# Phase 3 Gate — 3pct_2d

- Target 3% / Stop 3% / Horizon 2 sessions — long-only
- Dataset: 9,257,306 labeled rows, WIN base rate 16.86% (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: 3 | selected: ['lgb_f1']
- Ensemble: equal weights, 1 models
- Threshold score >= 0.9500 (rank-average, folds 1-5 p95); effective N = 38,775 independent signals
- data_version=8de653411e5d... code_commit=164b94937a95 | elapsed 72.5 min

## Ensemble — validation folds 1-5

| metric | value |
|---|---|
| AUROC | 0.7273 |
| Precision @ 5% | 54.27% |
| Net expectancy / trade | +0.041% |
| Coverage (actual) | 5.00% |
| Signals | 77,550 |
| Max drawdown (daily equity) | -29.93% |

### Per-fold

| fold | AUROC | prec@5% | net | signals |
|---|---|---|---|---|
| 1 | 0.7178 | 51.0% | -0.168% | 14,754 |
| 2 | 0.7288 | 53.2% | +0.078% | 15,510 |
| 3 | 0.7204 | 51.3% | -0.052% | 16,266 |
| 4 | 0.7428 | 58.7% | +0.327% | 15,510 |
| 5 | 0.7324 | 56.5% | +0.087% | 15,510 |

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

| month | n | base WIN | signal WIN | lift |
|---|---|---|---|---|
| 2026-01 | 151,319 | 22.3% | 49.8% | +27.5% |
| 2026-02 | 287,508 | 23.6% | 52.7% | +29.1% |
| 2026-03 | 332,900 | 20.0% | 51.5% | +31.5% |
| 2026-04 | 317,760 | 26.0% | 53.5% | +27.5% |
| 2026-05 | 302,626 | 26.1% | 63.1% | +37.0% |
| 2026-06 | 158,883 | 26.1% | 52.1% | +26.0% |

### Selected models
| id | algo | fset | prec@5% | net | auroc | mdd |
|---|---|---|---|---|---|---|
| lgb_f1 | lgb | F1 | 54.3% | +0.041% | 0.7273 | -29.93% |

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

| AUROC | prec@thr | net | signals |
|---|---|---|---|
| 0.7026 | 53.76% | -0.009% | 26,350 |

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

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