Proof,
not promises.

Yes — a real, statistically significant edge, but a smaller one than the backtest advertises. The honest advantage is the risk-adjusted tilt (Sharpe ≈ 1.24 vs the market's 1.02) carrying ~8.8%/yr of genuine alpha (t ≈ 2.9), not the eye-catching +11-point CAGR gap, most of which is survivorship bias and a historic bull market.

The signal genuinely works out-of-sample — and that turns out not to be enough. Each individual setup carries a real, positive edge that survived a strict held-out test. But the setup fires far more often than any real account has room for, and when we're forced to choose which ones to take, the ones we skip quietly beat the ones we keep. A great signal you can't fully hold.

There is no prize to win. Before building any model, we computed the absolute ceiling — the most an ideal regime-timer could possibly add — and in the out-of-sample era that ceiling was negative. No model, however clever, can extract an edge that isn't there. We killed it in about fifteen minutes of compute, exactly as planned.

It does exactly what it promises — reduces your drawdown — and it costs you more than it's worth. Moving stops to breakeven cut our strategy's average profit per trade by more than a quarter, because it repeatedly knocks you out of the trades that were about to become your biggest winners. It doesn't protect gains; it amputates them.