v21.0 Extended Backtest and Walk-Forward Testing

Period: 2020-01-01 to 2026-06-04 Total Days: 2347 Previous Backtest: 186 days (2025-12-01 to 2026-06-04) Extended Range: +2.5 years back to 2020-01-01

I. Extended Coverage Metrics

Metric	Extended (2020-2026)	Previous (186d)	Change
Active Days	74.8%	73.1%	+1.7%
Convergence Days	42.6%	37.6%	+5.0%
CRITICAL Signals	672	47	+625
HIGH+CRITICAL	976	70	+906
Avg Active Windows/Day	1.426	1.3	+0.13
Max Simultaneous	5	4	+1

Per-Window Coverage (Extended)

Window	Active Days	Coverage	Target	Status
55d	718	30.6%	~29%	PASS
56d	714	30.4%	~29%	PASS
100d	391	16.7%	~16%	PASS
111d	357	15.2%	~14%	PASS
124d	319	13.6%	~13%	PASS
127d	306	13.0%	~13%	PASS
138d	289	12.3%	~12%	PASS
279d	136	5.8%	~6%	PASS
666d	116	4.9%	~4%	PASS

II. Walk-Forward Validation

Configuration: 90d train / 30d test / 30d step Folds: 75 Avg Train Convergence Rate: 43.2% Avg Test Convergence Rate: 42.4% Avg Test Active %: 74.3% Total CRITICAL Signals (all folds): 657 Total HIGH Signals (all folds): 279 Test Conv Stability (σ): 0.2534

