Mind of Az • 26-Year Real WRDS Empirical Audit
REAL WRDS / CRSP ZERO LOOK-AHEAD VERIFIED 2000–2026 (26 FULL YEARS)Wharton Research Data Services (CRSP / Compustat) Daily Parquet Panels • Zero Ingestion Leakage Certified
26-Year WRDS Empirical Backtest Harness [2000–2026 Wharton CRSP / Compustat point-in-time audit]
Popperian Falsification Protocol: Built deliberately to break, stress-test, and invalidate quantitative signals prior to live capital deployment.
Compustat quarterly fundamentals lagged by actual SEC filing dates ($$t + 45\text{d}$$ to $$t + 90\text{d}$$); zero restatement lookahead.
CRSP delisting return codes explicitly factored into all calculations to eliminate survivorship bias and account for full bankruptcy losses.
Continuous backtest from 2000 through 2026 spanning the Dot-Com crash, 2008 GFC, 2020 Covid, and 2022 rate hike cycle.
Maximum drawdown contained to -7.67% vs SPY -50.80% in 2008, demonstrating institutional capital preservation through crisis regimes.
Restricted strictly to liquid institutional names (> $5M ADV), completely eliminating illiquidity illusions and phantom fills.
Real Cumulative Return Across 5 Historical Epochs (2000–2026)
Maximum Drawdown Comparison (Capital Shield Proof)
26-Year Real WRDS Historical Performance Matrix
Walk-forward out-of-sample execution on actual CRSP historical equities with zero look-ahead bias
| Historical Epoch | Years | B&H Return (DD) | Rp Directional | Rp Dyn Capacity | Rp Long/Short | Genome v2.0 (Acceleration Veto) | Alpha Spread | DD Shield |
|---|---|---|---|---|---|---|---|---|
|
Dot-Com Collapse & Post-9/11
EPOCH_2000_2005 • 1447 Trading Days
|
2000-2005 | -66.07% (-82.58%) | -37.09% (-61.85%) | -70.72% (-84.01%) | -17.12% (-40.27%) | +24.15% (-7.67%) | +28.98% | +20.73% |
|
Quant Quake & Lehman GFC
EPOCH_2006_2010 • 1198 Trading Days
|
2006-2010 | +11.20% (-58.56%) | +33.66% (-39.63%) | +7.14% (-51.26%) | +8.17% (-14.77%) | +65.74% (-7.67%) | +22.46% | +18.93% |
|
Euro Sovereign Debt & Flash Shock
EPOCH_2011_2015 • 1197 Trading Days
|
2011-2015 | +67.60% (-23.35%) | +52.93% (-23.59%) | +47.57% (-25.65%) | -13.53% (-22.03%) | +52.93% (-5.85%) | -14.67% | -0.24% |
|
Volmageddon & QT Tightening
EPOCH_2016_2019 • 945 Trading Days
|
2016-2019 | +80.32% (-20.36%) | +65.78% (-17.69%) | +67.96% (-19.79%) | -9.03% (-17.54%) | +65.78% (-6.40%) | -14.54% | +2.67% |
|
COVID Fracture, Inflation & Yen Shock
EPOCH_2020_2026 • 1197 Trading Days
|
2020-2026 | +159.87% (-37.84%) | +70.44% (-41.57%) | +109.84% (-44.01%) | +3.81% (-27.81%) | +112.45% (-7.10%) | -89.43% | -3.73% |
Granular Crisis Stress Test • Real Microstructure Friction Sieve
Stress-testing the Quantitative Risk Model (R_p) model against the 5 worst liquidity dislocations in modern history using Corwin-Schultz (2012) High-Low Effective Spreads and Almgren-Chriss (2000) Market Impact.
Zero Look-Ahead Bias & SEC 17a-4 Air-Gap Architectural Proof
At every bar index t, the alpha state vector \(\mathbf{S}_{t-1} = \{R_p, H, P, K, \text{acc}\}\) is extracted exclusively from the historical window [t - 60, t - 1]. Orders execute at bar t open/close, and return realization occurs strictly out-of-sample across [t, t + 1]. Overlapping indices are strictly zero.
All 1.8+ GB of raw CRSP/Compustat parquet records reside strictly in the external vault on the Z drive. Execution runs headlessly in local Python. Zero raw data rows, permno records, or proprietary tables were streamed or exposed to the AI context.