, "SLOW_BEAR": 21, "SHARP_CRASH": 18, "VOL_EXPANSION": 17, "LIQUIDITY_STRESS": 16, "WHIPSAW": 10, "SIDEWAYS": 10, "V_RECOVERY": 2, "TREND_UP": 1, "VOL_COMPRESSION": 1 }, "fm_distribution_pct": { "TREND_DOWN": 52.0, "SLOW_BEAR": 42.0, "SHARP_CRASH": 36.0, "VOL_EXPANSION": 34.0, "LIQUIDITY_STRESS": 32.0, "WHIPSAW": 20.0, "SIDEWAYS": 20.0, "V_RECOVERY": 4.0, "TREND_UP": 2.0, "VOL_COMPRESSION": 2.0 }, "unclassified_count": 9, "unclassified_pct": 18.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 18 }, "VOL_EXPANSION": { "with-spikes": 9, "smooth-elevated": 8 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.34, "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 regime-switching 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": "weak_bear", "sample_replica_seeds": [ 7482, 7483, 7484, 7485, 7486 ], "source_file": "slow_stagflation_spy.json", "metrics_aggregated": { "total_return": { "median": -0.27443, "p5": -0.52866, "p25": -0.37047, "p75": -0.19815, "p95": -0.00638, "min": -0.55934, "max": 0.20878 }, "realized_vol_annualized": { "median": 0.26317, "p5": 0.19052, "p25": 0.22033, "p75": 0.33327, "p95": 0.42162, "min": 0.17626, "max": 0.48685 }, "max_drawdown": { "median": -0.32354, "p5": -0.53243, "p25": -0.39492, "p75": -0.25445, "p95": -0.17458, "min": -0.60786, "max": -0.14903 }, "autocorrelation_lag1": { "median": 0.03132, "p5": -0.15114, "p25": -0.04497, "p75": 0.09655, "p95": 0.21252, "min": -0.30474, "max": 0.28177 }, "kurtosis": { "median": 0.90733, "p5": -0.0932, "p25": 0.24489, "p75": 1.66798, "p95": 2.90911, "min": -0.48955, "max": 3.90871 }, "skewness": { "median": -0.1895, "p5": -0.73807, "p25": -0.41959, "p75": 0.13873, "p95": 0.65988, "min": -0.85911, "max": 0.76457 }, "tail_p1": { "median": -0.04331, "p5": -0.07024, "p25": -0.05707, "p75": -0.03697, "p95": -0.03018, "min": -0.08552, "max": -0.02697 }, "tail_p99": { "median": 0.03584, "p5": 0.02043, "p25": 0.0294, "p75": 0.04922, "p95": 0.07178, "min": 0.02, "max": 0.07594 }, "sign_change_frequency": { "median": 0.49194, "p5": 0.42218, "p25": 0.45363, "p75": 0.51613, "p95": 0.54476, "min": 0.37903, "max": 0.56452 }, "vol_of_vol": { "median": 0.0552, "p5": 0.02641, "p25": 0.03435, "p75": 0.11294, "p95": 0.15625, "min": 0.02139, "max": 0.16692 }, "avg_run_length": { "median": 2.01613, "p5": 1.82358, "p25": 1.92308, "p75": 2.18353, "p95": 2.34484, "min": 1.76056, "max": 2.60417 }, "rolling_30d_max_dd": { "median": -0.21063, "p5": -0.42428, "p25": -0.26915, "p75": -0.16725, "p95": -0.14093, "min": -0.43895, "max": -0.12908 }, "crash_window_vol": { "median": 0.27973, "p5": 0.20018, "p25": 0.23214, "p75": 0.37894, "p95": 0.55476, "min": 0.18552, "max": 0.62163 }, "retracement_from_trough": { "median": 0.03858, "p5": 0.0, "p25": 0.0, "p75": 0.10668, "p95": 0.67599, "min": 0.0, "max": 0.8506 }, "sign_changes_5pct_count": { "median": 6.0, "p5": 3.0, "p25": 4.0, "p75": 8.75, "p95": 13.0, "min": 3.0, "max": 17.0 } }, "claim_validation": [ { "label": "Total return over case (SLOW_BEAR aspect)", "claim": "moderate-to-deep decline, methodology \u221225% to \u221260%", "measured_median": -0.2744, "in_band": true, "note": "within claimed range" }, { "label": "Realized volatility (VOL_EXPANSION aspect)", "claim": "\u2265 1.5\u00d7 SPY baseline (~0.24); methodology gating", "measured_median": 0.2632, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_DOWN": 34, "SLOW_BEAR": 29, "VOL_EXPANSION": 28, "SHARP_CRASH": 24, "LIQUIDITY_STRESS": 24, "WHIPSAW": 7, "SIDEWAYS": 3, "V_RECOVERY": 2 }, "fm_distribution_pct": { "TREND_DOWN": 68.0, "SLOW_BEAR": 58.0, "VOL_EXPANSION": 56.0, "SHARP_CRASH": 48.0, "LIQUIDITY_STRESS": 48.0, "WHIPSAW": 14.0, "SIDEWAYS": 6.0, "V_RECOVERY": 4.0 }, "unclassified_count": 5, "unclassified_pct": 10.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 24 }, "VOL_EXPANSION": { "smooth-elevated": 21, "with-spikes": 7 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.56, "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 regime-switching 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": "unstable_decay", "sample_replica_seeds": [ 4330, 4331, 4332, 4333, 4334 ], "source_file": "v_recovery_setup_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": -0.02702, "p5": -0.58014, "p25": -0.4524, "p75": 0.24642, "p95": 0.42373, "min": -0.6728, "max": 0.56434 }, "realized_vol_annualized": { "median": 0.22163, "p5": 0.17068, "p25": 0.20194, "p75": 0.24323, "p95": 0.28122, "min": 0.16395, "max": 0.30817 }, "max_drawdown": { "median": -0.17034, "p5": -0.5874, "p25": -0.46831, "p75": -0.12182, "p95": -0.07575, "min": -0.6728, "max": -0.04634 }, "autocorrelation_lag1": { "median": -0.03952, "p5": -0.27238, "p25": -0.12242, "p75": 0.09492, "p95": 0.22378, "min": -0.44174, "max": 0.31121 }, "kurtosis": { "median": 3.88197, "p5": 1.38933, "p25": 2.5489, "p75": 5.513, "p95": 10.1593, "min": 0.68728, "max": 11.33689 }, "skewness": { "median": -0.24395, "p5": -1.39552, "p25": -0.79142, "p75": 0.16148, "p95": 0.88886, "min": -1.88432, "max": 