— aura.css styles the bare header element for
+ # the runtime viewer shell (flex row, overflow hidden), which would
+ # swallow the stats grid and callout.
+ ger_a, ger_b = mc_by[("GER40", "A")], mc_by[("GER40", "B")]
+ add('')
+ add("
aura-quadriga — Arc 1
")
+ add('
Does an EMA trend regime reshape an H1 breakout’s '
+ "R-distribution?
")
+ add('
')
+ add(f'engine {engine_commit}')
+ add(f'project {esc(project_commit)}')
+ add('2018-01 → 2026-06 · m1')
+ add('GER40 · US500 · EURUSD · XAUUSD')
+ add('gross R — no cost model')
+ add(f'seed {main["seed"]}')
+ add("
")
+ add('
')
+ add(f'
{len(main["cells"])}
'
+ '
cells — 2 strategies × 4 instruments
')
+ add(f'
{n_windows}
'
+ '
walk-forward rolls per cell (90 d IS / 30 d OOS)
')
+ add(f'
{fc(pooled_trades["A"])} / {fc(pooled_trades["B"])}
'
+ '
pooled OOS trades — bo_h1 / bo_h1_trend
')
+ add(f'
{fp(best_p)}
'
+ f'
best-cell P(E[R]≤0) — {best_p_label}
')
+ add(f'
{sign_agree["A"]} / {n_instr}
'
+ '
cross-instrument sign agreement, either variant
')
+ worst_key = min(worst_case, key=worst_case.get)
+ add(f'
{fr(worst_case[worst_key], 2)}
'
+ f'
worst generalization floor (E[R], '
+ f'{var_by_key[worst_key]["name"]})
')
+ add("
")
+ add('
The gate reshapes the R-distribution — per instrument, '
+ "not uniformly. On the pooled walk-forward OOS bootstrap, GER40 flips sign: mean "
+ f'E[R] {fr(ger_a["e_r"]["mean"], 3)} (P(E[R]≤0) = {fp(ger_a["prob_le_zero"])}) '
+ f'without the gate, {fr(ger_b["e_r"]["mean"], 3)} ({fp(ger_b["prob_le_zero"])}) with it. '
+ "US500 improves, EURUSD deteriorates sharply, XAUUSD stays roughly flat. That "
+ "per-instrument conditionality — B reshapes A, instrument-dependently — is the finding "
+ "of this arc. No variant survives as a deployable edge: the best cell still shows "
+ f"P(E[R]≤0) = {fp(best_p)} across eight unadjusted comparisons, the "
+ "cross-instrument worst case is deeply negative for both variants "
+ f'({fr(worst_case["A"], 2)} plain, {fr(worst_case["B"], 2)} gated), sign agreement is '
+ f'{sign_agree["A"]}/{n_instr} — and every figure on this page is gross of costs.
')
+ add("
')
+ add('
bo_h1 variant A — base signal
')
+ add(f'
{VARIANTS[0]["cid"]}
')
+ add("
H1-resampled donchian-style breakout: RollingMax/Min(24) over Delay(1) high/low, "
+ "close vs channel (Gt), an SR-latch pair holds the breakout state; "
+ "bias = latch_long − latch_short ∈ {−1, 0, +1}.
")
+ add("
h1.period_minutes = 60 prev_high/low.lag = 1\n"
+ "channel_hi.length = 24 channel_lo.length = 24\n"
+ "risk = Vol { length: 3, k: 2.0 } (shared)")
+ add('
bo_h1_trend variant B — gated
')
+ add(f'
{VARIANTS[1]["cid"]}
')
+ add("
The same breakout, gated post-latch by an EMA(12) vs EMA(48) trend-regime latch "
+ "(Mul per side): a held breakout is suppressed the moment the regime flips against "
+ "it. Same channel params, same risk, same seed.
")
+ add("
ema_fast.length = 12 ema_slow.length = 48\n"
+ "channel_hi.length = 24 channel_lo.length = 24\n"
+ "risk = Vol { length: 3, k: 2.0 } (shared)")
+ add("
')
+ add(f'
std::sweep {grid_cells} trials'
+ "
3×3 channel grid (hi/lo ∈ {24, 48, 96}), argmax on sqn_normalized, "
+ "deflated (1 000 resamples, block 5).
")
+ add('
→')
+ add(f'
std::walk_forward {n_windows} rolls'
+ "
Rolling 90-day IS refit over the same axes, 30-day OOS, 30-day step; "
+ "argmax on sqn_normalized per roll.
")
+ add('
→')
+ add(f'
std::monte_carlo {fc(mc_rows[0]["n_resamples"])} × '
+ f'block {mc_rows[0]["block_len"]}'
+ "
Block bootstrap of the R-series pooled over all walk-forward OOS trades: "
+ "E[R] quantiles and P(E[R]≤0) per cell.
")
+ add('
→')
+ add('
std::generalize expectancy_r'
+ "
Cross-instrument floor: apply each instrument’s winner to the other three; "
+ "worst case and sign agreement.
")
+ add("
Screen campaign {main["campaign"][:8]}… runs the full '
+ f'pipeline; curves campaign {curves["campaign"][:8]}… re-runs both variants '
+ "at default params (channel 24/24, EMA 12/48), selection-free, persisting equity / exposure / "
+ "r_equity taps for sections 4 and 6.
