09:20-native research — May 06 2026

09:20-native research — from-scratch

Generated 2026-05-06T17:24:49.836509. Train 2024-04..2025-10 / Holdout 2025-11..2026-04 / WF 4×6mo.

Caveats — (1) 2y window only; holdout = 70 trading days. (2) Hold-to-11:00 only, no TP/SL. (3) BH-FDR q=0.05 yielded 0 pass (matches v3 pattern). (4) Strict tier = WF-STABLE + sign_flip p<0.05 + CI lo>0.

Hypothesis space

124 PM-native generated + 368 inherited (lookahead-clean cats from 521) = 492 total.

ELITE STRICT (WF-STABLE + p<0.05 + CI lo>0): 3

id	name	cat	dir	N hold	Sh hold	p	CI95 lo	CI95 hi	WF mean Sh	WF pos %
W007	uvxy_1d_le_n3_LONG	W	LONG	6219	6.56	0.028	3.69	17.80	4.31	100%
I012	pt_ratio_low_SHORT	I	SHORT	859	4.64	0.003	1.25	7.74	2.84	100%
NA_gap_le_n5_LONG	impl_gap_at_0920_le_n5_LONG	nan	LONG	622	3.04	0.047	0.89	4.61	1.80	100%

name

cat

dir

N hold

Sh hold

CI95 lo

CI95 hi

WF mean Sh

WF pos %

W007

uvxy_1d_le_n3_LONG

LONG

6219

6.56

0.028

3.69

17.80

4.31

100%

I012

pt_ratio_low_SHORT

SHORT

859

4.64

0.003

1.25

7.74

2.84

100%

NA_gap_le_n5_LONG

impl_gap_at_0920_le_n5_LONG

nan

LONG

622

3.04

0.047

0.89

4.61

1.80

100%

ELITE BORDERLINE (WF-STABLE + p∈[0.05,0.10] + CI lo>0): 2

id	name	cat	dir	N hold	Sh hold	p	CI95 lo	CI95 hi	WF mean Sh
NE_vwap_le_n20_LONG	pm_vwap_dev_le_n2_LONG	NE	LONG	252	3.61	0.055	1.00	7.18	2.50
NA_gap_le_n3_LONG	impl_gap_at_0920_le_n3_LONG	nan	LONG	1655	2.82	0.060	1.32	4.14	1.83

name

cat

dir

N hold

Sh hold

CI95 lo

CI95 hi

WF mean Sh

NE_vwap_le_n20_LONG

pm_vwap_dev_le_n2_LONG

LONG

252

3.61

0.055

1.00

7.18

2.50

NA_gap_le_n3_LONG

impl_gap_at_0920_le_n3_LONG

nan

LONG

1655

2.82

0.060

1.32

4.14

1.83

All WF-STABLE (21)