1.55888 }, "tail_p1": { "median": -0.04132, "p5": -0.05825, "p25": -0.04882, "p75": -0.03566, "p95": -0.02692, "min": -0.06477, "max": -0.0242 }, "tail_p99": { "median": 0.03674, "p5": 0.02022, "p25": 0.03021, "p75": 0.04126, "p95": 0.05875, "min": 0.01559, "max": 0.06647 }, "sign_change_frequency": { "median": 0.45565, "p5": 0.33427, "p25": 0.3871, "p75": 0.49798, "p95": 0.56895, "min": 0.26613, "max": 0.62903 }, "vol_of_vol": { "median": 0.11185, "p5": 0.07346, "p25": 0.09071, "p75": 0.13754, "p95": 0.16235, "min": 0.06332, "max": 0.18403 }, "avg_run_length": { "median": 2.17408, "p5": 1.74711, "p25": 1.99213, "p75": 2.55102, "p95": 2.94504, "min": 1.58228, "max": 3.67647 }, "rolling_30d_max_dd": { "median": -0.17034, "p5": -0.37236, "p25": -0.25847, "p75": -0.1176, "p95": -0.07575, "min": -0.40935, "max": -0.04634 }, "crash_window_vol": { "median": 0.323, "p5": 0.15517, "p25": 0.23918, "p75": 0.39305, "p95": 0.47332, "min": 0.12095, "max": 0.50801 }, "retracement_from_trough": { "median": 0.24471, "p5": 0.0, "p25": 0.00215, "p75": 2.18294, "p95": 3.52706, "min": 0.0, "max": 4.26503 }, "sign_changes_5pct_count": { "median": 4.0, "p5": 1.0, "p25": 3.0, "p75": 5.0, "p95": 7.0, "min": 1.0, "max": 7.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SLOW_BEAR": 19, "TREND_DOWN": 19, "TREND_UP": 12, "WHIPSAW": 8, "V_RECOVERY": 3 }, "fm_distribution_pct": { "SLOW_BEAR": 38.0, "TREND_DOWN": 38.0, "TREND_UP": 24.0, "WHIPSAW": 16.0, "V_RECOVERY": 6.0 }, "unclassified_count": 10, "unclassified_pct": 20.0, "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 regime-switching 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": "range", "sample_replica_seeds": [ 6109, 6110, 6111, 6112, 6113 ], "source_file": "v_recovery_setup_synthetic_gold.json", "metrics_aggregated": { "total_return": { "median": 0.11384, "p5": -0.57372, "p25": -0.10505, "p75": 0.31245, "p95": 0.5559, "min": -0.65283, "max": 0.72125 }, "realized_vol_annualized": { "median": 0.21565, "p5": 0.17782, "p25": 0.19377, "p75": 0.25309, "p95": 0.29554, "min": 0.15217, "max": 0.35422 }, "max_drawdown": { "median": -0.13939, "p5": -0.58741, "p25": -0.28308, "p75": -0.08183, "p95": -0.06356, "min": -0.66855, "max": -0.04299 }, "autocorrelation_lag1": { "median": -0.01896, "p5": -0.25976, "p25": -0.13341, "p75": 0.11742, "p95": 0.22189, "min": -0.46247, "max": 0.25686 }, "kurtosis": { "median": 4.01712, "p5": 1.63632, "p25": 2.65929, "p75": 5.60342, "p95": 7.31331, "min": 1.26103, "max": 13.68269 }, "skewness": { "median": -0.04078, "p5": -1.5915, "p25": -0.72981, "p75": 0.52425, "p95": 1.01628, "min": -1.79421, "max": 1.82253 }, "tail_p1": { "median": -0.0375, "p5": -0.06204, "p25": -0.0513, "p75": -0.03352, "p95": -0.02553, "min": -0.07591, "max": -0.01932 }, "tail_p99": { "median": 0.03803, "p5": 0.02036, "p25": 0.02975, "p75": 0.04322, "p95": 0.05459, "min": 0.0186, "max": 0.08019 }, "sign_change_frequency": { "median": 0.47581, "p5": 0.32258, "p25": 0.43548, "p75": 0.52419, "p95": 0.56976, "min": 0.28226, "max": 0.58871 }, "vol_of_vol": { "median": 0.1078, "p5": 0.07061, "p25": 0.09018, "p75": 0.13162, "p95": 0.1622, "min": 0.06588, "max": 0.21866 }, "avg_run_length": { "median": 2.08333, "p5": 1.74535, "p25": 1.89394, "p75": 2.27273, "p95": 3.04878, "min": 1.68919, "max": 3.47222 }, "rolling_30d_max_dd": { "median": -0.1369, "p5": -0.35246, "p25": -0.26684, "p75": -0.07881, "p95": -0.06356, "min": -0.43167, "max": -0.04299 }, "crash_window_vol": { "median": 0.29802, "p5": 0.11967, "p25": 0.20383, "p75": 0.36964, "p95": 0.48059, "min": 0.08843, "max": 0.57225 }, "retracement_from_trough": { "median": 0.90256, "p5": 0.0, "p25": 0.16721, "p75": 3.32823, "p95": 7.25925, "min": 0.0, "max": 13.22736 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 4.75, "p95": 7.0, "min": 1.0, "max": 8.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 23, "SHARP_CRASH": 16, "TREND_UP": 15, "LIQUIDITY_STRESS": 12, "TREND_DOWN": 9, "SLOW_BEAR": 9, "SIDEWAYS": 7, "WHIPSAW": 7, "V_RECOVERY": 5 }, "fm_distribution_pct": { "VOL_EXPANSION": 46.0, "SHARP_CRASH": 32.0, "TREND_UP": 30.0, "LIQUIDITY_STRESS": 24.0, "TREND_DOWN": 18.0, "SLOW_BEAR": 18.0, "SIDEWAYS": 14.0, "WHIPSAW": 14.0, "V_RECOVERY": 10.0 }, "unclassified_count": 7, "unclassified_pct": 14.