# Phase 3 Gate — 7pct_10d

- Target 7% / Stop 7% / Horizon 10 sessions — long-only
- Dataset: 9,196,783 labeled rows, WIN base rate 25.67% (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', 'cat_f2', 'lr_f2', 'xgb_f2', 'lgb_f2']
- Ensemble: equal weights, 5 models
- Threshold score >= 0.9075 (rank-average, folds 1-5 p95); effective N = 7,755 independent signals
- data_version=8de653411e5d... code_commit=164b94937a95 | elapsed 79.5 min

## Ensemble — validation folds 1-5

| metric | value |
|---|---|
| AUROC | 0.6740 |
| Precision @ 5% | 56.84% |
| Net expectancy / trade | +0.756% |
| Coverage (actual) | 5.00% |
| Signals | 77,550 |
| Max drawdown (daily equity) | -42.34% |

### Per-fold

| fold | AUROC | prec@5% | net | signals |
|---|---|---|---|---|
| 1 | 0.6359 | 53.2% | +0.458% | 14,754 |
| 2 | 0.6999 | 55.1% | +0.564% | 15,510 |
| 3 | 0.7012 | 62.4% | +1.572% | 16,266 |
| 4 | 0.7251 | 66.4% | +2.066% | 15,510 |
| 5 | 0.6527 | 49.5% | -0.492% | 15,510 |

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

| month | n | base WIN | signal WIN | lift |
|---|---|---|---|---|
| 2026-01 | 151,319 | 37.2% | 59.0% | +21.8% |
| 2026-02 | 287,508 | 28.2% | 51.4% | +23.2% |
| 2026-03 | 332,900 | 24.4% | 58.1% | +33.7% |
| 2026-04 | 317,760 | 43.0% | 69.3% | +26.3% |
| 2026-05 | 302,626 | 39.1% | 62.2% | +23.1% |
| 2026-06 | 158,883 | 32.6% | 44.0% | +11.3% |

### Selected models
| id | algo | fset | prec@5% | net | auroc | mdd |
|---|---|---|---|---|---|---|
| rf_f1 | rf | F1 | 58.6% | +1.020% | 0.6864 | -38.84% |
| cat_f2 | cat | F2 | 56.4% | +0.935% | 0.6650 | -35.90% |
| lr_f2 | lr | F2 | 55.5% | +0.710% | 0.6510 | -44.32% |
| xgb_f2 | xgb | F2 | 52.8% | +0.558% | 0.6419 | -37.88% |
| lgb_f2 | lgb | F2 | 52.5% | +0.484% | 0.6540 | -27.67% |

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

| AUROC | prec@thr | net | signals |
|---|---|---|---|
| 0.6254 | 51.67% | -0.154% | 19,392 |

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

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