diff --git a/README.md b/README.md index 2e3b901..d875a8e 100644 --- a/README.md +++ b/README.md @@ -263,7 +263,7 @@ A systematic single-variable sweep (offline prod snapshot, production gate/rank/ Two findings future sessions must not re-litigate: - **The "inverse-vol sizing win" (July 2026) was mis-attributed — do not resurrect.** The diagnostic sized `notional = equity × 1% / vol_6m`, and the 20% notional cap bound on 95% of entries, so it actually measured "~5 positions × 20% notional each" — a concentration/risk-appetite bump economically equivalent to raising risk to 1.5%, not vol-managed sizing. Genuine inverse-vol sizing (risk budget × median-vol/vol) cuts max drawdown to −18.2% but costs ~58pp total return at flat Sharpe: a risk-preference trade, not edge. -- **`fip_id` — Da/Gurun/Warachka information discreteness over the 12-1 formation window — is the strongest cross-sectional signal measured on this universe: IC −0.045, t = −2.91, correct sign (continuous-information winners outperform).** It clears the iron-rule bar in isolation but does not improve this book (the momentum gate already captures the effect in-sample). It is the prime ranking/gate candidate **if the universe broadens** (e.g. `nasdaq_all`). +- **`fip_id` — Da/Gurun/Warachka information discreteness over the 12-1 formation window — is the strongest cross-sectional signal on the *production* universe: IC −0.045, t = −2.91, correct sign (continuous-information winners outperform).** It clears the iron-rule bar in isolation but does not improve this book (the momentum gate already captures the effect in-sample). **Phase B (liquid-1500, research branch only):** unconditional fip fails iron rule (−0.017 / t −1.85); mom-conditional fip (−0.088 / t −4.58) is a *book-tilt candidate only* after a baseline breadth mom book is proven. Do **not** cite the orphaned 21:14 row (+0.0575) — it raced a partial `research.sqlite`. See `docs/research/fip-breadth-ic.md`. ### The iron rule for strategy changes @@ -281,7 +281,7 @@ Corollaries: never let an unvalidated score gate setups; the outcome evaluator m 1. **Forward monitor the promoted strategy** — the production UI now behaves like a portfolio monitor for the current strategy, with selectable lookbacks and SPY comparison. Forward paper-trade months are the only evidence the snapshot cannot provide; the July 2026 tuning pass closed every in-sample lead. (Trailing-stop sensitivity and the max-15 capacity check are done — see the tuning table above.) 2. **Signal context snapshots** — accumulate point-in-time composite/sentiment/fundamental context for every new setup so the discretionary overlay can be tested forward-only. -3. **More breadth, not more history** — widening the ranked universe (e.g. `nasdaq_all`) strengthens each week's cross-section and the IC t-stat, even if only the top slice is traded. Now doubly motivated: it is also where the strong `fip_id` signal (see tuning findings) could become tradeable. (Deeper history was considered and declined.) +3. **Breadth is no longer free leverage** — Phase B found residual-mom t-stat *fell* on liquid-1500 vs the 505-name fingerprint (0.055/1.98 → 0.029/1.33). Any breadth book must clear a pre-registered baseline arm before fip tilts mean anything. (Deeper history was considered and declined.) ## Key Use Cases diff --git a/docs/research/README.md b/docs/research/README.md index 8c49986..47e5add 100644 --- a/docs/research/README.md +++ b/docs/research/README.md @@ -140,9 +140,9 @@ knobs. | Lead | Why it's interesting | Blocker | |---|---|---| -| **Near-close / MOC execution (ops)** | Recovers overnight momentum drift left on the table by a morning EU scan; evidence closed | Implement schedule + partial-bar scan path; one qualifying scan/day only | -| **`fip_id`** | Fingerprint IC −0.045 / t −2.91 on prod book; display-only on ticker technicals | **Phase B:** unconditional liquid-Nasdaq IC fails iron-rule **sign**; **mom-conditional** fip IC −0.088 / t −4.58 (alive as tilt candidate only). See [fip-breadth-ic.md](fip-breadth-ic.md) | -| **Broader universe** | Composition changes factor signs (fip tug-of-war; high-vol junk) | Any prod broaden must **re-validate 80/20 high-vol tilt** first; offline research only for now | +| **Near-close / MOC execution (ops)** | Recovers overnight momentum drift left on the table by a morning EU scan; evidence closed | Schedule + fill_mode shipped; live paper validation ongoing | +| **`fip_id` / liquid breadth** | Fingerprint −0.045 / t −2.91; liquid unconditional **−0.017 / t −1.85** (not green); mom-conditional **−0.088 / t −4.58** | **Parked.** Orphan +0.0575 died (snapshot race). Breadth did not strengthen resid-mom t-stat. Optional reopen = pre-registered two-arm liquid-1500 book first. See [fip-breadth-ic.md](fip-breadth-ic.md) | +| **Broader universe** | Composition changes factor signs (fip tug-of-war); vol-tilt on breadth is only a **directional hypothesis** (auth. −0.048 / t −1.36) | Any prod broaden must re-validate 80/20 tilt; offline research only; research.sqlite requires completion manifest | | **Forward paper-trade record** | The only true out-of-sample evidence the snapshot cannot give | Time; mark entries at actual near-close fill once ops ships | | **Better target model for clear-air names** | The return is demonstrably there (#2 wins on raw CAGR in *both* train and test); it's the *flat* 3× ATR target that makes it too expensive in risk | Needs a per-name model, not a constant k×ATR | @@ -169,6 +169,11 @@ knobs. 6. **Fill timing is part of the strategy.** Close-fill reports are not deployable numbers for an overnight scanner. Grade promotion under the fill mode you will actually trade. +7. **Incomplete research artifacts are not results.