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Dennis Thiessen
2026-07-19 11:39:43 +02:00
parent 003f20de19
commit 01007fb6dd
3 changed files with 1349 additions and 2 deletions
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reports/sector-resid-deep-20260719-113319.json
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{
"generated_at": "2026-07-19T11:33:19.102779",
"snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite",
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"reliable": true,
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"liquid_min_price": 5.0,
"avg_raw_pool": 3045.2,
"avg_eligible_pre_mask": 2324.2,
"mask_binds_pct": 100.0
},
"trend_200": {
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"avg_cross_section": 1500.0,
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"ic_positive_pct": 60.4,
"mean_quintile_spread": 0.0064,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 3113.5,
"avg_eligible_pre_mask": 2365.0,
"mask_binds_pct": 100.0
},
"mom_12_1_sector_demeaned": {
"signal": "mom_12_1_sector_demeaned",
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"avg_cross_section": 493.5,
"mean_ic": 0.0071,
"ic_t_stat": 0.3,
"ic_positive_pct": 52.1,
"mean_quintile_spread": 0.0078,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 494.1,
"avg_eligible_pre_mask": 493.5,
"mask_binds_pct": 0.0
},
"mom_12_1_resid": {
"signal": "mom_12_1_resid",
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"avg_cross_section": 1500.0,
"mean_ic": 0.0067,
"ic_t_stat": 0.29,
"ic_positive_pct": 54.2,
"mean_quintile_spread": 0.0149,
"reliable": true,
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"liquid_min_price": 5.0,
"avg_raw_pool": 3045.2,
"avg_eligible_pre_mask": 2324.2,
"mask_binds_pct": 100.0
},
"mom_3_1": {
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"weeks": 48,
"avg_cross_section": 1500.0,
"mean_ic": -0.0014,
"ic_t_stat": -0.06,
"ic_positive_pct": 52.1,
"mean_quintile_spread": -0.0028,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 3305.8,
"avg_eligible_pre_mask": 2486.0,
"mask_binds_pct": 100.0
},
"reversal_1m": {
"signal": "reversal_1m",
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"avg_cross_section": 1500.0,
"mean_ic": -0.013,
"ic_t_stat": -0.69,
"ic_positive_pct": 41.7,
"mean_quintile_spread": -0.0099,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 3367.0,
"avg_eligible_pre_mask": 2486.9,
"mask_binds_pct": 100.0
},
"fip_id": {
"signal": "fip_id",
"weeks": 48,
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"mean_ic": -0.019,
"ic_t_stat": -1.56,
"ic_positive_pct": 41.7,
"mean_quintile_spread": -0.015,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 3045.2,
"avg_eligible_pre_mask": 2324.2,
"mask_binds_pct": 100.0
},
"vol_6m": {
"signal": "vol_6m",
"weeks": 48,
"avg_cross_section": 1500.0,
"mean_ic": -0.0943,
"ic_t_stat": -2.41,
"ic_positive_pct": 31.2,
"mean_quintile_spread": -0.0031,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 3214.4,
"avg_eligible_pre_mask": 2425.9,
"mask_binds_pct": 100.0
}
}
},
"identical_subset_sector_cs": {
"mom_12_1_sector_resid": {
"signal": "mom_12_1_sector_resid",
"weeks": 83,
"avg_cross_section": 480.0,
"mean_ic": 0.0268,
"ic_t_stat": 1.69,
"ic_positive_pct": 60.2,
