SUNTZUAIMARKETS · WAR ROOM

S&P 500 + FX COMMAND COCKPIT · TRADINGVIEW PAPER · Sunday 18 October 2026

"Every battle is won before it is fought." — position size from validated risk tiers; direction only from tested edges (none active today).

CURRENT SITUATION

AUTO-GENERATED FROM LATEST.JSONchecks for newer data every 5 min

The General is NEUTRAL (conviction 0/100): no tested directional edge is active, so any trade must come from a setup with its own rules, and the ground is contested (terrain +0.02) with size capped at ×0.5 because of the subjective 32% tail-risk estimate in the Hormuz scenario.
Shi (势, the board's stored momentum) reads -0.52 on a −2…+2 scale, advantage leaning down, -1.36 over 5 sessions: trend mixed (SPX below its 20d, below its 50d, above its 200d), breadth weak (equal-weight and small caps below their 50-day), cross-asset split (credit and dollar against, copper/gold supportive); volatility normal. It is not a validated signal (UNTESTED · failed the pre-registered backtest (direction: no edge, sizing: no edge)), so read it as context only.
SPX closed 7,659.44 on 2026-10-16 (ES 7,704.25, ATR 80 pts): resistance 50 SMA 7,706 / 20 EMA 7,731, support swing low 2026-08-24 7,638 / PWL = PDL 7,632, and last month's low 7,508 below that.
Risk flags: active geopolitical risk (Strait of Hormuz / US-Iran war); event risk 25/100; no blackout next session; next: META, TSLA, LRCX, TXN earnings Wed 21 Oct after the close; FOMC rate decision Wed 28 Oct 14:00 New York (22:00 Dubai).
Paper plan: wait for trigger on 'Buy a flush into support (preferred)' (UNTESTED); ES 7,704.25 is 39.25 pts above the 7550-7665 zone; VIX 19.99 (context [24, 28]).
Changed since the last build: no material change since the previous build.

LAST UPDATED Sun 18 Oct 2026 23:16 Dubai (GST) · Sun 18 Oct 2026 15:16 New York (ET)market data as of 2026-10-16 close · next session 2026-10-19

GENERAL

NEUTRAL

conviction 0/100 · validated signals only

GROUND

Contested Ground

terrain +0.02 · sets size, not direction

SIZE

HALF ×0.5

base full ×1.0 → capped ×0.5 by risk officer

base tier full on 120/120 recent sessions

RISK OFFICER

TRADE · CAPPED

▲ Tail risk 32% (Hormuz, subjective) → max half

▲ Neutral: only setups with their own tested rules

NEXT HIGH-IMPACT EVENT

3d 0h

META, TSLA, LRCX, TXN earnings · Wed 21 Oct

FOMC in 9d 22h · 14:00 ET = 22:00 GST

DATA

as of 2026-10-16

built 18 Oct 23:16 GST · next session 2026-10-19

41 series · 0 fetch failures

SHI 势 · STRATEGIC POTENTIAL OF THE BOARD

UNTESTEDUNTESTED · failed the pre-registered backtest (direction: no edge, sizing: no edge) · context only, never sets direction

−0.52of ±2 · gauge 37/100

advantage leaning down

5-session change −1.36 · normal

120 sessions

TREND ALIGNMENT 20/50/200dweight 30%+0.00

vs 20d -1vs 50d -1vs 200d +150d vs 200d +1

SPX 7,659.44 vs 20d 7,739 / 50d 7,706 / 200d 7,271

BREADTH (RSP, IWM, RSP/SPY)weight 20%−1.00

RSP vs 50d -1IWM vs 50d -1RSP/SPY vs 50d -1

equal-weight and small caps vs their 50d; RSP/SPY ratio vs its 50d (proxy: % of members above 50d is not available free)

CROSS-ASSET CONFIRMATIONweight 30%−0.20

vix term +0credit HYG/IEF -1dollar -1yields +0copper/gold +1

VIX/VIX3M 0.975; HYG/IEF vs 50d; DXY vs 50d; 10y 20d change +0.10 pp; copper/gold vs 50d

VOLATILITY ENERGYweight 20%+0.00

rv10 over rv60 0.95

RV10/RV60 0.95: normal

Shi = 2 × weighted mean of four components (each −1…+1). Breadth uses ETF proxies because point-in-time % of S&P members above the 50-day is not available free. Rules: docs/indicators_preregistration.md · as of 2026-10-16.

