{ "audit_timestamp_utc": "2026-09-04T07:02:38.034635+00:00", "architect": "Joseph White / Mind of Az Quantitative Architecture", "title": "Biophysical Harmonics Strategy Genome: 3-Generation Evolutionary Audit Matrix", "generations": { "gen_1_macro_daily": { "name": "Generation 1: Macro Daily Panel (WRDS / CRSP)", "resolution": "1-Day Bars (Close-to-Close)", "sample_size": "27,162,608 daily points across US equities (2000-2026)", "core_mechanic": "Proprietary Closed-Form Metric Rp = Omega_biophys(H, P, K) [CONFIDENTIAL IP]", "friction_model": "Flat 5 bps assumption; zero intraday spread blowout modeling", "key_limitation": "Blind to high-frequency order-book evaporation; lagged flash cascades" }, "gen_2_multi_regime_v2": { "name": "Generation 2: Multi-Regime Production Genome v2.0", "resolution": "Multi-Horizon (Sub-second tick proxy to 10-day rebalance)", "core_strategies": { "regime_1_hft_mm": { "sharpe": 42.29, "net_return_pct": 0.08, "profit_factor": 1.212, "rebates": 39.41 }, "regime_2_intraday_mom": { "sharpe": -3.9, "net_return_pct": -6.25, "max_drawdown_pct": -7.67, "rebalances": 178 }, "regime_3_macro_swing": { "sharpe": 0.361, "net_return_pct": 65.74, "max_drawdown_pct": -24.38, "profit_factor": 1.215 }, "regime_4_stat_arb": { "sharpe": 0.131, "sortino": 0.14, "net_return_pct": 36.7, "gross_return_pct": 57.91, "cagr_net_pct": 4.82, "max_drawdown_pct": -33.74, "profit_factor": 1.082, "win_rate_pct": 53.74 }, "regime_5_tail_hedge": { "lehman_alpha_pct": 34.77, "covid_alpha_pct": 17.96, "walkforward_ret_pct": -47.66 } }, "core_mechanics": [ "Volume-Weighted Micro-Price + Hawkes Asymmetric Queue Skewing", "Biophysical Information Horizon Inequality E[r] >= kappa * F_micro", "3rd-Derivative Kinematic Jerk Sieve (j < -0.015 daily / j < -0.0004 1m)", "Spectral Eigen-Orthogonalization (Null-Space Projection)", "Ginzburg-Landau Supercritical Short Gamma (Quadratic Volatility Puts)" ] }, "gen_3_real_minute_tape": { "name": "Generation 3: 1-Minute Real Historical Exchange Tape Sieve", "resolution": "1-Minute Recorded Exchange Tape (Parquet Bars)", "sample_size": "4,460 recorded bars across 5 canonical market crashes", "execution_protocol": "Zero Lookahead: Signal strictly formed at Close[t] -> Filled at Open[t+1]", "microstructure_friction": "Dynamic Corwin-Schultz half-spread + Almgren-Chriss square-root impact + Taker Fees", "circuit_breaker_compliance": "Strict zero-fill assertion during market-wide Level 1 halts (Rule 80B)", "drawdown_ceiling": -2.2 } }, "crisis_evolution_overlap": [ { "crisis_id": "FLASH_CRASH_2010", "title": "May 6, 2010 HFT Flash Crash", "date": "2010-05-06", "gen1_daily_return_pct": -2.43, "gen1_daily_max_dd_pct": -4.42, "gen2_granular_return_pct": -10.25, "gen2_granular_max_dd_pct": -14.99, "gen3_real_tape_return_pct": -1.64, "gen3_real_tape_max_dd_pct": -2.2, "spy_benchmark_return_pct": -3.46, "spy_benchmark_max_dd_pct": -8.26, "drawdown_mitigation_pct": 6.06, "drawdown_slashed_pct": 73.4, "evolutionary_leap": "Kinematic Jerk Sieve tripped at 14:38 EDT, allowing an orderly exit at .50 before the market collapsed into the .00 vacuum print." }, { "crisis_id": "ETF_DISCONNECT_2015", "title": "August 24, 2015 Rule 48 ETF Freeze", "date": "2015-08-24", "gen1_daily_return_pct": -9.64, "gen1_daily_max_dd_pct": -21.71, "gen2_granular_return_pct": -3.14, "gen2_granular_max_dd_pct": -5.86, "gen3_real_tape_return_pct": -0.49, "gen3_real_tape_max_dd_pct": -2.21, "spy_benchmark_return_pct": 2.06, "spy_benchmark_max_dd_pct": -4.11, "drawdown_mitigation_pct": 1.9, "drawdown_slashed_pct": 46.2, "evolutionary_leap": "Biophysical Information Horizon Inequality eliminated negative-EV churn on halted prints, capping total friction drag to 148.9 bps." }, { "crisis_id": "COVID_CIRCUIT_BREAKER_2020", "title": "March 16, 2020 COVID Level-1 Circuit Breaker", "date": "2020-03-16", "gen1_daily_return_pct": 3.61, "gen1_daily_max_dd_pct": -21.28, "gen2_granular_return_pct": -7.14, "gen2_granular_max_dd_pct": -43.48, "gen3_real_tape_return_pct": 0.59, "gen3_real_tape_max_dd_pct": -2.19, "spy_benchmark_return_pct": 1.66, "spy_benchmark_max_dd_pct": -6.86, "drawdown_mitigation_pct": 4.67, "drawdown_slashed_pct": 68.1, "evolutionary_leap": "Engine strictly honored the 15-minute Level 1 halt, then engaged Regime 5 convex short gamma (+5% put proxy) to finish POSITIVE (+0.59% Net) on the day." }, { "crisis_id": "LEHMAN_LIQUIDITY_FREEZE_2008", "title": "September 15, 2008 Lehman Bankruptcy", "date": "2008-09-15", "gen1_daily_return_pct": -19.46, "gen1_daily_max_dd_pct": -31.1, "gen2_granular_return_pct": -56.65, "gen2_granular_max_dd_pct": -82.17, "gen3_real_tape_return_pct": -0.84, "gen3_real_tape_max_dd_pct": -1.55, "spy_benchmark_return_pct": -2.17, "spy_benchmark_max_dd_pct": -3.91, "drawdown_mitigation_pct": 2.36, "drawdown_slashed_pct": 60.4, "evolutionary_leap": "Dynamic carrying capacity K contraction detected the interbank credit freeze intraday, moving strictly to 100% Cash with only 72.9 bps friction." }, { "crisis_id": "YEN_CARRY_UNWIND_2024", "title": "August 5, 2024 Global Carry Trade Shock", "date": "2024-08-05", "gen1_daily_return_pct": 18.41, "gen1_daily_max_dd_pct": -20.87, "gen2_granular_return_pct": 0.53, "gen2_granular_max_dd_pct": -1.12, "gen3_real_tape_return_pct": 0.82, "gen3_real_tape_max_dd_pct": -0.83, "spy_benchmark_return_pct": 2.36, "spy_benchmark_max_dd_pct": -1.64, "drawdown_mitigation_pct": 0.81, "drawdown_slashed_pct": 49.4, "evolutionary_leap": "Pre-market bar priming avoided opening gap whipsaw; participated cleanly in the afternoon stabilization." } ] }