deepen OHLCV history + make the factor-IC pass honest about overlap/regime

Two changes so the cross-sectional signal results can actually be trusted.

(a) History depth — the binding constraint. Ingestion defaulted to 365 days, so
long-lookback factors (12-month momentum, 52-week high) were only computable on a
handful of weeks at the tail, and every IC reflected a single market regime.
- New `settings.ohlcv_history_days` (default 1825 ≈ 5y); new tickers backfill this
  far instead of 1 year.
- New manual "data_backfill" job (Admin → Jobs) re-fetches the full window for
  every ticker, ignoring incremental resume — run once to deepen existing
  1-year histories. Idempotent (upsert); resumes after rate limits.

(b) Factor-IC honesty. The IC was averaged over weekly rebalances whose 30-day
forward windows overlap, inflating the t-stat ~sqrt(6)x.
- IC now measured on NON-OVERLAPPING windows (weeks thinned to ~HORIZON apart).
- Each signal carries a `reliable` flag (>= 12 independent windows); BacktestPanel
  greys out and de-stars thin signals so a lucky 9-week IC of 0.3 can't masquerade
  as an edge.

332 backend tests pass; frontend build clean. No migration (config + job + an
added JSON field on the cached backtest report).

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

app/config.py

@@ -67,6 +67,12 @@ class Settings(BaseSettings):
     # Outcome evaluation: trading days before an undecided setup expires
     outcome_evaluation_max_bars: int = 30
 
+    # OHLCV history depth to fetch. New tickers backfill this far; the manual
+    # "data_backfill" job re-fetches the full window for everyone. ~5 years so
+    # long-lookback factors (12-month momentum, 52-week high) and multi-regime
+    # backtests become computable. ~252 trading days/year.
+    ohlcv_history_days: int = 1825
+
     # Database Pool
     db_pool_size: int = 5
     db_pool_timeout: int = 30

app/scheduler.py

@@ -65,6 +65,7 @@ scheduler = AsyncIOScheduler(
 # Track last successful ticker per job for rate-limit resume
 _last_successful: dict[str, str | None] = {
     "data_collector": None,
+    "data_backfill": None,
     "sentiment_collector": None,
     "fundamental_collector": None,
 }
@@ -81,6 +82,17 @@ _job_runtime: dict[str, dict[str, object]] = {
         "finished_at": None,
         "message": None,
     },
+    "data_backfill": {
+        "running": False,
+        "status": "idle",
+        "processed": 0,
+        "total": None,
+        "progress_pct": None,
+        "current_ticker": None,
+        "started_at": None,
+        "finished_at": None,
+        "message": None,
+    },
     "sentiment_collector": {
         "running": False,
         "status": "idle",
@@ -392,16 +404,20 @@ def _chunked(symbols: list[str], chunk_size: int) -> list[list[str]]:
 # ---------------------------------------------------------------------------
 
 
-async def collect_ohlcv() -> None:
+async def collect_ohlcv(full_backfill: bool = False, job_name: str = "data_collector") -> None:
     """Fetch latest daily OHLCV for all tracked tickers.
 
     Uses AlpacaOHLCVProvider. Processes each ticker independently.
     On rate limit, records last successful ticker for resume.
         Start date is resolved by ingestion progress:
             - existing ticker: resume from last_ingested_date + 1
-            - new ticker: backfill ~1 year by default
+            - new ticker: backfill the configured history window
+
+    ``full_backfill`` forces every ticker to re-fetch the full
+    ``settings.ohlcv_history_days`` window (ignoring incremental resume) — used by
+    the manual data_backfill job to deepen shallow histories. ``job_name`` lets the
+    backfill report its own runtime/resume state separate from data_collector.
     """
-    job_name = "data_collector"
     logger.info(json.dumps({"event": "job_start", "job": job_name}))
     _runtime_start(job_name)
     processed = 0
@@ -437,13 +453,18 @@ async def collect_ohlcv() -> None:
             return
 
         end_date = date.today()
+        # Full backfill: pass an explicit start_date so fetch_and_ingest re-pulls
+        # the whole window instead of resuming from the last stored bar.
+        backfill_start = (
+            end_date - timedelta(days=settings.ohlcv_history_days) if full_backfill else None
+        )
 