** The Phase B +0.0575 / t +5.12 + liquid-fip row was orphaned within hours: it raced a partially built + `research.sqlite`. Extender now writes a completion manifest; breadth mode + refuses without a match. Same class of protection as calendar-truncation + asserts — do not re-mythologize numbers computed on half a universe. --- diff --git a/docs/research/fip-breadth-ic.md b/docs/research/fip-breadth-ic.md index ca17663..3e75c1a 100644 --- a/docs/research/fip-breadth-ic.md +++ b/docs/research/fip-breadth-ic.md @@ -1,13 +1,15 @@ # Broad-universe fip_id IC research (Phase B) -**Status:** unconditional fip closed; mom-conditional lead confirmed on single-sourced path. -**Production impact:** none. Display card remains context-only. +**Status:** **Parked / closed for now.** Unconditional fip not green; mom-conditional lead logged; breadth-momentum thesis challenged. No book sim until reopen. +**Production impact:** none. Display card remains context-only. No deploy from this work. +**Artifacts:** research log + compact reports + env-gated harness hooks; tooling stays for a future reopen. ## Scope - Research only — production universe, gate, scanner, schedule unchanged. - Snapshot: `research.sqlite` (~4,650 tickers = prod + nasdaq_all extend). - Liquid mask: top **1,500** by point-in-time 63d median $vol, price ≥ **$5**/week. +- **Completion manifest required:** extender writes `.manifest.json`; breadth runners refuse without a matching complete manifest (see §Race guard). ## Caveats @@ -15,6 +17,7 @@ - IEX volume undercount → relative $vol rank only. - Pool skew: Nasdaq-heavy; missing pure NYSE mid-caps. - Do not mix multi-signal tables across universe baselines. +- **Do not cite orphaned 21:14 numbers** (see below). --- @@ -28,47 +31,83 @@ **Pass.** Formula + pipeline trustworthy. +Residual momentum on the same fingerprint (what the production book ranks on): **IC +0.055 / t +1.98**. + --- -## Discrepancy (must not be papered over) +## The orphan (21:14) — root cause | Source | fip IC (liquid ~1500) | t | |---|---:|---:| -| Report `fip-breadth-20260718-211440-breadth.json` | **+0.0575** | **+5.12** | -| Single-sourced recompute (2026-07-19) | **−0.0168** | **−1.85** | +| Orphan run 21:14 (removed from tree; was `fip-breadth-20260718-211440-breadth.json`) | **+0.0575** | **+5.12** | +| Single-sourced recompute on complete snapshot (2026-07-19) | **−0.0168** | **−1.85** | That is a **sign disagreement** on the same intended quantity. Method rule: the number you cannot reconcile is the number you cannot use. -### What we did +### Verdict: orphaned — raced the snapshot build -1. **Single-sourced the mask** — diagnostics call harness `_signal_series` + `_filter_liquid_breadth_week_rich` only (no parallel mask). -2. **Documented avg_cross_section semantics** — always **post-mask** IC sample size. -3. **Logged pre-mask stats** so “did top-N bind?” is answerable. +**Not** “orphaned, unexplained.” The mechanism is derivable from the table itself: -### Authoritative unconditional liquid fip (post-reconciliation) +1. **Code was not the difference.** Reconcile shows the old harness path and the new shared filter produce **identical** results on current data (−0.0168 / −1.85). The implementation fork is closed. +2. **Data was the difference.** On today’s complete snapshot the liquid mask **binds in 97.1% of weeks** at top-N = 1,500. Dense signals (e.g. `vol_6m`) post-mask at **exactly 1,500**. The orphaned report’s `vol_6m` averaged **~1,475** cross-section — a masked run on complete data cannot do that. At 21:14 the eligible pool was smaller than 1,500 and the mask never bound. +3. **Timeline fits.** Extender fixes landed ~20:32 / 20:34; full fetch takes ~30 minutes; breadth run fired **21:14** against a partially built `research.sqlite`. Every number in that report was computed on an incomplete universe. + +**Do not cite +0.0575 / t +5.12.** It survived less than six hours of contact with project discipline — that is the system working, not time wasted. The orphan JSON was **deleted from the tree** (still in Git history) so it cannot be re-imported as evidence. + +**Kept artifacts** + +| File | Role | +|---|---| +| `reports/fip-reconcile-20260719-000520.json` | Authoritative single-sourced ICs (compact; membership dumps stripped) | +| `reports/fip-breadth-20260718-211440-fingerprint.json` | Prod fingerprint pass | + +### Race guard (same class as calendar truncation) + +| Piece | Behavior | +|---|---| +| `extend_snapshot_universe.py` | Clears any prior manifest on start; on full completion writes `.manifest.json` with `complete=true`, ticker / OHLCV / rank_only counts, `finished_at`. `--limit` smoke runs write `complete=false`. | +| `run_fip_breadth_research.py` / `run_fip_breadth_diagnostics.py` | **Refuse** breadth mode unless a matching complete manifest exists and live counts equal the recorded totals. | + +Helper: `scripts/research_snapshot_manifest.py`. + +--- + +## Authoritative unconditional liquid fip (post-reconciliation) | metric | value | |---|---:| | mean_ic | **−0.0168** | | ic_t_stat | **−1.85** | | weeks | 35 | -| avg_cross_section (**post-mask**) | 1471.2 | +| avg_cross_section (**post-mask IC sample**) | 1471.2 | | avg_raw_pool | 3214.4 | | avg_eligible_pre_mask | **2338.4** | | mask_binds_pct | **97.1%** | | reliable | true | -**Mask binds hard** (eligible ≫ 1500). The hypothesis that “1471 meant the mask never bound / unmasked +5σ” is **false**. +**Mask binds hard** on complete data (eligible ≫ 1500). Post-mask IC N for fip is ~1471 because not every liquid name has a valid 12-1 fip path — that is signal availability, not a non-binding mask. Contrast orphan `vol_6m` avg N ~1475 vs complete-data `vol_6m` avg N **1500**. Harness `_signal_evaluation` vs manual IC through the same filter: **exact match** (−0.0168 / −1.85). -### Verdict on the orphan +**Iron rule unconditional:** **not green** (|IC| 0.017 < 0.03), correct mild-negative sign. -The **+0.0575 / t +5.12** row is **orphaned**. Do not cite it. Root cause of that single run is not fully forensic-reconstructed (no dual dump from the original process remains), but every single-sourced recompute on this snapshot lands near **−0.017**, and the tier blend (≈800×−0.035 + ≈670×+0.014)/1471 ≈ **−0.013** is internally consistent with that number—not with +0.058. +--- -**Iron rule unconditional:** still **not green** (|IC| 0.017 < 0.03), and now with the correct mild-negative sign. +## Context table (orphaned 21:14 vs authoritative) — kill the myth numbers -Artifact: `reports/fip-reconcile-20260719-000520.json` +The context table died with the orphan. **−0.16 must not survive in the log.