Q7 PRISM — S2 Bond-Spread Calibration Heatmap

HONEST 16/16 SHIP · RX07 · 15yr · leak-free (causal ζ, per-fold HAI, per-fold stress, T/yr-fixed) · 100% parameter coverage (229 calibratable Pine inputs).

Algo source (two code formats): Pine golden source (R2 authority) · Python engine: q7_s2_rx07_engine.py (reference) + q7_s2_rx07_kernel.py (numba).

① 100% Parameter Coverage (R1/R5)

Pine inputs total	signed-off excluded	calibratable population	searched/config	configs
233	4	229	99	16

Every calibratable Pine input is searched, pinned (execMode/spread), signed-off-excluded, or a pending-signoff display param — the fail-closed R5 gate aborts any run below 100%.

② Charter-Gate Health (16 configs × criteria)

config	verdict	net	PF	WR%	MDD%	T/yr	CPCV-LCI	MC-p	CommGP%	trades
SPRD_10_30-H1	SHIP	3.89e+05	4.49	68.3	12.4	103	0.32	0.0002	0.598	746
SPRD_10_30-H4	SHIP	2.63e+05	5.09	66.5	25.4	30.8	0.388	0.0002	0.307	223
SPRD_10_30-M15	SHIP	6.88e+05	3.33	66.6	14.8	350	0.32	0.0002	1.16	2551
SPRD_10_30-M5	SHIP	6.18e+05	3.39	66.6	7.82	804	0.428	0.0002	3.92	5803
SPRD_30_UB-H1	SHIP	4.19e+05	6.31	79.2	14.1	105	0.385	0.0002	1.38	760
SPRD_30_UB-H4	SHIP	2.95e+05	6.72	71.2	15.8	32.3	0.419	0.0002	0.465	233
SPRD_30_UB-M15	SHIP	8.98e+05	4.46	78	24.9	399	0.311	0.0002	1.55	2886
SPRD_30_UB-M5	SHIP	1.71e+06	3.6	73	6.06	1.58e+03	0.327	0.0002	3.51	11273
SPRD_5_10-H1	SHIP	1.91e+05	4.22	69.3	7.77	101	0.235	0.0002	1.08	732
SPRD_5_10-H4	SHIP	1.09e+05	4.87	72.9	9.51	33.7	0.403	0.0002	0.813	245
SPRD_5_10-M15	SHIP	2.97e+05	3.25	68.2	8.94	494	0.252	0.0002	5.3	3579
SPRD_5_10-M5	SHIP	6.71e+05	4.04	75.2	5.15	1.49e+03	0.433	0.0002	7.33	10840
SPRD_5_30-H1	SHIP	3.78e+05	4.11	73.5	8.92	114	0.452	0.0002	0.72	828
SPRD_5_30-H4	SHIP	3.38e+05	5.85	67.8	22.8	34.8	0.287	0.0002	0.247	253
SPRD_5_30-M15	SHIP	1.17e+06	3.81	71.5	11.1	362	0.348	0.0002	0.697	2624
SPRD_5_30-M5	SHIP	1.3e+06	3.28	71.5	11.3	943	0.376	0.0002	1.85	6862

③ Supplemental Models — per-config HAI (all 16, cycle-pinned)

config	holdout AUC	n_samples	cycle	HAI-on	features
SPRD_10_30-H1	0.668	13600	S2_FULLCOV_HAI_RX07	True	9
SPRD_10_30-H4	0.69	2123	S2_FULLCOV_HAI_RX07	True	9
SPRD_10_30-M15	0.661	78650	S2_FULLCOV_HAI_RX07	True	9
SPRD_10_30-M5	0.611	192141	S2_FULLCOV_HAI_RX07	True	9
SPRD_30_UB-H1	0.694	21814	S2_FULLCOV_HAI_RX07	True	9
SPRD_30_UB-H4	0.789	1757	S2_FULLCOV_HAI_RX07	True	9
SPRD_30_UB-M15	0.621	62423	S2_FULLCOV_HAI_RX07	True	9
SPRD_30_UB-M5	0.619	165314	S2_FULLCOV_HAI_RX07	True	9
SPRD_5_10-H1	0.671	15956	S2_FULLCOV_HAI_RX07	True	9
SPRD_5_10-H4	0.745	4286	S2_FULLCOV_HAI_RX07	True	9
SPRD_5_10-M15	0.663	73979	S2_FULLCOV_HAI_RX07	True	9
SPRD_5_10-M5	0.652	205856	S2_FULLCOV_HAI_RX07	True	9
SPRD_5_30-H1	0.63	7098	S2_FULLCOV_HAI_RX07	True	9
SPRD_5_30-H4	0.767	3105	S2_FULLCOV_HAI_RX07	True	9
SPRD_5_30-M15	0.64	21108	S2_FULLCOV_HAI_RX07	True	9
SPRD_5_30-M5	0.632	191278	S2_FULLCOV_HAI_RX07	True	9