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 20, "with-spikes": 3 }, "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 regime-switching 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": "sideways_low_vol", "sample_replica_seeds": [ 6198, 6199, 6200, 6201, 6202 ], "source_file": "v_recovery_setup_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": 0.10934, "p5": -0.54304, "p25": -0.2167, "p75": 0.26217, "p95": 0.49224, "min": -0.57171, "max": 0.65274 }, "realized_vol_annualized": { "median": 0.22742, "p5": 0.17191, "p25": 0.20646, "p75": 0.26031, "p95": 0.2868, "min": 0.13868, "max": 0.31023 }, "max_drawdown": { "median": -0.15097, "p5": -0.55768, "p25": -0.30391, "p75": -0.09541, "p95": -0.06373, "min": -0.57668, "max": -0.04656 }, "autocorrelation_lag1": { "median": -0.0127, "p5": -0.24769, "p25": -0.12364, "p75": 0.06346, "p95": 0.19658, "min": -0.36272, "max": 0.24262 }, "kurtosis": { "median": 3.96439, "p5": 1.84851, "p25": 2.7439, "p75": 5.05915, "p95": 6.92441, "min": 0.64697, "max": 9.3255 }, "skewness": { "median": -0.15889, "p5": -1.36332, "p25": -0.50994, "p75": 0.48919, "p95": 1.17468, "min": -1.80884, "max": 1.66491 }, "tail_p1": { "median": -0.0409, "p5": -0.06057, "p25": -0.04751, "p75": -0.03414, "p95": -0.02473, "min": -0.06914, "max": -0.02333 }, "tail_p99": { "median": 0.04026, "p5": 0.02703, "p25": 0.03275, "p75": 0.05102, "p95": 0.05885, "min": 0.01736, "max": 0.06732 }, "sign_change_frequency": { "median": 0.46371, "p5": 0.33871, "p25": 0.41331, "p75": 0.51613, "p95": 0.54839, "min": 0.30645, "max": 0.55645 }, "vol_of_vol": { "median": 0.1213, "p5": 0.06379, "p25": 0.10004, "p75": 0.14825, "p95": 0.16796, "min": 0.05955, "max": 0.18283 }, "avg_run_length": { "median": 2.13691, "p5": 1.81159, "p25": 1.92308, "p75": 2.39251, "p95": 2.90698, "min": 1.78571, "max": 3.20513 }, "rolling_30d_max_dd": { "median": -0.14177, "p5": -0.31152, "p25": -0.23299, "p75": -0.09275, "p95": -0.06373, "min": -0.35075, "max": -0.04656 }, "crash_window_vol": { "median": 0.27254, "p5": 0.11436, "p25": 0.19094, "p75": 0.33986, "p95": 0.48286, "min": 0.0672, "max": 0.56028 }, "retracement_from_trough": { "median": 0.77723, "p5": 0.0, "p25": 0.01715, "p75": 2.6581, "p95": 7.1661, "min": 0.0, "max": 11.54197 }, "sign_changes_5pct_count": { "median": 4.0, "p5": 2.45, "p25": 3.0, "p75": 5.0, "p95": 8.0, "min": 1.0, "max": 9.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 22, "TREND_UP": 17, "TREND_DOWN": 13, "SLOW_BEAR": 11, "WHIPSAW": 8, "SHARP_CRASH": 7, "V_RECOVERY": 6, "VOL_COMPRESSION": 1 }, "fm_distribution_pct": { "SIDEWAYS": 44.0, "TREND_UP": 34.0, "TREND_DOWN": 26.0, "SLOW_BEAR": 22.0, "WHIPSAW": 16.0, "SHARP_CRASH": 14.0, "V_RECOVERY": 12.0, "VOL_COMPRESSION": 2.0 }, "unclassified_count": 6, "unclassified_pct": 12.0, "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 regime-switching 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": "sideways_low_vol", "sample_replica_seeds": [ 2056, 2057, 2058, 2059, 2060 ], "source_file": "v_recovery_setup_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": 0.06647, "p5": -0.59617, "p25": -0.423, "p75": 0.23537, "p95": 0.59216, "min": -0.67923, "max": 0.64705 }, "realized_vol_annualized": { "median": 0.22982, "p5": 0.17278, "p25": 0.21278, "p75": 0.25169, "p95": 0.29573, "min": 0.1527, "max": 0.30681 }, "max_drawdown": { "median": -0.19673, "p5": -0.60638, "p25": -0.4721, "p75": -0.12138, "p95": -0.06993, "min": -0.67923, "max": -0.05849 }, "autocorrelation_lag1": { "median": 0.03198, "p5": -0.12135, "p25": -0.00838, "p75": 0.11456, "p95": 0.23927, "min": -0.16493, "max": 0.36806 }, "kurtosis": { "median": 4.28633, "p5": 1.58784, "p25": 3.10759, "p75": 5.94134, "p95": 7.78866, "min": 1.24378, "max": 10.63381 }, "skewness": { "median": -0.49422, "p5": -1.85668, "p25": -1.05812, "p75": 0.04055, "p95": 0.71996, "min": -1.99945, "max": 1.36029 }, "tail_p1": { "median": -0.04471, "p5": -0.06771, "p25": -0.05312, "p75": -0.03827, "p95": -0.02894, "min": -0.08158, "max": -0.01744 }, "tail_p99": { "median": 0.03594, "p5": 0.02423, "p25": 0.02913, "p75": 0.04559, "p95": 0.05712, "min": 0.01279, "max": 0.05875 }, "sign_change_frequency": { "median": 0.45968, "p5": 0.33427, "p25": 0.40323, "p75": 0.5, "p95": 0.54556, "min": 0.31452, "max": 0.58065 }, "vol_of_vol": { "median": 0.1249, "p5": 0.07595, "p25": 0.09651, "p75": 0.14102, "p95": 0.1783, "min": 0.06397, "max": 0.18321 }, "avg_run_length": { "median": 2.15517, "p5": 1.8217, "p25": 1.98413, "p75": 2.45098, "p95": 2.94504, "min": 1.71233, "max": 3.125 }, "rolling_30d_max_dd": { "median": -0.19004, "p5": -0.35398, "p25": -0.25735, "p75": -0.11497, "p95": -0.06993, "min": -0.43111, "max": -0.05849 }, "crash_window_vol": { "median": 0.33925, "p5": 0.1489, "p25": 0.26528, "p75": 0.39518, "p95": 0.46584, "min": 0.11604, "max": 0.55563 }, "retracement_from_trough": { "median": 1.02618, "p5": 0.0, "p25": 0.00048, "p75": 1.86032, "p95": 6.31807, "min": 0.0, "max": 7.60385 }, "sign_changes_5pct_count": { "median": 4.0, "p5": 2.0, "p25": 3.0, "p75": 6.0, "p95": 7.0, "min": 1.0, "max": 10.0 } }, "claim_validation": [], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SHARP_CRASH": 20, "SIDEWAYS": 15, "TREND_DOWN": 13, "V_RECOVERY": 12, "SLOW_BEAR": 12, "TREND_UP": 9, "VOL_EXPANSION": 9, "WHIPSAW": 8, "LIQUIDITY_STRESS": 5 }, "fm_distribution_pct": { "SHARP_CRASH": 40.0, "SIDEWAYS": 30.0, "TREND_DOWN": 26.0, "V_RECOVERY": 24.0, "SLOW_BEAR": 24.0, "TREND_UP": 18.0, "VOL_EXPANSION": 18.0, "WHIPSAW": 16.0, "LIQUIDITY_STRESS": 10.0 }, "unclassified_count": 5, "unclassified_pct": 10.