5.2 KiB
R2-H — HORIZON-BOUNDARY EXPERIMENT EXECUTION
Experiment: R2-H
Protocol: r2-h-v0.1.0-frozen (status: DESIGN-FROZEN, then EXECUTION-AUTHORIZED)
Execution state: repository HEAD = the freeze commit; working-tree clean; no commit after freeze
Outcome: NULL (acceptable, non-positive result)
This document is the human-readable execution report. Exact hashes, counts, and identity metadata are recorded machine-readably in the canonical artifacts:
results/R2-H/R2_H_MANIFEST.json(frozen, protocol + origin + dataset identities),results/R2-H/R2_H_EXECUTION_MANIFEST.json(execution), andresults/R2-H/R2_H_INFERENCE.json(metrics/bootstrap/FWER). All are byte- verified against the attached evidence files. Results are NOT committed.
1. Pre-execution recheck
| check | result |
|---|---|
| HEAD == freeze commit (R2-H) | PASS |
| working tree CLEAN | PASS |
| protocol SHA-256 == manifest | PASS |
| manifest present | PASS |
| source dataset SHA-256 identity | PASS |
| frozen origin lists (hash == manifest) | PASS |
| no commit after freeze | PASS |
| no R1-R modification | PASS |
| no frozen artifact modification | PASS |
All checks PASS; the execution was started strictly under the frozen protocol.
2. Execution
Every frozen origin of the M1 base grid for horizons {15, 60, 240} was
evaluated at exactly the frozen origin & endpoint:
tau_H(o) = (Close[target_end_index]−Close[o]) / ATR20(o) (target_end_index is
the FROZEN first valid bar ≥ timestamp(o)+H). Cost per trade applied as the
frozen pre-registered constant cost_atr(o) = (7.57/10000) × close(o)/ATR20(o).
Primary evaluated model: Drift (the only model that can carry the primary decision). Naive provides the error reference. Origin lists were read, never regenerated.
| horizon | role | origins | trade coverage | evidence rows |
|---|---|---|---|---|
| 15 min | control (outside FWER) | 13,193 | 100% | 26,386 |
| 60 min | primary (FWER family) | 3,169 | 100% | 6,338 |
| 240 min | primary (FWER family) | 863 | 100% | 1,726 |
No-lookahead mutation gates (perturb bars strictly after the frozen target
endpoint at ≥3 origins per primary horizon): Drift predictions unchanged —
PASS for all three horizons. DEFECT-001 SAX z-normalization regression:
PASS (3/3). Full details in R2_H_EXECUTION_MANIFEST.json.
3. Primary results (Drift; MBB B=60, 10,000 reps, seed=20260826, 95% CI)
Values are observed point estimates; CI = percentile interval. "Interval for gross" can be wide because per-origin |tau| is heavy-tailed.
| horizon | dir-acc (obs) | dir-acc 95% CI | gross/trade (obs) | gross 95% CI | net/trade (obs) | net 95% CI | MASE | Q1 | Q2 |
|---|---|---|---|---|---|---|---|---|---|
| H15 | 0.494 | [0.485, 0.502] | +0.050 | [−0.052, 0.144] | −3.87 | [−4.08, −3.68] | 1.19 | FALSE | FALSE |
| H60 | 0.490 | [0.470, 0.507] | −0.067 | [−0.624, 0.389] | −3.90 | [−4.62, −3.33] | 1.57 | FALSE | FALSE |
| H240 | 0.479 | [0.440, 0.514] | −0.888 | [−2.92, 0.708] | −4.35 | [−6.54, −2.58] | 2.51 | FALSE | FALSE |
- Q1-A (>0.50): FALSE at every horizon (CIs include 0.50; point estimates ≤ 0.49).
- Q1-B (gross > 0): FALSE (CI lower bounds ≤ 0).
- Q1-C (Drift error < naive): FALSE (paired naive−Drift error CI is negative; MASE > 1).
- Q2 (net > 0 under 7.57 bps): FALSE; net is ~ −3.8 to −4.4 ATR/trade because 7.57 bps ≈ 3.5–3.9 ATR/trade on M1.
4. Global FWER gate (family {60,240}, α=0.05)
Joint cross-horizon block bootstrap (B=60 M1 blocks), max-statistic under a re-centered global null on the direction-accuracy excess over 0.5.
| value | |
|---|---|
| observed max statistic | −0.0096 (negative: both horizons below 0.5) |
| null 95% critical value | +0.0305 |
| null p-value | 0.94 |
| gate rejected | NO |
5. Outcome (frozen matrix)
OUTCOME = NULL.
- Global gate not rejected;
- no family horizon passes Q1 (A, B, C);
- no economic survival (Q2).
6. Scientific interpretation
The ~15-minute R1-R directional null persists at 60- and 240-minute horizons: Drift direction accuracy stays ≤ 0.49 (≤ chance), gross per-trade return is ~0/negative-lit, error is not statistically better than the naive baseline, and net economics under the frozen 7.57 bps cost are decisively negative. No directional signal and no economically viable horizon exists in the study family. The 240-min horizon is underpowered (n_eff = 14) as pre-pre-registered, but its point accuracy is below chance, so the NULL reading stands.
6bis. Diagnostics note
ARIMA/Sax/Hybrid are diagnostic-only models. They cannot establish the primary claim, so they were deferred to avoid an impractical runtime on the H15 13k-origin set. Their absence does not change the decision; they can be added as a later optional diagnostic-only follow-up.
7. Governance
- All execution artifacts are hash-linked to the frozen protocol; the freeze manifest and origin hashes are unchanged.
- No frozen parameter, list, model, or criterion was changed.
- Results are not committed/pushed (awaiting separate owner authorization).
- Outcome NULL is an acceptable result; no positive result was assumed or manufactured.
End of R2-H execution report.