** + +| signal (liquid ~1500) | orphaned (21:14) | authoritative (shared filter) | consequence | +|---|---:|---:|---| +| **vol_6m** | −0.16 / t **−6.1** | **−0.048 / t −1.36** | “High-vol tilt harmful on breadth” **downgrades from finding to directional hypothesis** — not significant | +| **raw mom** (`mom_12_1`) | +0.10 / t +4.6 | **+0.046 / t +1.91** | Below iron-rule bar on this pool | +| **resid mom** (`mom_12_1_resid`) | +0.04 / t +2.3 | **+0.029 / t +1.33** | Ditto, and weaker than raw | + +### Breadth-momentum thesis — challenged + +That last pair is the sobering one. Momentum on liquid breadth is **marginal**. The “more breadth strengthens the momentum t-stat” thesis that motivated Phase B is **empirically wrong on this pool**: same 35 weeks, triple the names, residual-mom t-stat **fell** versus the 505-name fingerprint (**0.055 / 1.98** → **0.029 / 1.33**). The clean momentum edge lives in the large-cap universe already traded. + +Meanwhile the strongest reliable signal on liquid breadth is now **mom-conditional fip** (−0.088 / −4.58) — but a fip tilt presupposes a breadth momentum book worth tilting, and that is no longer free. --- @@ -107,27 +146,57 @@ Computed on the **same single-sourced path** as the authoritative −0.017. This | Decision | | |---|---| | Unconditional fip | **Closed** for production | -| Mom-conditional fip | **Alive as book-tilt candidate only** — book sim before any gate talk | +| Mom-conditional fip | **Alive as book-tilt candidate only** — and only after a baseline breadth book proves itself | | Display card | Stays | | Production change | **None** | --- -## Vol-tilt / residual-mom warning (any future breadth move) +## Vol-tilt warning (softened) | signal (liquid, single-sourced) | IC | t | |---|---:|---:| -| vol_6m | −0.048 | −1.4 | -| mom_12_1 | +0.046 | +1.9 | -| mom_12_1_resid | +0.029 | +1.3 | +| vol_6m | −0.048 | **−1.36** | +| mom_12_1 | +0.046 | +1.91 | +| mom_12_1_resid | +0.029 | +1.33 | -High-vol names tend to underperform on this pool relative to a clean S&P-like book. Production **80/20 high-vol tilt** was validated on S&P-like names. **If the universe ever broadens in production, re-validate that tilt first** — it can flip from mildly helpful to harmful. Raw momentum also looks stronger than SPY residualization here (noisier fit for small caps). +High-vol names **tend** to underperform on this pool relative to a clean S&P-like book — that is a **directional hypothesis**, not a finding. Production **80/20 high-vol tilt** was validated on S&P-like names. If the universe ever broadens in production, re-validate that tilt; do not treat the orphaned −0.16 / t −6.1 as evidence. + +--- + +## What this means for the book experiment + +A fip tilt presupposes a breadth momentum book worth tilting — **that is no longer free.** + +**Caution against over-reacting the other way:** modest cross-sectional IC does not preclude a good book. The 505-name book turns resid-mom IC ~0.055 into Sharpe ~2 because the gate trades the **extreme tail**, not the linear sort. The breadth book might still work; it just has to **prove it** before the fip arm means anything. If the baseline cannot clearly beat the existing production book’s territory, fip’s future is a footnote regardless of −4.58. + +### Parked next step (if reopened): pre-registered two-arm design + +Not started — **design only**, pre-register before any sim: + +| Arm | Definition | +|---|---| +| **A — baseline** | Top-quintile residual (or raw — pick one and lock) momentum book on liquid-1500; **no fip**; honest costs; next-open or near-close fills; production-like capacity / risk / stops | +| **B — +fip tilt** | Same book + mom-conditional fip tilt (among mom winners, prefer smoother paths / negative fip_id) | + +| Grade on | Spec | +|---|---| +| Split | Entry-date train / validation (`BACKTEST_HOLDOUT_SPLIT` naming — not pristine holdout) | +| Metrics | Sharpe + Mertens/Lo SE, PSR, **DSR**; max DD; turnover; cost drag | +| Promote bar | Arm A must be in production-book territory first; Arm B must beat A on validation with DSR-aware multiple-testing honesty | +| Fail-closed | If A fails, fip is a footnote; do not shop tilts on a dead baseline | --- ## How to re-run (research branch only) ```powershell +# 1) Full extend writes completion manifest (required) +.\.venv\Scripts\python.exe scripts\extend_snapshot_universe.py ` + --source backtest_snapshots\prod.sqlite ` + --output backtest_snapshots\research.sqlite + +# 2) Breadth / diagnostics refuse without matching manifest .