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 9 }, "SHARP_CRASH": { "tail-intensified": 20 } }, "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 regime-switching 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": "high_vol_sideways", "sample_replica_seeds": [ 3011, 3012, 3013, 3014, 3015 ], "source_file": "vol_expansion_setup_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": 0.25235, "p5": -0.28831, "p25": 0.0554, "p75": 0.37277, "p95": 0.60242, "min": -0.37081, "max": 0.93753 }, "realized_vol_annualized": { "median": 0.25089, "p5": 0.1459, "p25": 0.20238, "p75": 0.2915, "p95": 0.39879, "min": 0.11553, "max": 0.48412 }, "max_drawdown": { "median": -0.16956, "p5": -0.45012, "p25": -0.26735, "p75": -0.12866, "p95": -0.07966, "min": -0.4631, "max": -0.05085 }, "autocorrelation_lag1": { "median": 0.01817, "p5": -0.15184, "p25": -0.06767, "p75": 0.0773, "p95": 0.14386, "min": -0.17795, "max": 0.26736 }, "kurtosis": { "median": 3.41102, "p5": 0.67434, "p25": 1.7502, "p75": 5.81582, "p95": 12.10374, "min": 0.32176, "max": 15.94915 }, "skewness": { "median": -0.09875, "p5": -1.02286, "p25": -0.39865, "p75": 0.23262, "p95": 1.49117, "min": -1.65396, "max": 2.52382 }, "tail_p1": { "median": -0.0398, "p5": -0.07454, "p25": -0.05545, "p75": -0.03236, "p95": -0.02175, "min": -0.09874, "max": -0.01433 }, "tail_p99": { "median": 0.03992, "p5": 0.02361, "p25": 0.03359, "p75": 0.05425, "p95": 0.07063, "min": 0.01779, "max": 0.07775 }, "sign_change_frequency": { "median": 0.498, "p5": 0.432, "p25": 0.477, "p75": 0.527, "p95": 0.5502, "min": 0.404, "max": 0.56 }, "vol_of_vol": { "median": 0.0813, "p5": 0.0375, "p25": 0.06473, "p75": 0.13288, "p95": 0.18782, "min": 0.03211, "max": 0.2391 }, "avg_run_length": { "median": 2.00003, "p5": 1.81164, "p25": 1.89079, "p75": 2.08735, "p95": 2.30275, "min": 1.78014, "max": 2.46078 }, "rolling_30d_max_dd": { "median": -0.15539, "p5": -0.39693, "p25": -0.24747, "p75": -0.1169, "p95": -0.07727, "min": -0.4298, "max": -0.04738 }, "crash_window_vol": { "median": 0.3528, "p5": 0.15564, "p25": 0.22879, "p75": 0.48749, "p95": 0.62741, "min": 0.0914, "max": 0.74096 }, "retracement_from_trough": { "median": 0.72237, "p5": 0.023, "p25": 0.17445, "p75": 1.83943, "p95": 3.64925, "min": 0.0, "max": 7.26043 }, "sign_changes_5pct_count": { "median": 10.5, "p5": 4.0, "p25": 7.0, "p75": 13.75, "p95": 20.55, "min": 2.0, "max": 28.0 } }, "claim_validation": [ { "label": "Realized volatility (VOL_EXPANSION median gating)", "claim": "\u2265 1.5\u00d7 BTC baseline (~1.20); methodology gating", "measured_median": 0.2509, "in_band": false, "note": "Measured median (0.2509) is below the claimed lower bound (1.2000). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \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": 0.2524, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "V_RECOVERY": 10, "WHIPSAW": 8, "TREND_UP": 8, "TREND_DOWN": 4, "SLOW_BEAR": 3 }, "fm_distribution_pct": { "V_RECOVERY": 20.0, "WHIPSAW": 16.0, "TREND_UP": 16.0, "TREND_DOWN": 8.0, "SLOW_BEAR": 6.0 }, "unclassified_count": 21, "unclassified_pct": 42.0, "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 regime-switching 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": "inflationary_upcycle", "sample_replica_seeds": [ 4790, 4791, 4792, 4793, 4794 ], "source_file": "vol_expansion_setup_synthetic_gold.json", "metrics_aggregated": { "total_return": { "median": -0.01123, "p5": -0.49726, "p25": -0.26866, "p75": 0.15445, "p95": 0.55935, "min": -0.58161, "max": 0.95906 }, "realized_vol_annualized": { "median": 0.27328, "p5": 0.1641, "p25": 0.22918, "p75": 0.32989, "p95": 0.44125, "min": 0.1332, "max": 0.53831 }, "max_drawdown": { "median": -0.26131, "p5": -0.59817, "p25": -0.3781, "p75": -0.19876, "p95": -0.13365, "min": -0.68475, "max": -0.08259 }, "autocorrelation_lag1": { "median": 0.01802, "p5": -0.112, "p25": -0.03338, "p75": 0.08867, "p95": 0.16519, "min": -0.22707, "max": 0.22468 }, "kurtosis": { "median": 3.40367, "p5": 0.84366, "p25": 2.19588, "p75": 5.15876, "p95": 11.8801, "min": 0.22681, "max": 42.25593 }, "skewness": { "median": -0.12903, "p5": -1.30115, "p25": -0.56696, "p75": 0.26014, "p95": 0.94248, "min": -4.2757, "max": 1.18795 }, "tail_p1": { "median": -0.04978, "p5": -0.09609, "p25": -0.0624, "p75": -0.03929, "p95": -0.02529, "min": -0.1026, "max": -0.02186 }, "tail_p99": { "median": 0.04789, "p5": 0.02551, "p25": 0.03523, "p75": 0.05688, "p95": 0.07153, "min": 0.02151, "max": 0.07976 }, "sign_change_frequency": { "median": 0.504, "p5": 0.452, "p25": 0.477, "p75": 0.527, "p95": 0.5502, "min": 0.424, "max": 0.58 }, "vol_of_vol": { "median": 0.11171, "p5": 0.04237, "p25": 0.07227, "p75": 0.15472, "p95": 0.22587, "min": 0.02731, "max": 0.2577 }, "avg_run_length": { "median": 1.97638, "p5": 1.81164, "p25": 1.89079, "p75": 2.08735, "p95": 2.20175, "min": 1.71918, "max": 2.34579 }, "rolling_30d_max_dd": { "median": -0.22834, "p5": -0.45321, "p25": -0.27072, "p75": -0.15774, "p95": -0.11672, "min": -0.52815, "max": -0.07047 }, "crash_window_vol": { "median": 0.3533, "p5": 0.18681, "p25": 0.26701, "p75": 0.52597, "p95": 0.73077, "min": 