# History-depth extension (Tier-1 alpha research)

**Status:** **RUN COMPLETE — human interpretation below.**  
**Branch:** `research/earnings-gap-and-sue` (MacBook commit `f6e0ca7`)  
**Authoritative artifact:** `reports/history-depth-20260719-103315.json`  
**Production impact:** none. **Do not retune any production knob on deep history.**

---

## Pre-registration (locked before rebuild)

### Motivation

All current conclusions rest on ~35 non-overlapping weekly windows in essentially
one post-2021 regime. Extending history toward max Alpaca daily-bar depth adds
the 2018 vol shock and full 2020 crash (where the feed allows).

### Protocol

1. **Empirical coverage first** — bars per calendar year per symbol; document
   where the feed thins out. Do **not** assume a uniform start date.
2. **Rebuild the research snapshot completely** from prod source + max history
   per symbol (`Adjustment.SPLIT`, ~200 req/min pacing via existing extender).
3. **Race guard (rule 6)** — refuse analysis until completion manifest is
   `complete=true` and live counts match.
4. **Re-run full signal harness** (all existing signals incl. sector residual /
   SUE if present) on the extended window.
5. **Report per signal:** mean IC, t, window count, and **era split**
   (pre-/post-2021) — diagnostic only, **not a tuning input**.
6. **Log prominently:** survivorship bias grows with depth (today’s constituents
   backfilled). Absolute Sharpe/CAGR on deep history is optimistic; payload is
   **relative** signal comparisons and IC stability, not levels.
7. **Do not retune** production knobs. If a knob’s confirmation looks
   overturned on deep history → report only; human decides.

### Success / interpretation (not promotion of a new signal)

| outcome | meaning |
|---|---|
| Sector residual still ≥ market residual on deep IC + stable sign | strengthens Task 1 PROMOTE case |
| Sector residual collapses pre-2021 | **PARK** Task 1 wire-in |
| SUE remains weak after full earnings + depth | **DEAD** SUE for this stack |
| Any production knob looks worse deep | report; no auto-retune |

---

## Data provenance

| check | result |
|---|---|
| Snapshot | MacBook `research.sqlite` |
| Manifest `complete` | **true** (finished 2026-07-19T08:19Z) |
| Live counts match | yes — 4655 tickers / 6,609,926 OHLCV / 4149 rank_only |
| `history_days` | 5000 |
| fetch_ok / fail | 4152 / 0 |
| Race guard | **pass** |

> **SURVIVORSHIP BIAS:** today’s constituents backfilled historically. Absolute
> Sharpe/CAGR levels on deep history are optimistic. Use **relative** signal IC
> comparisons and era stability only — not levels.

**Coverage JSON was empty in the auto-written doc** (harness-only phase after
rebuild). Manifest is the race-guard source of truth for this run.

Earlier MacBook files `history-depth-20260719-093853` … `095156` are intermediate
/ incomplete passes — **do not cite**. Only **103315** is authoritative.

---

## Results (authoritative: 103315)

### Full-window signal IC (broad research universe, deep bars)

| signal | mean_ic | t | weeks | avg_N | notes |
|---|---:|---:|---:|---:|---|
| high_52w | **0.111** | **6.41** | 84 | 2280 | strong on deep breadth |
| mom_12_1 | **0.066** | **5.11** | 83 | 2278 | raw momentum strong |
| trend_200 | 0.055 | 4.30 | 85 | 2308 | |
| mom_6_1 | 0.049 | 4.91 | 88 | 2376 | |
| mom_3_1 | 0.036 | 3.58 | 90 | 2426 | |
| fip_id | **+0.027** | **3.25** | 83 | 2278 | **sign flip vs prod fingerprint** |
| mom_12_1_resid | 0.026 | 2.21 | 83 | 2278 | market residual still + but weaker than raw |
| reversal_1m | ~0 | 0.31 | 91 | 2443 | dead |
| vol_6m | **−0.123** | **−6.34** | 88 | 2376 | low-vol anomaly strong |
| mom_12_1_sector_resid | 0.058 | 2.34 | **35** | **498** | **not deep-sample — see caveats** |
| mom_12_1_sector_demeaned | 0.034 | 1.32 | **35** | **497** | same short fingerprint |

