Absorption-ratio market gate (WS-1b)

The question

Do cross-asset stress patterns — volatility-of-volatility, credit spreads, the yield curve, commodities, funding plumbing, and crypto — lead broad equity drawdowns? A family of independent early-warning hypotheses.

How it was tested

The hypothesis, its exact trigger, the outcome it predicts, and the pass/fail bar were written down and cryptographically hash-locked before any data was tested, then held through a mandatory cooling-off period. The backfill ran exactly once against those frozen parameters — no re-tuning, no curve-fitting — using adversarial statistics (stationary-bootstrap confidence intervals, multiple-testing correction, purged cross-validation with an embargo, and walk-forward out-of-sample splits). The specific trigger thresholds are proprietary and omitted here.

The outcome

RAN 2026-06-10 → NOISE (both universes). equity_1999 ep 11/7: spx_3mo IC 0.008[lo -0.150]/lift 0.007/FPR 0.30, spx_6mo IC 0.064[lo -0.141]/A1>A3 true, ndx_12mo IC -0.172/purged 0/5; overlay 100%SPX Calmar 1.12× (drag 21%) FAILS 1.15× bar, 60/40 0.87×. crossasset_2004 ep 9/8 all-negative IC. Coincident-not-leading + overlay doesn't earn its drag = the honest-prior base case. WS-1a LIVE absorptionAdvisory observability (shipped 6/02) UNAFFECTED. data/backfill/absorption_ratio_regime_gate_2026-06-10.json. Rule #10: no iterate.

The backfill ran and the hypothesis failed its pre-registered bar. It is recorded and retired — not re-tested without a fresh, separately-registered hypothesis.