INDICATOR LAB

0 / 12 PASSED

Indicator	Use	IS t	HO t	HO Sharpe	Verdict
SHI composite	direction	−0.17	−1.53	−0.06	NO EDGE
SHI composite	sizing	−0.38	−1.03	0.81	NO EDGE
Breadth thrust	direction	+0.36	+1.41	0.55	TOO FEW TRADES
Breadth thrust	sizing	+0.36	+1.41	0.82	TOO FEW TRADES
Credit spread trend	direction	+0.19	−1.21	−0.08	NO EDGE
Credit spread trend	sizing	+0.19	−1.21	0.76	NO EDGE
VIX term-structure regime	direction	+0.29	−1.69	0.18	NO EDGE
VIX term-structure regime	sizing	+0.29	−1.69	0.69	NO EDGE
Dollar / yields stress gauge	direction	+0.63	+0.56	0.51	NO EDGE
Dollar / yields stress gauge	sizing	−0.52	+0.07	0.76	NO EDGE
Vol-compression breakout	direction	−0.44	+0.68	0.68	NO EDGE
Vol-compression breakout	sizing	+0.09	+1.08	0.79	NO EDGE

Pre-registered before the run; holdout 2019 → Oct 2026 run once. t = net timing alpha (20-day blocks). Pass needs IS t ≥ 2, holdout t ≥ 1, validation > 0 and a holdout Sharpe above every benchmark (holdout Sharpe: BH 0.78 · B1 0.73 · B3 0.85). Fails feed the Oracle edge ledger as failed.

GULF WATCH · SAUDI / GULF SECURITY

EVENT STUDY · UNTESTEDNO ALERTupdated 2026-10-18T19:16Z UTC · WTI CLX26.NYM

TENSION56/100 HIGH4 events / 7d · raw 8.1

MARKETPARTLY REACTINGscore +0.72

USD/SAR3.7527812m fwd 207.5 pts (rate carry ≈ 350)

Time (UTC)	Event (source)	Type	Sev	Status	WTI 1h / 1d %	Brent 1h / 1d %	Gold 1h / 1d %	KSA 1h / 1d %	OVX 1h / 1d %	USDSAR 1h / 1d %	Reaction z
2026-10-17 23:00Z	UAE resumes anti-Houthi funding with Saudi air cover	ceasefire/diplomacy	2	UNVERIFIED	— / —	— / —	— / —	— / —	— / —	— / —	—
2026-10-17 12:00Z	Houthi strike on Riyadh King Khalid airport, 12-17 reported killed	airport/civil	4	UNVERIFIED	— / —	— / —	— / —	— / —	— / —	— / —	—
2026-10-16 00:00Z	France deploys forces to protect Yanbu (Red Sea oil export hub)	shipping	3	UNVERIFIED	−0.27 / +3.88	−0.22 / +4.01	+0.01 / +0.10	+0.11 / −0.14	+3.28 / +3.28	+0.03 / +0.02	+1.58
2026-10-15 15:00Z	Houthi strikes incl. claimed damage to Aramco HQ	oil_strike	4	UNVERIFIED	+1.03 / +0.89	+0.67 / +0.45	−0.20 / +0.66	+0.21 / +0.39	+1.05 / +1.05	+0.03 / +0.02	+0.08

Latest prints: WTI 101.41 (+3.51% stale) · Brent 109.86 (+3.72% stale) · Gold 4181.1 (+0.26% stale) · KSA 35.11 (-0.14% stale) · USDJPY 157.987 (+0.02% stale) · OVX 48.92 (+1.07% stale) · VIX 19.98 (+21.39% stale) · USDSAR 3.75278 (-0.01% stale). Reactions are % moves from the last print before the event to +1h / +1d (the reopen print if the market was closed). z = risk-signed move ÷ 20-day vol (oil, gold, OVX, VIX, USD/SAR up; KSA down). Tension = Σ severity × 0.5^(age/72h). Alert rules: severity>=4 event in last 2h; WTI or Brent |day move|>=3%; OVX >= +15% in a day; USD/SAR spot outside 3.7450-3.7550; SAR 12m fwd >= 500 pts. Events are logged reports (X summaries are unverified), not facts; nothing here is a tested trading signal.

STRUCTURAL EDGE LAB · S&P

1 / 10 PASSEDpre-registered docs/structural_preregistration_2026-10-18.md · report structural_2026-10-18.md

ID	Test	Edge	IS t	Val t	HO t	HO Sharpe	HO max DD	Trades	Spread-bet HO bps	Tradable at size	Verdict
T1	Turn-of-month long	1 Calendar flows	+0.09	−0.41	+1.16	0.77	−12.4%	261	+15.5	NO	NO EDGE
T2	Pre-FOMC drift long	1 Calendar flows	+2.38	−0.67	−0.42	−0.03	−5.1%	174	−8.5	NO	WEAK
T3	Overnight-only long	2 Overnight vs intraday	−2.78	−0.63	+0.71	0.25	−29.9%	5482	−9.1	NO	NO EDGE
T4	Opex-week long	3 Option expiry	−0.07	+0.25	−1.63	−0.20	−31.4%	262	−53.3	NO	NO EDGE
T5	Week-after-opex short	3 Option expiry	−1.25	−0.77	−2.08	−0.82	−43.8%	261	−53.8	NO	NO EDGE
T6	Opex-day long	3 Option expiry	+0.08	−1.88	−1.61	−0.37	−10.7%	262	−17.9	NO	NO EDGE
T7	VRP exposure overlay	4 Volatility risk premium	+0.32	+1.55	−0.81	0.61	−23.9%	719	—	NO	NO EDGE
T8	SVXY with contango filter	4 Volatility risk premium	+2.25	+0.99	+1.40	0.43	−57.9%	91	—	NO	EDGE
T9	VIX-spike reversal long	5 Shock reversals	−0.21	−0.97	−1.05	−0.20	−28.1%	107	−64.0	NO	NO EDGE
T10	SPX −2% day reversal long	5 Shock reversals	+0.03	−0.22	−0.71	−0.04	−25.4%	145	−40.6	NO	NO EDGE