\.venv\Scripts\python.exe scripts\run_fip_breadth_diagnostics.py ` --research-snapshot backtest_snapshots\research.sqlite ` --prod-snapshot backtest_snapshots\prod.sqlite ` @@ -139,7 +208,9 @@ High-vol names tend to underperform on this pool relative to a clean S&P-like bo ## Bottom line 1. Formal iron-rule screen: **not green** either before or after reconciliation. -2. **+0.0575 / +5.12 is orphaned** — authoritative unconditional liquid fip is **−0.017 / −1.9**; mask binds (~97%). -3. Compositional tug-of-war is the right story; jumpiness premium is not. -4. **Mom-conditional −0.088 / −4.6 stands on the single-sourced path** → optional next research step is a **book** A/B, not a gate wire-in. -5. Log any future reader who sees both numbers: trust the reconcile artifact, not the orphaned breadth headline. +2. **+0.0575 / +5.12 is orphaned: raced the snapshot build** — authoritative unconditional liquid fip is **−0.017 / −1.9**; mask binds (~97%) on complete data. +3. Context-table myths die with the orphan: **vol −0.16 is not real**; authoritative vol is **−0.048 / t −1.36** (directional only). +4. Compositional tug-of-war is the right story; jumpiness premium is not. +5. **Breadth does not strengthen residual-mom t-stat** on this pool (0.055/1.98 → 0.029/1.33). +6. **Mom-conditional −0.088 / −4.6 stands** on the single-sourced path → optional next step is a **pre-registered two-arm breadth book** (baseline first), not a gate wire-in. +7. Manifest guard is in place so the race cannot recur silently. diff --git a/reports/README.md b/reports/README.md index 6d1697c..ebf4c94 100644 --- a/reports/README.md +++ b/reports/README.md @@ -41,3 +41,23 @@ rejected stop-adjustment path, and add no decision evidence beyond the final daily matrix and narrative. Their matching one-off runners were removed too. All remain recoverable from Git history. Rebuildable candidate pickle caches are intentionally ignored and must not be committed. + +### Phase B fip breadth IC (2026-07-18/19) — compact evidence + +Canonical artifacts: + +- `fip-reconcile-20260719-000520.json` — single-sourced authoritative ICs + (unconditional liquid fip, tiers, prod-subset, mom-conditional, context + signals). Membership symbol dumps stripped after the decision; narrative in + [`docs/research/fip-breadth-ic.md`](../docs/research/fip-breadth-ic.md). +- `fip-breadth-20260718-211440-fingerprint.json` — prod-snapshot fingerprint + pass (fip IC −0.045 / t −2.91). + +Removed as superseded / dangerous intermediate noise (recoverable from Git): + +- `fip-breadth-20260718-211440-breadth.json` (+ wrapper) — **orphaned** +0.0575 + / t +5.12 from racing a partial `research.sqlite`. Kept out of the tree so it + cannot be re-mythologized. +- `fip-breadth-20260718-194828*.json` — fingerprint-only partial run. +- `fip-breadth-diagnostics-20260718-213705.json` and `…-213908.json` — dual-path + diagnostics superseded by the single-sourced reconcile. diff --git a/reports/fip-breadth-20260718-194828-fingerprint.json b/reports/fip-breadth-20260718-194828-fingerprint.json deleted file mode 100644 index aeae3d0..0000000 --- a/reports/fip-breadth-20260718-194828-fingerprint.json +++ /dev/null @@ -1,578 +0,0 @@ -{ - "generated_at": "2026-07-18T18:21:28.359793+00:00", - "tickers": 506, - "rank_only_tickers": 0, - "candidates": 202765, - "qualified": 1086, - "params": { - "step_days": 5, - "step_sessions": 5, - "entry_cadence": "weekly", - "signal_eval_cadence": "weekly", - "horizon_days": 30, - "min_lookback": 60, - "cost_per_side_pct": 0.1, - "target_model": "production_gtl", - "target_model_label": "Live GTL (production)", - "is_production_target_model": true, - "production_reentry_policy": "gate_reset", - 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"net_r_per_day": -0.0095, - "median_net_r": -1.043, - "profit_factor": 0.84, - "net_avg_r_ex_top5": -0.275 - } - ], - "gate_ablation": [ - { - "variant": "all_floors", - "total": 1086, - "wins": 379, - "losses": 591, - "expired": 116, - "hit_rate": 39.1, - "avg_r": 0.255, - "total_r": 276.76, - "net_avg_r": 0.209, - "net_total_r": 226.56, - "best_r": 8.85, - "worst_r": -3.38, - "avg_hold_days": 12.0, - "net_r_per_day": 0.0174, - "median_net_r": -1.031, - "profit_factor": 1.34, - "net_avg_r_ex_top5": 0.049, - "hold_days": 30, - "hold_avg_r": 0.631, - "hold_net_avg_r": 0.585, - "hold_total_r": 684.97 - }, - { - "variant": "no_confidence_floor", - "total": 1093, - "wins": 380, - "losses": 596, - "expired": 117, - "hit_rate": 38.9, - "avg_r": 0.25, - "total_r": 273.55, - "net_avg_r": 0.204, - "net_total_r": 222.99, - "best_r": 8.85, - "worst_r": -3.38, - "avg_hold_days": 11.9, - "net_r_per_day": 0.0171, - "median_net_r": -1.031, - "profit_factor": 1.33, - "net_avg_r_ex_top5": 0.045, - "hold_days": 30, - "hold_avg_r": 0.626, - "hold_net_avg_r": 0.58, - "hold_total_r": 684.08 - }, - { - "variant": "no_rr_floor", - "total": 6849, - "wins": 3235, - "losses": 3409, - "expired": 205, - "hit_rate": 48.7, - "avg_r": 0.112, - "total_r": 770.17, - "net_avg_r": 0.061, - "net_total_r": 418.96, - "best_r": 8.85, - "worst_r": -5.16, - "avg_hold_days": 7.9, - "net_r_per_day": 0.0078, - "median_net_r": -0.061, - "profit_factor": 1.11, - "net_avg_r_ex_top5": -0.061, - "hold_days": 30, - "hold_avg_r": 0.354, - "hold_net_avg_r": 0.303, - "hold_total_r": 2425.86 - }, - { - "variant": "no_neutral_exclusion", - "total": 2313, - "wins": 770, - "losses": 1279, - "expired": 264, - "hit_rate": 37.6, - "avg_r": 0.2, - "total_r": 462.35, - "net_avg_r": 0.154, - "net_total_r": 355.89, - "best_r": 8.85, - "worst_r": -3.38, - "avg_hold_days": 12.6, - "net_r_per_day": 0.0122, - "median_net_r": -1.031, - "profit_factor": 1.25, - "net_avg_r_ex_top5": 0.004, - "hold_days": 30, - "hold_avg_r": 0.583, - "hold_net_avg_r": 0.537, - "hold_total_r": 1348.89 - }, - { - "variant": "momentum_only", - "total": 14696, - "wins": 6827, - "losses": 7359, - "expired": 510, - "hit_rate": 48.1, - "avg_r": 0.114, - "total_r": 1669.64, - "net_avg_r": 0.064, - "net_total_r": 936.93, - "best_r": 8.85, - "worst_r": -5.71, - "avg_hold_days": 8.4, - "net_r_per_day": 0.0076, - "median_net_r": -1.013, - "profit_factor": 1.11, - "net_avg_r_ex_top5": -0.055, - "hold_days": 30, - "hold_avg_r": 0.395, - "hold_net_avg_r": 0.345, - "hold_total_r": 5798.82 - } - ], - "gate_ablation_note": "Each row re-qualifies the same candidates at the current momentum cutoff (80) with one floor removed (long-only while the momentum gate is active). If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.", - "time_exit_sweep": [ - { - "hold_days": 5, - "total": 1086, - "wins": 603, - "win_rate": 55.5, - "avg_r": 0.175, - "total_r": 190.16, - "net_avg_r": 0.129, - "net_total_r": 139.97, - "best_r": 5.09, - "worst_r": -2.51, - "avg_hold_days": 4.5, - "net_r_per_day": 0.0285, - "median_net_r": 0.115, - "profit_factor": 1.36, - "net_avg_r_ex_top5": -0.002 - }, - { - "hold_days": 10, - "total": 1086, - "wins": 559, - "win_rate": 51.5, - "avg_r": 0.357, - "total_r": 387.9, - "net_avg_r": 0.311, - "net_total_r": 337.7, - "best_r": 6.73, - "worst_r": -2.51, - "avg_hold_days": 7.9, - "net_r_per_day": 0.0395, - "median_net_r": 0.031, - "profit_factor": 1.67, - "net_avg_r_ex_top5": 0.112 - }, - { - "hold_days": 21, - "total": 1086, - "wins": 487, - "win_rate": 44.8, - "avg_r": 0.525, - "total_r": 570.33, - "net_avg_r": 0.479, - "net_total_r": 520.14, - "best_r": 9.86, - "worst_r": -3.38, - "avg_hold_days": 13.7, - "net_r_per_day": 0.0349, - "median_net_r": -1.027, - "profit_factor": 1.81, - "net_avg_r_ex_top5": 0.191 - }, - { - "hold_days": 30, - "total": 1086, - "wins": 434, - "win_rate": 40.0, - "avg_r": 0.631, - "total_r": 684.97, - "net_avg_r": 0.585, - "net_total_r": 634.78, - "best_r": 12.87, - "worst_r": -3.38, - "avg_hold_days": 17.8, - "net_r_per_day": 0.0329, - "median_net_r": -1.033, - "profit_factor": 1.9, - "net_avg_r_ex_top5": 0.212 - } - ], - "portfolio_sim": { - "params": { - "starting_capital": 10000.0, - "max_positions": 10, - "risk_per_trade_pct": 1.0, - "notional_cap_pct": 20.0, - "cost_per_side_pct": 0.1, - "hold_days": 30 - }, - "policies": [], - "note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends." - }, - "strategy_variants": { - "variants": [], - "note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." - }, - "exit_policy_variants": { - "variants": [], - "note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline." - }, - "portfolio_monitor": null, - "production_cadence_comparison": null, - "holdout": null, - "min_rr_sweep": null, - "target_model_diagnostics": { - "target_model": "production_gtl", - "target_model_label": "Live GTL (production)", - "candidate_count": 202765, - "primary_source_counts": { - "pivot_point": 196290, - "range_grid": 180036 - }, - "primary_round_only": 0, - "primary_strength_100": 138596, - "avg_primary_strength": 80.109, - "avg_primary_distance_atr": 2.293, - "avg_primary_rejection_count": 41.908, - "avg_raw_level_count": 53.204, - "avg_gate_level_count": 53.204 - }, - "signal_eval": [ - { - "signal": "vol_6m", - "weeks": 39, - "avg_cross_section": 498.2, - "mean_ic": 0.0609, - "ic_t_stat": 1.48, - "ic_positive_pct": 64.1, - "mean_quintile_spread": 0.0337, - "reliable": true - }, - { - "signal": "mom_12_1_resid", - "weeks": 35, - "avg_cross_section": 497.7, - "mean_ic": 0.0552, - "ic_t_stat": 1.98, - "ic_positive_pct": 60.0, - "mean_quintile_spread": 0.0207, - "reliable": true - }, - { - "signal": "mom_12_1", - "weeks": 35, - "avg_cross_section": 497.7, - "mean_ic": 0.0531, - "ic_t_stat": 1.61, - "ic_positive_pct": 65.7, - "mean_quintile_spread": 0.0206, - "reliable": true - }, - { - "signal": "trend_200", - "weeks": 37, - "avg_cross_section": 497.9, - "mean_ic": 0.0161, - "ic_t_stat": 0.44, - "ic_positive_pct": 59.5, - "mean_quintile_spread": 0.006, - "reliable": true - }, - { - "signal": "reversal_1m", - "weeks": 43, - "avg_cross_section": 498.7, - "mean_ic": 0.0059, - "ic_t_stat": 0.22, - "ic_positive_pct": 53.5, - "mean_quintile_spread": 0.0053, - "reliable": true - }, - { - "signal": "mom_6_1", - "weeks": 39, - "avg_cross_section": 498.2, - "mean_ic": 0.0051, - "ic_t_stat": 0.21, - "ic_positive_pct": 56.4, - "mean_quintile_spread": 0.0087, - "reliable": true - }, - { - "signal": "mom_3_1", - "weeks": 42, - "avg_cross_section": 498.5, - "mean_ic": -0.0064, - "ic_t_stat": -0.25, - "ic_positive_pct": 50.0, - "mean_quintile_spread": 0.0046, - "reliable": true - }, - { - "signal": "high_52w", - "weeks": 35, - "avg_cross_section": 497.7, - "mean_ic": -0.0086, - "ic_t_stat": -0.26, - "ic_positive_pct": 54.3, - "mean_quintile_spread": -0.0088, - "reliable": true - }, - { - "signal": "fip_id", - "weeks": 35, - "avg_cross_section": 497.7, - "mean_ic": -0.045, - "ic_t_stat": -2.91, - "ic_positive_pct": 25.7, - "mean_quintile_spread": -0.0168, - "reliable": true - } - ], - "signal_eval_note": "Cross-sectional rank-IC of price-only signals vs the forward 30-day return (min 20 names/window). |IC| \u2273 0.03 with a consistent sign is a real (if small) edge; near 0 means ranking on it sorts nothing. Momentum factors and high_52w are expected positive; reversal_1m and vol_6m expected negative (mean-reversion / low-vol anomaly). IC is measured on non-overlapping windows; signals with fewer than 12 independent windows are flagged unreliable (too few regimes \u2014 deepen history with the Data Backfill job).", - "note": "Sentiment & fundamentals held neutral (no point-in-time history). Stops fill at the worse of the stop or the bar's open (gaps through the stop are modeled, so a loss can exceed \u22121R); targets never fill better than their level. ~6 months \u2248 one market regime \u2014 treat as directional, not gospel.", - "recommendation": { - "headline": "Trade the qualified list long-only; hold 30 trading days with the initial ATR stop.", - "items": [ - { - "topic": "exit", - "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.58R net/trade vs +0.21R for the S/R target exit)." - }, - { - "topic": "gate", - "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.01R/trade and adds 7 trades." - }, - { - "topic": "gate", - "text": "Gate: keep the R:R floor (worth +0.28R/trade under the hold exit)." - }, - { - "topic": "gate", - "text": "Gate: keep the NEUTRAL exclusion (worth +0.05R/trade under the hold exit)." - }, - { - "topic": "cutoff", - "text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.23R over 497 