{
  "experiment": "expF_multiple_testing",
  "run_utc": "2026-08-12T06:59:07.261223+00:00",
  "author": "Simon-Pierre Boucher",
  "contact": "contact@spboucher.ai",
  "data_source": "hfmarketdata.io",
  "confidence_level": 0,
  "protocol": {
    "n_boot": 500,
    "mean_block": 5.0,
    "seed": 42,
    "note": "in-sample search survival on TRAIN; OOS = expH"
  },
  "per_block": {
    "expC 2000-2007": {
      "days": 2011,
      "rules": 102,
      "naive_t196": 58,
      "rc_p": 0.001996007984031936,
      "spa_p": 0.001996007984031936,
      "spa_step1_survivors": [
        "+R:AAPL:5min",
        "+R:MSFT:5min",
        "-R:NVDA:30min",
        "+R:NVDA:5min",
        "-R:AMZN:30min",
        "+R:JPM:5min",
        "+R:XOM:1day",
        "+R:XOM:5min",
        "-R:UNH:5min",
        "+R:SPY:5min",
        "+R:QQQ:5min",
        "+R:ATRO:30min",
        "+R:ATRO:5min",
        "+R:AXDX:30min",
        "+R:HTD:30min",
        "+R:HTD:5min",
        "+R:ICUI:30min",
        "+R:ICUI:5min",
        "+R:RPM:30min",
        "+R:RPM:5min",
        "+R:SLF:30min",
        "+R:SLF:5min"
      ],
      "best_rule": "+R:HTD:5min",
      "best_daily_sharpe": 0.6602,
      "best_annualized_sharpe": 10.48,
      "dsr_sr0": 0.4949,
      "dsr": 1.0
    },
    "expC 2008-2015": {
      "days": 2015,
      "rules": 138,
      "naive_t196": 68,
      "rc_p": 0.001996007984031936,
      "spa_p": 0.001996007984031936,
      "spa_step1_survivors": [
        "+R:AAPL:5min",
        "+R:MSFT:5min",
        "+R:NVDA:5min",
        "+R:AMZN:5min",
        "+R:META:5min",
        "+R:TSLA:5min",
        "+R:JPM:5min",
        "+R:XOM:5min",
        "+R:SPY:5min",
        "+R:QQQ:5min",
        "+R:ATRO:30min",
        "+R:ATRO:5min",
        "+R:AXDX:30min",
        "+R:AXDX:5min",
        "+R:BKE:5min",
        "+R:CECO:30min",
        "+R:CECO:5min",
        "+R:CKX:1day",
        "+R:CKX:5min",
        "+R:HTD:30min",
        "+R:HTD:5min",
        "+R:ICUI:30min",
        "+R:ICUI:5min",
        "+R:PBYI:5min",
        "+R:RPM:5min",
        "+R:SPB:5min"
      ],
      "best_rule": "+R:HTD:5min",
      "best_daily_sharpe": 0.639,
      "best_annualized_sharpe": 10.144,
      "dsr_sr0": 0.4028,
      "dsr": 1.0
    },
    "expC 1min 2014-2015": {
      "days": 504,
      "rules": 24,
      "naive_t196": 24,
      "rc_p": 0.001996007984031936,
      "spa_p": 0.001996007984031936,
      "spa_step1_survivors": [
        "+R:MSFT:1min",
        "+R:NVDA:1min",
        "+R:AMZN:1min",
        "+R:GOOGL:1min",
        "+R:META:1min",
        "+R:TSLA:1min",
        "+R:JPM:1min",
        "+R:SPY:1min",
        "+R:QQQ:1min"
      ],
      "best_rule": "+R:TSLA:1min",
      "best_daily_sharpe": 0.695,
      "best_annualized_sharpe": 11.033,
      "dsr_sr0": 0.9135,
      "dsr": 0.0
    },
    "expD 2006-2007": {
      "days": 502,
      "rules": 38,
      "naive_t196": 38,
      "rc_p": 0.001996007984031936,
      "spa_p": 0.001996007984031936,
      "spa_step1_survivors": [
        "+L:SPY->AAPL",
        "+L:SPY->MSFT",
        "+L:SPY->NVDA",
        "+L:SPY->AMZN",
        "+L:SPY->JPM",
        "+L:SPY->XOM",
        "+L:SPY->UNH",
        "+L:SPY->QQQ",
        "+L:SPY->XLF",
        "+L:SPY->XLE",
        "+L:SPY->XLK",
        "+L:SPY->XLV",
        "+L:SPY->XLI",
        "+L:SPY->XLY",
        "+L:SPY->XLP",
        "+L:SPY->XLU",
        "+L:SPY->XLB",
        "+L:SPY->BKE",
        "+L:SPY->HTD"
      ],
      "best_rule": "+L:SPY->XLK",
      "best_daily_sharpe": 2.0004,
      "best_annualized_sharpe": 31.755,
      "dsr_sr0": 2.1664,
      "dsr": 0.0333
    },
    "expD 2014-2015": {
      "days": 504,
      "rules": 54,
      "naive_t196": 44,
      "rc_p": 0.001996007984031936,
      "spa_p": 0.001996007984031936,
      "spa_step1_survivors": [
        "+L:SPY->NVDA",
        "+L:SPY->GOOGL",
        "-L:SPY->QQQ",
        "+L:SPY->XLF",
        "+L:SPY->XLK",
        "+L:SPY->XLI",
        "+L:SPY->XLY",
        "+L:SPY->XLP",
        "+L:SPY->XLB",
        "+L:SPY->ATRO",
