SPEC-EAV-001 v0.2 · Layer L3 Execution and verification
E-07 Extreme events in the sample period
E-07 records how many volatility extremes the test period contained and how long they lasted, and compares them against known periods of market stress. This item states the valid range of the verification rather than passing or failing it.
What it examines
The number and duration of volatility extremes within the test period.
How it is computed
Count and measure extreme-volatility intervals in the test period and compare against major market stress episodes.
What a defect means
A system verified only across calm intervals has not been verified. This item is used to declare the scope within which the judgment holds.
Judgment states
| Pass | The structure is observed and meets the threshold. |
|---|---|
| Caution | The structure is observed but sits at the boundary of the threshold. Evidence figures are presented alongside. |
| Defect | The structure is not observed, or clearly falls outside the threshold. |
| Not judgeable | The required input data is absent. Marked distinctly from a pass. |
Threshold
Not fixed. Determined from calibration data. See SPEC-EAV-001 §11.
Basis
Jung Chunghwa, FX Market Structure and Systematic Trading (2026), ISBN 979-11-220192-1-6. Research note R-001, Structural problems of EA-based systematic trading (2026-08-20).
Questions this item answers
- Does my backtest period include a market crisis?
- How long should a backtest period be to be meaningful?
Related items
Related terminology
Revision · SPEC-EAV-001 v0.2 · 2026-08-21