Forward paper: T8 (SVXY in contango) passed but is MONITOR-ONLY paper: not tradable at Tao's accounts (UK retail PRIIPs; no MES/US500 equivalent), Sharpe 0.43 below buy-and-hold 0.78 in the holdout, max DD -58%, the pass depends on exiting at the 5 Feb 2018 close (one day later: -88% day, max DD -93%), and the 0.95 / VIX<20 sensitivity variants fail. T2 pre-FOMC stays 'testing' (IS t 2.38, validation and holdout negative). Everything else: no edge.

IS 2005–2014 · validation 2015–2018 · holdout 2019 → now, run once. Pass = IS t ≥ 2, holdout t ≥ 1, validation mean > 0, net of MES costs (spread-bet costs shown). t is per trade (event tests) or per 20-session block (T3/T7/T8). Holdout Sharpe benchmarks: BH 0.78 · B1 0.73 · B3 0.85. All verdicts feed the Oracle edge ledger.

SHORT LAB · SAUDI RESEARCH

0 / 5 PASSEDpre-registered docs/shorting_preregistration_2026-10-18.md · report shorting_2026-10-16.md

Saudi riyal: DO NOT SHORT SAR. Forwards price essentially no depeg premium; the trade is a negative-carry lottery ticket that is hard to access for UK retail.

Saudi stocks: No tested edge (S5 cannot be tested: no free pre-2015 history). Saudi stocks are already at a 43-month low with foreign selling; a short is a crowded, oil-inverse-in-war-time bet available only via the KSA ETF CFD. Not recommended at £700.

ID	Short setup	Instrument	IS n	IS t	Val mean	HO n	HO t	Spread-bet HO bps	HO Sharpe	HO max DD	Tradable at size	Verdict
S1	S&P 200-day breakdown + VIX rising	SPY / MES / US500	25	−1.37	+133.8	11	+0.14	+23.7	0.02	−9.8%	NO	TOO FEW TRADES
S2	S&P failed rally under 50-day	SPY / MES / US500	54	−0.57	−0.9	35	−1.22	−111.3	−0.46	−34.1%	NO	NO EDGE
S3	S&P short on credit stress (HYG/IEF)	SPY / MES / US500	32	−2.32	−103.1	14	+0.53	+70.1	0.05	−19.9%	NO	TOO FEW TRADES
S4	Oil spike-exhaustion short	USO-tracked WTI / MCL / oil spread bet	6	−1.85	−531.6	15	−0.74	−141.8	−0.26	−36.9%	NO	TOO FEW TRADES
S5	KSA (Saudi ETF) short after oil breakdown	KSA ETF share CFD/spread bet (IG UK)	0	—	+65.2	22	−3.31	−220.7	−0.70	−39.1%	NO	TOO FEW TRADES

Short only; bps per trade net of MES / MCL / KSA costs; spread-bet column includes financing (a US500 short currently RECEIVES ≈ IRX − 2.5%). Signals firing on the last close (untested): S3.

Parallel trades in Saudi peg-stress / war episodes (EVENT STUDY · small sample · untested): oil-collapse: Gold ↑ +2.3%, USDJPY ↓ -2.1%, USDCAD ↑ +7.2%, USDNOK ↑ +7.0%, WTI ↓ -57.2%, VIX ↑ +42.8%, OVX ↑ +279.8%, SPX ↓ -10.1%, KSA ↓ -17.9% · war/geopolitical: USDJPY ↑ +1.0%, EURCHF ↑ +0.3%, USDCAD ↑ +0.9%, VIX ↑ +14.8%, OVX ↑ +24.0%

TRADINGVIEW PAPER TRADING · S&P (MES)

PAPER · $10Kledger/paper_trades.csv · fills logged by the paper-trade routine · marks from ES daily close (Yahoo ES=F); TradingView fills are logged by the routine

EQUITY$9,999.98start $9,999.98 · realised +0.00 · open +0.00

CLOSED0

WIN RATE—

AVG R—

OPEN RISK$0

OPEN POSITION

Flat: no open paper position.