id	name	cat	dir	Sh hold	p	CI lo	WF mean	WF pos %
W012	svxy_1d_le_n3_SHORT	W	SHORT	2.69	0.588	-3.27	6.87	100%
F004	spy_5d_neg_SHORT	F	SHORT	11.92	—	—	6.43	100%
G003	spy_5d_n3_SHORT	G	SHORT	11.92	—	—	6.43	100%
G006	tlt_5d_neg_SHORT	G	SHORT	2.30	0.659	1.06	5.89	100%
X015	sectors_green_le4_LONG	X	LONG	2.56	0.222	-2.17	4.59	100%
W007	uvxy_1d_le_n3_LONG	W	LONG	6.56	0.028	3.69	4.31	100%
NC_ret10_ge30_LONG	pm_ret_10m_ge3.0_LONG	NC	LONG	4.96	0.562	—	3.36	100%
H012	earn_d5_drift_LONG	H	LONG	1.38	0.620	-3.57	2.93	100%
I012	pt_ratio_low_SHORT	I	SHORT	4.64	0.003	1.25	2.84	100%
NE_vwap_le_n20_LONG	pm_vwap_dev_le_n2_LONG	NE	LONG	3.61	0.055	1.00	2.50	100%
X017	sectors_green_ge7_LONG	X	LONG	2.69	0.885	—	1.96	100%
NA_gap_ge3_SHORT	impl_gap_at_0920_ge3_SHORT	nan	SHORT	1.33	0.428	-1.71	1.87	100%
NA_gap_le_n3_LONG	impl_gap_at_0920_le_n3_LONG	nan	LONG	2.82	0.060	1.32	1.83	100%
X001	xlk_fc_green_LONG	X	LONG	2.24	0.308	-1.45	1.81	100%
NA_gap_le_n5_LONG	impl_gap_at_0920_le_n5_LONG	nan	LONG	3.04	0.047	0.89	1.80	100%
NE_vwap_le_n10_LONG	pm_vwap_dev_le_n1_LONG	NE	LONG	2.02	0.193	-0.49	1.79	100%
W001	vxx_5d_le_n5_LONG	W	LONG	2.29	0.563	-1.37	1.56	100%
NG_pmrange_ge5_LONG	pm_range_pct_ge5_LONG	NG	LONG	2.45	0.108	0.07	1.39	100%
NC_ret10_ge15_LONG	pm_ret_10m_ge1.5_LONG	NC	LONG	1.16	0.633	-2.54	1.33	100%
G010	oil_spike_SHORT	G	SHORT	3.54	0.621	—	1.18	100%
K007	prev_5d_le-20_LONG	K	LONG	1.88	0.363	-1.79	1.03	100%

name

cat

dir

Sh hold

CI lo

WF mean

WF pos %

W012

svxy_1d_le_n3_SHORT

SHORT

2.69

0.588

-3.27

6.87

100%

F004

spy_5d_neg_SHORT

SHORT

11.92

—

6.43

100%

G003

spy_5d_n3_SHORT

SHORT

11.92

—

6.43

100%

G006

tlt_5d_neg_SHORT

SHORT

2.30

0.659

1.06

5.89

100%

X015

sectors_green_le4_LONG

LONG

2.56

0.222

-2.17

4.59

100%

W007

uvxy_1d_le_n3_LONG

LONG

6.56

0.028

3.69

4.31

100%

NC_ret10_ge30_LONG

pm_ret_10m_ge3.0_LONG

LONG

4.96

0.562

—

3.36

100%

H012

earn_d5_drift_LONG

LONG

1.38

0.620

-3.57

2.93

100%

I012

pt_ratio_low_SHORT

SHORT

4.64

0.003

1.25

2.84

100%

NE_vwap_le_n20_LONG

pm_vwap_dev_le_n2_LONG

LONG

3.61

0.055

1.00

2.50

100%

X017

sectors_green_ge7_LONG

LONG

2.69

0.885

—

1.96

100%

NA_gap_ge3_SHORT

impl_gap_at_0920_ge3_SHORT

nan

SHORT

1.33

0.428

-1.71

1.87

100%

NA_gap_le_n3_LONG

impl_gap_at_0920_le_n3_LONG

nan

LONG

2.82

0.060

1.32

1.83

100%

X001

xlk_fc_green_LONG

LONG

2.24

0.308

-1.45

1.81

100%

NA_gap_le_n5_LONG

impl_gap_at_0920_le_n5_LONG

nan

LONG

3.04

0.047

0.89

1.80

100%

NE_vwap_le_n10_LONG

pm_vwap_dev_le_n1_LONG

LONG

2.02

0.193

-0.49

1.79

100%

W001

vxx_5d_le_n5_LONG

LONG

2.29

0.563

-1.37

1.56

100%

NG_pmrange_ge5_LONG

pm_range_pct_ge5_LONG

LONG

2.45

0.108

0.07

1.39

100%

NC_ret10_ge15_LONG

pm_ret_10m_ge1.5_LONG

LONG

1.16

0.633

-2.54

1.33

100%

G010

oil_spike_SHORT

SHORT

3.54

0.621

—

1.18

100%

K007

prev_5d_le-20_LONG

LONG

1.88

0.363

-1.79

1.03

100%