EXP-000004

TYO SCORE: worst-month factor and drawdown cap

Accepted Scoring Research source: Hybrid 19 Aug 2026

System: Platform / methodology research — not tied to a single system.
Git commit: c101f55

Hypothesis

Scaling consistency by the worst month, and capping the total by drawdown, restores discrimination without hand-tuning per system.

Controlled change

Consistency × max(0.5, 1 − |worst month|/100); total capped at 40/55/70 for DD ≥ 60/45/30%.

Dataset & conditions

All 14 systems, header + monthly series.

Before / After

Before

Score range before the corrections: 60–86, JAYRO at 60 on a 70.8% DD

After

Score range after: 40–84, JAYRO capped to 40

Validation

Out-of-sample, walk-forward, Monte Carlo and forward results are shown only where they exist as data. None exist for this entry.

Decision

Accepted

RINA (2nd-highest profit factor, 56% DD) lands at 55 and JAYRO at 40 — the ordering now reflects what the score claims to measure. Caps are disclosed on every page they bind.

AI involvement

Model: Claude (Anthropic)
What AI did: Drafted the worst-month factor and the cap ladder; the thresholds (40/55/70 at 60/45/30% DD) were reviewed and approved by a human.
Human review: Reviewed and approved by a human

AI-assisted entries are published only after human review; entries generated by AI without that review are withheld by the build pipeline. AI does not predict markets, and no entry claims otherwise.

Notes

Model documented in docs/TYO_SCORE_MODEL.md; superseded by V2 in docs/TYO_SCORE_V2_MODEL.md.

Backtest improvement does not imply future improvement. The more experiments run, the more likely some succeed by chance — this log exists partly so that multiple-testing risk stays visible instead of hidden.