{ "author": "Arhan Canli", "claim_boundary": "Immutable historical evidence only; no forward performance, admitted sleeve, live execution, or future-return claim.", "evidence_date": "2026-08-22", "family_key": "macro_economic_trend", "identities": [ { "config_hash": "83bde907f0562fc4", "configuration": { "cost_oneway_bp": 5.999999999999999, "prereg": "docs/design/PREREG_MACRO_VINTAGE_FAMILY.md (commit fb1ab88)", "probe": "macro_vintage_family", "series": "EMPLOY", "sign": 1, "spread": "IWM-SPY" }, "evidence_grade": "immutable_ledger_summary_with_optional_family_artifact", "hypothesis_key": "396ff291d893e2b4", "ledger_source_path": "var/experiments.jsonl", "ledger_source_sha256": "b5a318c0997d980575f758451f509e0154eecbbb50d734e49a587d473062bd08", "result": { "annualized_sharpe": -0.2980670369523188, "artifact_era_dsr": null, "kurtosis": 23.322149406218408, "maximum_drawdown": null, "observations": 5977, "skew": -0.08269825663033786 } }, { "config_hash": "7d4aeb6f6cdfbdda", "configuration": { "cost_oneway_bp": 5.999999999999999, "prereg": "docs/design/PREREG_MACRO_VINTAGE_FAMILY.md (commit fb1ab88)", "probe": "macro_vintage_family", "series": "RUC", "sign": -1, "spread": "IWM-SPY" }, "evidence_grade": "immutable_ledger_summary_with_optional_family_artifact", "hypothesis_key": "3c11c45eb8f40024", "ledger_source_path": "var/experiments.jsonl", "ledger_source_sha256": "b5a318c0997d980575f758451f509e0154eecbbb50d734e49a587d473062bd08", "result": { "annualized_sharpe": 0.11261133663417566, "artifact_era_dsr": null, "kurtosis": 9.327705462007483, "maximum_drawdown": null, "observations": 6157, "skew": 0.09949589213034486 } }, { "config_hash": "62b87e56c400faa4", "configuration": { "cost_oneway_bp": 5.999999999999999, "prereg": "docs/design/PREREG_MACRO_VINTAGE_FAMILY.md (commit fb1ab88)", "probe": "macro_vintage_family", "series": "IPT", "sign": 1, "spread": "IWM-SPY" }, "evidence_grade": "immutable_ledger_summary_with_optional_family_artifact", "hypothesis_key": "5facc6dd331d80aa", "ledger_source_path": "var/experiments.jsonl", "ledger_source_sha256": "b5a318c0997d980575f758451f509e0154eecbbb50d734e49a587d473062bd08", "result": { "annualized_sharpe": -0.20229872435347265, "artifact_era_dsr": null, "kurtosis": 27.077269837924334, "maximum_drawdown": null, "observations": 5977, "skew": -0.39138799333622076 } }, { "config_hash": "105a4b361cabec32", "configuration": { "cost_oneway_bp": 5.999999999999999, "prereg": "docs/design/PREREG_MACRO_VINTAGE_FAMILY.md (commit fb1ab88)", "probe": "macro_vintage_family", "series": "RCONM", "sign": 1, "spread": "IWM-SPY" }, "evidence_grade": "immutable_ledger_summary_with_optional_family_artifact", "hypothesis_key": "7b64d1bcb48d1706", "ledger_source_path": "var/experiments.jsonl", "ledger_source_sha256": "b5a318c0997d980575f758451f509e0154eecbbb50d734e49a587d473062bd08", "result": { "annualized_sharpe": -0.07470973857914942, "artifact_era_dsr": null, "kurtosis": 30.377502756743706, "maximum_drawdown": null, "observations": 5996, "skew": -0.5167850000733164 } }, { "config_hash": "aeea431164594fe5", "configuration": { "blend": "mean of per-month-normalized 3/6/12m changes; all three required", "costs": { "borrow_bps_ann_short": 50.0, "one_way_bps": 6.0, "overlay_relever_charged": true }, "crisis_windows": { "BEAR_2022": [ "2022-01-01", "2022-12-31" ], "COVID_2020": [ "2020-02-15", "2020-04-30" ], "GFC_2008": [ "2007-10-01", "2009-03-31" ] }, "gates": { "adopt_max_corr_alphatrend": 0.5, "adopt_min_net_sharpe": 0.4, "crisis_max_window_loss": -0.225, "crisis_pooled_beat_spy": true }, "history_start": "1980-01-31", "lookbacks_m": [ 3, 6, 12 ], "probe": "econtrend", "rebalance": "monthly last trading day; close signal -> next-open fill; old book earns the gap", "score": "plain sum over themes of sign * theme_z", "sign_matrix": { "DBA": [ 0, 1, 0, -1 ], "DBC": [ 1, 1, 0, -1 ], "EEM": [ 1, 0, -1, -1 ], "EFA": [ 1, 0, 0, -1 ], "FXE": [ 0, 0, -1, -1 ], "FXY": [ -1, 0, -1, -1 ], "GLD": [ 0, 1, -1, -1 ], "IEF": [ -1, -1, -1, 0 ], "IWM": [ 1, -1, -1, 0 ], "QQQ": [ 1, -1, -1, 0 ], "SHY": [ 0, -1, -1, 0 ], "SLV": [ 0, 1, -1, -1 ], "SPY": [ 1, -1, -1, 0 ], "TLT": [ -1, -1, -1, 0 ], "UNG": [ 0, 1, 0, 0 ], "USO": [ 1, 1, 0, -1 ], "UUP": [ 0, 0, 1, 1 ] }, "sizing": { "ann_days": 252.0, "gross": 1.0, "min_breadth": 8, "name_cap": 0.34, "net": "unconstrained", "vol_floor_ann": 0.05, "vol_lookback_d": 63 }, "themes": { "dollar": [ [ "USD_TW", "splice", "log", 1 ] ], "growth": [ [ "EMPLOY", "t2", "log", 1 ], [ "IPT", "t2", "log", 1 ], [ "RUC", "t2", "level", -1 ], [ "HSTARTS", "t2", "log", 1 ], [ "RCONM", "t2", "log", 1 ], [ "BAA10Y", "t1", "level", -1 ] ], "inflation": [ [ "PCPI", "t2", "log", 1 ], [ "PCPIX", "t2", "log", 1 ], [ "T10YIE", "t1", "level", 1 ] ], "policy": [ [ "DFF", "t1", "level", 1 ], [ "DGS2", "t1", "level", 1 ] ] }, "version": "1.0", "wf": { "embargo": 21, "note": "no fitted params; 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