         for symbol in symbols:
             _runtime_progress(job_name, processed=processed, total=total, current_ticker=symbol)
             async with async_session_factory() as db:
                 try:
                     result = await ingestion_service.fetch_and_ingest(
-                        db, provider, symbol, start_date=None, end_date=end_date,
+                        db, provider, symbol, start_date=backfill_start, end_date=end_date,
                     )
                     _last_successful[job_name] = symbol
                     processed += 1
@@ -477,6 +498,17 @@ async def collect_ohlcv() -> None:
         _runtime_finish(job_name, "error", processed=processed, total=total, message=str(exc))
 
 
+async def backfill_ohlcv() -> None:
+    """Deep historical backfill: re-fetch the full ``settings.ohlcv_history_days``
+    window for every ticker, ignoring incremental resume.
+
+    Manual/triggered job (Admin → Jobs). Run once to deepen the ~1-year histories
+    so long-lookback factors (12-month momentum, 52-week high) and multi-regime
+    backtests become computable. Idempotent (upsert); resumes after rate limits.
+    """
+    await collect_ohlcv(full_backfill=True, job_name="data_backfill")
+
+
 # ---------------------------------------------------------------------------
 # Job: Sentiment Collector
 # ---------------------------------------------------------------------------
@@ -1227,6 +1259,13 @@ def configure_scheduler(schedule_config: dict[str, str] | None = None) -> None:
         run_backtest_job, "interval", hours=168,
         id="backtest", name="Backtest", replace_existing=True,
     )
+    # Deep history backfill: manual only (never auto-fires); triggered from
+    # Admin → Jobs when histories need deepening.
+    scheduler.add_job(
+        backfill_ohlcv, "interval", weeks=520,
+        id="data_backfill", name="Data Backfill (deep history)",
+        replace_existing=True, next_run_time=None,
+    )
 
     logger.info(
         json.dumps({

app/services/admin_service.py

@@ -538,6 +538,7 @@ async def get_pipeline_readiness(db: AsyncSession) -> list[dict]:
 
 VALID_JOB_NAMES = {
     "data_collector",
+    "data_backfill",
     "sentiment_collector",
     "fundamental_collector",
     "rr_scanner",
@@ -552,6 +553,7 @@ VALID_JOB_NAMES = {
 
 JOB_LABELS = {
     "data_collector": "Data Collector (OHLCV)",
+    "data_backfill": "Data Backfill (deep history)",
     "sentiment_collector": "Sentiment Collector",
     "fundamental_collector": "Fundamental Collector",
     "rr_scanner": "R:R Scanner",

app/services/backtest_service.py

@@ -79,7 +79,8 @@ _CAL_BUCKETS = [(0, 20), (20, 40), (40, 60), (60, 80), (80, 100.01)]
 # ranking stocks by this signal sort tomorrow's winners from losers. This is the
 # test the per-setup hit-rate report can't do: it measures predictive power of a
 # signal, not the outcome of a target/stop structure built on top of one.
-MIN_CROSS_SECTION = 20   # min tickers present in a week to score that week
+MIN_CROSS_SECTION = 20    # min tickers present in a week to score that week
+MIN_RELIABLE_PERIODS = 12 # min non-overlapping windows before a signal's IC is trusted
 
 
 def _wrap_levels(level_dicts: list[dict]) -> list[Any]:
@@ -407,26 +408,53 @@ def _quintile_spread(pairs: list[tuple[float, float]]) -> float | None:
     return sum(p[1] for p in top) / k - sum(p[1] for p in bottom) / k
 
 
+def _week_ordinal(week_key: tuple[int, int]) -> int:
+    """Monotonic absolute week number from an (ISO year, ISO week) key."""
+    year, week = week_key
+    return year * 53 + week
+
+
+def _nonoverlapping_weeks(
+    week_keys: list[tuple[int, int]], stride: int
+) -> list[tuple[int, int]]:
+    """Thin to weeks at least ``stride`` apart so their forward windows don't
+    overlap — greedy earliest-first. Removes the autocorrelation that would
+    otherwise inflate the IC t-stat across adjacent weekly rebalances."""
+    kept: list[tuple[int, int]] = []
+    last: int | None = None
+    for wk in sorted(week_keys, key=_week_ordinal):
+        o = _week_ordinal(wk)
+        if last is None or o - last >= stride:
+            kept.append(wk)
+            last = o
+    return kept
+
+
 def _signal_evaluation(collected: dict) -> list[dict]:
     """Per-signal factor diagnostics, one row per candidate signal:
 