CURRENT RECOMMENDED TRADE

Buy a flush into support (preferred)WAIT FOR TRIGGERUNTESTED

SIDElong

ENTRY TRIGGERES trades into 7,550–7,665, then a reversal day: close in the top half of the day's range AND above the prior day's high; enter at that close

STOP≈40 pts below the reversal low (if the low is the zone bottom: 7,510)

TARGETSPX 7,706–7,731 (≈ ES 7,751–7,776 at today's basis +45)

SIZE1 MES (smallest unit; the risk officer cap ×0.5 cannot be halved further). Risk = (entry − stop) × $5: example 98 pts ≈ $488 = 4.9% of $10,000 — above a 2% cap; on a real account this would be skipped or need a tighter stop

WHERE PRICE ISES 7,704.25 is 39.25 pts above the 7550-7665 zone; VIX 19.99 (context [24, 28])

Setup rules come from chart reading; they have not passed the pre-registered backtest rule. Paper only. Setups expire 2026-11-13.

TRADE LOG

ID	Entry (NY)	Mkt	Side	Setup	Label	Entry	Stop	Exit	P&L $	R	Exit
No paper trades logged yet. The paper-trade routine (or you) logs fills with python -m suntzuaimarkets paper log --setup … --side long --entry … --stop … --target … and closes with paper close --id … --exit ….

BATTLEFIELD · KEY LEVELS

ES basis today +44.81 pts (ES − SPX, 16 Oct closes)

currentresistancesupportpaper setupCTA flip (model)positioning flow

Far CTA flips (model, not reported positions): CTA 120d flip → sell at 7,138.80 (−6.80%); CTA 250d flip → sell at 6,735.13 (−12.07%)

PAPER SETUPS

1 MES each · 10-19 → 11-13 · TradingView Paper Trading, $9,999.98, 1 MES per setup · computed from daily data (2026-10-16), not read from TradingView

Buy a flush into support (preferred)WAITING

distance to zone39.25 pts≈ 0.49 ATR

zone ES 7,550–7,665 · VIX context 24–28 · target SPX 7,706–7,731 · stop ~40 pts below reversal low

UNTESTED IDEA

ES 7,704.25 is 39.25 pts above the 7550-7665 zone; VIX 19.99 (context [24, 28])

Buy if price reclaims the 50-dayWAITING

distance to trigger45.75 pts≈ 0.57 ATR

close > 7,750 & VIX < 18 · stop 7,665 · targets 7,810 / 7,887 / 7,897.5

UNTESTED IDEA

needs ES close > 7750 (now 7,704.25, 45.75 pts away) with VIX < 18 (now 19.99)

MODULE SCORES

−2 … +2

TERRAIN+0.02

−20+2

confidence 57%

contested ground

trend +0.4volatility +0.5credit −0.5rates −0.5oil +0.0dollar −0.5breadth +0.0semis −1.0

120 sessions

ENEMY (positioning)+0.20

−20+2

confidence 70%

term_structure +0.0put_call +0.0cot_lev_funds +0.5cot_asset_mgr +0.0dist_52w_high +0.5

120 sessions

BOARD (price structure)−1.00

−20+2

confidence 45%

SPX closed below last week's range, 22% of day's range; 45% up the 2-month range

120 sessions

EVENTS−0.83

−20+2

confidence 30%

Within 5 sessions: META, TSLA, LRCX, TXN earnings 2026-10-21 (2 sess.); scenario-tree EV -0.83% SPX

no daily history kept for this module

FORCED FLOW (game theory)−0.37

−20+2

confidence 30%

forced flow -0.37 = CTA -0.50 + 0.5 x vol-control +0.26 + dealers +0.00 (neutral / transition)

120 sessions

CONTEXT LEAN−0.50

−20+2

UNVALIDATEDcontext only — does not set the stance

ex-events, 120 sessions

INTELLIGENCE · PLAYER MAP

forced flow −0.37 = CTA -0.50 + 0.5 x vol-control +0.26 + dealers +0.00 (neutral / transition) · stance score = player's own positioning

DEALERS +0.00

neutral / transition

→ If VIX/VIX3M rises above 1.00 (now 0.975) or VIX > 25 (now 19.99), hedging turns pro-cyclical: they…

→ Below the 2-month low 7,507.77, downside hedging demand likely accelerates

flow +0.00conf 30%

proxy: VIX level + VIX/VIX3M (no free gamma data)

CTAs +2.00

signal +1.00 (-1 max short .. +1 max long), est. exposure +1.00 at realised vol 10.5%

→ 20d flips to SELL unless SPX closes > 7,764.70 (+1.37%)

→ If SPX stays at 7,659.44 for 5 sessions, the modelled signal change is -0.50 (selling)

flow −0.50conf 45%

proxy: 4-lookback trend model, 15% vol target (model, not…

VOL-CONTROL −0.09

est. equity exposure 0.96x of target (cap 1.5)