0.16177, "max": 0.86909 }, "retracement_from_trough": { "median": 0.28076, "p5": 0.0, "p25": 0.09934, "p75": 0.85131, "p95": 1.54719, "min": 0.0, "max": 4.00315 }, "sign_changes_5pct_count": { "median": 13.0, "p5": 5.9, "p25": 9.0, "p75": 16.0, "p95": 22.0, "min": 4.0, "max": 30.0 } }, "claim_validation": [ { "label": "Realized volatility (VOL_EXPANSION median gating)", "claim": "\u2265 1.5\u00d7 GOLD baseline (~0.20); methodology gating", "measured_median": 0.2733, "in_band": true, "note": "within claimed range" }, { "label": "Total return over case (descriptive)", "claim": "direction-neutral by design; \u00b120% is acceptable spread", "measured_median": -0.0112, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 42, "LIQUIDITY_STRESS": 36, "SHARP_CRASH": 30, "TREND_DOWN": 18, "SLOW_BEAR": 15, "WHIPSAW": 11, "V_RECOVERY": 11, "SIDEWAYS": 5, "TREND_UP": 3 }, "fm_distribution_pct": { "VOL_EXPANSION": 84.0, "LIQUIDITY_STRESS": 72.0, "SHARP_CRASH": 60.0, "TREND_DOWN": 36.0, "SLOW_BEAR": 30.0, "WHIPSAW": 22.0, "V_RECOVERY": 22.0, "SIDEWAYS": 10.0, "TREND_UP": 6.0 }, "unclassified_count": 2, "unclassified_pct": 4.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 30 }, "VOL_EXPANSION": { "with-spikes": 16, "smooth-elevated": 26 } }, "primary_fm_class": "VOL_EXPANSION", "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 regime-switching 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": "sideways_low_vol", "sample_replica_seeds": [ 4879, 4880, 4881, 4882, 4883 ], "source_file": "vol_expansion_setup_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": 0.06087, "p5": -0.4101, "p25": -0.15703, "p75": 0.26721, "p95": 0.67912, "min": -0.5992, "max": 0.90152 }, "realized_vol_annualized": { "median": 0.26717, "p5": 0.17026, "p25": 0.20374, "p75": 0.32118, "p95": 0.41475, "min": 0.13359, "max": 0.46583 }, "max_drawdown": { "median": -0.23707, "p5": -0.57407, "p25": -0.36728, "p75": -0.16595, "p95": -0.13406, "min": -0.63868, "max": -0.10442 }, "autocorrelation_lag1": { "median": -0.00453, "p5": -0.09093, "p25": -0.04931, "p75": 0.06591, "p95": 0.12544, "min": -0.27405, "max": 0.1989 }, "kurtosis": { "median": 3.14339, "p5": 0.83672, "p25": 2.11745, "p75": 4.61263, "p95": 7.16293, "min": 0.17469, "max": 14.58417 }, "skewness": { "median": -0.21266, "p5": -1.3097, "p25": -0.71191, "p75": 0.04509, "p95": 0.38475, "min": -1.70036, "max": 0.90678 }, "tail_p1": { "median": -0.05031, "p5": -0.08994, "p25": -0.06116, "p75": -0.03553, "p95": -0.02401, "min": -0.09563, "max": -0.01866 }, "tail_p99": { "median": 0.04458, "p5": 0.0219, "p25": 0.03649, "p75": 0.05481, "p95": 0.07167, "min": 0.01971, "max": 0.08965 }, "sign_change_frequency": { "median": 0.504, "p5": 0.4578, "p25": 0.481, "p75": 0.523, "p95": 0.5462, "min": 0.436, "max": 0.552 }, "vol_of_vol": { "median": 0.10722, "p5": 0.0411, "p25": 0.07381, "p75": 0.14673, "p95": 0.18176, "min": 0.03125, "max": 0.23347 }, "avg_run_length": { "median": 1.97638, "p5": 1.82481, "p25": 1.90514, "p75": 2.07013, "p95": 2.17414, "min": 1.80576, "max": 2.28182 }, "rolling_30d_max_dd": { "median": -0.19978, "p5": -0.4033, "p25": -0.29751, "p75": -0.14532, "p95": -0.10675, "min": -0.45458, "max": -0.09603 }, "crash_window_vol": { "median": 0.3795, "p5": 0.17311, "p25": 0.27637, "p75": 0.47752, "p95": 0.70089, "min": 0.13989, "max": 0.77312 }, "retracement_from_trough": { "median": 0.29999, "p5": 0.00177, "p25": 0.10579, "p75": 1.1955, "p95": 2.81547, "min": 0.0, "max": 4.50935 }, "sign_changes_5pct_count": { "median": 13.0, "p5": 5.0, "p25": 8.25, "p75": 16.0, "p95": 23.0, "min": 3.0, "max": 31.0 } }, "claim_validation": [ { "label": "Realized volatility (VOL_EXPANSION median gating)", "claim": "\u2265 1.5\u00d7 QQQ baseline (~0.32); methodology gating", "measured_median": 0.2672, "in_band": false, "note": "Measured median (0.2672) is below the claimed lower bound (0.3150). The simulator does not produce regime characteristics within the methodology operational band for this profile-asset combination \u2014 calibration limit. Resolution path: re-tune the profile (preferred) or revise the regime definition (only after anchor validation)." }, { "label": "Total return over case (descriptive)", "claim": "direction-neutral by design; \u00b120% is acceptable spread", "measured_median": 0.0609, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SHARP_CRASH": 22, "SIDEWAYS": 17, "VOL_EXPANSION": 14, "WHIPSAW": 14, "V_RECOVERY": 13, "LIQUIDITY_STRESS": 12, "TREND_DOWN": 11, "SLOW_BEAR": 10, "TREND_UP": 4 }, "fm_distribution_pct": { "SHARP_CRASH": 44.0, "SIDEWAYS": 34.0, "VOL_EXPANSION": 28.0, "WHIPSAW": 28.0, "V_RECOVERY": 26.0, "LIQUIDITY_STRESS": 24.0, "TREND_DOWN": 22.0, "SLOW_BEAR": 20.0, "TREND_UP": 8.0 }, "unclassified_count": 8, "unclassified_pct": 16.