setups)." - }, - { - "topic": "robustness", - "text": "Robustness: expectancy survives removing the top 5% of winners (+0.21R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers." - } - ], - "note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does." - }, - "research_recommendation": { - "items": [], - "note": "Strategy variants unavailable; re-run the backtest after benchmark data is present." - } -} \ No newline at end of file diff --git a/reports/fip-breadth-20260718-194828.json b/reports/fip-breadth-20260718-194828.json deleted file mode 100644 index c6c1163..0000000 --- a/reports/fip-breadth-20260718-194828.json +++ /dev/null @@ -1,21 +0,0 @@ -{ - "generated_at": "2026-07-18T19:48:28.127710", - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0, - "fingerprint": { - "signal": "fip_id", - "weeks": 35, - "avg_cross_section": 497.7, - "mean_ic": -0.045, - "ic_t_stat": -2.91, - "ic_positive_pct": 25.7, - "mean_quintile_spread": -0.0168, - "reliable": true, - "pass": true, - "expected_ic": -0.045, - "expected_t": -2.9 - }, - "breadth": null, - "verdict": null, - "fingerprint_report_path": "reports\\fip-breadth-20260718-194828-fingerprint.json" -} \ No newline at end of file diff --git a/reports/fip-breadth-20260718-211440-breadth.json b/reports/fip-breadth-20260718-211440-breadth.json deleted file mode 100644 index c586f74..0000000 --- a/reports/fip-breadth-20260718-211440-breadth.json +++ /dev/null @@ -1,596 +0,0 @@ -{ - "generated_at": "2026-07-18T19:23:17.726528+00:00", - "tickers": 4650, - "rank_only_tickers": 4144, - "candidates": 202769, - "qualified": 1086, - "params": { - "step_days": 5, - "step_sessions": 5, - "entry_cadence": "weekly", - "signal_eval_cadence": "weekly", - "horizon_days": 30, - "min_lookback": 60, - "cost_per_side_pct": 0.1, - "target_model": "production_gtl", - "target_model_label": "Live GTL (production)", - "is_production_target_model": true, - "production_reentry_policy": "gate_reset", - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0, - "signal_eval_only": true - }, - "activation": { - "min_momentum_percentile": 80.0, - "min_rr": 2.0, - "min_confidence": 0.0, - "require_high_conviction": false, - "exclude_conflicts": false, - "exclude_neutral": true - }, - "overall_qualified": { - "total": 1086, - "wins": 379, - "losses": 591, - "expired": 116, - "hit_rate": 39.1, - "avg_r": 0.255, - "total_r": 276.76, - "net_avg_r": 0.209, - "net_total_r": 226.56, - "best_r": 8.85, - "worst_r": -3.38, - "avg_hold_days": 12.0, - "net_r_per_day": 0.0174, - "median_net_r": -1.031, - "profit_factor": 1.34, - "net_avg_r_ex_top5": 0.049 - }, - "overall_all": { - "total": 202769, - "wins": 82221, - "losses": 113812, - "expired": 6736, - "hit_rate": 41.9, - "avg_r": -0.04, - "total_r": -8188.17, - "net_avg_r": -0.095, - "net_total_r": -19186.68, - "best_r": 9.24, - "worst_r": -16.42, - "avg_hold_days": 8.2, - "net_r_per_day": -0.0115, - "median_net_r": -1.035, - "profit_factor": 0.85, - "net_avg_r_ex_top5": -0.22 - }, - "by_direction": { - "long": { - "total": 1086, - "wins": 379, - "losses": 591, - "expired": 116, - "hit_rate": 39.1, - "avg_r": 0.255, - "total_r": 276.76, - "net_avg_r": 0.209, - "net_total_r": 226.56, - "best_r": 8.85, - "worst_r": -3.38, - "avg_hold_days": 12.0, - "net_r_per_day": 0.0174, - "median_net_r": -1.031, - "profit_factor": 1.34, - "net_avg_r_ex_top5": 0.049 - }, - "short": { - "total": 0, - "wins": 0, - "losses": 0, - "expired": 0, - "hit_rate": null, - "avg_r": null, - "total_r": null, - "net_avg_r": null, - "net_total_r": null, - "best_r": null, - "worst_r": null, - "avg_hold_days": null, - "net_r_per_day": null, - "median_net_r": null, - "profit_factor": null, - "net_avg_r_ex_top5": null - } - }, - "min_momentum_percentile": 80.0, - "sweep": [ - { - "min_momentum_percentile": 90.0, - "total": 497, - "wins": 177, - "losses": 269, - "expired": 51, - "hit_rate": 39.7, - "avg_r": 0.276, - "total_r": 137.05, - "net_avg_r": 0.235, - "net_total_r": 116.55, - "best_r": 8.85, - 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"losses": 1611, - "expired": 288, - "hit_rate": 35.1, - "avg_r": 0.126, - "total_r": 348.07, - "net_avg_r": 0.075, - "net_total_r": 209.25, - "best_r": 8.85, - "worst_r": -4.21, - "avg_hold_days": 12.0, - "net_r_per_day": 0.0063, - "median_net_r": -1.04, - "profit_factor": 1.12, - "net_avg_r_ex_top5": -0.077 - }, - { - "min_momentum_percentile": 50.0, - "total": 3901, - "wins": 1182, - "losses": 2295, - "expired": 424, - "hit_rate": 34.0, - "avg_r": 0.089, - "total_r": 345.37, - "net_avg_r": 0.038, - "net_total_r": 146.96, - "best_r": 8.85, - "worst_r": -4.86, - "avg_hold_days": 12.1, - "net_r_per_day": 0.0031, - "median_net_r": -1.042, - "profit_factor": 1.06, - "net_avg_r_ex_top5": -0.114 - }, - { - "min_momentum_percentile": 0.0, - "total": 14589, - "wins": 3719, - "losses": 9272, - "expired": 1598, - "hit_rate": 28.6, - "avg_r": -0.065, - "total_r": -953.08, - "net_avg_r": -0.115, - "net_total_r": -1677.9, - "best_r": 9.24, - "worst_r": -15.94, - "avg_hold_days": 12.1, - "net_r_per_day": -0.0095, - "median_net_r": -1.043, - "profit_factor": 0.84, - "net_avg_r_ex_top5": -0.275 - } - ], - "gate_ablation": [ - { - "variant": "all_floors", - "total": 1086, - "wins": 379, - "losses": 591, - "expired": 116, - "hit_rate": 39.1, - "avg_r": 0.255, - "total_r": 276.76, - "net_avg_r": 0.209, - "net_total_r": 226.56, - "best_r": 8.85, - "worst_r": -3.38, - "avg_hold_days": 12.0, - "net_r_per_day": 0.0174, - "median_net_r": -1.031, - "profit_factor": 1.34, - "net_avg_r_ex_top5": 0.049, - "hold_days": 30, - "hold_avg_r": 0.631, - "hold_net_avg_r": 0.585, - "hold_total_r": 684.97 - }, - { - "variant": "no_confidence_floor", - "total": 1093, - "wins": 380, - "losses": 596, - "expired": 117, - "hit_rate": 38.9, - "avg_r": 0.25, - "total_r": 273.55, - "net_avg_r": 0.204, - "net_total_r": 222.99, - "best_r": 