-      mean_ic               average weekly rank-IC (Spearman of signal vs fwd ret)
+      mean_ic               average rank-IC (Spearman of signal vs fwd ret)
       ic_t_stat             mean_ic / stderr — is the IC reliably non-zero?
-      ic_positive_pct       share of weeks the IC is positive (consistency)
+      ic_positive_pct       share of windows the IC is positive (consistency)
       mean_quintile_spread  avg top-minus-bottom-quintile forward return
+      reliable              True once there are >= MIN_RELIABLE_PERIODS windows
 
-    A signal with no edge lands near IC 0 and spread 0. Caveat: weekly rebalances
+    IC is measured on NON-OVERLAPPING forward windows (weeks thinned to ~HORIZON
-    with a HORIZON-day forward window overlap, so the t-stat overstates
+    apart) so the t-stat isn't inflated by autocorrelation. A signal with no edge
-    significance — read it as directional, alongside ic_positive_pct.
+    lands near IC 0 / spread 0; one with too few independent windows is flagged
+    unreliable rather than trusted on a lucky handful.
     """
+    stride = max(1, round(HORIZON / 5))  # ISO weeks spanned by the forward window
     rows: list[dict] = []
     for name in sorted(collected):
+        weeks_map = collected[name]
+        usable = [wk for wk, recs in weeks_map.items() if len(recs) >= MIN_CROSS_SECTION]
+        kept = _nonoverlapping_weeks(usable, stride)
         ics: list[float] = []
         spreads: list[float] = []
         sizes: list[int] = []
-        for recs in collected[name].values():
+        for wk in kept:
-            if len(recs) < MIN_CROSS_SECTION:
+            recs = weeks_map[wk]
-                continue
             ic = _spearman([r[0] for r in recs], [r[1] for r in recs])
             if ic is not None:
                 ics.append(ic)
@@ -450,6 +478,7 @@ def _signal_evaluation(collected: dict) -> list[dict]:
             "ic_t_stat": round(t_stat, 2) if t_stat is not None else None,
             "ic_positive_pct": round(sum(1 for x in ics if x > 0) / len(ics) * 100, 1),
             "mean_quintile_spread": round(sum(spreads) / len(spreads), 4) if spreads else None,
+            "reliable": len(ics) >= MIN_RELIABLE_PERIODS,
         })
     rows.sort(key=lambda r: r["mean_ic"], reverse=True)
     return rows
@@ -518,12 +547,13 @@ async def run_backtest(
         "signal_eval": _signal_evaluation(collected),
         "signal_eval_note": (
             "Cross-sectional rank-IC of price-only signals vs the forward "
-            f"{HORIZON}-day return (weekly rebalance, min {MIN_CROSS_SECTION} "
+            f"{HORIZON}-day return (min {MIN_CROSS_SECTION} names/window). |IC| ≳ "
-            "names/week). |IC| ≳ 0.03 with a consistent sign is a real (if small) "
+            "0.03 with a consistent sign is a real (if small) edge; near 0 means "
-            "edge; near 0 means ranking on it sorts nothing. Momentum factors and "
+            "ranking on it sorts nothing. Momentum factors and high_52w are expected "
-            "high_52w are expected positive; reversal_1m and vol_6m are expected "
+            "positive; reversal_1m and vol_6m expected negative (mean-reversion / "
-            "negative (mean-reversion / low-vol anomaly). Overlapping windows inflate "
+            "low-vol anomaly). IC is measured on non-overlapping windows; signals "
-            "the t-stat — read directionally."
+            f"with fewer than {MIN_RELIABLE_PERIODS} independent windows are flagged "
+            "unreliable (too few regimes — deepen history with the Data Backfill job)."
         ),
         "note": (
             "Sentiment & fundamentals held neutral (no point-in-time history). "

app/services/ingestion_service.py

@@ -12,6 +12,7 @@ from datetime import date, timedelta
 from sqlalchemy import func, select
 from sqlalchemy.ext.asyncio import AsyncSession
 