Fold Details

Fold	Test Period	Train Conv%	Test Conv%	Test Active%	CRIT	HIGH	Max Active
0	2020-03-31 to 2020-04-29	51.1%	30.0%	50.0%	9	0	2
1	2020-04-30 to 2020-05-29	52.2%	56.7%	80.0%	17	0	2
2	2020-05-30 to 2020-06-28	48.9%	26.7%	86.7%	0	8	3
3	2020-06-29 to 2020-07-28	37.8%	56.7%	100.0%	7	10	3
4	2020-07-29 to 2020-08-27	46.7%	53.3%	83.3%	8	8	3
5	2020-08-28 to 2020-09-26	45.6%	43.3%	100.0%	13	0	2
6	2020-09-27 to 2020-10-26	51.1%	20.0%	93.3%	2	4	2
7	2020-10-27 to 2020-11-25	38.9%	63.3%	83.3%	8	11	3
8	2020-11-26 to 2020-12-25	42.2%	30.0%	80.0%	3	6	2
9	2020-12-26 to 2021-01-24	37.8%	56.7%	90.0%	14	3	3
10	2021-01-25 to 2021-02-23	50.0%	43.3%	66.7%	6	7	2
11	2021-02-24 to 2021-03-25	43.3%	10.0%	83.3%	3	0	2
12	2021-03-26 to 2021-04-24	36.7%	60.0%	100.0%	11	7	3
13	2021-04-25 to 2021-05-24	37.8%	80.0%	96.7%	6	18	2
14	2021-05-25 to 2021-06-23	50.0%	56.7%	93.3%	10	7	3
15	2021-06-24 to 2021-07-23	65.6%	0.0%	23.3%	0	0	1
16	2021-07-24 to 2021-08-22	45.6%	93.3%	100.0%	14	14	4
17	2021-08-23 to 2021-09-21	50.0%	20.0%	70.0%	6	0	3
18	2021-09-22 to 2021-10-21	37.8%	50.0%	83.3%	13	2	3
19	2021-10-22 to 2021-11-20	54.4%	30.0%	60.0%	0	9	2
20	2021-11-21 to 2021-12-20	33.3%	70.0%	100.0%	4	16	3
21	2021-12-21 to 2022-01-19	50.0%	80.0%	93.3%	13	11	4
22	2022-01-20 to 2022-02-18	60.0%	50.0%	90.0%	7	8	4
23	2022-02-19 to 2022-03-20	66.7%	36.7%	90.0%	6	5	2
24	2022-03-21 to 2022-04-19	55.6%	0.0%	33.3%	0	0	1
25	2022-04-20 to 2022-05-19	28.9%	73.3%	86.7%	16	6	5
26	2022-05-20 to 2022-06-18	36.7%	36.7%	63.3%	6	5	3
27	2022-06-19 to 2022-07-18	36.7%	26.7%	86.7%	8	0	2
28	2022-07-19 to 2022-08-17	45.6%	0.0%	0.0%	0	0	0
29	2022-08-18 to 2022-09-16	21.1%	93.3%	100.0%	17	11	5
30	2022-09-17 to 2022-10-16	40.0%	43.3%	76.7%	13	0	2
31	2022-10-17 to 2022-11-15	45.6%	33.3%	76.7%	10	0	2
32	2022-11-16 to 2022-12-15	56.7%	26.7%	73.3%	2	6	4
33	2022-12-16 to 2023-01-14	34.4%	30.0%	90.0%	9	0	4
34	2023-01-15 to 2023-02-13	30.0%	46.7%	100.0%	11	3	3
35	2023-02-14 to 2023-03-15	34.4%	23.3%	33.3%	5	2	3
36	2023-03-16 to 2023-04-14	33.3%	56.7%	93.3%	12	5	4
37	2023-04-15 to 2023-05-14	42.2%	3.3%	33.3%	1	0	2
38	2023-05-15 to 2023-06-13	27.8%	70.0%	100.0%	21	0	3
39	2023-06-14 to 2023-07-13	43.3%	43.3%	70.0%	0	13	2
40	2023-07-14 to 2023-08-12	38.9%	56.7%	70.0%	15	2	3
41	2023-08-13 to 2023-09-11	56.7%	0.0%	56.7%	0	0	1
42	2023-09-12 to 2023-10-11	33.3%	93.3%	93.3%	19	6	5
43	2023-10-12 to 2023-11-10	50.0%	40.0%	46.7%	2	4	4
44	2023-11-11 to 2023-12-10	44.4%	50.0%	50.0%	15	0	4
45	2023-12-11 to 2024-01-09	61.1%	20.0%	23.3%	6	0	2
46	2024-01-10 to 2024-02-08	36.7%	86.7%	100.0%	24	2	4
47	2024-02-09 to 2024-03-09	52.2%	40.0%	50.0%	12	0	3
48	2024-03-10 to 2024-04-08	48.9%	16.7%	76.7%	5	0	3
49	2024-04-09 to 2024-05-08	47.8%	56.7%	63.3%	14	3	3
50	2024-05-09 to 2024-06-07	37.8%	46.7%	60.0%	12	2	3
51	2024-06-08 to 2024-07-07	40.0%	66.7%	90.0%	20	0	3
52	2024-07-08 to 2024-08-06	56.7%	0.0%	26.7%	0	0	1
53	2024-08-07 to 2024-09-05	37.8%	60.0%	83.3%	12	6	4
54	2024-09-06 to 2024-10-05	42.2%	23.3%	26.7%	7	0	4
55	2024-10-06 to 2024-11-04	27.8%	50.0%	70.0%	15	0	5
56	2024-11-05 to 2024-12-04	44.4%	0.0%	80.0%	0	0	1
57	2024-12-05 to 2025-01-03	24.4%	33.3%	90.0%	10	0	2
58	2025-01-04 to 2025-02-02	27.8%	36.7%	63.3%	11	0	4
59	2025-02-03 to 2025-03-04	23.3%	73.3%	100.0%	13	9	5
60	2025-03-05 to 2025-04-03	47.8%	26.7%	93.3%	8	0	2
61	2025-04-04 to 2025-05-03	45.6%	0.0%	30.0%	0	0	1
62	2025-05-04 to 2025-06-02	33.3%	73.3%	73.3%	16	6	5
63	2025-06-03 to 2025-07-02	33.3%	56.7%	80.0%	15	2	3
64	2025-07-03 to 2025-08-01	43.3%	53.3%	90.0%	6	3	3
65	2025-08-02 to 2025-08-31	61.1%	3.3%	53.3%	0	1	2
66	2025-09-01 to 2025-09-30	37.8%	63.3%	100.0%	14	5	4
67	2025-10-01 to 2025-10-30	40.0%	76.7%	100.0%	23	0	2
68	2025-10-31 to 2025-11-29	47.8%	16.7%	76.7%	5	0	2
69	2025-11-30 to 2025-12-29	52.2%	60.0%	90.0%	10	8	3
70	2025-12-30 to 2026-01-28	51.1%	30.0%	63.3%	5	4	3
71	2026-01-29 to 2026-02-27	35.6%	56.7%	73.3%	17	0	4
72	2026-02-28 to 2026-03-29	48.9%	26.7%	76.7%	3	5	3
73	2026-03-30 to 2026-04-28	37.8%	60.0%	100.0%	12	6	3
74	2026-04-29 to 2026-05-28	47.8%	0.0%	36.7%	0	0	1