8.85, - "worst_r": -3.38, - "avg_hold_days": 11.9, - "net_r_per_day": 0.0171, - "median_net_r": -1.031, - "profit_factor": 1.33, - "net_avg_r_ex_top5": 0.045, - "hold_days": 30, - "hold_avg_r": 0.626, - "hold_net_avg_r": 0.58, - "hold_total_r": 684.08 - }, - { - "variant": "no_rr_floor", - "total": 6849, - "wins": 3235, - "losses": 3409, - "expired": 205, - "hit_rate": 48.7, - "avg_r": 0.112, - "total_r": 770.17, - "net_avg_r": 0.061, - "net_total_r": 418.96, - "best_r": 8.85, - "worst_r": -5.16, - "avg_hold_days": 7.9, - "net_r_per_day": 0.0078, - "median_net_r": -0.061, - "profit_factor": 1.11, - "net_avg_r_ex_top5": -0.061, - "hold_days": 30, - "hold_avg_r": 0.354, - "hold_net_avg_r": 0.303, - "hold_total_r": 2425.86 - }, - { - "variant": "no_neutral_exclusion", - "total": 2313, - "wins": 770, - "losses": 1279, - "expired": 264, - "hit_rate": 37.6, - "avg_r": 0.2, - "total_r": 462.35, - "net_avg_r": 0.154, - "net_total_r": 355.89, - "best_r": 8.85, - "worst_r": -3.38, - "avg_hold_days": 12.6, - "net_r_per_day": 0.0122, - "median_net_r": -1.031, - "profit_factor": 1.25, - "net_avg_r_ex_top5": 0.004, - "hold_days": 30, - "hold_avg_r": 0.583, - "hold_net_avg_r": 0.537, - "hold_total_r": 1348.89 - }, - { - "variant": "momentum_only", - "total": 14696, - "wins": 6827, - "losses": 7359, - "expired": 510, - "hit_rate": 48.1, - "avg_r": 0.114, - "total_r": 1669.64, - "net_avg_r": 0.064, - "net_total_r": 936.93, - "best_r": 8.85, - "worst_r": -5.71, - "avg_hold_days": 8.4, - "net_r_per_day": 0.0076, - "median_net_r": -1.013, - "profit_factor": 1.11, - "net_avg_r_ex_top5": -0.055, - "hold_days": 30, - "hold_avg_r": 0.395, - "hold_net_avg_r": 0.345, - "hold_total_r": 5798.82 - } - ], - "gate_ablation_note": "Each row re-qualifies the same candidates at the current momentum cutoff (80) with one floor removed (long-only while the momentum gate is active). If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.", - "time_exit_sweep": [ - { - "hold_days": 5, - "total": 1086, - "wins": 603, - "win_rate": 55.5, - "avg_r": 0.175, - "total_r": 190.16, - "net_avg_r": 0.129, - "net_total_r": 139.97, - "best_r": 5.09, - "worst_r": -2.51, - "avg_hold_days": 4.5, - "net_r_per_day": 0.0285, - "median_net_r": 0.115, - "profit_factor": 1.36, - "net_avg_r_ex_top5": -0.002 - }, - { - "hold_days": 10, - "total": 1086, - "wins": 559, - "win_rate": 51.5, - "avg_r": 0.357, - "total_r": 387.9, - "net_avg_r": 0.311, - "net_total_r": 337.7, - "best_r": 6.73, - "worst_r": -2.51, - "avg_hold_days": 7.9, - "net_r_per_day": 0.0395, - "median_net_r": 0.031, - "profit_factor": 1.67, - "net_avg_r_ex_top5": 0.112 - }, - { - "hold_days": 21, - "total": 1086, - "wins": 487, - "win_rate": 44.8, - "avg_r": 0.525, - "total_r": 570.33, - "net_avg_r": 0.479, - "net_total_r": 520.14, - "best_r": 9.86, - "worst_r": -3.38, - "avg_hold_days": 13.7, - "net_r_per_day": 0.0349, - "median_net_r": -1.027, - "profit_factor": 1.81, - "net_avg_r_ex_top5": 0.191 - }, - { - "hold_days": 30, - "total": 1086, - "wins": 434, - "win_rate": 40.0, - "avg_r": 0.631, - "total_r": 684.97, - "net_avg_r": 0.585, - "net_total_r": 634.78, - "best_r": 12.87, - "worst_r": -3.38, - "avg_hold_days": 17.8, - "net_r_per_day": 0.0329, - "median_net_r": -1.033, - "profit_factor": 1.9, - "net_avg_r_ex_top5": 0.212 - } - ], - "portfolio_sim": { - "params": { - "starting_capital": 10000.0, - "max_positions": 10, - "risk_per_trade_pct": 1.0, - "notional_cap_pct": 20.0, - "cost_per_side_pct": 0.1, - "hold_days": 30 - }, - "policies": [], - "note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends." - }, - "strategy_variants": { - "variants": [], - "note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays." - }, - "exit_policy_variants": { - "variants": [], - "note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline." - }, - "portfolio_monitor": null, - "production_cadence_comparison": null, - "holdout": null, - "min_rr_sweep": null, - "target_model_diagnostics": { - "target_model": "production_gtl", - "target_model_label": "Live GTL (production)", - "candidate_count": 202769, - "primary_source_counts": { - "pivot_point": 196294, - "range_grid": 180039 - }, - "primary_round_only": 0, - "primary_strength_100": 138599, - "avg_primary_strength": 80.109, - "avg_primary_distance_atr": 2.293, - "avg_primary_rejection_count": 41.907, - "avg_raw_level_count": 53.204, - "avg_gate_level_count": 53.204 - }, - "signal_eval": [ - { - "signal": "high_52w", - "weeks": 35, - "avg_cross_section": 1471.2, - "mean_ic": 0.1283, - "ic_t_stat": 4.28, - "ic_positive_pct": 85.7, - "mean_quintile_spread": -0.1009, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - { - "signal": "mom_12_1", - "weeks": 35, - "avg_cross_section": 1471.2, - "mean_ic": 0.0997, - "ic_t_stat": 4.56, - "ic_positive_pct": 88.6, - "mean_quintile_spread": -0.1001, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - { - "signal": "mom_6_1", - "weeks": 40, - "avg_cross_section": 1474.8, - "mean_ic": 0.0681, - "ic_t_stat": 3.45, - "ic_positive_pct": 77.5, - "mean_quintile_spread": -0.0322, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - { - "signal": "fip_id", - "weeks": 35, - "avg_cross_section": 1471.2, - "mean_ic": 0.0575, - "ic_t_stat": 5.12, - "ic_positive_pct": 88.6, - "mean_quintile_spread": 0.0199, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - { - "signal": "trend_200", - "weeks": 37, - "avg_cross_section": 1472.8, - "mean_ic": 0.0538, - "ic_t_stat": 2.33, - "ic_positive_pct": 75.7, - "mean_quintile_spread": -0.0675, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - { - "signal": "mom_3_1", - "weeks": 42, - "avg_cross_section": 1476.0, - "mean_ic": 0.0523, - "ic_t_stat": 3.27, - "ic_positive_pct": 73.8, - "mean_quintile_spread": -0.0194, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - { - "signal": "mom_12_1_resid", - "weeks": 35, - "avg_cross_section": 