# Strategy Lab — factual family simulation

Render version: family_report_v1. This is an offline deterministic family result; provider-backed dataset lineage and changed-evaluator replay comparison remain outside this renderer.

Family identity: `67bfba2f4a8871a7e87d39a7750f087db489cd17d1e4b2eb01240780a2223f57`

Shared admitted rows: 2759. Maximum member warmup: 201 days. Every member starts independently FLAT at the common first evaluation open; earlier shared rows required by another member do not extend its state.

## Frozen family decision

Rule: `k_of_n` / `family_rule_v1`, k=2, n=3.

Decision: **DID_NOT_MEET_CRITERIA**

Completion: **COMPLETE**

The k-of-n threshold cannot be reached even if every unresolved frozen member later meets its criterion.

| Member-state count | Value |
| --- | ---: |
| MET_CRITERIA | 0 |
| DID_NOT_MEET_CRITERIA | 3 |
| INCONCLUSIVE | 0 |
| EVALUATION_FAILED | 0 |
| MISSING | 0 |

## Frozen members

Every declared member is shown below in the original frozen order. No member is selected, removed, promoted, retried, or reordered after observing results.

| # | Member | Role | Criterion | Execution status | Scientific outcome |
| ---: | --- | --- | --- | --- | --- |
| 1 | trb_50 | symmetric_member | `excess_return_v2` | `EVALUATED` | DID_NOT_MEET_CRITERIA |
| 2 | trb_150 | symmetric_member | `excess_return_v2` | `EVALUATED` | DID_NOT_MEET_CRITERIA |
| 3 | trb_200 | symmetric_member | `excess_return_v2` | `EVALUATED` | DID_NOT_MEET_CRITERIA |

### Member 1

- ID: trb_50
- Decision role: symmetric_member
- Mechanism parameters: entry_lookback=50, exit_lookback=50
- Member criterion: `excess_return_v2`
- Execution status: `EVALUATED`
- Numerical specification identity: `cb8ce650303e5e72e006f35834526eaf891e9b6144146cef786fbc3324a9824c`
- Source identity: `610051136b7e0eb3fedd541b7ea19acb44f65808d4367e09a04a2f1778d1d65e`

Scientific outcome: **DID_NOT_MEET_CRITERIA**

The declared historical benchmark test was not met; this is not proof of universal unprofitability.

| Primary-cost path | Cumulative return (%) | Annualized return (%) | Simple-return Sharpe | Log-return Sharpe | Maximum drawdown (%) | Exposure days | Legs | Closed trades |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| Strategy | 1806.946292 | 52.321929 | 1.140571 | 0.913167 | -62.634241 | 1480 | 30 | 15 |
| Buy-and-hold | 2260.989703 | 57.037319 | 1.038152 | 0.709154 | -76.629251 | 2557 | 2 | 1 |

HAC(20) mean daily excess log return: `-8.35266853620345e-05`; one-sided 95% lower bound: `-0.0007238471564021261`; standard error: `0.0003892872049817858`.

Declared cost-sensitivity metrics (descriptive only; family/member classification remains bound to the declared primary cost):

| Cost (bps/side) | Role | Path | Cumulative return (%) | Annualized return (%) | Simple-return Sharpe | Log-return Sharpe | Maximum drawdown (%) |
| ---: | --- | --- | ---: | ---: | ---: | ---: | ---: |
| 15 | primary | Strategy | 1806.946292 | 52.321929 | 1.140571 | 0.913167 | -62.634241 |
| 15 | primary | Buy-and-hold | 2260.989703 | 57.037319 | 1.038152 | 0.709154 | -76.629251 |
| 20 | diagnostic | Strategy | 1778.555473 | 51.996128 | 1.135921 | 0.908491 | -62.764826 |
| 20 | diagnostic | Buy-and-hold | 2258.629886 | 57.014904 | 1.037925 | 0.708930 | -76.629251 |
| 25 | diagnostic | Strategy | 1750.587285 | 51.671024 | 1.131268 | 0.903812 | -62.894963 |
| 25 | diagnostic | Buy-and-hold | 2256.272424 | 56.992492 | 1.037698 | 0.708707 | -76.629251 |

### Member 2

- ID: trb_150
- Decision role: symmetric_member
- Mechanism parameters: entry_lookback=150, exit_lookback=150
- Member criterion: `excess_return_v2`
- Execution status: `EVALUATED`
- Numerical specification identity: `ba9a13938e87d72c0451b9ffa585fbc32e957e7a38777abad67dbf40a40e0391`
- Source identity: `7f94395b8a19ace8ac8800ddcae2b752c29ccb124ea3ef43672d46bc1a384b8a`

Scientific outcome: **DID_NOT_MEET_CRITERIA**

The declared historical benchmark test was not met; this is not proof of universal unprofitability.

| Primary-cost path | Cumulative return (%) | Annualized return (%) | Simple-return Sharpe | Log-return Sharpe | Maximum drawdown (%) | Exposure days | Legs | Closed trades |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| Strategy | 199.334156 | 16.941624 | 0.571399 | 0.308304 | -75.809838 | 1571 | 14 | 7 |
| Buy-and-hold | 2260.989703 | 57.037319 | 1.038152 | 0.709154 | -76.629251 | 2557 | 2 | 1 |

HAC(20) mean daily excess log return: `-0.0008076948178714871`; one-sided 95% lower bound: `-0.0014842882935506667`; standard error: `0.0004113396259660867`.