### Era split (diagnostic only — not a tuning input)

| signal | pre-2021 IC / t / w / N | post-2021 IC / t / w / N |
|---|---|---|
| mom_12_1 | +0.041 / 2.94 / 36 / 1425 | +0.079 / 3.64 / 48 / 2913 |
| mom_12_1_resid | +0.023 / 1.68 / 36 / 1425 | +0.027 / 1.37 / 48 / 2913 |
| fip_id | +0.012 / 1.35 / 36 / 1425 | +0.037 / 2.91 / 48 / 2913 |
| vol_6m | −0.056 / −2.16 / 40 / 1461 | −0.162 / −4.94 / 48 / 3123 |
| high_52w | +0.049 / 2.0 / 36 / 1422 | +0.138 / 4.34 / 48 / 2915 |
| **sector_resid** | **absent** | 0.058 / 2.34 / 35 / 498 (short only) |
| **sector_demeaned** | **absent** | 0.034 / 1.32 / 35 / 497 (short only) |

---

## Critical caveats (must read)

### 1. Sector residual did **not** get a deep-history stress test

`mom_12_1_sector_resid` / `_demeaned` still show **exactly** the Task‑1 short-window
fingerprint: **35 weeks, N≈498, IC 0.0578, t 2.34**.

On the same run, raw `mom_12_1` has **83 weeks, N≈2278**. So depth worked for
price-only signals, but sector residual is still limited to the **~505 labeled
prod names × short factor calendar** (sector map only covers prod; and/or sector
ETF / two-factor path did not extend usable residual weeks).

**Pre-registered rule:** “Sector residual collapses pre-2021 → PARK Task 1
wire-in.” Pre-2021 sector residual is **absent** from the era table. That is a
**PARK**, not a confirmation of the short-window PROMOTE.

Do **not** claim “sector residual beats market residual on deep history” from
this table — the two rows are **not the same cross-section or window count**.

### 2. `fip_id` sign flips vs production fingerprint

| sample | fip mean IC | t |
|---|---:|---:|
| Prod 505, ~5y (fingerprint) | **−0.045** | −2.91 |
| Research breadth, deep (this run) | **+0.027** | +3.25 |

This does **not** authorize resurrecting unconditional FIP as a book filter. It
confirms earlier Phase‑B caution: FIP edge is **universe- and sample-dependent**.
Production display card can stay context-only. Nested lookbacks still not OOS.

### 3. Market residual vs raw momentum on deep breadth

On deep broad IC, **raw 12‑1 (0.066 / t 5.1) ≫ market residual (0.026 / t 2.2)**.
That does **not** by itself overturn production residual ranking (book A/B was
on 505 + GTL gate, not pure factor IC), but it is a yellow flag for “residual is
always the better rank key” stories on broad history. **No auto-retune.**

### 4. Low-vol anomaly is the cleanest deep-history result

`vol_6m` IC −0.12 / t −6.3 full; stronger post-2021. Consistent sign across eras.
Production already blends **high**-vol (not low-vol) into the 80/20 rank — this
report does not change that without a separate A/B. Flag for human awareness only.

---

## Verdicts (vs pre-registration)

| question | verdict |
|---|---|
| Task 1 sector residual wire-in | **PARK** — no pre-2021 sector residual; deep-sample IC not established; short-window PROMOTE stays “human design only,” **not strengthened** by this run |
| Sector demean | still **DEAD** for promotion (t 1.32, short only) |
| SUE | **not re-scored here** (no `sue_latest` in harness table) — leave Task 2 **PARK** until full earnings backfill |
| fip unconditional book filter | remains **rejected / parked** despite sign flip on broad deep sample |
| Production residual / 80/20 / trail knobs | **no retune** from this report |
| Overall Task 3 | **COMPLETE as diagnostic** — payload is relative IC + caveats above |

---

## What a human must decide next

1. **Sector residual:** keep research-only until either  
   (a) sector ETF + sector map cover the full deep window **and** IC is re-run
   with weeks ≫ 35 on a documented universe, or  
   (b) explicitly accept short-window-only evidence (weaker case).
2. **Do not** merge sector residual into production from this depth run.
3. **Do not** retune residual vs raw, FIP, or vol blend from these IC tables
   without a pre-registered book A/B on the intended universe.
4. Optional follow-up: extend sector ETF history + sector labels to nasdaq_all,
   re-run **only** sector residual IC on deep research.sqlite with race guard.
5. Optional: finish earnings backfill (48→506) and re-run SUE; depth alone did
   not include SUE.

---

## Artifacts

| file | role |
|---|---|
| `reports/history-depth-20260719-103315.json` | **authoritative** |
| `reports/history-depth-20260719-103315.md` | companion dump |
| `reports/history-depth-20260719-093853` … `095156` | **ignore** (partial) |
