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Here are the results. I just want to know if this looks sounds? I definitely made sure multiple time there is no lookahead but I can look or understand the code it uas produced. Should I trust this result?
Done. H9 Aurora DriftGuard 19 is now the promoted/default strategy.
Committed on main as 73aab73 — Promote H9 Aurora DriftGuard 19. The promoted strategy ID is h9\_aurora\_driftguard19.
Current promoted performance
Costs CAGR Max DD
5 bps 42.15% −43.48%
7.5 bps 40.76% −43.71%
10 bps 39.39% −43.95%
15 bps 36.68% −45.43%
That is a genuine Pareto improvement over the previous Aurora 09:20 default at roughly 41.51% / −43.97%.
What DriftGuard 19 actually does
It keeps the existing H9/Aurora architecture and adds two simple mechanisms:
Normal risk = 19.0%
Existing causal 09:20 ES controller remains.
If ZN / 10Y Treasury futures are down overnight, retain only 50% of the extreme-negative-ES re-add increment.
DriftGuard: if Nasdaq EMA63 < EMA126 and H9 realized volatility is in the bottom 25% of its rolling 500-session distribution, cap budget at 15%.
The last rule attacks a very specific H9 failure mode:
\> falling market + deceptively low realized volatility → variance targeting starts levering back up during the decline.
That was responsible for much of the old 1992 slow-grind drawdown.
The no-lookahead checks passed
I made this a mechanical promotion gate rather than relying on visual inspection.
The audit confirms:
ES uses only prior-close 15:55–16:00 and next-session data ending 09:20 ET.
ZN uses the same causal clock.
ES percentile uses strictly prior observations.
Mutating all future Nasdaq prices/H9 vol does not alter earlier DriftGuard states.
Raw ES/ZN rebuilds reproduce the exact same strategy budget hash.
No shift(-1) / future target operation exists in the canonical controller.
Portfolio execution remains the mandatory one-session next-open lag.
Canonical budget hash:
7f0eabad…fde4ad
Promoted allocation artifact hash:
4481ec54…2fa6b
So I am comfortable saying the implementation has no identified future/lookahead leakage.
I would still not claim that means there is zero overfitting. Research-selection risk remains because we've tested many ideas on the same long historical universe.
Robustness is unusually strong
At 15 bps:
135 / 135 nearby DriftGuard definitions stay <50% DD.
Worst DD: −46.29%
Worst CAGR: 36.13%
60 / 60 nearby Aurora ES-controller definitions stay <50%.
Worst DD: −48.45%
Worst CAGR: 35.64%
I then crossed the 15 worst Aurora variants × 15 worst DriftGuard variants.
225 / 225 pass
Worst DD: −48.45%
Minimum CAGR: 35.28%
That last test matters because it attacks interactions between two parameter families rather than varying one while holding the other perfect.
I also tested 19.2% normal risk. It passes the coordinate robustness tests, but a neighboring definition gets to roughly −49.40%. I deliberately retained 19.0% rather than promote the cliff.
Random-window behavior improved too
Versus the previous Aurora default, in fresh-cash samples:
Active-era 5-year windows
beats CAGR: 96% at 5 bps
beats CAGR: 99% at 15 bps
Active-era 10-year windows
beats CAGR: 100% / 100%
Full-history 5-year windows
96% / 99%
Full-history 10-year
99% / 100%
Even the 10th-percentile CAGR improvement is positive for the 5- and 10-year samples.
That's considerably stronger than many of our earlier overlays, where the headline full-period result looked good but random windows exposed concentration.
Crash/subperiod profile
Fresh-start 5-bps results:
1985–1998: 46.76% CAGR / −43.48% DD
1999–2009: 26.51% / −37.88%
2010–2017: 40.25% / −40.78%
2018–2026: 57.16% / −42.09%
Selected crash DD:
1987: −19.74%
1990: −42.70%
1992 slow bleed: −42.76%
dot-com: −38.00%
GFC: −31.72%
COVID: −25.60%
2022: −36.10%
The important point is that DriftGuard didn't merely patch 1992. It also materially changes the dot-com behavior.
I pushed beyond it too
I tested several additional channels.
Rejected:
NQ relative confirmation
VX rising/term-structure veto
broad middle-ES-percentile caps
using 09:00→09:20 confirmation to remove ES re-adds
Those generally made performance worse.
One further branch remains interesting: when ES is already in the extreme positive tail and continues upward between 09:00 and 09:20, a small additional boost can reach roughly 42.25–42.32% CAGR while keeping DD acceptable.
But only 15/36 nearby confirmation definitions were clean all-cost improvements. That's not strong enough for the default, so I left it research-only instead of chasing another 0.1–0.2 CAGR points.
Operational status
The strategy is promoted/default, but I did not submit any orders.
Preflight currently says DO NOT TRADE because:
the existing kill switch remains ON;
the frozen strategy artifact is stale;
current validated ES + ZN pre-open information only reaches the August 7, 2026 execution session;
order transmission in the environment is currently LIVE.
I deliberately did not clear the kill switch or weaken the staleness rule.
The daily promoter now points to DriftGuard19, and it requires fresh both ES and ZN at 09:20. Missing ZN is not silently treated as “Treasuries didn't fall.”
So the new benchmark for everything we do next is now:
\> 42.15% CAGR / −43.48% DD
36.68% CAGR / −45.43% DD at 15 bps
And the next target I'd use is no longer merely “get above 40.” It is 43%+ CAGR while preserving roughly −44% DD, ideally with the high-cost DD still below about −47%.

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