Show me the trades I didn't take

This is what I'd need before I'd trust the ML gate. Which the team themselves suggested verifying rather than assuming.

Careful with the interpretation though — a counterfactual on a skipped trade ignores that taking it might have changed your available capacity for the next one. Still worth having, with that caveat stated.

Fair caveat, and I'd rather have the imperfect measurement with a warning than no measurement.

Logging the skipped signal itself is the easy part — we already know why a signal was dropped and by which filter. The hard part is the outcome: to say what would have happened we have to simulate the exit path the same way a real position would have exited, which means fills, stops and trailing logic that never actually ran. So treat any number we show as a modelled result, not a realized one, and QuietVol's point about sequencing is real. We can't reconstruct the alternate portfolio, only the isolated trade. No date to give you, but per-filter hit/miss counts on skipped signals is the version we'd start with, since that answers your question without pretending the P&L is exact.

The counterfactual fill is where this gets ugly. If the sim exits at mid and the real position would have crossed the spread twice plus fees, every filter you own will look like it's costing you money that never existed. I'd want the skipped-trade P&L charged the same spread and slippage assumptions as a live one, or the numbers are just decoration.

Useful, with guardrails: 1) needs a minimum count before the number means anything — a filter that skipped 12 signals tells you nothing either way. 2) report it as a distribution, not one aggregate figure, since one huge avoided loss can make a bad filter look great. 3) the real danger is that once you can see skipped P&L you'll start tuning the gate until the counterfactual looks bad, which is just fitting the filter to the same history twice. Maybe show it per-filter and per-period so you can at least eyeball whether it holds up out of sample.