MOO 11:00 v3 Master 52

Verdict

SURVIVORSHIP BIAS CONFIRMED. Reported OOS Sharpe 5.79 → hold-out Sharpe 2.61 (−55%). Total $517K→$110K (−79%).

ELITE 7/8 robust — ELITE TPSL family (Q003/I012/Q004/K013/K014/K004/K012/K016) Sh actually improves on hold-out (4-8 vs 2.7-3.8 OOS). Real edge.
R034 inst_own_ge80 LONG FAILS — only BH-FDR q=0.05 pass in stat audit, hold-out Sh −0.40. Reject.
OK tier mostly noise — per-tier hold-out mean Sh = 0.11. 9/40 negative. G004 qqq_strong_LONG Sh −5.90 worst. Most "OK" hyps are window-specific.
Overlap is severe — 95% (ticker,date) pairs fire 7+ strategies; 75% have BOTH LONG&SHORT. Reported $517K is sum across strategies; honest dedup (1 best per tk-day) = $113K Sh 6.90.
Top-day dependence — top-10 days = 63% of OOS PnL. Sh excl. top-10 = 4.05 (still healthy).
Diversification clean — HHI 0.0023, top ticker 0.92% AAOI, no single-month/single-name risk.
TP/SL implementation conservative — when both hit in bar, code picks SL (worst-case). Anti-lookahead.

Honest forward Sharpe estimate: ~2.5-3.5 (using ELITE+STRONG only, 1 BP per tk-day, no AF), not 5.8. Drop OK tier + R034.

Equity curves: OOS vs Hold-out (raw)

C: Top-K days dominance (OOS)

B: Overlap audit

Reported signals	463,352
Unique (ticker,date)	59,610
Avg strategies / (tk,dt)	7.77
Max strategies / (tk,dt)	31
(tk,dt) with both LONG & SHORT	44,650 (74.9%)
Reported total $	$517,399
Dedup total $ (1 best per tk-dt)	$113,294 (22%)
Dedup Sharpe	6.90
Dedup max DD	$−4,394

E: AF threshold sensitivity (OOS)

Threshold	Total $	Sharpe	Max DD	Days clip
$-500	$688K	8.62	$1.7K	46
$-1,000	$667K	8.27	$3.2K	42
$-2,000	$631K	7.68	$6.2K	31
$-5,000	$570K	6.71	$10.3K	11
$-10,000	$542K	6.25	$14.6K	3
$-20,000	$520K	5.83	$24.6K	2
(no AF)	$517K	5.79	$24.7K	0

A: Per-strategy OOS ↔ Hold-out comparison (52)

