# 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: `ff5152547e2c7a31376fef446bd733289cf40854e5ed196e15eaa2f24d7a7502`

Shared admitted rows: 2308. Maximum member warmup: 24 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: `primary_plus_robustness` / `family_rule_v1`, k=0, n=2, primary=sma_12.

Decision: **DID_NOT_MEET_CRITERIA**

Completion: **COMPLETE**

The named primary member did not meet its criterion; robustness members cannot rescue it.

| Member-state count | Value |
| --- | ---: |
| MET_CRITERIA | 0 |
| DID_NOT_MEET_CRITERIA | 2 |
| 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 | sma_12 | primary | `excess_return_v2` | `EVALUATED` | DID_NOT_MEET_CRITERIA |
| 2 | sma_24 | robustness | `excess_return_v2` | `EVALUATED` | DID_NOT_MEET_CRITERIA |

### Member 1

- ID: sma_12
- Decision role: primary
- Mechanism parameters: lookback=12
- Member criterion: `excess_return_v2`
- Execution status: `EVALUATED`
- Numerical specification identity: `e4a42c953fb7437af1a65db5abeb62f128d5e617791e103402ed49329c2af3ef`
- Source identity: `8797e1f1b120dfb46fdb479b70e52806f79f99bfa81dfffe09c4d7c580326467`

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 | 284.301872 | 24.015478 | 0.742072 | 0.552432 | -60.426462 | 1203 | 374 | 187 |
| Buy-and-hold | 729.209042 | 40.240540 | 0.877628 | 0.593107 | -76.629251 | 2283 | 2 | 1 |

HAC(20) mean daily excess log return: `-0.0003368567308186607`; one-sided 95% lower bound: `-0.0009944748286893216`; standard error: `0.00039980341538929073`.

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 | 284.301872 | 24.015478 | 0.742072 | 0.552432 | -60.426462 |
| 15 | primary | Buy-and-hold | 729.209042 | 40.240540 | 0.877628 | 0.593107 | -76.629251 |
| 20 | diagnostic | Strategy | 218.756597 | 20.362645 | 0.665836 | 0.475453 | -61.902047 |
| 20 | diagnostic | Buy-and-hold | 728.380245 | 40.218120 | 0.877355 | 0.592839 | -76.629251 |
| 25 | diagnostic | Strategy | 164.390411 | 16.817397 | 0.589657 | 0.398520 | -63.322615 |
| 25 | diagnostic | Buy-and-hold | 727.552275 | 40.195704 | 0.877082 | 0.592571 | -76.629251 |

### Member 2

- ID: sma_24
- Decision role: robustness
- Mechanism parameters: lookback=24
- Member criterion: `excess_return_v2`
- Execution status: `EVALUATED`
- Numerical specification identity: `2ba867094afa9c5e75ba4aef9798abd84ea5c38e289ced61e4b2a1bac51d6d6e`
- Source identity: `aa9a5e121637f922a015a5b3b2ea42057ab13e477852a8bb6018ecff718f1106`

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 | 199.945835 | 19.197829 | 0.638198 | 0.441797 | -68.136688 | 1205 | 266 | 133 |
| Buy-and-hold | 729.209042 | 40.240540 | 0.877628 | 0.593107 | -76.629251 | 2283 | 2 | 1 |

HAC(20) mean daily excess log return: `-0.0004454097146178195`; one-sided 95% lower bound: `-0.0010911880572111428`; standard error: `0.00039260535528026986`.

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 | 199.945835 | 19.197829 | 0.638198 | 0.441797 | -68.136688 |
| 15 | primary | Buy-and-hold | 729.209042 | 40.240540 | 0.877628 | 0.593107 | -76.629251 |
| 20 | diagnostic | Strategy | 162.592000 | 16.689993 | 0.584851 | 0.388121 | -69.447237 |
| 20 | diagnostic | Buy-and-hold | 728.380245 | 40.218120 | 0.877355 | 0.592839 | -76.629251 |
| 25 | diagnostic | Strategy | 129.889974 | 14.234916 | 0.531544 | 0.334475 | -70.703885 |
| 25 | diagnostic | Buy-and-hold | 727.552275 | 40.195704 | 0.877082 | 0.592571 | -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.