Spread-native features: z, abs_z, z_vel, z_accel, sig_ratio, drift, tod, dow, prior_dir

④ Full Calibrated-Parameter Heatmap (99 engine params × 16 configs)

Per-row colour = value normalized across configs (blue=low, red=high; T/F=bool). Mirrors 100% of the live search space.

param	10_30 H1	10_30 H4	10_30 M15	10_30 M5	30_UB H1	30_UB H4	30_UB M15	30_UB M5	5_10 H1	5_10 H4	5_10 M15	5_10 M5	5_30 H1	5_30 H4	5_30 M15	5_30 M5
blackout_hour_cpi	9	9	15	12	16	3	5	5	10	21	8	11	22	6	20	10
blackout_hour_fomc	3	0	0	18	11	16	11	2	14	0	9	20	1	10	17	21
blackout_minutes	26	43	103	99	205	207	221	61	191	93	188	57	188	62	15	89
blackout_nfp_friday	F	T	F	T	T	F	T	T	T	F	F	T	T	T	T	T
cointeg_max_drift	1.07	1.02	0.548	0.469	1.1	1.66	1.86	0.859	0.41	0.342	1.68	1.43	1.78	1.63	0.644	0.577
cointeg_window	294	224	270	161	163	106	75	355	353	349	147	114	292	206	247	382
conf_min	53	61	66	78	61	56	80	71	55	61	58	51	80	71	50	61
curve_regime	AUTO	BEAR_FLATTENER	BEAR_FLATTENER	BEAR_STEEPENER	NEUTRAL	BULL_FLATTENER	BULL_STEEPENER	NEUTRAL	BULL_FLATTENER	BULL_FLATTENER	BEAR_FLATTENER	BEAR_FLATTENER	BULL_FLATTENER	BULL_STEEPENER	NEUTRAL	AUTO
daily_loss_cap	7.63	7.79	3.06	8.04	1.86	6.79	3.7	9.56	1.34	9.35	9.2	9.58	9.48	6.91	3.9	7.78
dir_adj_long	1.11	0.85	0.813	1	1.06	0.897	1.14	0.897	0.906	1.14	0.85	0.896	1.27	0.961	0.723	0.79
dir_adj_short	0.732	1.09	0.904	0.776	0.971	0.855	0.77	0.709	0.764	0.907	0.957	0.751	0.888	1.2	1.12	0.806
dv01_short_cap	0.508	0.639	0.857	1.29	1.4	0.886	1.28	0.761	0.502	0.628	1.26	1.03	1.2	0.53	1.03	1.16
dv01_target_pct	0.131	0.394	0.183	0.139	0.336	0.332	0.158	0.842	1.57	1.36	0.222	0.708	0.31	1.71	0.152	1.74
entry_z	1.12	1.65	1.5	1.47	1.51	1.77	1.13	1.64	1.17	1.21	1.92	1.92	1.04	1.87	1.08	1.91
exit_z	0.0439	0.457	0.364	0.211	0.725	0.394	0.482	0.659	0.304	0.614	0.266	0.393	0.665	0.416	0.259	0.533
finbert_block	-0.751	-0.428	-0.468	-0.337	-0.187	-0.879	-0.846	-0.512	-0.785	-0.385	-0.716	-0.947	-0.551	-0.241	-0.572	-0.165
g_conf_min	76	91	90	87	90	69	78	73	89	76	85	95	56	52	57	59
g_entry_z	2.07	2.62	2.07	2.51	2.36	2.64	1.9	1.76	1.88	1.76	1.96	2.02	1.57	2.69	1.7	2.01
g_exit_z	0.496	0.476	0.282	0.185	0.61	0.446	0.567	0.506	0.752	0.244	0.0679	0.657	0.687	0.31	0.754	0.656