ID	Name	Tier	Dir	Exit	Sh OOS	Sh HO	Δ	$ OOS	$ HO
Q003	opening_cross_dev_SHORT	ELITE	SHORT	tpsl	3.46	8.32	+4.86	$6,144	$8,912
K014	prev_5d_ge015_SHORT	ELITE	SHORT	tpsl	2.70	4.89	+2.19	$6,338	$9,282
K013	prev_5d_ge010_SHORT	ELITE	SHORT	tpsl	2.71	4.74	+2.03	$11,061	$12,311
K004	prev_big_up_SHORT	ELITE	SHORT	tpsl	2.71	4.74	+2.03	$11,061	$12,311
I012	pt_ratio_low_SHORT	ELITE	SHORT	tpsl	3.74	5.11	+1.36	$5,695	$6,479
Q004	opening_cross_dev_LONG	ELITE	LONG	tpsl	3.83	4.73	+0.90	$6,957	$5,207
J015	pm_high_break_LONG	ELITE	LONG	tpsl	2.95	1.62	-1.33	$18,741	$8,971
R034	inst_own_ge80_LONG	ELITE	LONG	tpsl	4.76	-0.40	-5.16	$9,818	$-660
K012	prev_5d_ge005_SHORT	STRONG	SHORT	tpsl	2.38	4.61	+2.23	$15,062	$18,657
K016	3d_pump_exhaust_SHORT	STRONG	SHORT	tpsl	2.50	4.48	+1.98	$5,379	$6,394
K015	prev_5d_ge020_SHORT	STRONG	SHORT	tpsl	2.47	4.19	+1.72	$4,207	$5,540
G006	tlt_5d_neg_SHORT	STRONG	SHORT	hold	2.20	1.00	-1.21	$7,305	$1,041
K011	prev_5d_ge003_SHORT	OK	SHORT	tpsl	2.17	3.76	+1.59	$16,385	$18,376
Y004	ret_3d_pump_SHORT	OK	SHORT	tpsl	2.15	3.18	+1.03	$2,373	$2,706
Y008	ret_5d_pump_SHORT	OK	SHORT	tpsl	2.41	2.73	+0.32	$3,234	$2,952
A015	gap_ge4_SHORT	OK	SHORT	tpsl	2.15	2.35	+0.20	$7,620	$3,065
Y012	ret_10d_pump_SHORT	OK	SHORT	tpsl	2.08	1.27	-0.81	$3,794	$2,306
U037	has_foreign_peer_LONG	OK	LONG	tpsl	2.22	0.94	-1.28	$1,937	$621
A004	gap_le_n3_LONG	OK	LONG	hold	2.08	0.79	-1.29	$34,087	$3,409
K020	52w_low_bounce_LONG	OK	LONG	tpsl	2.22	0.87	-1.34	$3,660	$986
I011	pt_ratio_high_LONG	OK	LONG	tpsl	2.49	1.04	-1.45	$15,502	$4,138
B005	pm_vol_ge500K_SHORT	OK	SHORT	tpsl	2.28	0.81	-1.47	$8,731	$1,938
R001	short_float_lt5_LONG	OK	LONG	tpsl	2.47	0.80	-1.67	$11,201	$2,456
R021	days_to_cover_lt2_LONG	OK	LONG	tpsl	2.07	0.12	-1.94	$8,600	$321
A005	gap_le_n5_LONG	OK	LONG	hold	2.38	0.43	-1.95	$20,014	$1,015
G005	breadth_pos_LONG	OK	LONG	tpsl	2.16	-0.04	-2.20	$17,532	$-273
S014	iv_skew_le_n5_SHORT	OK	SHORT	tpsl	2.62	0.37	-2.25	$6,374	$496
A017	gap_ge8_SHORT	OK	SHORT	tpsl	2.69	0.41	-2.28	$3,496	$218
R003	short_float_lt10_LONG	OK	LONG	tpsl	2.50	0.17	-2.33	$14,627	$688
Y021	pct_from_52w_high_near_high_LONG	OK	LONG	tpsl	2.36	0.01	-2.34	$4,292	$25
S011	pc_vol_ge1p5_LONG	OK	LONG	tpsl	3.12	0.68	-2.44	$2,745	$425
R023	days_to_cover_lt5_LONG	OK	LONG	tpsl	2.07	-0.45	-2.52	$17,482	$-2,500
I013	analyst_count_high_LONG	OK	LONG	tpsl	2.27	-0.26	-2.52	$8,000	$-714
I006	insider_buy_5_LONG	OK	LONG	tpsl	2.35	-0.18	-2.53	$387	$-39
T005	insider_buys_30d_ge5_LONG	OK	LONG	tpsl	2.35	-0.18	-2.53	$387	$-39
A016	gap_ge6_SHORT	OK	SHORT	tpsl	2.27	-0.29	-2.56	$5,244	$-233
R005	short_float_lt15_LONG	OK	LONG	tpsl	2.45	-0.15	-2.60	$17,634	$-735
R007	short_float_lt20_LONG	OK	LONG	tpsl	2.35	-0.27	-2.62	$19,193	$-1,470
A003	gap_ge10_SHORT	OK	SHORT	hold	2.63	-0.16	-2.79	$6,843	$-224
R029	insider_own_lt5_LONG	OK	LONG	tpsl	2.76	-0.08	-2.84	$13,765	$-253
Y026	above_sma50_LONG	OK	LONG	tpsl	2.29	-0.60	-2.89	$9,310	$-2,966
Y028	above_sma200_LONG	OK	LONG	tpsl	2.19	-1.12	-3.32	$13,000	$-5,160
A019	gap_ge15_SHORT	OK	SHORT	hold	3.70	-0.70	-4.40	$3,403	$-551
A018	gap_ge12_SHORT	OK	SHORT	hold	3.68	-1.04	-4.73	$5,384	$-1,240
S005	pc_oi_ge1p2_LONG	OK	LONG	tpsl	3.12	-1.71	-4.83	$4,845	$-1,915
S007	pc_oi_ge2_LONG	OK	LONG	tpsl	3.56	-1.33	-4.89	$4,591	$-1,312
A020	gap_ge20_SHORT	OK	SHORT	hold	4.66	-0.38	-5.04	$1,919	$-152
F005	dxy_weak_SHORT	OK	SHORT	tpsl	4.24	-1.56	-5.80	$33,004	$-4,037
G003	spy_5d_n3_SHORT	OK	SHORT	hold	11.95	0.00	-11.95	$7,028	$0
F004	spy_5d_neg_SHORT	OK	SHORT	hold	11.95	0.00	-11.95	$7,028	$0
C019	vix_high_SHORT	OK	SHORT	hold	14.19	-0.01	-14.20	$19,150	$-199
G004	qqq_strong_LONG	OK	LONG	tpsl	9.63	-5.90	-15.53	$25,830	$-7,010

D: Concentration (OOS portfolio)

N tickers traded	1,458
HHI	0.0023
Top-1 ticker share	AAOI 0.92%
Top-10 ticker share	7.4%
Top-50 ticker share	23.3%
Top month share	2026-04 22.1%
Sharpe excl. 2026-Q1	5.22 (N=58)
Total excl. 2026-Q1	$248K

F: TP/SL realism (code review)

Filter via DataFrame.query + AST allow-list	CLEAN
Features at MOO entry only (open_px@9:30)	CLEAN
Both TP+7% & SL−1% hit in same bar → SL chosen	CONSERVATIVE
h_to_1100 / l_to_1100 within trade window	CLEAN
Lookahead in feature_expr (gap_pct/open_px)	SAFE @ MOO
Slippage included	N/A (per directive)

MOO→11:00 v3 Master 52 — AUDIT REPORT