event_driven_index_add on aggressive KILL

Did not survive the pre-registered gate. This is a first-class result, not an error: the honest thing to do with a hypothesis that fails is publish the kill.

The mechanical S&P 500 index-add trade (buy on announcement, sell a few sessions after the effective date, long-only, capacity-limited fixed- fraction tranches) wrapped as a synthetic instrument (EVTIDX) and added to the plain aggressive universe. Tests whether this capacity-limited, filing-driven flow effect survives the full deflation/walk-forward/PBO gate at micro-cap-realistic transaction costs, net of the harness's own calibration and no-lookahead verification.

Verdict corrected: SHIP-OFF → KILL. Provisionally SHIP-OFF, then corrected to KILLED when the deflation gate was tightened: its incremental deflated Sharpe of 0.56 sits below the 0.95 significance floor, so the edge is below the calibrated detection floor and indistinguishable from noise. We caught our own gate shipping sub-threshold noise and killed it. The pre-registered gate table below is the ORIGINAL run and still reads SHIP-OFF; its file is never rewritten. The current authoritative verdict comes from re-running the fixed gate, recorded in data/backtest/validation/tightened-gate-reverification.json and shown here at presentation time.

The pre-registered gate

Deflated incremental edge	+0.042 PASS (threshold +0.000)
Walk-forward out-of-sample uplift	+0.062 PASS (threshold +0.000)
Probability of backtest overfitting (PBO)	0.00 PASS (threshold 0.50)

No-lookahead probe: PASSED (divergence date 2024-03-27)

The underlying comparison

In-sample figures are the best-of-menu figure on one price history and are upward-biased by selection. Where they disagree with the deflated or walk-forward out-of-sample figures above, those win.

In-sample Sharpe, candidate vs baseline	+1.080 vs +1.038 (uplift +0.042)
Walk-forward out-of-sample Sharpe, candidate vs baseline	+1.062 vs +1.000
PBO combinations evaluated	924
Correlation to the plain baseline book	+0.998 (n=3851)

Check the source

Every number above is read straight from these committed files, nothing recomputed for this page:

data/research/event_driven_index_add-aggressive.json   # the ORIGINAL pre-registered verdict, machine readable (never rewritten)
data/research/event_driven_index_add-aggressive.md   # the same original verdict, written out
data/backtest/validation/tightened-gate-reverification.json   # the CURRENT authoritative verdict, re-run under the tightened gate
data/research/event_driven_index_add-aggressive.verification.json   # trust ladder rung for the original verdict