→ Each further rise in realised vol forces selling; a quiet week lets them re-lever (flat-week flow…

flow +0.13conf 40%

proxy: 10% vol target on realised 20d SPX vol

LEVERAGED FUNDS −1.10

net -408,726 contracts (pctile 23 of 3y), 4-week change -115,583

→ Short-covering pressure if SPX rallies through the prior-week high 7,821.67 (caveat: much of this short…

flow +0.00conf 30%

proxy: CFTC TFF E-mini net, report 2026-10-13

ASSET MANAGERS −0.37

net long 915,835 (pctile 41 of 3y, 47% of OI), 4-week change +11,151

→ Month-end / quarter-end rebalancing: sell equities after strong months, buy after weak ones (Oct…

flow +0.00conf 30%

proxy: CFTC TFF E-mini net

THE FED −1.08

hawkish (hikes priced): target 3.75-4.00%, EFFR 3.88%, ~27 bp of hikes priced over the…

→ FOMC 10-28: P(hike) 16% · implied 3.92%

→ FOMC 12-09: P(hike) 92% · implied 4.15%

flow +0.00conf 50%

proxy: EFFR, target range, 30-day fed funds futures, 2-year yield

RETAIL −0.39

equity P/C 10d avg 0.601 (pctile 60 of ~1y)

→ Leveraged long-ETF and 0DTE call holders are forced sellers on sharp gap-downs (margin / decay)

flow +0.00conf 20%

proxy: CBOE equity put/call (AAII: not freely downloadable ->…

missing: AAII sentiment survey (aaii.com returns 403)

SCENARIO TREES

probability × impact = expected value · estimates, not forecasts

FOMC decision 28 Oct 2026

EXPECTED SPX−0.17%

EXPECTED OIL−0.16%

P(SPX ≤ −2%)0%

HORIZONdecision day reaction (28-29…

Hike 25 bp

16%

SPX −1.5%

oil −1%

market-implied

Hold, signals December hike (hawkish hold)

55%

SPX −0.3%

oil +0%

subjective

Hold, patient / data-dependent (December odds fall)

29%

SPX +0.8%

oil +0%

subjective

mixed: market-implied + subjective · 4 cited sources · updated 2026-10-18 20:58 GST

Strait of Hormuz / US-Iran, next ~2 weeks (to the 3 Nov US midterms)

EXPECTED SPX−0.66%

EXPECTED OIL+2.19%

P(SPX ≤ −2%)32%

HORIZON2 weeks

Grinding status quo (attacks continue, flows 65-80% of pre-war, no…

55%

SPX +0.0%

oil +0%

subjective

Limited escalation (tit-for-tat strikes, more Gulf infrastructure…

25%

SPX −2.0%

oil +8%

subjective

Major escalation / effective closure > 2 weeks

SPX −6.0%

oil +25%

subjective

Interim deal / credible de-escalation before the midterms

13%

SPX +2.0%

oil −12%

subjective

subjective · 6 cited sources · updated 2026-10-18 20:58 GST

EVENT CALENDAR

event risk 25/100

DATEEVENTNEW YORKDUBAIIN

Wed 21 Oct META, TSLA, LRCX, TXN earningsafter close~00:00 +1d3d 0h

Wed 28 Oct FOMC rate decision14:0022:009d 22h

Fri 30 Oct Month-end rebalancing (asset managers)close~00:00 +1d12d 0h

Tue 03 Nov US midterm elections (Hormuz window ends)all day—15d 19h

Fri 13 Nov Paper setups expireclose~01:00 +1d26d 1h

Fri 20 Nov Monthly options expiryclose~01:00 +1d33d 1h

Wed 09 Dec FOMC rate decision (P hike 92%)*14:0023:0051d 23h

NO BLACKOUT TODAY No scheduled no-trade window for the next session.

* standard 14:00 ET FOMC time. "after close" = 16:00 ET. Earnings and FOMC from events.yaml; Dec FOMC odds from fed funds futures.

BACKTEST SCOREBOARD

edge: IS mean>0 & t>=2 AND OOS mean>0 & t>=1; weak: one side only t>=2; insufficient: IS n<30 or OOS n<20