"mean_quintile_spread": 0.0126,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 481.2,
"avg_eligible_pre_mask": 480.0,
"mask_binds_pct": 0.0
},
"mom_12_1_resid": {
"signal": "mom_12_1_resid",
"weeks": 83,
"avg_cross_section": 480.0,
"mean_ic": 0.0251,
"ic_t_stat": 1.3,
"ic_positive_pct": 57.8,
"mean_quintile_spread": 0.011,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 481.2,
"avg_eligible_pre_mask": 480.0,
"mask_binds_pct": 0.0
},
"mom_12_1": {
"signal": "mom_12_1",
"weeks": 83,
"avg_cross_section": 480.0,
"mean_ic": 0.0192,
"ic_t_stat": 0.92,
"ic_positive_pct": 56.6,
"mean_quintile_spread": 0.0099,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 481.2,
"avg_eligible_pre_mask": 480.0,
"mask_binds_pct": 0.0
},
"mom_12_1_sector_demeaned": {
"signal": "mom_12_1_sector_demeaned",
"weeks": 83,
"avg_cross_section": 479.0,
"mean_ic": 0.0063,
"ic_t_stat": 0.39,
"ic_positive_pct": 55.4,
"mean_quintile_spread": 0.0048,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 480.2,
"avg_eligible_pre_mask": 479.0,
"mask_binds_pct": 0.0
}
},
"mask_diagnostics": {
"reference_signal": "vol_6m",
"avg_cross_section": 1499.3,
"avg_raw_pool": 2641.3,
"avg_eligible_pre_mask": 2098.8,
"mask_binds_pct": 95.5,
"weeks": 88
},
"sector_map_size": 505,
"sector_etfs_loaded": [
"XLB",
"XLC",
"XLE",
"XLF",
"XLI",
"XLK",
"XLP",
"XLRE",
"XLU",
"XLV",
"XLY"
],
"spy_bars": 2649
},
"grade": {
"verdict": "FAIL",
"reason": "failed one or more pre-registered checks (see checks)",
"checks": {
"sector_row": {
"signal": "mom_12_1_sector_resid",
"weeks": 83,
"avg_cross_section": 480.0,
"mean_ic": 0.0268,
"ic_t_stat": 1.69,
"ic_positive_pct": 60.2,
"mean_quintile_spread": 0.0126,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 481.2,
"avg_eligible_pre_mask": 480.0,
"mask_binds_pct": 0.0
},
"resid_row_for_t": {
"signal": "mom_12_1_resid",
"weeks": 83,
"avg_cross_section": 480.0,
"mean_ic": 0.0251,
"ic_t_stat": 1.3,
"ic_positive_pct": 57.8,
"mean_quintile_spread": 0.011,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 481.2,
"avg_eligible_pre_mask": 480.0,
"mask_binds_pct": 0.0
},
"resid_t_source": "identical_subset",
"pre_2021": {
"signal": "mom_12_1_sector_resid",
"weeks": 36,
"avg_cross_section": 460.7,
"mean_ic": 0.0149,
"ic_t_stat": 0.64,
"ic_positive_pct": 58.3,
"mean_quintile_spread": 0.0063,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 462.8,
"avg_eligible_pre_mask": 460.7,
"mask_binds_pct": 0.0
},
"post_2021": {
"signal": "mom_12_1_sector_resid",
"weeks": 48,
"avg_cross_section": 494.5,
"mean_ic": 0.033,
"ic_t_stat": 1.39,
"ic_positive_pct": 60.4,
"mean_quintile_spread": 0.0158,
"reliable": true,
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"avg_raw_pool": 495.1,
"avg_eligible_pre_mask": 494.5,
"mask_binds_pct": 0.0
},
"abs_mean_ic_ge_0_03": false,
"sign_positive": true,
"reliable": true,
"weeks_ge_50": true,
"weeks": 83,
"t_ge_resid_same_cs": true,
"sector_t": 1.69,
"resid_t": 1.3,
"era_both_present": true,
"era_sign_consistent_positive": true,
"pre_ic": 0.0149,
"post_ic": 0.033,
"avg_cross_section": 480.0
},
"headline": "Task 1 CLOSED \u2014 sector residual dead on deep evidence."
},
"pending_human": true,
"note": "Nothing merged into production. Thread ends at PASS/FAIL."
}