Skip to content

m6_forward_tape_3weekends.md

Latest commit

 

History

History
40 lines (31 loc) · 1.64 KB

m6_forward_tape_3weekends.md

File metadata and controls

40 lines (31 loc) · 1.64 KB
Raw

M6 LWC forward-tape OOS — 3 weekends since freeze

Generated: 2026-05-26 13:30 UTC. Frozen artefact: lwc_artefact_v1_frozen_20260504.json (SHA-256 7b86d17a7691…, freeze date 2026-05-04). Forward window: 2026-05-01 → 2026-05-15 (n_rows = 30, n_weekends = 3).

Preliminary — fewer than 4 forward weekends accumulated; treat the headline as anecdotal until ≥ 4 weekends land. Per-symbol Kupiec is uninformative at this n.

1. Pooled OOS at every served τ

τ n realised half-width (bps) Kupiec p Christoffersen p
0.68 30 0.8667 104.6 0.0179 0.0625
0.85 30 0.9000 164.2 0.4188 0.0959
0.95 30 1.0000 286.0 0.0794 nan
0.99 30 1.0000 449.6 0.4374 nan

2. Per-symbol diagnostics at τ = 0.95

symbol n violation rate Kupiec p Berkowitz LR Berkowitz p
AAPL 3 0.0000 0.5791 nan nan
GLD 3 0.0000 0.5791 nan nan
GOOGL 3 0.0000 0.5791 nan nan
HOOD 3 0.0000 0.5791 nan nan
MSTR 3 0.0000 0.5791 nan nan
NVDA 3 0.0000 0.5791 nan nan
QQQ 3 0.0000 0.5791 nan nan
SPY 3 0.0000 0.5791 nan nan
TLT 3 0.0000 0.5791 nan nan
TSLA 3 0.0000 0.5791 nan nan

3. Reproducibility

uv run python scripts/collect_forward_tape.py
uv run python scripts/run_forward_tape_evaluation.py

The frozen artefact is read-only. To advance the freeze date (after a planned methodology refresh), re-run scripts/freeze_lwc_artefact.py with a new --date and re-run the harness.