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 6, "with-spikes": 8 }, "SHARP_CRASH": { "tail-intensified": 22 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.28, "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 regime-switching 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": [ 737, 738, 739, 740, 741 ], "source_file": "vol_expansion_setup_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": 0.09832, "p5": -0.22336, "p25": -0.08412, "p75": 0.2591, "p95": 0.70787, "min": -0.24578, "max": 0.89388 }, "realized_vol_annualized": { "median": 0.23897, "p5": 0.15567, "p25": 0.18915, "p75": 0.29184, "p95": 0.42631, "min": 0.14549, "max": 0.46356 }, "max_drawdown": { "median": -0.20205, "p5": -0.3976, "p25": -0.30605, "p75": -0.14245, "p95": -0.07895, "min": -0.46073, "max": -0.06817 }, "autocorrelation_lag1": { "median": -0.01045, "p5": -0.10553, "p25": -0.04037, "p75": 0.08625, "p95": 0.18528, "min": -0.14812, "max": 0.2055 }, "kurtosis": { "median": 4.25926, "p5": 0.46433, "p25": 1.97536, "p75": 5.71223, "p95": 9.16544, "min": 0.11239, "max": 10.58412 }, "skewness": { "median": -0.26002, "p5": -1.27005, "p25": -0.60415, "p75": -0.02372, "p95": 0.6889, "min": -1.77282, "max": 1.18961 }, "tail_p1": { "median": -0.0435, "p5": -0.07762, "p25": -0.05784, "p75": -0.03195, "p95": -0.02233, "min": -0.09428, "max": -0.02054 }, "tail_p99": { "median": 0.038, "p5": 0.02206, "p25": 0.02893, "p75": 0.05277, "p95": 0.07662, "min": 0.01951, "max": 0.08202 }, "sign_change_frequency": { "median": 0.496, "p5": 0.4418, "p25": 0.477, "p75": 0.516, "p95": 0.544, "min": 0.424, "max": 0.572 }, "vol_of_vol": { "median": 0.09181, "p5": 0.0341, "p25": 0.05218, "p75": 0.13202, "p95": 0.215, "min": 0.02867, "max": 0.24139 }, "avg_run_length": { "median": 2.008, "p5": 1.83212, "p25": 1.93077, "p75": 2.08735, "p95": 2.25218, "min": 1.74306, "max": 2.34579 }, "rolling_30d_max_dd": { "median": -0.17149, "p5": -0.32237, "p25": -0.23992, "p75": -0.10868, "p95": -0.07657, "min": -0.35913, "max": -0.06426 }, "crash_window_vol": { "median": 0.3298, "p5": 0.15841, "p25": 0.24056, "p75": 0.51624, "p95": 0.60839, "min": 0.14115, "max": 0.88735 }, "retracement_from_trough": { "median": 0.44225, "p5": 0.0094, "p25": 0.23594, "p75": 1.18639, "p95": 4.8372, "min": 0.0, "max": 6.73132 }, "sign_changes_5pct_count": { "median": 10.5, "p5": 5.0, "p25": 8.0, "p75": 13.0, "p95": 21.0, "min": 4.0, "max": 27.0 } }, "claim_validation": [ { "label": "Realized volatility (VOL_EXPANSION median gating)", "claim": "\u2265 1.5\u00d7 SPY baseline (~0.24); methodology gating", "measured_median": 0.239, "in_band": true, "note": "within claimed range" }, { "label": "Total return over case (descriptive)", "claim": "direction-neutral by design; \u00b120% is acceptable spread", "measured_median": 0.0983, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "VOL_EXPANSION": 24, "LIQUIDITY_STRESS": 19, "SHARP_CRASH": 18, "SIDEWAYS": 13, "WHIPSAW": 13, "TREND_DOWN": 6, "TREND_UP": 6, "V_RECOVERY": 5 }, "fm_distribution_pct": { "VOL_EXPANSION": 48.0, "LIQUIDITY_STRESS": 38.0, "SHARP_CRASH": 36.0, "SIDEWAYS": 26.0, "WHIPSAW": 26.0, "TREND_DOWN": 12.0, "TREND_UP": 12.0, "V_RECOVERY": 10.0 }, "unclassified_count": 6, "unclassified_pct": 12.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 18 }, "VOL_EXPANSION": { "smooth-elevated": 10, "with-spikes": 14 } }, "primary_fm_class": "VOL_EXPANSION", "primary_fm_fraction": 0.48, "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 regime-switching 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": [ 1400, 1401, 1402, 1403, 1404 ], "source_file": "whipsaw_synthetic_btc.json", "metrics_aggregated": { "total_return": { "median": 0.06764, "p5": -0.1958, "p25": 0.00579, "p75": 0.14185, "p95": 0.26279, "min": -0.40089, "max": 0.35187 }, "realized_vol_annualized": { "median": 0.15798, "p5": 0.11962, "p25": 0.13949, "p75": 0.18737, "p95": 0.274, "min": 0.10364, "max": 0.32904 }, "max_drawdown": { "median": -0.09093, "p5": -0.27254, "p25": -0.13058, "p75": -0.0671, "p95": -0.04085, "min": -0.44712, "max": -0.03331 }, "autocorrelation_lag1": { "median": -0.0258, "p5": -0.17324, "p25": -0.1086, "p75": 0.02948, "p95": 0.12491, "min": -0.25425, "max": 0.16969 }, "kurtosis": { "median": 1.13399, "p5": -0.06731, "p25": 0.33652, "p75": 3.1599, "p95": 5.50878, "min": -0.37371, "max": 7.53242 }, "skewness": { "median": -0.11231, "p5": -1.09254, "p25": -0.44024, "p75": 0.07839, "p95": 0.60676, "min": -1.38473, "max": 1.10876 }, "tail_p1": { "median": -0.02374, "p5": -0.05248, "p25": -0.0339, "p75": -0.02014, "p95": -0.01526, "min": -0.05527, "max": -0.01309 }, "tail_p99": { "median": 0.02341, "p5": 0.01689, "p25": 0.02062, "p75": 0.03019, "p95": 0.0407, "min": 0.01248, "max": 0.05123 }, "sign_change_frequency": { "median": 0.50806, "p5": 0.40323, "p25": 0.48387, "p75": 0.54839, "p95": 0.57258, "min": 0.37903, "max": 0.6129 }, "vol_of_vol": { "median": 0.0387, "p5": 0.01686, "p25": 0.02569, "p75": 0.06614, "p95": 0.10964, "min": 0.01068, "max": 0.11191 }, "avg_run_length": { "median": 1.95312, "p5": 1.73611, "p25": 1.81159, "p75": 2.04918, "p95": 2.45098, "min": 1.62338, "max": 2.60417 }, "rolling_30d_max_dd": { "median": -0.08084, "p5": -0.24312, "p25": -0.11928, "p75": -0.06548, "p95": -0.04085, "min": -0.31185, "max": -0.03331 }, "crash_window_vol": { "median": 0.16087, "p5": 0.1049, "p25": 0.13859, "p75": 0.25169, "p95": 0.3763, "min": 0.09769, "max": 0.43764 }, "retracement_from_trough": { "median": 0.88679, "p5": 0.00463, "p25": 0.35275, "p75": 1.39398, "p95": 2.60813, "min": 0.0, "max": 6.30686 }, "sign_changes_5pct_count": { "median": 3.5, "p5": 1.0, "p25": 2.0, "p75": 5.0, "p95": 7.0, "min": 0.0, "max": 11.0 } }, "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": 0.0676, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 22, "WHIPSAW": 16, "TREND_DOWN": 3, "SLOW_BEAR": 2 }, "fm_distribution_pct": { "TREND_UP": 44.0, "WHIPSAW": 32.0, "TREND_DOWN": 6.0, "SLOW_BEAR": 4.0 }, "unclassified_count": 11, "unclassified_pct": 22.0, "sub_classifications": {}, "primary_fm_class": "WHIPSAW", "primary_fm_fraction": 0.32, "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 regime-switching 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": "parabolic_bull", "sample_replica_seeds": [ 3859, 3860, 3861, 3862, 3863 ], "source_file": "whipsaw_synthetic_eth.json", "metrics_aggregated": { "total_return": { "median": 0.10535, "p5": -0.15686, "p25": 0.01024, "p75": 0.21144, "p95": 0.33544, "min": -0.20815, "max": 0.37047 }, "realized_vol_annualized": { "median": 0.17222, "p5": 0.1136, "p25": 0.1324, "p75": 0.22587, "p95": 0.32565, "min": 0.10181, "max": 0.35787 }, "max_drawdown": { "median": -0.09002, "p5": -0.25757, "p25": -0.15784, "p75": -0.06681, "p95": -0.03853, "min": -0.29361, "max": -0.03344 }, "autocorrelation_lag1": { "median": 0.01182, "p5": -0.17118, "p25": -0.04354, "p75": 0.06181, "p95": 0.17148, "min": -0.26305, "max": 0.2069 }, "kurtosis": { "median": 1.29993, "p5": -0.43229, "p25": 0.48089, "p75": 3.19395, "p95": 6.40727, "min": -0.55248, "max": 12.73743 }, "skewness": { "median": -0.01725, "p5": -0.95932, "p25": -0.3746, "p75": 0.17747, "p95": 0.91038, "min": -1.31954, "max": 1.32243 }, "tail_p1": { "median": -0.0284, "p5": -0.05819, "p25": -0.03675, "p75": -0.01842, "p95": -0.01445, "min": -0.06188, "max": -0.01297 }, "tail_p99": { "median": 0.02546, "p5": 0.01672, "p25": 0.01996, "p75": 0.03794, "p95": 0.05366, "min": 0.01449, "max": 0.07301 }, "sign_change_frequency": { "median": 0.49597, "p5": 0.42742, "p25": 0.46976, "p75": 0.52419, "p95": 0.56452, "min": 0.3871, "max": 0.57258 }, "vol_of_vol": { "median": 0.04754, "p5": 0.01409, "p25": 0.02359, "p75": 0.10195, "p95": 0.14667, "min": 0.00943, "max": 0.18007 }, "avg_run_length": { "median": 2.00013, "p5": 1.76056, "p25": 1.89394, "p75": 2.10982, "p95": 2.31481, "min": 1.73611, "max": 2.55102 }, "rolling_30d_max_dd": { "median": -0.08167, "p5": -0.22997, "p25": -0.15062, "p75": -0.0658, "p95": -0.03853, "min": -0.28108, "max": -0.03344 }, "crash_window_vol": { "median": 0.18682, "p5": 0.11234, "p25": 0.14076, "p75": 0.30253, "p95": 0.45118, "min": 0.09583, "max": 0.52303 }, "retracement_from_trough": { "median": 0.71969, "p5": 0.00989, "p25": 0.23091, "p75": 2.0162, "p95": 4.20607, "min": 0.0, "max": 5.08482 }, "sign_changes_5pct_count": { "median": 4.0, "p5": 1.0, "p25": 2.25, "p75": 6.0, "p95": 9.0, "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": 0.496, "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": 0.1053, "in_band": true, "note": "within claimed range (crypto-asset; relative-to-baseline criterion)" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "TREND_UP": 27, "WHIPSAW": 14, "V_RECOVERY": 3, "TREND_DOWN": 1 }, "fm_distribution_pct": { "TREND_UP": 54.0, "WHIPSAW": 28.0, "V_RECOVERY": 6.0, "TREND_DOWN": 2.0 }, "unclassified_count": 9, "unclassified_pct": 18.0, "sub_classifications": {}, "primary_fm_class": "WHIPSAW", "primary_fm_fraction": 0.28, "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 regime-switching 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": "bull_trend", "sample_replica_seeds": [ 6756, 6757, 6758, 6759, 6760 ], "source_file": "whipsaw_synthetic_qqq.json", "metrics_aggregated": { "total_return": { "median": 0.04977, "p5": -0.07309, "p25": 0.00396, "p75": 0.14669, "p95": 0.43292, "min": -0.14043, "max": 0.49685 }, "realized_vol_annualized": { "median": 0.15086, "p5": 0.11233, "p25": 0.13315, "p75": 0.18521, "p95": 0.29594, "min": 0.10449, "max": 0.35343 }, "max_drawdown": { "median": -0.09145, "p5": -0.16934, "p25": -0.12346, "p75": -0.06106, "p95": -0.04724, "min": -0.20418, "max": -0.02621 }, "autocorrelation_lag1": { "median": -0.0471, "p5": -0.16385, "p25": -0.0834, "p75": 0.00644, "p95": 0.09658, "min": -0.27469, "max": 0.16615 }, "kurtosis": { "median": 0.91171, "p5": -0.11408, "p25": 0.2119, "p75": 2.44501, "p95": 5.81738, "min": -0.32356, "max": 13.29464 }, "skewness": { "median": -0.05353, "p5": -0.78911, "p25": -0.24957, "p75": 0.17898, "p95": 0.57748, "min": -1.37022, "max": 2.10272 }, "tail_p1": { "median": -0.02266, "p5": -0.04443, "p25": -0.02833, "p75": -0.01841, "p95": -0.01552, "min": -0.04766, "max": -0.01332 }, "tail_p99": { "median": 