2024 blind research (46K combos) → 5000 library → 800 seed + 4200 discovery pool → weekly reclass. Strict admission: binomial p<0.01 + 3-window validation. News layer: event_type × combo uplift from 2024 data.
| Total PnL | $1,156,003 | vs M1 Frozen | +$196,268 (+20.5%) |
| WR | 61.1% | Sharpe | 22.21 |
| Trades | 73,079 | MaxDD | $-3,961 |
Key findings:
• M9+ Discovery with strict gate — best PnL $1,156,003. Admitted 812 combos over 15 months (800 seed → 1612 final). Binomial p<0.01 + 3-window validation работает.
• M11 News layer was NEUTRAL ($1,142,122, −$14K vs M9+). News triggers built on 2024 не все переносятся на 2025-2026 (event×combo relationships changed). Требует OOS re-validation.
• Quality > Quantity CONFIRMED: M7 naive 5000-combo library = $673,123 (worst of user-idea models). Strict gate critical.
• Discovery adds real alpha: M9+ vs M1 = +$196K (+20%). Versus naive M7: +$482,881 (+72%).
89 significant (event_type × combo) pairs discovered. CI excludes baseline at 95%. Uplift = WR on tagged rows − WR on all combo rows.
| Tag | Combo | N | WR tagged | WR base | Uplift |
|---|---|---|---|---|---|
| guidance_up | b_pm_drift=flat&b_qqq=up&b_spy_60d=bull | 21 | 81% | 57% | +24.1pp |
| ma_acquirer | b_prev=dn&b_arkk=up&b_vix_reg=hi_vol | 20 | 80% | 56% | +23.8pp |
| guidance_up | b_spy=up&b_qqq=up&b_tlt_flow=weak | 20 | 80% | 56% | +23.8pp |
| fda_approve | direction=SHORT&b_rsi=lo&b_iwm=flat | 28 | 79% | 55% | +23.3pp |
| guidance_up | mcap_tier=mega&dow=3&b_vix_reg=hi_vol | 20 | 80% | 57% | +22.8pp |
| ma_acquirer | b_gap=dn&b_es=na&b_month_phase=early | 33 | 79% | 56% | +22.4pp |
| ma_acquirer | b_gap=dn&is_earnings_day=None&b_month_phase=e | 33 | 79% | 56% | +22.4pp |
| ma_acquirer | b_pm_drift=dn&b_tlt_flow=flat&b_month_phase=e | 25 | 80% | 58% | +22.3pp |
| ma_acquirer | b_gap=up&b_prev=surgeUp&b_vix_reg=hi_vol | 20 | 95% | 74% | +21.3pp |
| guidance_up | direction=LONG&b_spy=up&dow=3 | 23 | 78% | 57% | +21.0pp |
| guidance_up | b_spy=up&b_spy_vol=calm&is_month_end=False | 34 | 76% | 56% | +20.3pp |
| ma_acquirer | b_gap=up&b_rsi=lo&b_rel_pm_vol=norm | 22 | 77% | 57% | +20.3pp |
| fda_approve | direction=SHORT&liq_tier=ultra&b_rsi=lo | 30 | 77% | 57% | +19.8pp |
| ma_acquirer | sector=Technology&b_52h=deep&b_prev=crashDn | 22 | 77% | 58% | +19.3pp |
| fda_approve | direction=SHORT&mcap_tier=mega&b_rsi=lo | 29 | 76% | 57% | +19.1pp |
| Tag | Combo | N | WR tagged | WR base | Uplift |
|---|---|---|---|---|---|
| guidance_up | b_prev=up&b_iwm=up&b_spy_vol=calm | 21 | 24% | 57% | -32.9pp |
| ma_acquirer | mcap_tier=mega&b_52h=near&b_tlt_flow=flowIn | 22 | 23% | 55% | -32.7pp |
| guidance_up | b_prev=up&b_iwm=up&b_nq=na | 23 | 26% | 57% | -30.9pp |
| ma_acquirer | b_prev=dn&dow=1&b_spy_60d=uptrend | 32 | 28% | 55% | -27.2pp |
| ma_acquirer | b_spy=flat&b_qqq=up&b_arkk=flat | 20 | 30% | 56% | -26.4pp |
| fda_approve | direction=SHORT&b_rsi=lo&b_prev=flat | 20 | 30% | 56% | -26.2pp |
| ma_acquirer | b_pm_range=wide&b_tlt_flow=flat&sec_leader_20 | 20 | 30% | 56% | -26.0pp |
| ma_acquirer | b_rsi=hi&b_spy=flat&b_tlt_flow=flowOut | 27 | 33% | 57% | -23.2pp |
| ma_acquirer | direction=LONG§or=Consumer Discretionary& | 21 | 33% | 56% | -22.8pp |
| ma_acquirer | b_52h=near&b_tlt_flow=strong&b_month_phase=mi | 30 | 33% | 56% | -22.6pp |
| ma_acquirer | b_prev=dn&b_spy_60d=uptrend&b_tlt_flow=flat | 20 | 35% | 58% | -22.6pp |
| fda_approve | b_gap=flat&b_prev=flat&dow=1 | 23 | 35% | 57% | -22.5pp |
| ma_acquirer | b_iwm=flat&dow=2&b_vix_reg=hi_vol | 46 | 35% | 57% | -22.4pp |
| dividend_raise | direction=SHORT&mcap_tier=mega&b_rsi=lo | 26 | 35% | 57% | -22.1pp |
| fda_approve | b_pm_range=tight&b_prev=flat&b_spy_20d=flat | 42 | 36% | 58% | -22.0pp |
Started with 800 core seed. Weekly scan of 4200 exploration candidates. Admission requires: N≥100 OOS, WR≥60% на 6m AND cumulative, 2/3 validation windows WR≥55%, binomial p<0.01.