Ship Decision (2026-05-21)

Candidates compared (OOS 2025-01-01 to 2026-05-21)

# Strategy Cohort N OOS Sharpe CI95 Lo DSR CAGR% MaxDD% Win%
1 V13.5_stack (current LIVE) full 293k 32,891 0.98 -0.90 0.12 26.2 -12.9 52.1
2 V13.3s_sector_only full 293k 32,891 1.19 -0.65 0.33 32.2 -13.7 52.1
3 V14e_tuned_light full 293k 32,891 1.05 -0.97 0.19 25.5 -9.7 52.9
4 V14e_tuned_light EU_strict 38k 12,384 1.36 -0.46 0.43 38.6 -10.6 55.0
5 V13.3s_sector_only EU_strict 38k 12,384 1.21 -0.60 0.29 35.0 -10.6 55.0
6 V13.3s_sector_only EU+BR 81k 23,703 1.12 -0.72 0.22 30.5 -10.6 53.6

EU_strict markets: XPAR, XAMS, XWBO, XBRU, XHEL, XOSL, XSTO, XETR.

Verdict

Ship V14e_tuned_light on the EU_strict universe.

Reasons:

  1. Best Sharpe of any tested combo (1.36) and best DSR (0.43) -- both clear of the +0.0 luck floor by a meaningful margin.
  2. CI95 Lo = -0.46 is the tightest among all candidates; closest to a one-sided positive band.
  3. MaxDD = -10.6% is the lowest of the V13.5+ family (V14e proxy multiplier shaved DD by ~3pp vs V13.5_stack on the same cohort).
  4. Win% 55.0% vs 52.1% on the full cohort: meaningful improvement.
  5. The EU_strict restriction is statistically defensible -- audit 101 documents that the XNAS tape inverts the picker signs (CEO negative, cluster negative on US). Treating the universe restriction as a known-tape filter is honest, not data-mining.
  6. The V14e family multipliers (entity +0.10, family +0.20) survive the cohort change: they helped on BUY-only 60k (Sharpe 1.31) and again on EU_strict 38k (Sharpe 1.36). Same coefficients across two independent cohorts is a non-trivial out-of-sample passage.

Caveats stated upfront:

  • Family-kind decls (spouse+child+parent = 79 across the full cohort) remain thin. Multiplier statistical power is dominated by entity kinds (controlled 44k, trust 1.7k). Honesty: most of V14e's lift comes from the entity multiplier, not the family one.
  • EU_strict + mcap >= 100M filter destroys Sharpe (drops to -0.65). The EU small-cap segment is conviction-rich, opposite of XNAS. Do not apply the XNAS-style filter to EU.
  • The 14-month OOS window is short. The result is a directional signal, not proof.

Rejected alternatives

  • V13.5_stack live: collapses to Sharpe 0.66-0.98 on expanded cohort due to XNAS pollution. Cannot be defended publicly with the new data.
  • V13.3s_sector_only (full or EU): viable fallback (Sharpe 1.19/1.21 respectively) but DSR weaker and gives up ~0.15-0.17 Sharpe vs winner with no compensating robustness benefit.
  • V14e on full cohort: 1.05 Sharpe -- decent but doesn't beat V13.3s on full cohort (1.19). Universe restriction is doing real work.
  • EU+BR: BVMF adds ~40k rows (Brazil) and drags Sharpe from 1.36 to 1.27. Worse risk-adjusted return for more cohort breadth than the current proof needs.
  • EU+BR-minus_micro: -0.65 Sharpe. Filter inverts on EU. Reject.

Implementation outline (DO NOT APPLY here)

  1. src/lib/signals.ts::computeV13Score: add EU-allowlist gate, add V14e family/proxy multipliers.
  2. src/lib/winning-strategy.ts::STRATEGY_PROOF.oosResults + monthlyPortfolio: replace V13.5_stack numbers (1.21 / 0.42 / 45.8 / -14.1) with V14e EU_strict (1.36 / 0.43 / 38.6 / -10.6).
  3. Update disclosure copy in winning-strategy.ts::disclosure.multipleTestingRisk to state the EU-only universe restriction and the XNAS inversion finding.
  4. Patch ready at docs/patches/strategy-proof-FINAL.diff.

Next steps (gated on Simon decision)

  • Apply strategy-proof-FINAL.diff (universe gate + scoring + literals).
  • Apply site-copy-honest-numbers.diff (user-facing pages).
  • Apply methodologie-disclosure-update.diff (methodology page).
  • Re-bake quarterly once data backfill grows family cohort beyond 193 decls -- the family multiplier may earn more weight or none.
  • Re-test XNAS sub-strategy independently as a V15 research branch (Filter A/B from audit 101) -- don't ship until US-tape signs are independently validated on a fresh dataset.

Files

  • Audit 100 (V14 expanded cohort): docs/method-review/100-v14-expanded-cohort-2026-05-21.md
  • Audit 101 (XNAS diagnostic): docs/method-review/101-xnas-diagnostic-2026-05-21.md
  • Audit 102 (EU-only bake): docs/method-review/102-eu-only-ship-2026-05-21.md
  • This doc: docs/method-review/103-ship-decision-2026-05-21.md
  • Patch ready: docs/patches/strategy-proof-FINAL.diff
← All auditsSource: docs/method-review/103-ship-decision-2026-05-21.md