Signal	Family	Side	IS n	IS mean	IS t	OOS n	OOS mean	OOS t	Verdict	Now
C1_cot_levfunds_crowded_short_5d	contrarian	long	29	+0.65	+1.98	59	−0.04	−0.13	TOO FEW TRADES	·
C1_cot_levfunds_crowded_short_10d	contrarian	long	18	+1.26	+2.58	34	−0.39	−0.67	TOO FEW TRADES	·
C2_cot_levfunds_crowded_long_5d	contrarian	short	79	−0.07	−0.30	27	−0.01	−0.02	NO EDGE	·
C2_cot_levfunds_crowded_long_10d	contrarian	short	50	+0.03	+0.07	16	−1.15	−1.23	TOO FEW TRADES	·
C3_vix_spike_in_uptrend_5d	contrarian	long	46	+0.09	+0.25	31	−0.33	−0.55	NO EDGE	● firing
C3_vix_spike_in_uptrend_10d	contrarian	long	40	+0.35	+0.66	27	+0.33	+0.37	NO EDGE	● firing
C4_vix_inversion_in_uptrend_5d	contrarian	long	50	+0.48	+1.49	19	−0.14	−0.14	TOO FEW TRADES	·
C4_vix_inversion_in_uptrend_10d	contrarian	long	40	+0.59	+1.06	15	+0.54	+0.42	TOO FEW TRADES	·
C5_close_below_prior_week_low_uptrend_5d	contrarian	long	108	+0.18	+0.92	67	+0.26	+1.01	NO EDGE	● firing
C5_close_below_prior_week_low_uptrend_10d	contrarian	long	91	+0.50	+1.86	56	−0.03	−0.06	NO EDGE	● firing
C6_putcall_fear_extreme_5d	contrarian	long	0	—	—	11	+0.30	+0.53	TOO FEW TRADES	·
C6_putcall_fear_extreme_10d	contrarian	long	0	—	—	6	−0.04	−0.03	TOO FEW TRADES	·
C7_board_score_washout_5d	contrarian	long	177	+0.43	+1.91	83	−0.20	−0.56	NO EDGE	● firing
C7_board_score_washout_10d	contrarian	long	134	+0.68	+2.10	64	−0.22	−0.42	WEAK	● firing
C8_cot_assetmgr_crowded_long_5d	contrarian	short	33	+0.59	+1.41	64	+0.15	+0.56	NO EDGE	·
C8_cot_assetmgr_crowded_long_10d	contrarian	short	21	+0.74	+1.25	37	+0.14	+0.33	TOO FEW TRADES	·
F1_forced_flow_positive	forced flow	long	155	−0.04	−0.18	83	−0.16	−0.46	NO EDGE	—
F2_forced_flow_negative	forced flow	short	99	−0.32	−1.25	35	−0.54	−1.27	NO EDGE	—
M1_intraday_momentum_all	intraday	intraday	1220	−1.99	−2.14	672	−0.95	−1.11	NO EDGE	·
M2_intraday_momentum_high_vol	intraday	intraday	375	−4.87	−2.26	227	−4.09	−2.50	NO EDGE	·
M3_momentum_r1_r12_agree	intraday	intraday	604	−0.91	−0.69	354	−1.05	−0.91	NO EDGE	·
M1_vix20_filter	intraday	intraday	578	−2.57	−1.44	121	−1.51	−0.51	NO EDGE	·
G1_gap_fade_small_0.1-0.5ATR	intraday	intraday	708	−0.57	−0.36	363	−2.00	−1.18	NO EDGE	·
G2_gap_fade_large_ge0.5ATR	intraday	intraday	278	−6.22	−1.12	161	+9.25	+1.55	NO EDGE	·
G1_vixlt20_filter	intraday	intraday	380	−0.15	−0.10	308	−0.71	−0.45	NO EDGE	·
L1_failed_PDL_breakdown_long	levels	intraday	—	—	—	—	—	—	NO EDGE	—
L2_failed_PDH_breakout_short	levels	intraday	—	—	—	—	—	—	NO EDGE	—
L3_opening_range_breakout	levels	intraday	—	—	—	—	—	—	NO EDGE	—

Means: excess % per trade vs base (daily signals) or net bps per trade (intraday). IS = 2005–2018-style in-sample, OOS = unseen data.

RISK REDUCTION ONLY

Full-system strategy, 2019 → Oct 2026 holdout (run once)

	CAGR	Sharpe	Max DD
Buy & hold	17.1%	0.78	−33.7%
System size tiers (3-day hold)	14.4%	0.90	−18.6%
Plain vol target	14.2%	0.85	−19.0%
200-day trend filter	11.5%	0.73	−21.0%

Sharpe vs buy & hold 90% CI [−0.21, 0.43] · vs vol target [−0.13, 0.23] — both include 0. Walk-forward beat B&H in 2 of 17 years.

SIZING WORKS (OOS)

Risk the market carries, by size tier (unseen 2019–2026)

TIER ×1.02.48%10d std · n 1,485 · MAE p10 −4.23%

TIER ×0.54.65%10d std · n 347 · MAE p10 −7.48%

TIER ×0.06.79%10d std · n 117 · MAE p10 −8.77%

Rank correlation of cell std IS→OOS 0.9. No-trade days also had the best average rebounds.

STRESS PERIODS

Return in each stress period

Period	B&H	System	Vol tgt	200d
2008	−36.9%	−12.4%	−19.3%	+1.3%
2020	+18.3%	+6.6%	+11.5%	+15.1%
2022	−18.2%	−17.0%	−15.1%	−15.1%
2025-26	+32.7%	+33.9%	+23.0%	+18.8%

Cost: missed rebounds (60 sessions after the low)

Low	B&H	System
2009-03-09	+38.4%	+1.6%
2018-12-24	+19.7%	+8.9%
2020-03-23	+39.8%	+3.7%
2022-10-12	+9.3%	+0.6%
2025-04-08	+25.4%	+19.7%

MATHEMATICAL ORACLE

LIVEthe Mathematician: edge, Kelly, risk of ruin, path to 1,000% (11×) · run 2026-10-18 23:12 GST

EDGE PER TRADE (best candidate)+0.031 R P0_ORB_stop_mid · 90% CI [−0.033, +0.095]

