{
  "revision": "2026-10-01",
  "classification": "redacted historical research aggregates",
  "studies": {
    "fx": {
      "study": "Archived major-FX confirmation",
      "evaluation_start": "2022-04-12",
      "evaluation_end": "2025-12-31",
      "folds": 4,
      "frequency": "1h",
      "measure": "Median fold Sharpe; same selected exploratory rule at each cost/delay setting",
      "rows": [
        {
          "cost_setting_bp": 1,
          "extra_delay_bars": 0,
          "median_fold_sharpe": 1.5539790679645349
        },
        {
          "cost_setting_bp": 1,
          "extra_delay_bars": 1,
          "median_fold_sharpe": 1.3140172683856304
        },
        {
          "cost_setting_bp": 1,
          "extra_delay_bars": 2,
          "median_fold_sharpe": 0.27401586302621483
        },
        {
          "cost_setting_bp": 5,
          "extra_delay_bars": 0,
          "median_fold_sharpe": 0.6361317831491835
        },
        {
          "cost_setting_bp": 10,
          "extra_delay_bars": 0,
          "median_fold_sharpe": -0.48564671129170245
        }
      ],
      "decision": "Exploratory; no standalone strategy or paper series",
      "limitations": "Selected result from a wider screen; conditional historical sensitivity, not independent confirmation. Extra delay is measured in hourly observations, not calendar time through market closures."
    },
    "indices": {
      "study": "Archived ETF risk-overlay falsification",
      "evaluation_start": "2025-07-30",
      "evaluation_end": "2026-04-28",
      "folds": 6,
      "cost_bp_one_way": 5,
      "rows": [
        {
          "case": "Selected risk overlay",
          "annualised_return_pct": 10.2,
          "sharpe": 0.95,
          "max_drawdown_pct": -6.44
        },
        {
          "case": "SPY comparator",
          "annualised_return_pct": 16.27,
          "sharpe": 1.21,
          "max_drawdown_pct": -8.34
        },
        {
          "case": "Static 80% SPY / 20% IEF comparator",
          "annualised_return_pct": 13.11,
          "sharpe": 1.2,
          "max_drawdown_pct": -6.77
        }
      ],
      "positive_folds": 4,
      "bootstrap_sharpe_lower_5pct": -0.6,
      "stress": "Higher costs, delayed execution, fixed-fold and regime checks",
      "decision": "Rejected: lower drawdown did not compensate for lost return; return-retention and Calmar gates failed",
      "limitations": "Short, current-constituent sample; comparators share next-bar convention but are not matched on realised exposure or risk. Annualised figures describe this short sample."
    },
    "options": {
      "study": "Archived equity option-information confirmation",
      "evaluation_start": "2026-01-05",
      "evaluation_end": "2026-08-25",
      "untouched_dates": 161,
      "assets_count": 6,
      "folds": 4,
      "measure": "Mean signed underlying-return proxy per observation; not an option-contract return",
      "gross_mean_bp": 10.1,
      "net_mean_at_20bp": -9.9,
      "cost_charge_bp": 20,
      "positive_net_folds": 1,
      "stress": "20, 30 and 40 bp charges; multiplicity, date concentration and regime tests",
      "decision": "Rejected: negative net mean and only one positive net fold; multiplicity and stability gates not met",
      "limitations": "Selected strongest gross curiosity among frozen tests. The charge is a research proxy, not measured option execution. Multi-leg executable quotes, margin, assignment and expiry are not established by this underlying-return test."
    }
  }
}