# Arc 4 — breadth and beta controls: what survives 21 instruments and a no-signal baseline?

**Date:** 2026-07-13
**Engine:** aura @ `84e1075` (release build)
**Campaigns:** `research/campaign-arc4-breadth-{bo-h1,mom-vnorm}.json`,
`research/campaign-control-always-long{,-breadth}.json`

## Method

The two threads that survived Arcs 2–3 — the H1 breakout (XAUUSD cell) and
vol-normalized H1 momentum (US500 cell) — run across every archive instrument
with gapless 2018–2026 m1 coverage (21 instruments: 4 Arc-1 originals + US30,
NAS100, UK100, JPN225, HK50, FRA40, GBPUSD, USDJPY, AUDUSD, USDCAD, USDCHF,
NZDUSD, EURAUD, XAGUSD, NatGas, BTCUSD, ETHUSD; Copper dropped — its archive
is missing 2018-01..2018-10), under the two wide-stop regimes (vol{60, k6},
vol{60, k12}), slippage cost, Arc-1 pipeline.

Beside them ran the **beta control**: a constant bias=+1 blueprint (no signal
at all) on the same matrix. Every candidate cell is read against always-long
on the same (instrument, regime): a "positive" that does not beat the
no-signal baseline is long-beta in a trending market, not signal.

## Findings

1. **The breakout does not survive the control anywhere.** Its breadth flags
   (pooled WF-OOS gross, P(E[R]≤0) < 0.15: ETHUSD, JPN225, XAUUSD both
   regimes; XAGUSD, BTCUSD, US30 at k12) are all on assets that trended —
   and on the metals and crypto the always-long baseline crushes it
   (XAUUSD: control +0.78–0.81 at P 0.002–0.003 vs candidate +0.12–0.14 at
   P 0.08). FX is the mirror image: the breakout is significantly *negative*
   on EURUSD and EURAUD (P(≤0) up to 0.995). Verdict: the H1 channel
   breakout, in every variant this project has tried (trend gate, vol gate,
   H4 port, four stop regimes, costed and gross), is beta at best and
   anti-signal on FX. This thread is closed.

2. **Vol-normalized momentum shows a real cross-sectional lean.** 12 of 42
   cells flag at P < 0.15 — five instruments flag at P < 0.05 in *both*
   regimes (USDJPY 0.000/0.010, ETHUSD 0.000/0.019, NatGas 0.017/0.020,
   FRA40 0.018/0.024, US500 0.036/0.044) — while the negative tail is empty
   (worst cell P = 0.845). Chance at this threshold across ~21 effective
   tries produces roughly one such pair, not five with a one-sided tail.

3. **Two momentum cells beat the no-signal baseline outright** — the only
   ones in the whole program:
   - **FRA40, both regimes:** candidate +0.140 (P 0.018) / +0.099 (P 0.024)
     vs always-long −0.065 (P 0.670) / +0.051 (P 0.368). On an index whose
     buy-and-hold R-stream is flat, the timing itself generates the
     expectancy.
   - **NatGas at k6:** +0.131 (P 0.017) vs +0.073 (P 0.338).
   The other flags (USDJPY, ETHUSD, US500, NatGas k12) are "mixed": more
   consistent than beta (lower P) but smaller per trade — with no
   benchmark-relative stage in the pipeline (Brummel/Aura#263) they are not
   distinguishable from diluted beta plus short-side noise.

4. **Classification: candidate, not edge.** The FRA40/NatGas result is
   gross of constant spread costs (slippage-only; per-instrument constant
   costs on a 21-instrument matrix are inexpressible, Brummel/Aura#260), the
   OOS bootstrap is gross-only (Brummel/Aura#259), and the effect is two
   instruments out of 21. What it has earned is a focused follow-up arc:
   per-instrument costed campaigns for the five double-flagged instruments,
   a long-only vs long-short decomposition (does the short side contribute?),
   and sensitivity outside the {24,72,120} grid.

## Performance (is the engine in its expected envelope?)

All numbers from this session's serial campaign loops on a 24-core box,
engine `84e1075` release:

| workload | measured | baseline / expectation |
|---|---|---|
| single `aura run`, 8.5 y m1, GER40 | 2.97 s | Arc 0: "~3 s" ✓ |
| campaign cell (9-member grid + 90/30 WF + 1000-resample MC) | 11–13 s | Arc 1: 9.5 s/cell (no cost nodes) — +15–25 % with cost model, linear across 16 campaigns ✓ |
| FX cells vs index cells | ~2× | matches ~1.6× larger m1 files (tick density) ✓ |
| 42-cell breadth campaign | 493–495 s | linear ✓ |
| 42-cell one-member control | 98 s | streaming+WF dominates over member count |

Not in the expected envelope, filed as engine findings: the executor
averages ~14 of 24 cores with a thread count oscillating 1 ↔ 240
(unbounded per-sim fan-out bursts, multi-second 10-thread plateaus,
single-threaded valleys — Brummel/Aura#268, with NFS/page-cache
re-paging measured and ruled out: ~15 MB/s syscall reads vs ~73 KB/s on
the wire, 1.4 GB archive in ~12 GB page cache). A 21-instrument campaign
also aborts wholesale minutes into the run when one instrument has a data
gap (Copper), which the data-free validate cannot catch —
evidence attached to Brummel/Aura#264.

## Verdict

The exploration closes honest: every breakout variant is dead (beta or
anti-signal), four of six new families are nulls, and one family —
vol-normalized H1 momentum — leaves with a genuine, replicated,
control-beating candidate on FRA40 (and NatGas at k6) plus a one-sided
positive tail across the universe. Next work, in order of information per
compute: costed per-instrument reruns of the five double-flagged momentum
cells; a short-side decomposition; then, only if both hold, parameter
robustness beyond the coarse grid.