# Phase 3 Gate — 10pct_20d

- Target 10% / Stop 10% / Horizon 20 sessions — long-only
- Dataset: 9,121,123 labeled rows, WIN base rate 28.14% (97 tickers, K_5M, freeze 2026-07-31)
- Coverage 5% | cost 0.10% round-trip | gate: precision >= 28% AND net > 0 AND per-month stability
- Candidates: 10 (folds 1-5 pooled) | passed gate: 10 | selected: ['rf_f1', 'xgb_f1', 'lr_f2', 'cat_f2', 'lgb_f2']
- Ensemble: equal weights, 5 models
- Threshold score >= 0.9009 (rank-average, folds 1-5 p95); effective N = 3,877 independent signals
- data_version=8de653411e5d... code_commit=164b94937a95 | elapsed 68.5 min

## Ensemble — validation folds 1-5

| metric | value |
|---|---|
| AUROC | 0.6724 |
| Precision @ 5% | 58.25% |
| Net expectancy / trade | +1.498% |
| Coverage (actual) | 5.00% |
| Signals | 77,550 |
| Max drawdown (daily equity) | -63.58% |

### Per-fold

| fold | AUROC | prec@5% | net | signals |
|---|---|---|---|---|
| 1 | 0.5705 | 51.6% | +0.289% | 14,754 |
| 2 | 0.6967 | 53.2% | +0.559% | 15,510 |
| 3 | 0.7143 | 66.7% | +3.205% | 16,266 |
| 4 | 0.7393 | 67.0% | +3.179% | 15,510 |
| 5 | 0.6605 | 53.8% | +0.471% | 15,510 |

### Per-month stability (ensemble, top coverage)

| month | n | base WIN | signal WIN | lift |
|---|---|---|---|---|
| 2026-01 | 151,319 | 46.3% | 62.7% | +16.4% |
| 2026-02 | 287,508 | 25.4% | 46.3% | +20.9% |
| 2026-03 | 332,900 | 31.3% | 59.1% | +27.9% |
| 2026-04 | 317,760 | 45.5% | 74.7% | +29.3% |
| 2026-05 | 302,626 | 41.0% | 56.8% | +15.8% |
| 2026-06 | 158,883 | 36.4% | 53.2% | +16.9% |

### Selected models
| id | algo | fset | prec@5% | net | auroc | mdd |
|---|---|---|---|---|---|---|
| rf_f1 | rf | F1 | 60.3% | +1.929% | 0.6743 | -42.85% |
| xgb_f1 | xgb | F1 | 59.1% | +1.883% | 0.6700 | -47.52% |
| lr_f2 | lr | F2 | 57.4% | +1.621% | 0.6459 | -48.14% |
| cat_f2 | cat | F2 | 57.0% | +1.748% | 0.6451 | -58.21% |
| lgb_f2 | lgb | F2 | 52.7% | +0.922% | 0.6411 | -51.25% |

## Fold-6 confirmation (run once, after selection)

| AUROC | prec@thr | net | signals |
|---|---|---|---|
| 0.6260 | 49.49% | -0.363% | 20,568 |

## Verdict: PARTIAL - <3 models passed or confirmation net <= 0

Status: USER DECISION REQUIRED — do not deploy without approval.