Declared cost-sensitivity metrics (descriptive only; family/member classification remains bound to the declared primary cost):

| Cost (bps/side) | Role | Path | Cumulative return (%) | Annualized return (%) | Simple-return Sharpe | Log-return Sharpe | Maximum drawdown (%) |
| ---: | --- | --- | ---: | ---: | ---: | ---: | ---: |
| 15 | primary | Strategy | 199.334156 | 16.941624 | 0.571399 | 0.308304 | -75.809838 |
| 15 | primary | Buy-and-hold | 2260.989703 | 57.037319 | 1.038152 | 0.709154 | -76.629251 |
| 20 | diagnostic | Strategy | 197.246127 | 16.824832 | 0.569377 | 0.306330 | -75.858170 |
| 20 | diagnostic | Buy-and-hold | 2258.629886 | 57.014904 | 1.037925 | 0.708930 | -76.629251 |
| 25 | diagnostic | Strategy | 195.172659 | 16.708156 | 0.567355 | 0.304356 | -75.906406 |
| 25 | diagnostic | Buy-and-hold | 2256.272424 | 56.992492 | 1.037698 | 0.708707 | -76.629251 |

### Member 3

- ID: trb_200
- Decision role: symmetric_member
- Mechanism parameters: entry_lookback=200, exit_lookback=200
- Member criterion: `excess_return_v2`
- Execution status: `EVALUATED`
- Numerical specification identity: `897b84e9943318ccf75b914d20555527b0819e55354daccd5d3c4a67d45a9a7e`
- Source identity: `2b4f40f7dfde1e49945d49a9886e2d0ff442f832f874391b0b0e38c87e3cbe3f`

Scientific outcome: **DID_NOT_MEET_CRITERIA**

The declared historical benchmark test was not met; this is not proof of universal unprofitability.

| Primary-cost path | Cumulative return (%) | Annualized return (%) | Simple-return Sharpe | Log-return Sharpe | Maximum drawdown (%) | Exposure days | Legs | Closed trades |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| Strategy | 1017.949094 | 41.142377 | 0.922095 | 0.666243 | -58.779606 | 1873 | 6 | 3 |
| Buy-and-hold | 2260.989703 | 57.037319 | 1.038152 | 0.709154 | -76.629251 | 2557 | 2 | 1 |

HAC(20) mean daily excess log return: `-0.00029236803136725064`; one-sided 95% lower bound: `-0.0008979164549973572`; standard error: `0.0003681473011993255`.

Declared cost-sensitivity metrics (descriptive only; family/member classification remains bound to the declared primary cost):

| Cost (bps/side) | Role | Path | Cumulative return (%) | Annualized return (%) | Simple-return Sharpe | Log-return Sharpe | Maximum drawdown (%) |
| ---: | --- | --- | ---: | ---: | ---: | ---: | ---: |
| 15 | primary | Strategy | 1017.949094 | 41.142377 | 0.922095 | 0.666243 | -58.779606 |
| 15 | primary | Buy-and-hold | 2260.989703 | 57.037319 | 1.038152 | 0.709154 | -76.629251 |
| 20 | diagnostic | Strategy | 1014.600262 | 41.081947 | 0.921265 | 0.665408 | -58.820806 |
| 20 | diagnostic | Buy-and-hold | 2258.629886 | 57.014904 | 1.037925 | 0.708930 | -76.629251 |
| 25 | diagnostic | Strategy | 1011.261455 | 41.021544 | 0.920435 | 0.664572 | -58.861965 |
| 25 | diagnostic | Buy-and-hold | 2256.272424 | 56.992492 | 1.037698 | 0.708707 | -76.629251 |

## Interpretation limits

Members on one BTCUSDT series with overlapping lookbacks are strongly dependent. `family_rule_v1` is a declared decision rule, not a calibrated family-level confidence test; individual HAC bounds do not establish a family-wise error rate without a joint dependence model.

This report presents all frozen members, including unfavorable, inconclusive, and operationally failed members. Diagnostic costs cannot change the frozen primary-cost scientific outcome. No winner-only view or post-result promotion is used.

These are historical hypothetical results. Dataset lineage and replay identity, where a canonical run has them, are established by its hash-bound artifacts rather than by this report. The report does not establish unseen evidence, execution feasibility, or future profitability.