0.0219, "p5": 0.01614, "p25": 0.01933, "p75": 0.03153, "p95": 0.04847, "min": 0.0142, "max": 0.05933 }, "sign_change_frequency": { "median": 0.5, "p5": 0.45524, "p25": 0.48387, "p75": 0.53024, "p95": 0.56452, "min": 0.44355, "max": 0.57258 }, "vol_of_vol": { "median": 0.03073, "p5": 0.01501, "p25": 0.02094, "p75": 0.05921, "p95": 0.11829, "min": 0.01181, "max": 0.15969 }, "avg_run_length": { "median": 1.98413, "p5": 1.76056, "p25": 1.87274, "p75": 2.04918, "p95": 2.17597, "min": 1.73611, "max": 2.23214 }, "rolling_30d_max_dd": { "median": -0.07835, "p5": -0.15507, "p25": -0.10421, "p75": -0.0603, "p95": -0.04724, "min": -0.17831, "max": -0.02621 }, "crash_window_vol": { "median": 0.15899, "p5": 0.10269, "p25": 0.12864, "p75": 0.21149, "p95": 0.35661, "min": 0.08562, "max": 0.44064 }, "retracement_from_trough": { "median": 0.74824, "p5": 0.04656, "p25": 0.27158, "p75": 1.5708, "p95": 4.4419, "min": 0.0, "max": 10.22987 }, "sign_changes_5pct_count": { "median": 3.0, "p5": 1.0, "p25": 2.0, "p75": 4.75, "p95": 7.0, "min": 0.0, "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": 0.5, "in_band": true, "note": "within claimed range" }, { "label": "Total return over case", "claim": "near-zero net direction; methodology \u00b110%", "measured_median": 0.0498, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 37, "WHIPSAW": 19, "VOL_COMPRESSION": 17, "TREND_UP": 16, "VOL_EXPANSION": 1 }, "fm_distribution_pct": { "SIDEWAYS": 74.0, "WHIPSAW": 38.0, "VOL_COMPRESSION": 34.0, "TREND_UP": 32.0, "VOL_EXPANSION": 2.0 }, "unclassified_count": 5, "unclassified_pct": 10.0, "sub_classifications": { "VOL_EXPANSION": { "smooth-elevated": 1 } }, "primary_fm_class": "WHIPSAW", "primary_fm_fraction": 0.38, "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 regime-switching 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": "weak_bear", "sample_replica_seeds": [ 998, 999, 1000, 1001, 1002 ], "source_file": "whipsaw_synthetic_spy.json", "metrics_aggregated": { "total_return": { "median": 0.02423, "p5": -0.20957, "p25": -0.05727, "p75": 0.12063, "p95": 0.29491, "min": -0.28842, "max": 0.34967 }, "realized_vol_annualized": { "median": 0.16801, "p5": 0.1078, "p25": 0.13273, "p75": 0.21134, "p95": 0.32136, "min": 0.10128, "max": 0.39542 }, "max_drawdown": { "median": -0.11412, "p5": -0.28375, "p25": -0.18442, "p75": -0.08036, "p95": -0.04193, "min": -0.34061, "max": -0.03799 }, "autocorrelation_lag1": { "median": 0.01443, "p5": -0.12961, "p25": -0.04187, "p75": 0.1022, "p95": 0.19647, "min": -0.33144, "max": 0.27693 }, "kurtosis": { "median": 1.65229, "p5": -0.26201, "p25": 0.37086, "p75": 2.88195, "p95": 6.14905, "min": -0.43411, "max": 8.32406 }, "skewness": { "median": 0.03209, "p5": -0.98209, "p25": -0.45253, "p75": 0.22258, "p95": 0.99232, "min": -1.62411, "max": 1.68497 }, "tail_p1": { "median": -0.02326, "p5": -0.05149, "p25": -0.04056, "p75": -0.01823, "p95": -0.01419, "min": -0.06079, "max": -0.01179 }, "tail_p99": { "median": 0.02494, "p5": 0.01445, "p25": 0.01938, "p75": 0.0379, "p95": 0.05598, "min": 0.013, "max": 0.07814 }, "sign_change_frequency": { "median": 0.49194, "p5": 0.42742, "p25": 0.46774, "p75": 0.51613, "p95": 0.54839, "min": 0.41935, "max": 0.62097 }, "vol_of_vol": { "median": 0.04573, "p5": 0.01432, "p25": 0.02174, "p75": 0.09039, "p95": 0.13114, "min": 0.01122, "max": 0.14619 }, "avg_run_length": { "median": 2.01613, "p5": 1.81159, "p25": 1.92308, "p75": 2.11864, "p95": 2.31481, "min": 1.60256, "max": 2.35849 }, "rolling_30d_max_dd": { "median": -0.09987, "p5": -0.27131, "p25": -0.14995, "p75": -0.06849, "p95": -0.04193, "min": -0.32316, "max": -0.03799 }, "crash_window_vol": { "median": 0.21255, "p5": 0.10397, "p25": 0.13171, "p75": 0.2827, "p95": 0.41817, "min": 0.07864, "max": 0.49207 }, "retracement_from_trough": { "median": 0.39151, "p5": 0.00763, "p25": 0.16221, "p75": 1.0002, "p95": 2.97372, "min": 0.0, "max": 4.20024 }, "sign_changes_5pct_count": { "median": 4.0, "p5": 1.0, "p25": 2.0, "p75": 5.0, "p95": 9.55, "min": 1.0, "max": 15.0 } }, "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": 0.0242, "in_band": true, "note": "within claimed range" } ], "conformance_distribution": { "n_replicas": 50, "fm_distribution": { "SIDEWAYS": 31, "TREND_UP": 18, "WHIPSAW": 13, "SHARP_CRASH": 8, "VOL_EXPANSION": 6, "LIQUIDITY_STRESS": 4, "VOL_COMPRESSION": 4, "TREND_DOWN": 2, "V_RECOVERY": 2, "SLOW_BEAR": 1 }, "fm_distribution_pct": { "SIDEWAYS": 62.0, "TREND_UP": 36.0, "WHIPSAW": 26.0, "SHARP_CRASH": 16.0, "VOL_EXPANSION": 12.0, "LIQUIDITY_STRESS": 8.0, "VOL_COMPRESSION": 8.0, "TREND_DOWN": 4.0, "V_RECOVERY": 4.0, "SLOW_BEAR": 2.0 }, "unclassified_count": 5, "unclassified_pct": 10.0, "sub_classifications": { "SHARP_CRASH": { "tail-intensified": 8 }, "VOL_EXPANSION": { "smooth-elevated": 6 } }, "primary_fm_class": "WHIPSAW", "primary_fm_fraction": 0.26, "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 regime-switching simulator, not a guarantee of the output FM-class for each replica." } } ] }