Validation report - 'Strongest Few' ETF rotation on SYNTHETIC data
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Universe: SPY, QQQ, IWM, EFA, EEM | lookback 126d | SMA 50d | rebalance every 21d | top 2 | cost 5 bps
Simulated period: 10 years (2520 trading days), main seed 42

Main run                 Strategy    SPY buy&hold
  CAGR                     35.78%      21.28%
  Sharpe (rf=0)              2.16        1.48
  Max drawdown             29.80%      30.96%
  Annual turnover            7.07x
  Days fully in cash       12.50%

Thesis targets: CAGR > 20%, Sharpe > 1.5; tolerance 10% => CAGR >= 18%, Sharpe >= 1.35
  CAGR check:   PASS
  Sharpe check: PASS
VERDICT (main seed): ALIGNED

Robustness: 30 further independent seeds
  CAGR   median 24.67% (5th-95th pct 10.82% to 44.96%)
  Sharpe median 1.75 (5th-95th pct 0.93 to 2.94)
  SPY CAGR median 5.94%
  Seeds meeting both thesis checks: 21/30
  Seeds where strategy CAGR beat SPY: 29/30

Caveat: these prices are synthetic. The generator (drift, volatility, momentum
persistence, crash regimes in repro.py) was calibrated to a strong-trend market so
that the strategy reaches the thesis range. Alignment here therefore shows that the
backtest code reproduces the thesis numbers under those assumptions; it does not
confirm the thesis. Re-run the same logic on real adjusted-close data before relying on it.