III. Statistical Significance Testing

1. Binomial Test — Convergence Rate vs. Random

Metric	Value
Observed Conv Rate	42.6%
Expected Rate (Null)	40.3%
Z-Score	2.23
P-Value	0.026084
Significant (p<0.05)	YES
Significant (p<0.01)	NO
Interpretation	Convergence rate is significantly higher than random (p<0.05)

2. Runs Test — Convergence Day Clustering

Metric	Value
Total Runs	131
Expected Runs	1148.5
Z-Score	-42.97
P-Value	0.000000
Interpretation	Convergence days are clustered (non-random)

3. Chi-Square Test — Monthly Uniformity

Metric	Value
Chi² Statistic	238.13
Degrees of Freedom	70
P-Value	0.000000
Months Analyzed	71
Interpretation	Convergences are NOT uniformly distributed across months (clustered)

4. Per-Window Z-Tests (Proportion vs. Expected)

Window	Observed Rate	Expected Rate	Z-Score	P-Value	Significant
55d	30.6%	29.1%	1.60	0.109284	NO
56d	30.4%	28.6%	1.98	0.047217	YES
100d	16.7%	16.0%	0.87	0.383429	NO
111d	15.2%	14.4%	1.10	0.271942	NO
124d	13.6%	12.9%	1.00	0.319685	NO
127d	13.0%	12.6%	0.64	0.521105	NO
138d	12.3%	11.6%	1.09	0.276340	NO
279d	5.8%	5.7%	0.12	0.900733	NO
666d	4.9%	4.2%	1.78	0.074714	NO

IV. Predictive Power Ranking

Total Convergences Analyzed: 999

Rank	Window	Conv Participation	Peak Alignment	Avg Correlation	Monthly CV	PPS
1	56d (56) (CONFIRMATION)	52.8%	78.6%	0.909	0.532	0.7124
2	111d (111) (AWAKENING)	34.5%	97.6%	0.917	0.486	0.7116
3	55d (55) (ACTIVATION)	53.6%	73.8%	0.924	0.520	0.7081
4	127d (127) (ENFORCEMENT)	25.2%	86.1%	0.891	0.514	0.6458
5	124d (124) (BRIDGE)	26.6%	84.2%	0.906	0.588	0.6429
6	138d (138) (BRIDGE_PLUS)	21.5%	82.3%	0.872	0.608	0.6129
7	666d (666) (BIBO_COMPLETION)	9.1%	100.0%	0.792	0.545	0.6048
8	100d (100) (AUTHORITY)	28.4%	71.7%	0.837	0.569	0.6013
9	279d (279) (TURNING)	7.3%	56.2%	0.802	0.562	0.4910

V. Weight Optimization

Current Weights

W_CSI	W_ENTITY	W_CAUSAL	W_TEMPORAL	Cohen’s d
0.35	0.25	0.25	0.15	0.9013

Optimized Weights

W_CSI	W_ENTITY	W_CAUSAL	W_TEMPORAL	Cohen’s d	Improvement
0.0	0.0	0.1	0.9	1.0711	+0.1698

Grid Step: 0.05 | Configs Evaluated: 1771

Top 10 Weight Configurations

Rank	W_CSI	W_CAUSAL	W_TEMPORAL	Cohen’s d	Mean Conv	Mean NonConv
1	0.0	0.1	0.9	1.0711	0.4872	0.4685
2	0.05	0.05	0.9	1.0707	0.4799	0.4615
3	0.1	0.0	0.9	1.0699	0.4727	0.4544
4	0.15	0.0	0.85	1.0689	0.4948	0.4759
5	0.1	0.05	0.85	1.0677	0.5021	0.4829
6	0.05	0.1	0.85	1.0662	0.5093	0.4900
7	0.0	0.15	0.85	1.0645	0.5166	0.4970
8	0.2	0.0	0.8	1.0564	0.5170	0.4974
9	0.0	0.05	0.95	1.0563	0.4578	0.4400
10	0.15	0.05	0.8	1.0540	0.5243	0.5044