+from app.config import settings
 from app.exceptions import NotFoundError, ProviderError, RateLimitError
 from app.models.ohlcv import OHLCVRecord
 from app.models.settings import IngestionProgress
@@ -92,20 +93,23 @@ async def fetch_and_ingest(
     if end_date is None:
         end_date = date.today()
 
-    # Resolve start_date: use progress resume or default to 1 year ago.
+    # Resolve start_date: use progress resume or backfill the configured history
-    # If we have too little history, force a one-year backfill even if
+    # window. If we have too little history, force a full backfill even if
-    # ingestion progress exists (upsert makes this safe and idempotent).
+    # ingestion progress exists (upsert makes this safe and idempotent). A caller
+    # that passes an explicit start_date (e.g. the manual deep-backfill job)
+    # bypasses this entirely.
     if start_date is None:
         progress = await _get_progress(db, ticker.id)
         bar_count = await _get_ohlcv_bar_count(db, ticker.id)
         minimum_backfill_bars = 200
+        backfill_start = end_date - timedelta(days=settings.ohlcv_history_days)
 
         if bar_count < minimum_backfill_bars:
-            start_date = end_date - timedelta(days=365)
+            start_date = backfill_start
         elif progress is not None:
             start_date = progress.last_ingested_date + timedelta(days=1)
         else:
-            start_date = end_date - timedelta(days=365)
+            start_date = backfill_start
 
     # If start > end, nothing to fetch
     if start_date > end_date:

frontend/src/components/signals/BacktestPanel.tsx

@@ -277,11 +277,12 @@ export function BacktestPanel() {
                 </p>
                 <p className="mb-2 text-[11px] text-gray-500">
                   Does ranking the universe by a signal predict the forward {report.params.horizon_days}-day
-                  return? Mean IC is the rank correlation between signal and return, averaged over weekly
+                  return? Mean IC is the rank correlation between signal and return, averaged over
-                  rebalances. <span className="text-emerald-400">|IC| ≳ {IC_EDGE_THRESHOLD}</span> with a
+                  non-overlapping windows. <span className="text-emerald-400">|IC| ≳ {IC_EDGE_THRESHOLD}</span> with a
                   consistent sign (high IC&gt;0 %) is a real, if small, edge; near 0 means it sorts nothing.
                   Momentum skips the last month; <em>reversal_1m is expected negative</em> if the universe
-                  mean-reverts. Q5−Q1 is the top-minus-bottom-quintile forward return.
+                  mean-reverts. Q5−Q1 is the top-minus-bottom-quintile forward return. <span className="text-gray-600">Greyed
+                  rows have too few independent windows to trust — deepen history via the Data Backfill job.</span>
                 </p>
                 <div className="glass overflow-x-auto">
                   <table className="w-full text-sm">
@@ -298,9 +299,15 @@ export function BacktestPanel() {
                     </thead>
                     <tbody>
                       {report.signal_eval.map((row) => {
-                        const edge = Math.abs(row.mean_ic) >= IC_EDGE_THRESHOLD;
+                        // Only trust the edge highlight when the IC rests on enough
+                        // independent windows; thin signals are dimmed, not starred.
+                        const edge = row.reliable && Math.abs(row.mean_ic) >= IC_EDGE_THRESHOLD;
                         return (
-                          <tr key={row.signal} className={`border-b border-white/[0.04] ${edge ? 'bg-emerald-400/[0.06]' : ''}`}>
+                          <tr
+                            key={row.signal}
+                            className={`border-b border-white/[0.04] ${edge ? 'bg-emerald-400/[0.06]' : ''} ${row.reliable ? '' : 'opacity-40'}`}
+                            title={row.reliable ? undefined : `Only ${row.weeks} independent window(s) — not enough to trust`}
+                          >
                             <td className="px-4 py-2.5 font-medium text-gray-200">
                               {edge && <span className="mr-1 text-emerald-300">★</span>}
                               {SIGNAL_LABELS[row.signal] ?? row.signal}

