# Phase 3 Gate — 5pct_5d

- Target 5% / Stop 5% / Horizon 5 sessions — long-only
- Dataset: 9,234,613 labeled rows, WIN base rate 21.98% (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', 'lgb_f2', 'cat_f2', 'xgb_f2', 'lr_f2']
- Ensemble: equal weights, 5 models
- Threshold score >= 0.9136 (rank-average, folds 1-5 p95); effective N = 15,510 independent signals
- data_version=8de653411e5d... code_commit=164b94937a95 | elapsed 69.7 min

## Ensemble — validation folds 1-5

| metric | value |
|---|---|
| AUROC | 0.6965 |
| Precision @ 5% | 56.97% |
| Net expectancy / trade | +0.419% |
| Coverage (actual) | 5.00% |
| Signals | 77,550 |
| Max drawdown (daily equity) | -34.90% |

### Per-fold

| fold | AUROC | prec@5% | net | signals |
|---|---|---|---|---|
| 1 | 0.6636 | 55.0% | +0.303% | 14,754 |
| 2 | 0.7185 | 56.3% | +0.471% | 15,510 |
| 3 | 0.7131 | 54.4% | +0.176% | 16,266 |
| 4 | 0.7350 | 64.7% | +1.197% | 15,510 |
| 5 | 0.6877 | 58.5% | +0.360% | 15,510 |

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

| month | n | base WIN | signal WIN | lift |
|---|---|---|---|---|
| 2026-01 | 151,319 | 30.4% | 56.8% | +26.4% |
| 2026-02 | 287,508 | 27.4% | 54.2% | +26.8% |
| 2026-03 | 332,900 | 21.0% | 52.4% | +31.4% |
| 2026-04 | 317,760 | 37.2% | 63.0% | +25.8% |
| 2026-05 | 302,626 | 35.3% | 61.9% | +26.6% |
| 2026-06 | 158,883 | 30.5% | 56.1% | +25.5% |

### Selected models
| id | algo | fset | prec@5% | net | auroc | mdd |
|---|---|---|---|---|---|---|
| rf_f1 | rf | F1 | 57.2% | +0.427% | 0.6995 | -41.25% |
| lgb_f2 | lgb | F2 | 55.4% | +0.467% | 0.6884 | -27.94% |
| cat_f2 | cat | F2 | 54.3% | +0.416% | 0.6856 | -36.50% |
| xgb_f2 | xgb | F2 | 53.9% | +0.385% | 0.6734 | -25.00% |
| lr_f2 | lr | F2 | 53.8% | +0.185% | 0.6656 | -39.38% |

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

| AUROC | prec@thr | net | signals |
|---|---|---|---|
| 0.6337 | 53.40% | -0.080% | 23,946 |

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

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