numerrooASSAYA Numerroo publication
Assay 004 · Evidence receipt

Assay 004 evidence receipt.

Frozen provenance, result, cost assumptions and context derivations behind the time-series momentum finding.

Receipt status

Published with frozen evidence.

The public receipt mirrors the sealed Keel capsule and records Assay-side derivations separately. It does not rewrite the frozen result.

State
PUBLISHED
Published
16 Jul 2026
Variants
2
Survivors
1
Identity

The evidence contract.

Receipt ID
assay-004-tsmom-multiasset-1993-2026-v1
Pre-registration commit
1f0890ff5b2b8f81e9611c388a8306e887bf26c8
Evidence-engine commit
f9b0694f4ce61d475da7aca4e7b4eb2403fdfe9a
Frozen UTC
2026-07-16T01:02:58.772742+00:00
Manifest SHA-256
1e9979758b54c646a1c0917f46b66e9e8be42538dd9c96d6c5a621a89b9f3541
Target class
Category-level academic premium
Result summary

One failure. One conditional survivor.

Q1 long/shortFails

+2.31% full-sample net excess, t 1.49; −0.11% in the recent decade.

Q2 long/flatSurvives

+3.56% full-sample net excess, t 3.37; +2.82% in the recent decade.

Buy-and-hold+4.80%

Higher raw return, with a −44.9% maximum drawdown.

0%-cash contextt 1.97

Just below the frozen full-sample bar.

Public files

Inspect the sealed record.

Read Assay 004Return to the full reader articleResult JSONFrozen verdict read of recordMatrix JSONFrozen month-end price and cash inputsCost tableSource-dated spread and commission assumptionsManifest JSONCapsule identity and frozen artifact hashesContext derivations2x cost, 0%-cash and comparison readsPre-registrationRules frozen before dataConformanceSpecification and reproduction recordSHA256SUMSAssay import verification
Configuration

The frozen test.

Universe
SPY, EFA, EEM, EWA, IEF, TLT, GLD, DBC, VNQ
Signal
Trailing 12-month total-return sign
Cadence
Month-end signal; next trading-day close execution
Weighting
Nine fixed equal-notional slots
Retail scale
US$5,000 per slot, approximately US$45,000 deployed
Sample
389 months through 30 June 2026
Cash
FRED TB3MS three-month Treasury bills
Costs
Half-spread plus IBKR Pro fixed commission
Conformance

The order of operations held.

Frozen before data

The complete specification and survival criteria were committed at `1f0890ff5b2b8f81e9611c388a8306e887bf26c8`.

Engine before result

The evidence engine was committed at `f9b0694f4ce61d475da7aca4e7b4eb2403fdfe9a` before the one-shot run.

Reproduced independently

The frozen engine regenerates `result.json` field for field from the matrix and cost table.

Context kept separate

The 0%-cash and doubled-cost reads are derivations, not pass/fail criteria.

Checksums

The frozen capsule.

ArtifactBytesSHA-256
b6_costs.py6,4582533871b5365d2cd8fb7d9466ca3fd805c07e82d89c4792112b2a3ebab5d8bac
matrix.json455,179184b98b17ecdfb950b1fa65b4c862547bb82b99667aced89d395331c9391a463
result.json29,286627043de0b03035b721529ab7edbba56145d296cc465a0ff6667bb495b61885f

Manifest SHA-256: 1e9979758b54c646a1c0917f46b66e9e8be42538dd9c96d6c5a621a89b9f3541

Review log

Publication decisions.

  1. 15 July 2026Pre-registration frozen before data; target is category-level and no right of reply is required.
  2. 15 July 2026Verification gate passed; data source and cost table frozen.
  3. 15 July 2026One-shot engine run read against the frozen criteria; Q1 failed and Q2 survived.
  4. 16 July 2026Owner approved the publication wording and instructed Assay 004 to be built and published.