g_max_units	1	3	3	2	11	13	5	8	11	11	13	13	9	10	10	11
g_risk_pct	1.62	0.694	1.25	0.462	1.39	1.31	0.101	0.235	1.62	1.33	1.96	1.94	1.35	1.43	0.753	2
g_stop_z	4.61	3.96	4.83	2.94	2.82	3.56	4.89	3.86	3.74	2.8	2.66	2.69	3.31	2.61	2.65	3.72
g_ts_bars	41	25	37	29	48	21	39	22	36	33	24	39	41	9	8	39
g_z_window	47	297	246	285	89	57	21	199	187	189	139	122	193	79	271	116
hai_min_score	0.281	0.147	0.558	0.497	0.0269	0.416	0.136	0.175	0.147	0.185	0.156	0.252	0.281	0.413	0.415	0.269
hard_stop_pct	0.861	2.29	1.55	2.73	3.14	0.513	2.35	1.46	0.751	2.65	2.19	2.29	2.93	1.17	3.14	3.91
kill_dd_pct	12.6	29.7	15.6	28	22.1	29.9	19.8	28	24.5	17.1	13.7	20	23.7	25.9	25.4	18.4
leg1_frac	0.208	0.211	0.302	0.472	0.256	0.114	0.15	0.299	0.373	0.302	0.188	0.282	0.131	0.167	0.203	0.154
leg1_pct	21.3	25.4	15.7	33.8	37.1	18	11.2	22.9	49.4	32.9	17.9	15.2	15.8	26.6	33.2	43.9
leg2_frac	0.501	0.548	0.3	0.456	0.427	0.492	0.681	0.653	0.425	0.708	0.567	0.394	0.538	0.537	0.66	0.496
leg2_pct	17.7	18.4	18.1	28.4	24.2	27.8	26.5	28.9	12.7	31.7	35.8	29.8	13.9	12.9	20	31.2
leg3_frac	0.774	0.903	0.616	0.801	0.737	0.859	0.715	0.652	0.769	0.734	0.699	0.733	0.868	0.911	0.812	0.94
leg3_pct	23.6	25.3	33.1	23.8	17.6	25.1	14.6	15.4	18.5	18.4	13.3	19.7	26.5	23.2	30.1	34.4
leg4_frac	0.9	1.01	0.921	1.06	1.02	1.01	1.09	0.941	1.07	0.859	1	0.895	1.04	1.01	0.891	0.997
leg4_pct	5.14	28.6	20.4	11	18.8	8.35	5.37	14.6	22.8	22.7	14.9	25.5	15.2	14.9	28.3	8.91
leg5_pct	14.6	11.2	13.5	6.6	21.8	14.4	19	21.2	5.25	10.9	16.5	14	17.9	18.1	7.54	21.8
leg5_runner_z	0.633	0.398	0.264	0.216	0.678	0.754	0.217	0.598	0.348	0.513	0.449	0.37	0.675	0.599	0.606	0.227
loss_cooldown_bars	15	8	17	5	7	13	11	5	14	12	12	17	8	12	4	15
lvol_block_stress	T	F	T	F	F	F	F	F	F	T	T	T	T	T	T	F
lvol_calm_thresh	0.463	0.546	0.475	0.225	0.771	0.8	0.204	0.767	0.722	0.532	0.668	0.78	0.665	0.283	0.238	0.568
lvol_high_thresh	1.56	2.56	1.55	2.61	2.66	1.98	1.49	2.94	2.59	2.61	2.27	2.24	2.59	1.82	2.53	2.72
lvol_trend_thresh	1.62	1.71	1.67	1.18	1.75	1.39	2	1.95	1.11	1.11	1.35	1.96	1.33	1.63	1.82	1.71
lvol_window	157	139	42	129	131	144	33	67	200	189	188	154	74	162	136	40
max_units	6	7	2	2	2	3	2	2	6	7	2	2	3	4	6	2