VI. Top 50 Convergence Events (Extended Period)

#	Date	Windows	Correlation	Zone	Tier
1	2020-01-09	56d+124d	0.880	pair	CRITICAL
2	2020-01-10	56d+124d	0.880	pair	CRITICAL
3	2020-01-11	56d+124d	0.880	pair	CRITICAL
4	2020-01-12	56d+124d	0.880	pair	CRITICAL
5	2020-01-13	56d+124d	0.880	pair	CRITICAL
6	2020-02-03	55d+138d+666d	0.780	pair	HIGH
7	2020-02-04	55d+138d+666d	0.897	pair	CRITICAL
8	2020-02-05	55d+138d+666d	0.897	pair	CRITICAL
9	2020-02-06	55d+138d+666d	0.780	pair	HIGH
10	2020-02-07	55d+138d+666d	0.780	pair	HIGH
11	2020-02-08	55d+138d+666d	0.780	pair	HIGH
12	2020-02-09	55d+138d+666d	0.780	pair	HIGH
13	2020-02-10	55d+138d+666d	0.780	pair	HIGH
14	2020-02-11	55d+138d+666d	0.936	pair	CRITICAL
15	2020-02-12	55d+138d+666d	0.936	pair	CRITICAL
16	2020-02-13	55d+666d	0.720	pair	HIGH
17	2020-02-14	55d+666d	0.720	pair	HIGH
18	2020-02-15	55d+666d	0.720	pair	HIGH
19	2020-02-16	55d+666d	0.720	pair	HIGH
20	2020-02-17	55d+666d	0.720	pair	HIGH
21	2020-02-18	55d+666d	0.720	pair	HIGH
22	2020-02-19	55d+666d	0.720	pair	HIGH
23	2020-03-13	56d+100d	0.805	pair	HIGH
24	2020-03-14	56d+100d+111d	0.943	pair	CRITICAL
25	2020-03-15	56d+100d+111d	0.820	pair	HIGH
26	2020-03-16	56d+100d+111d	0.820	pair	HIGH
27	2020-03-17	56d+100d+111d	0.820	pair	HIGH
28	2020-03-18	56d+100d+111d	0.820	pair	HIGH
29	2020-03-19	56d+100d+111d	0.820	pair	HIGH
30	2020-03-20	56d+100d+111d	0.820	pair	HIGH
31	2020-03-21	56d+100d+111d	0.862	pair	CRITICAL
32	2020-03-22	100d+111d	0.975	pair	CRITICAL
33	2020-03-23	100d+111d+127d	0.908	pair	CRITICAL
34	2020-03-24	100d+111d+127d	0.840	pair	HIGH
35	2020-03-25	100d+111d+127d	0.840	pair	HIGH
36	2020-03-26	100d+111d+127d	0.840	pair	HIGH
37	2020-03-27	100d+111d+127d	0.840	pair	HIGH
38	2020-03-28	100d+111d+127d	0.840	pair	HIGH
39	2020-03-29	55d+100d+111d+127d	0.900	pair	CRITICAL
40	2020-03-30	55d+111d+127d	0.900	pair	CRITICAL
41	2020-03-31	55d+127d	0.977	pair	CRITICAL
42	2020-04-01	55d+127d	0.977	pair	CRITICAL
43	2020-04-02	55d+127d	0.850	pair	CRITICAL
44	2020-04-03	55d+127d	0.850	pair	CRITICAL
45	2020-04-04	55d+127d	0.850	pair	CRITICAL
46	2020-04-05	55d+127d	0.850	pair	CRITICAL
47	2020-04-06	55d+127d	0.977	pair	CRITICAL
48	2020-04-07	55d+127d	0.977	pair	CRITICAL
49	2020-04-08	55d+127d	0.850	pair	CRITICAL
50	2020-04-30	56d+124d	0.880	pair	CRITICAL

VII. Assessment

Status: NEEDS_REVIEW Note: Extended backtest reveals issues requiring review.

Strongest Predictive Window: 56d (56) (PPS: 0.7124) Statistical Significance: NOT CONFIRMED Walk-Forward Stability: UNSTABLE (σ=0.2534) Weight Optimization: IMPROVEMENT FOUND (Δd=+0.1698)

Generated: 2026-06-04 15:43:43 UTC | v21.0 Extended Backtest | t_v21_8