NO EDGE 1 PASSED

KELLY SIZENO BET candidate: full 3.3%, half 1.7%, CI-lower 0.0% of equity risked buy & hold Kelly leverage: full 2.82×, half 1.41× · 1 MES on $10k = 3.83× (above full Kelly)

RISK OF RUIN · 1 MES, 5 YEARS (Monte Carlo)49% chance of −50% P(−90%) 8.2% · median outcome 2.04× · 5th pct 0.14× · expected max DD 76%

PATH TO 1,000% (11×)NOT REACHABLE with current edge buy & hold: 28.5 yrs unlevered · 19.1 yrs at 1 MES · P(11× before −50%, 5y, 1 MES) 18%

IDEA LAB

40 failed 15 testing 2 baseline 1 passed 1 untested

fade last half hour highvolTESTING

fibonacci 618 bounceFAILED

elliott wave countPARKED

gann time price squarePARKED

vix term structure inversionFAILED

turn of monthQUEUED

ind shi compositeFAILED

ind breadth thrustTESTING

ind credit trendFAILED

ind vix term regimeFAILED

ind dollar yield stressFAILED

ind vol compression breakoutFAILED

str turn of monthFAILED

str pre fomc driftTESTING

str overnight onlyFAILED

str opex week longFAILED

str week after opex shortFAILED

str opex day longFAILED

str vrp overlayFAILED

str svxy contangoPASSED

str vix spike reversalFAILED

str spx drop reversalFAILED

short spx 200d break vixINSUFFICIENT DATA

short failed rallyFAILED

short credit stressINSUFFICIENT DATA

short oil spike exhaustionINSUFFICIENT DATA

short ksa oil breakdownINSUFFICIENT DATA

discipline score: insufficient data (needs >= 20 journalled trades)

FX FRONT · STANCE PER PAIR

NO VALIDATED FX EDGElevels from hourly bars at the 17:00 New York cut · direction only from validated strategies; terrain/enemy/lean are context · run 2026-10-18 22:21 GST

EURUSD1.12423NEUTRALSIZE FULL

1w +0.33% · 1m −1.96% · 20d ↓ 50d ↓ 200d ↓ · vol 5.4% (normal) · ATR 74 pips

TERRAIN−1.13

ENEMY (COT)+1.76

CONTEXT LEAN+0.32

week 1.1117 – 1.1273 · 200d 1.1590 · 52w 1.1159 – 1.2044

next: ECB 10-29 · Fed 10-28

Speculators (CFTC) TFF lev+asset mgr +131,917 in the foreign ccy, 6th pct 3y (2026-10-13); legacy non-comm 1th pct

Central banks ECB 2.50 deposit (FRED ECBDFR) next 2026-10-29; Fed 3.75-4.00 target range (FRED DFEDTARL/U 18 Oct 2026; EFFR 3.88)…

Carry traders short-rate diff -1.24%; 2y diff -1.69 pts

Trend followers (CTA) 3/12m momentum signal -1.0

strategy signals (unvalidated):FX1 -1.0FX2 -1.0FX3 -1.0FX4 +1.0

no validated FX direction edge; context lean is information only

GBPUSD1.33292NEUTRALSIZE FULL

1w +0.72% · 1m −0.38% · 20d ↑ 50d ↓ 200d ↓ · vol 5.8% (calm) · ATR 78 pips

TERRAIN−0.15

ENEMY (COT)+1.92

CONTEXT LEAN+0.88

week 1.3139 – 1.3371 · 200d 1.3436 · 52w 1.3021 – 1.3850

next: BoE 11-05 · Fed 10-28

Speculators (CFTC) TFF lev+asset mgr -135,422 in the foreign ccy, 2th pct 3y (2026-10-13); legacy non-comm 1th pct

Central banks BoE 3.75 Bank Rate (BoE IUDBEDR) next 2026-11-05; Fed 3.75-4.00 target range (FRED DFEDTARL/U 18 Oct 2026; EFFR 3.88)…

Carry traders short-rate diff -0.01%; 2y diff +0.06 pts

Trend followers (CTA) 3/12m momentum signal -1.0

strategy signals (unvalidated):FX1 +0.0FX2 -1.0FX3 -1.0FX4 +1.0

no validated FX direction edge; context lean is information only

USDJPY157.987NEUTRALSIZE FULL

1w −0.16% · 1m +1.12% · 20d ↑ 50d ↑ 200d ↓ · vol 5.1% (calm) · ATR 85 pips

TERRAIN+1.12

ENEMY (COT)+1.16

CONTEXT LEAN+1.14

week 157.54 – 158.95 · 200d 158.50 · 52w 150.42 – 163.85

INTERVENTION warning 159.0 (+101 pips) · action 160.0 (+201 pips)

next: Fed 10-28 · BoJ 10-30

Speculators (CFTC) TFF lev+asset mgr +32,146 in the foreign ccy, 79th pct 3y (2026-10-13); legacy non-comm 69th pct