mode_def_tsmult	0.503	0.547	0.744	0.57	0.608	0.421	0.31	0.327	0.739	0.494	0.39	0.365	0.624	0.639	0.446	0.56
mode_over_ez	1.19	1.26	1.47	1.21	1.35	1.3	1.38	1.1	1.03	1.36	1.46	1.12	1.5	1.18	1.26	1.46
mode_over_sz	1.02	1.39	1.31	1.32	1.24	1.26	1.35	1.28	1.24	1.27	1.17	1.29	1.1	1.13	1.19	1.17
mode_over_ts	1.66	1.92	1.61	1.77	1.86	1.57	1.31	1.97	1.44	1.33	1.6	1.66	1.63	1.94	1.21	1.46
mode_over_xz	2	1.27	1.02	1.52	1.58	1.47	1.97	1.55	1.48	1.26	1.15	1.01	1.12	1.72	1.73	1.81
mode_override	AUTO	MR_NORMAL	MR_TIGHT	MR_OVERSHOOT	MR_OVERSHOOT	MR_TIGHT	MR_NORMAL	MR_DEFENSIVE	MR_DEFENSIVE	AUTO	MR_TIGHT	MR_TIGHT	AUTO	MR_NORMAL	MR_NORMAL	AUTO
mode_tight_ez	0.967	0.895	0.836	0.774	0.738	0.776	0.888	0.728	0.88	0.808	0.764	0.878	0.985	0.813	0.677	0.632
mode_tight_sz	0.948	0.795	0.741	0.937	1.06	1.08	1.06	0.785	0.754	0.973	1.07	1.04	1.03	0.95	1.05	0.843
mode_tight_ts	0.641	0.711	0.667	0.79	0.563	0.516	0.631	0.676	0.602	0.827	0.784	0.73	0.74	0.693	0.643	0.778
mode_tight_xz	0.854	0.96	0.692	0.642	0.756	0.574	0.976	0.826	0.587	0.798	0.812	0.689	0.57	0.534	0.965	0.676
ou_zeta_horizon	197	394	113	374	228	312	259	170	225	268	268	303	332	343	201	334
ou_zeta_strength	0.986	0.176	0.987	0.505	0.27	0.732	0.609	0.783	0.899	0.498	0.394	0.0145	0.79	0.328	0.61	0.0332
ou_zeta_window	222	62	192	190	110	155	167	143	119	58	42	50	233	172	64	188
ratchet_frac	0.203	0.434	0.531	0.428	0.328	0.323	0.752	0.342	0.428	0.403	0.42	0.366	0.279	0.251	0.444	0.25
regime_lookback	68	179	59	183	292	239	284	218	247	130	281	297	252	166	191	30
risk_pct	1.05	0.97	0.968	0.503	0.963	0.717	0.387	0.62	0.206	0.411	0.329	0.326	0.508	0.279	1.29	0.941
rolling_dd_pct	18.3	14.9	8.71	9.18	7.56	12.6	14.3	15.7	6.03	19.4	10.7	15.5	10.6	12.7	19.2	10.4
sentiment_score	0.982	-0.108	0.738	-0.00418	-0.0195	-0.542	0.368	-0.41	0.816	0.00845	-0.122	0.561	0.642	-0.597	-0.114	-0.401
slip_budget_bps	6.9	8.51	10.3	8.12	7.98	1.82	1.25	10.8	1.93	7.95	13.9	12	15	1.23	8.34	12.4
slip_vol_mult	0.47	0.432	0.239	0.457	0.345	0.34	0.498	0.473	0.0333	0.36	0.367	0.197	0.122	0.17	0.31	0.36
stop_cooldown_mult	5	2	5	2	3	2	4	4	3	2	2	3	5	3	1	3
stop_z	3.7	3.7	4.53	3.53	4.22	3.8	4.71	4.29	4.23	4.29	4.79	4.93	3.83	3.56	4.96	4.77
ts_bars	17	27	48	24	23	46	55	58	30	22	30	25	15	58	41	41
