spb/anomaly-atlas Public License

1{2  "experiment": "expF_multiple_testing",3  "run_utc": "2026-08-12T06:59:07.261223+00:00",4  "author": "Simon-Pierre Boucher",5  "contact": "contact@spboucher.ai",6  "data_source": "hfmarketdata.io",7  "confidence_level": 0,8  "protocol": {9    "n_boot": 500,10    "mean_block": 5.0,11    "seed": 42,12    "note": "in-sample search survival on TRAIN; OOS = expH"13  },14  "per_block": {15    "expC 2000-2007": {16      "days": 2011,17      "rules": 102,18      "naive_t196": 58,19      "rc_p": 0.001996007984031936,20      "spa_p": 0.001996007984031936,21      "spa_step1_survivors": [22        "+R:AAPL:5min",23        "+R:MSFT:5min",24        "-R:NVDA:30min",25        "+R:NVDA:5min",26        "-R:AMZN:30min",27        "+R:JPM:5min",28        "+R:XOM:1day",29        "+R:XOM:5min",30        "-R:UNH:5min",31        "+R:SPY:5min",32        "+R:QQQ:5min",33        "+R:ATRO:30min",34        "+R:ATRO:5min",35        "+R:AXDX:30min",36        "+R:HTD:30min",37        "+R:HTD:5min",38        "+R:ICUI:30min",39        "+R:ICUI:5min",40        "+R:RPM:30min",41        "+R:RPM:5min",42        "+R:SLF:30min",43        "+R:SLF:5min"44      ],45      "best_rule": "+R:HTD:5min",46      "best_daily_sharpe": 0.6602,47      "best_annualized_sharpe": 10.48,48      "dsr_sr0": 0.4949,49      "dsr": 1.050    },51    "expC 2008-2015": {52      "days": 2015,53      "rules": 138,54      "naive_t196": 68,55      "rc_p": 0.001996007984031936,56      "spa_p": 0.001996007984031936,57      "spa_step1_survivors": [58        "+R:AAPL:5min",59        "+R:MSFT:5min",60        "+R:NVDA:5min",61        "+R:AMZN:5min",62        "+R:META:5min",63        "+R:TSLA:5min",64        "+R:JPM:5min",65        "+R:XOM:5min",66        "+R:SPY:5min",67        "+R:QQQ:5min",68        "+R:ATRO:30min",69        "+R:ATRO:5min",70        "+R:AXDX:30min",71        "+R:AXDX:5min",72        "+R:BKE:5min",73        "+R:CECO:30min",74        "+R:CECO:5min",75        "+R:CKX:1day",76        "+R:CKX:5min",77        "+R:HTD:30min",78        "+R:HTD:5min",79        "+R:ICUI:30min",80        "+R:ICUI:5min",81        "+R:PBYI:5min",82        "+R:RPM:5min",83        "+R:SPB:5min"84      ],85      "best_rule": "+R:HTD:5min",86      "best_daily_sharpe": 0.639,87      "best_annualized_sharpe": 10.144,88      "dsr_sr0": 0.4028,89      "dsr": 1.090    },91    "expC 1min 2014-2015": {92      "days": 504,93      "rules": 24,94      "naive_t196": 24,95      "rc_p": 0.001996007984031936,96      "spa_p": 0.001996007984031936,97      "spa_step1_survivors": [98        "+R:MSFT:1min",99        "+R:NVDA:1min",100        "+R:AMZN:1min",101        "+R:GOOGL:1min",102        "+R:META:1min",103        "+R:TSLA:1min",104        "+R:JPM:1min",105        "+R:SPY:1min",106        "+R:QQQ:1min"107      ],108      "best_rule": "+R:TSLA:1min",109      "best_daily_sharpe": 0.695,110      "best_annualized_sharpe": 11.033,111      "dsr_sr0": 0.9135,112      "dsr": 0.0113    },114    "expD 2006-2007": {115      "days": 502,116      "rules": 38,117      "naive_t196": 38,118      "rc_p": 0.001996007984031936,119      "spa_p": 0.001996007984031936,120      "spa_step1_survivors": [121        "+L:SPY->AAPL",122        "+L:SPY->MSFT",123        "+L:SPY->NVDA",124        "+L:SPY->AMZN",125        "+L:SPY->JPM",126        "+L:SPY->XOM",127        "+L:SPY->UNH",128        "+L:SPY->QQQ",129        "+L:SPY->XLF",130        "+L:SPY->XLE",131        "+L:SPY->XLK",132        "+L:SPY->XLV",133        "+L:SPY->XLI",134        "+L:SPY->XLY",135        "+L:SPY->XLP",136        "+L:SPY->XLU",137        "+L:SPY->XLB",138        "+L:SPY->BKE",139        "+L:SPY->HTD"140      ],141      "best_rule": "+L:SPY->XLK",142      "best_daily_sharpe": 2.0004,143      "best_annualized_sharpe": 31.755,144      "dsr_sr0": 2.1664,145      "dsr": 0.0333146    },147    "expD 2014-2015": {148      "days": 504,149      "rules": 54,150      "naive_t196": 44,151      "rc_p": 0.001996007984031936,152      "spa_p": 0.001996007984031936,153      "spa_step1_survivors": [154        "+L:SPY->NVDA",155        "+L:SPY->GOOGL",156        "-L:SPY->QQQ",157        "+L:SPY->XLF",158        "+L:SPY->XLK",159        "+L:SPY->XLI",160        "+L:SPY->XLY",161        "+L:SPY->XLP",162        "+L:SPY->XLB",163        "+L:SPY->ATRO",164        "+L:SPY->AXDX",165        "+L:SPY->BKE",166        "+L:SPY->CECO",167        "+L:SPY->HTD",168        "-L:SPX->SPY",169        "-L:ES->SPY"170      ],171      "best_rule": "+L:SPY->BKE",172      "best_daily_sharpe": 0.8398,173      "best_annualized_sharpe": 13.331,174      "dsr_sr0": 0.7717,175      "dsr": 0.941176    },177    "expE train": {178      "days": 4024,179      "rules": 16,180      "naive_t196": 0,181      "rc_p": 0.8522954091816367,182      "spa_p": 0.8662674650698603,183      "spa_step1_survivors": [],184      "best_rule": "+C:turn_of_month",185      "best_daily_sharpe": 0.0171,186      "best_annualized_sharpe": 0.271,187      "dsr_sr0": 0.0194,188      "dsr": 0.442189    }190  },191  "funnel": {192    "universe_rules": 372,193    "naive_t196": 232,194    "fdr_survivors": 226,195    "spa_step1_survivors": [196      "+L:SPY->AAPL",197      "+L:SPY->AMZN",198      "+L:SPY->ATRO",199      "+L:SPY->AXDX",200      "+L:SPY->BKE",201      "+L:SPY->CECO",202      "+L:SPY->GOOGL",203      "+L:SPY->HTD",204      "+L:SPY->JPM",205      "+L:SPY->MSFT",206      "+L:SPY->NVDA",207      "+L:SPY->QQQ",208      "+L:SPY->UNH",209      "+L:SPY->XLB",210      "+L:SPY->XLE",211      "+L:SPY->XLF",212      "+L:SPY->XLI",213      "+L:SPY->XLK",214      "+L:SPY->XLP",215      "+L:SPY->XLU",216      "+L:SPY->XLV",217      "+L:SPY->XLY",218      "+L:SPY->XOM",219      "+R:AAPL:5min",220      "+R:AMZN:1min",221      "+R:AMZN:5min",222      "+R:ATRO:30min",223      "+R:ATRO:5min",224      "+R:AXDX:30min",225      "+R:AXDX:5min",226      "+R:BKE:5min",227      "+R:CECO:30min",228      "+R:CECO:5min",229      "+R:CKX:1day",230      "+R:CKX:5min",231      "+R:GOOGL:1min",232      "+R:HTD:30min",233      "+R:HTD:5min",234      "+R:ICUI:30min",235      "+R:ICUI:5min",236      "+R:JPM:1min",237      "+R:JPM:5min",238      "+R:META:1min",239      "+R:META:5min",240      "+R:MSFT:1min",241      "+R:MSFT:5min",242      "+R:NVDA:1min",243      "+R:NVDA:5min",244      "+R:PBYI:5min",245      "+R:QQQ:1min",246      "+R:QQQ:5min",247      "+R:RPM:30min",248      "+R:RPM:5min",249      "+R:SLF:30min",250      "+R:SLF:5min",251      "+R:SPB:5min",252      "+R:SPY:1min",253      "+R:SPY:5min",254      "+R:TSLA:1min",255      "+R:TSLA:5min",256      "+R:XOM:1day",257      "+R:XOM:5min",258      "-L:ES->SPY",259      "-L:SPX->SPY",260      "-L:SPY->QQQ",261      "-R:AMZN:30min",262      "-R:NVDA:30min",263      "-R:UNH:5min"264    ],265    "blocks_spa_significant": [266      "expC 2000-2007",267      "expC 2008-2015",268      "expC 1min 2014-2015",269      "expD 2006-2007",270      "expD 2014-2015"271    ],272    "dsr_by_block": {273      "expC 2000-2007": 1.0,274      "expC 2008-2015": 1.0,275      "expC 1min 2014-2015": 0.0,276      "expD 2006-2007": 0.0333,277      "expD 2014-2015": 0.941,278      "expE train": 0.442279    },280    "survival_rate": {281      "naive": 0.6237,282      "fdr": 0.6075,283      "spa_step1": 0.1828284    }285  },286  "client_stats": {287    "network_requests": 0,288    "cache_hits": 582,289    "rows_fetched": 0,290    "seconds_waiting": 0.0,291    "errors_retried": 0,292    "refreshes": []293  },294  "manifest": {295    "author": "Simon-Pierre Boucher",296    "contact": "contact@spboucher.ai",297    "project": "anomaly-atlas",298    "data_source": "hfmarketdata.io",299    "collected_utc": "2026-08-12T06:59:34.296896+00:00",300    "chip": {301      "brand": "Apple M5 Max",302      "arch": "arm64",303      "cores_total": 18,304      "cores_performance": 6,305      "cores_efficiency": 12,306      "gpu_cores": 40307    },308    "memory": {309      "unified_bytes": 51539607552,310      "unified_gb": 48.0,311      "pagesize": 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