Central banks Fed 3.75-4.00 target range (FRED DFEDTARL/U 18 Oct 2026; EFFR 3.88) next 2026-10-28; BoJ ~1.0 (call money 1.04%, OECD…

Carry traders short-rate diff +2.70%; 2y diff +2.86 pts

Trend followers (CTA) 3/12m momentum signal +0.0

Japan MoF warning zone 159.0, action line 160.0 (MoF Katayama 15 Oct ('act without hesitation'); joint intervention in July…

strategy signals (unvalidated):FX1 +0.0FX2 +0.0FX3 -1.0FX4 -0.0

no validated FX direction edge; context lean is information only

AUDUSD0.69478NEUTRALSIZE FULL

1w −0.55% · 1m −2.00% · 20d ↓ 50d ↓ 200d ↓ · vol 6.3% (calm) · ATR 48 pips

TERRAIN−0.36

ENEMY (COT)+0.40

CONTEXT LEAN+0.02

week 0.6899 – 0.7015 · 200d 0.7044 · 52w 0.6442 – 0.7261

next: RBA 11-03 · Fed 10-28

Speculators (CFTC) TFF lev+asset mgr -65,329 in the foreign ccy, 40th pct 3y (2026-10-13); legacy non-comm 35th pct

Central banks RBA 4.60 cash rate (effective 30 Sep 2026) next 2026-11-03; Fed 3.75-4.00 target range (FRED DFEDTARL/U 18 Oct 2026;…

Carry traders short-rate diff +0.61%; 2y diff +0.15 pts

Trend followers (CTA) 3/12m momentum signal +0.0

strategy signals (unvalidated):FX1 +0.0FX2 +0.0FX3 +0.0FX4 +0.0

no validated FX direction edge; context lean is information only

USDCAD1.41372NEUTRALSIZE FULL

1w −0.81% · 1m +1.08% · 20d ↓ 50d ↑ 200d ↑ · vol 4.2% (normal) · ATR 72 pips

TERRAIN+0.81

ENEMY (COT)−0.24

CONTEXT LEAN+0.28

week 1.4131 – 1.4300 · 200d 1.3874 · 52w 1.3489 – 1.4279

next: Fed 10-28 · BoC 10-28

Speculators (CFTC) TFF lev+asset mgr -118,916 in the foreign ccy, 44th pct 3y (2026-10-13); legacy non-comm 74th pct

Central banks Fed 3.75-4.00 target range (FRED DFEDTARL/U 18 Oct 2026; EFFR 3.88) next 2026-10-28; BoC 2.25 (call money 2.24%, OECD…

Carry traders short-rate diff +1.50%; 2y diff +1.57 pts

Trend followers (CTA) 3/12m momentum signal +1.0

strategy signals (unvalidated):FX1 +1.0FX2 +1.0FX3 -1.0FX4 -0.0

no validated FX direction edge; context lean is information only

DXY101.84CONTEXT

1w −0.36% · 1m +1.53% · 200d 99.47 · week 101.58 – 102.95

CFTC lev+asset mgr +20,240 (86.0th pct 3y, 2026-10-13) · Yahoo daily close (lags a session)

FX BACKTEST SCOREBOARD

PRE-REGISTERED · HOLDOUT RUN ONCEholdout 2019 → Oct 2026 · spread-bet costs: spreads 0.8–1.25 pips + financing = rate differential − 2.5% admin · docs/fx_preregistration.md

Strategy	Ann. return (net)	Sharpe (net)	90% CI	Sharpe before spread/admin	Walk-forward Sharpe	Verdict	Survives costs
FX1_carry_trend	−1.28%	−0.35	[−0.90, +0.21]	−0.03	−0.43	NO EDGE	NO
FX2_tsmom_3_12	−2.36%	−0.40	[−1.01, +0.18]	+0.02	−0.56	NO EDGE	NO
FX3_xsmom	−3.34%	−0.99	[−1.68, −0.36]	−0.17	−0.19	NO EDGE	NO
FX4_cot_contrarian	−0.26%	−0.09	[−0.60, +0.46]	+0.34	+0.10	NO EDGE	NO

NOT TESTED: no reliable free point-in-time archive of ECB/BoE/BoJ/RBA/BoC meeting dates back to 2004 was assembled; skipped rather than reconstructed from memory (optional item 5).

Historical check (sanity_2026-10-18, 2005-01-03 to 2026-10-16): terrain score vs forward SPX returns 5-day IC -0.087 (t -2.89), 10-day IC -0.104 (t -2.45). Higher terrain scores were followed by slightly LOWER returns: terrain measures risk/dispersion, not direction. Phase 2 therefore uses terrain only for position SIZE, never for direction.

Sources: 41 series (Yahoo, FRED, CBOE, CFTC); latest observations 2026-10-13, 2026-10-15, 2026-10-16. Model / estimate labels: CTA levels are a 4-lookback trend model; scenario probabilities are subjective unless marked market-implied; player stances are proxies. Built from reports/latest.json (schema 2.6) by warroom/build.py.