        "+L:SPY->AXDX",
        "+L:SPY->BKE",
        "+L:SPY->CECO",
        "+L:SPY->HTD",
        "-L:SPX->SPY",
        "-L:ES->SPY"
      ],
      "best_rule": "+L:SPY->BKE",
      "best_daily_sharpe": 0.8398,
      "best_annualized_sharpe": 13.331,
      "dsr_sr0": 0.7717,
      "dsr": 0.941
    },
    "expE train": {
      "days": 4024,
      "rules": 16,
      "naive_t196": 0,
      "rc_p": 0.8522954091816367,
      "spa_p": 0.8662674650698603,
      "spa_step1_survivors": [],
      "best_rule": "+C:turn_of_month",
      "best_daily_sharpe": 0.0171,
      "best_annualized_sharpe": 0.271,
      "dsr_sr0": 0.0194,
      "dsr": 0.442
    }
  },
  "funnel": {
    "universe_rules": 372,
    "naive_t196": 232,
    "fdr_survivors": 226,
    "spa_step1_survivors": [
      "+L:SPY->AAPL",
      "+L:SPY->AMZN",
      "+L:SPY->ATRO",
      "+L:SPY->AXDX",
      "+L:SPY->BKE",
      "+L:SPY->CECO",
      "+L:SPY->GOOGL",
      "+L:SPY->HTD",
      "+L:SPY->JPM",
      "+L:SPY->MSFT",
      "+L:SPY->NVDA",
      "+L:SPY->QQQ",
      "+L:SPY->UNH",
      "+L:SPY->XLB",
      "+L:SPY->XLE",
      "+L:SPY->XLF",
      "+L:SPY->XLI",
      "+L:SPY->XLK",
      "+L:SPY->XLP",
      "+L:SPY->XLU",
      "+L:SPY->XLV",
      "+L:SPY->XLY",
      "+L:SPY->XOM",
      "+R:AAPL:5min",
      "+R:AMZN:1min",
      "+R:AMZN:5min",
      "+R:ATRO:30min",
      "+R:ATRO:5min",
      "+R:AXDX:30min",
      "+R:AXDX:5min",
      "+R:BKE:5min",
      "+R:CECO:30min",
      "+R:CECO:5min",
      "+R:CKX:1day",
      "+R:CKX:5min",
      "+R:GOOGL:1min",
      "+R:HTD:30min",
      "+R:HTD:5min",
      "+R:ICUI:30min",
      "+R:ICUI:5min",
      "+R:JPM:1min",
      "+R:JPM:5min",
      "+R:META:1min",
      "+R:META:5min",
      "+R:MSFT:1min",
      "+R:MSFT:5min",
      "+R:NVDA:1min",
      "+R:NVDA:5min",
      "+R:PBYI:5min",
      "+R:QQQ:1min",
      "+R:QQQ:5min",
      "+R:RPM:30min",
      "+R:RPM:5min",
      "+R:SLF:30min",
      "+R:SLF:5min",
      "+R:SPB:5min",
      "+R:SPY:1min",
      "+R:SPY:5min",
      "+R:TSLA:1min",
      "+R:TSLA:5min",
      "+R:XOM:1day",
      "+R:XOM:5min",
      "-L:ES->SPY",
      "-L:SPX->SPY",
      "-L:SPY->QQQ",
      "-R:AMZN:30min",
      "-R:NVDA:30min",
      "-R:UNH:5min"
    ],
    "blocks_spa_significant": [
      "expC 2000-2007",
      "expC 2008-2015",
      "expC 1min 2014-2015",
      "expD 2006-2007",
      "expD 2014-2015"
    ],
    "dsr_by_block": {
      "expC 2000-2007": 1.0,
      "expC 2008-2015": 1.0,
      "expC 1min 2014-2015": 0.0,
      "expD 2006-2007": 0.0333,
      "expD 2014-2015": 0.941,
      "expE train": 0.442
    },
    "survival_rate": {
      "naive": 0.6237,
      "fdr": 0.6075,
      "spa_step1": 0.1828
    }
  },
  "client_stats": {
    "network_requests": 0,
    "cache_hits": 582,
    "rows_fetched": 0,
    "seconds_waiting": 0.0,
    "errors_retried": 0,
    "refreshes": []
  },
  "manifest": {
    "author": "Simon-Pierre Boucher",
    "contact": "contact@spboucher.ai",
    "project": "anomaly-atlas",
    "data_source": "hfmarketdata.io",
    "collected_utc": "2026-08-12T06:59:34.296896+00:00",
    "chip": {
      "brand": "Apple M5 Max",
      "arch": "arm64",
      "cores_total": 18,
      "cores_performance": 6,
      "cores_efficiency": 12,
      "gpu_cores": 40
    },
    "memory": {
      "unified_bytes": 51539607552,
      "unified_gb": 48.0,
      "pagesize": 16384
    },
    "ssd": {
      "model": "APPLE SSD AP2048Z",
      "size": "2 TB",
      "smart_status": "Verified"
    },
    "os": {
      "product": "macOS",
      "version": "27.0",
      "build": "26A5388g",
      "kernel": "27.0.0"
    },
    "software": {
      "python": "3.14.4",
      "numpy": "2.5.2",
      "pandas": "3.0.5",
      "polars": "1.43.2",
      "duckdb": "1.5.5",
      "statsmodels": "0.14.6",
      "arch": "8.0.0"
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    "git": {
      "commit": "b22886203558004eeea20218c7b2c7fadec07821",
      "dirty_tree": true
    }
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}