use_5leg	T	T	T	T	T	T	T	T	T	T	T	T	T	T	T	T
use_be	F	F	T	F	F	F	T	F	T	F	F	F	F	F	F	F
use_blackout	F	T	T	F	T	F	F	F	F	F	F	F	F	T	F	F
use_cfg_override	T	F	F	F	T	F	F	F	F	T	F	T	T	T	F	T
use_cointeg	F	F	F	F	F	F	T	F	F	F	F	F	F	F	F	F
use_confluence	T	F	T	F	T	T	F	T	F	T	T	T	F	F	T	F
use_daily_cap	F	F	T	T	T	F	T	T	T	F	F	F	T	F	T	T
use_dv01_tight	T	T	T	T	T	T	T	T	F	F	F	F	T	F	T	F
use_hard_stop	F	F	F	T	F	T	F	F	F	T	F	F	T	F	T	T
use_kill_switch	F	T	T	T	F	T	T	F	F	T	T	T	F	T	T	F
use_lambda_vol	F	F	F	T	T	T	T	F	F	F	T	T	T	F	F	T
use_loss_cooldown	F	T	F	T	F	F	T	T	T	T	F	F	T	F	T	T
use_ou_zeta	T	F	T	F	T	F	T	F	F	F	T	F	F	F	T	F
use_ratchet	F	F	F	F	T	F	F	F	F	F	F	F	F	F	T	F
use_regime_gate	T	F	F	F	F	T	F	T	F	F	F	F	F	F	F	F
use_regime_router	T	T	F	F	F	F	T	F	T	F	F	F	F	F	T	T
use_rolling_dd	T	T	T	T	F	T	T	F	F	T	T	T	T	T	F	T
use_sentiment_gate	F	F	F	T	F	T	T	F	T	T	F	F	F	F	T	F
use_slippage	F	F	F	T	F	F	F	F	F	F	T	T	T	F	F	F
use_zeta_conf	T	F	T	T	T	T	T	F	T	T	F	F	T	F	F	F
wt_cointeg	0.949	0.519	0.22	0.558	0.528	0.504	0.0964	0.197	0.0671	0.0559	0.597	0.183	0.392	0.975	0.253	0.972
wt_hai	0.8	0.887	0.644	0.988	0.478	0.446	0.341	0.993	0.201	0.552	0.129	0.576	0.585	0.224	0.306	0.793
wt_lvol	0.485	0.737	0.175	0.443	0.611	0.262	0.0836	0.4	0.602	0.178	0.0286	0.367	0.992	0.176	0.486	0.348
wt_regime	0.492	0.733	0.137	0.864	0.788	0.232	0.308	0.825	0.00807	0.64	0.346	0.281	0.562	0.958	0.613	0.216
wt_slippage	0.814	0.62	0.909	0.133	0.101	0.448	0.0365	0.628	0.375	0.231	0.76	0.0821	0.996	0.618	0.999	0.231
wt_zscore	0.845	0.0722	0.594	0.083	0.43	0.463	0.18	0.512	0.921	0.245	0.955	0.601	0.173	0.83	0.819	0.669
z_window	39	49	64	31	42	47	154	32	111	62	39	35	42	37	138	58
zeta_conf_weight	0.0208	11.3	9.78	4.75	6.44	4.3	2.52	10.4	1.84	6.84	10.2	1.12	6.52	8	5.76	12
zeta_w_c	0.306	0.407	0.235	0.344	0.217	0.384	0.463	0.256	0.126	0.178	0.22	0.353	0.161	0.281	0.389	0.281
zeta_w_j	0.428	0.193	0.25	0.463	0.316	0.332	0.439	0.164	0.467	0.394	0.201	0.379	0.413	0.48	0.476	0.121
zeta_w_v	0.484	0.131	0.59	0.19	0.582	0.494	0.487	0.254	0.328	0.303	0.267	0.292	0.191	0.557	0.394	0.206
zeta_window	50	56	28	36	35	36	40	29	42	56	16	31	36	47	19	16

CSV exports: heatmap_param_matrix.csv · heatmap_gate_matrix.csv · heatmap_model_manifest.csv