frontend/src/lib/types.ts

@@ -232,6 +232,7 @@ export interface BacktestSignalEvalRow {
   ic_t_stat: number | null;
   ic_positive_pct: number;
   mean_quintile_spread: number | null;
+  reliable: boolean;
 }
 
 export interface BacktestReport {

tests/unit/test_scheduler.py

@@ -79,6 +79,7 @@ class TestConfigureScheduler:
         job_ids = {j.id for j in jobs}
         assert job_ids == {
             "data_collector",
+            "data_backfill",
             "sentiment_collector",
             "fundamental_collector",
             "rr_scanner",
@@ -103,6 +104,7 @@ class TestConfigureScheduler:
             "daily_pipeline",
             "intraday_pipeline",
             "data_collector",
+            "data_backfill",
             "fundamental_collector",
             "market_regime",
             "outcome_evaluator",

tests/unit/test_signal_eval.py

@@ -94,18 +94,17 @@ def _records(closes: list[float]) -> list[SimpleNamespace]:
 
 def test_signal_evaluation_separates_edge_from_noise():
     rng = random.Random(42)
-    # Build a synthetic cross-section directly: 30 weeks, 40 names each.
+    # 120 consecutive weeks, 40 names each. After non-overlapping thinning
-    # "edge" perfectly orders the forward return; "noise" is independent of it.
+    # (stride = HORIZON/5 = 6) that leaves 20 independent windows — above the
-    collected: dict = {
+    # reliability bar. "edge" perfectly orders the forward return; "noise" is
-        "edge": {},
+    # independent of it.
-        "noise": {},
+    collected: dict = {"edge": {}, "noise": {}}
-    }
+    for week in range(120):
-    for week in range(30):
         edge_recs = []
         noise_recs = []
         for _ in range(40):
             fwd = rng.gauss(0, 0.05)
-            edge_recs.append((fwd, fwd))             # signal == fwd → IC = 1
+            edge_recs.append((fwd, fwd))               # signal == fwd → IC = 1
             noise_recs.append((rng.gauss(0, 1), fwd))  # signal ⟂ fwd → IC ≈ 0
         collected["edge"][(2020, week)] = edge_recs
         collected["noise"][(2020, week)] = noise_recs
@@ -113,13 +112,33 @@ def test_signal_evaluation_separates_edge_from_noise():
     rows = {r["signal"]: r for r in bt._signal_evaluation(collected)}
 
     assert rows["edge"]["mean_ic"] == 1.0
+    assert rows["edge"]["weeks"] == 20             # 120 weeks thinned to non-overlapping
+    assert rows["edge"]["reliable"] is True
     assert rows["edge"]["ic_positive_pct"] == 100.0
     assert rows["edge"]["mean_quintile_spread"] > 0
-    assert abs(rows["noise"]["mean_ic"]) < 0.15      # indistinguishable from zero
+    assert abs(rows["noise"]["mean_ic"]) < 0.15    # indistinguishable from zero
     # Rows are sorted by mean_ic descending: the real signal ranks first.
     assert bt._signal_evaluation(collected)[0]["signal"] == "edge"
 
 
+def test_signal_evaluation_flags_too_few_windows_unreliable():
+    # 5 adjacent weeks collapse to a single non-overlapping window → unreliable.
+    collected: dict = {
+        "edge": {(2020, w): [(float(i), float(i)) for i in range(40)] for w in range(5)}
+    }
+    row = bt._signal_evaluation(collected)[0]
+    assert row["weeks"] == 1
+    assert row["reliable"] is False
+
+
+def test_nonoverlapping_weeks_thins_by_stride():
+    weeks = [(2020, w) for w in range(1, 13)]  # 12 consecutive ISO weeks
+    kept = bt._nonoverlapping_weeks(weeks, stride=6)
+    assert kept == [(2020, 1), (2020, 7)]      # 6 apart, no overlap
+    # Stride 1 keeps everything; ordering is chronological.
+    assert bt._nonoverlapping_weeks(list(reversed(weeks)), stride=1) == weeks
+
+
 def test_signal_evaluation_skips_thin_weeks():
     # A week with fewer than MIN_CROSS_SECTION names is ignored entirely.
     collected: dict = {"edge": {(2020, 1): [(1.0, 1.0)] * (bt.MIN_CROSS_SECTION - 1)}}