")
+
+ # ---- 3 · R-distribution ---------------------------------------------------
+ add(section_h(3, "R-distribution — pooled-OOS bootstrap",
+ f'{fc(mc_rows[0]["n_resamples"])}-resample block-{mc_rows[0]["block_len"]} '
+ "bootstrap of per-trade R, pooled over each cell’s "
+ f"{n_windows} walk-forward OOS windows (screen campaign). Whisker p5–p95, "
+ "box p25–p75, tick median, dot mean. The dashed line is E[R] = 0 — "
+ "mass to its right is what an edge would look like. Gross R."))
+ add(legend_html())
+ add(f'{interval_plot(mc_rows)}
')
+ add('GER40 is the reshaping case: the gate moves essentially the whole '
+ "interval across zero. EURUSD moves the other way — the gate makes it decisively worse. "
+ "A conditioner, not an improvement.
")
+
+ # ---- 4 · per-instrument tables ---------------------------------------------
+ add(section_h(4, "Per-instrument metrics — default params, full window",
+ "Single members from the curves campaign (channel 24/24, EMA 12/48, no "
+ "selection), full 2018–2026 window, gross R. This isolates the "
+ "gate’s effect from the screen’s parameter selection. The shape is "
+ "classic vol-stop breakout: ~10 % hit rate, average win an order of "
+ "magnitude larger than average loss."))
+ add('')
+ for inst in INSTRUMENTS:
+ a, b = cur[(inst, "A")], cur[(inst, "B")]
+ add(f'
{inst} default params · gross
')
+ add('
| bo_h1 | bo_h1_trend |
|---|
')
+
+ def row(label, va, vb, fmt, signed=False):
+ def td(v, txt):
+ cls = ""
+ if signed:
+ cls = ' class="pos"' if v > 0 else (' class="neg"' if v < 0 else "")
+ return f"{txt}"
+ add(f"| {label} | {td(va, fmt(va))}{td(vb, fmt(vb))}
")
+
+ row("expectancy_r", a["expectancy_r"], b["expectancy_r"], lambda v: fr(v), signed=True)
+ row("win_rate", a["win_rate"], b["win_rate"], lambda v: f"{fnum(v * 100)} %")
+ row("profit_factor", a["profit_factor"], b["profit_factor"], lambda v: fnum(v, 3))
+ row("sqn_normalized", a["sqn_normalized"], b["sqn_normalized"], lambda v: fr(v), signed=True)
+ row("max_r_drawdown", a["max_r_drawdown"], b["max_r_drawdown"],
+ lambda v: f"{fnum(v)} R")
+ row("n_trades", a["n_trades"], b["n_trades"], lambda v: fc(v))
+ row("bias_sign_flips", a["bias_sign_flips"], b["bias_sign_flips"], lambda v: fc(v))
+ add("
")
+ add(tercile_svg(inst, {"A": a["conviction_terciles_r"], "B": b["conviction_terciles_r"]},
+ terc_max))
+ add('
conviction terciles — mean R per trade by tercile; within each '
+ "group: left bar bo_h1, right bar bo_h1_trend; green/red by sign
")
+ add("
")
+ add("
')
+ for inst in INSTRUMENTS:
+ add(f'
{inst} OOS, refit per roll
')
+ add(wf_svg(inst, wf_series[inst]))
+ add('
| windows | '
+ "positive | stitched R |
|---|
")
+ for var in VARIANTS:
+ s = wf_stats[(inst, var["key"])]
+ cls = "pos" if s["total"] > 0 else "neg"
+ add(f'| {var["name"]} | {s["windows"]} | '
+ f'{fnum(s["pos_pct"], 0)} % | '
+ f'{fr(s["total"], 1)} |
')
+ add("
")
+ add("
')
+ for inst in INSTRUMENTS:
+ add(f'
{inst} r_equity · full window
')
+ add(envelope_svg(inst, envelopes[inst], finals[inst]))
+ add("")
+ add("
'
+ "aura-quadriga — reproduce
")
+ add(f'$ aura campaign run research/campaign-arc1.json'
+ f' # screen → {main["campaign"][:8]}…\n')
+ add(f'$ aura campaign run research/campaign-arc1-curves.json'
+ f' # curves → {curves["campaign"][:8]}…\n')
+ add('$ aura runs families'
+ ' # registry index\n')
+ add(f'$ aura reproduce '
+ f'{stage(cell_of(main, VARIANTS[0]["cid"], "GER40"), "std::walk_forward")["family_id"]}'
+ ' # any family, bit-identical\n')
+ add(f'$ aura chart {curves["trace_name"]} '
+ '--tap r_equity # interactive trace viewer')
+ add("')
+ add('
Blueprints
'
+ f'
bo_h1
{VARIANTS[0]["cid"]}
'
+ f'
bo_h1_trend
{VARIANTS[1]["cid"]}
')
+ add('
Processes
'
+ f'
screen-wf-mc-generalize
{main["process"]}
'
+ f'
curves-sweep
{curves["process"]}
')
+ add('
Campaigns
'
+ f'
arc1-breakout-trend
{main["campaign"]}
'
+ f'
arc1-curves
{curves["campaign"]}
')
+ add("