1471.2, - "mean_ic": 0.0388, - "ic_t_stat": 2.28, - "ic_positive_pct": 74.3, - "mean_quintile_spread": -0.0542, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - { - "signal": "reversal_1m", - "weeks": 43, - "avg_cross_section": 1476.6, - "mean_ic": 0.0155, - "ic_t_stat": 0.85, - "ic_positive_pct": 48.8, - "mean_quintile_spread": -0.0862, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - { - "signal": "vol_6m", - "weeks": 40, - "avg_cross_section": 1474.8, - "mean_ic": -0.1584, - "ic_t_stat": -6.05, - "ic_positive_pct": 12.5, - "mean_quintile_spread": 0.0164, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - } - ], - "signal_eval_note": "Cross-sectional rank-IC of price-only signals vs the forward 30-day return (min 20 names/window). |IC| \u2273 0.03 with a consistent sign is a real (if small) edge; near 0 means ranking on it sorts nothing. Momentum factors and high_52w are expected positive; reversal_1m and vol_6m expected negative (mean-reversion / low-vol anomaly). IC is measured on non-overlapping windows; signals with fewer than 12 independent windows are flagged unreliable (too few regimes \u2014 deepen history with the Data Backfill job).", - "note": "Sentiment & fundamentals held neutral (no point-in-time history). Stops fill at the worse of the stop or the bar's open (gaps through the stop are modeled, so a loss can exceed \u22121R); targets never fill better than their level. ~6 months \u2248 one market regime \u2014 treat as directional, not gospel.", - "recommendation": { - "headline": "Trade the qualified list long-only; hold 30 trading days with the initial ATR stop.", - "items": [ - { - "topic": "exit", - "text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.58R net/trade vs +0.21R for the S/R target exit)." - }, - { - "topic": "gate", - "text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.01R/trade and adds 7 trades." - }, - { - "topic": "gate", - "text": "Gate: keep the R:R floor (worth +0.28R/trade under the hold exit)." - }, - { - "topic": "gate", - "text": "Gate: keep the NEUTRAL exclusion (worth +0.05R/trade under the hold exit)." - }, - { - "topic": "cutoff", - "text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.23R over 497 setups)." - }, - { - "topic": "robustness", - "text": "Robustness: expectancy survives removing the top 5% of winners (+0.21R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers." - } - ], - "note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does." - }, - "research_recommendation": { - "items": [], - "note": "Strategy variants unavailable; re-run the backtest after benchmark data is present." - } -} \ No newline at end of file diff --git a/reports/fip-breadth-20260718-211440.json b/reports/fip-breadth-20260718-211440.json deleted file mode 100644 index 5211c38..0000000 --- a/reports/fip-breadth-20260718-211440.json +++ /dev/null @@ -1,59 +0,0 @@ -{ - "generated_at": "2026-07-18T21:14:40.170961", - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0, - "fingerprint": { - "signal": "fip_id", - "weeks": 35, - "avg_cross_section": 497.7, - "mean_ic": -0.045, - "ic_t_stat": -2.91, - "ic_positive_pct": 25.7, - "mean_quintile_spread": -0.0168, - "reliable": true, - "pass": true, - "expected_ic": -0.045, - "expected_t": -2.9 - }, - "breadth": { - "signal": "fip_id", - "weeks": 35, - "avg_cross_section": 1471.2, - "mean_ic": 0.0575, - "ic_t_stat": 5.12, - "ic_positive_pct": 88.6, - "mean_quintile_spread": 0.0199, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - }, - "verdict": { - "green": false, - "reason": "iron rule not met on liquid-breadth cross-section", - "checks": { - "mean_ic": 0.0575, - "abs_mean_ic_ge_0_03": true, - "sign_negative": false, - "ic_t_stat": 5.12, - "reliable": true, - "weeks": 35, - "avg_cross_section": 1471.2 - }, - "row": { - "signal": "fip_id", - "weeks": 35, - "avg_cross_section": 1471.2, - "mean_ic": 0.0575, - "ic_t_stat": 5.12, - "ic_positive_pct": 88.6, - "mean_quintile_spread": 0.0199, - "reliable": true, - "liquid_breadth_top_n": 1500, - "liquid_min_price": 5.0 - } - }, - "fingerprint_report_path": "reports/fip-breadth-20260718-211440-fingerprint.json", - "breadth_report_path": "reports/fip-breadth-20260718-211440-breadth.json", - "breadth_tickers": 4650, - "breadth_rank_only_tickers": 4144 -} \ No newline at end of file diff --git a/reports/fip-breadth-diagnostics-20260718-213705.json b/reports/fip-breadth-diagnostics-20260718-213705.json deleted file mode 100644 index 83bc087..0000000 --- a/reports/fip-breadth-diagnostics-20260718-213705.json +++ /dev/null @@ -1,100 +0,0 @@ -{ - "generated_at": "2026-07-18T21:37:04.615484", - "research_snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite", - "prod_subset_n": 506, - "panel_tickers": 4403, - "top_n": 1500, - "min_price": 5.0, - "checks": { - "fip_same_week_liquid_1500": { - "note": "Replication of main breadth run (same-week $vol mask)", - "mean_ic": -0.0168, - "ic_t_stat": -1.85, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 40.0, - "reliable": true - }, - "fip_lagged_membership_1w": { - "note": "Liquid top-N ranked on *prior* week's median $vol \u2014 excludes same-week liquidity explosion leak", - "mean_ic": -0.0102, - "ic_t_stat": -0.93, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 40.0, - "reliable": true - }, - "fip_tier_1_800": { - "note": "Same-week liquid ranks 1\u2013800 (senior liquid tier)", - "mean_ic": -0.035, - "ic_t_stat": -2.99, - "weeks": 35, - "avg_cross_section": 791.2, - "ic_positive_pct": 25.7, - "reliable": true - }, - "fip_tier_801_1500": { - "note": "Same-week liquid ranks 801\u20131500 (junior liquid tier)", - "mean_ic": 0.0141, - "ic_t_stat": 1.25, - "weeks": 35, - "avg_cross_section": 700.0, - "ic_positive_pct": 60.0, - "reliable": true - }, - "fip_prod_universe_subset": { - "note": "Symbols in prod.sqlite (~S&P-like large-cap book) inside same-week liquid top-N \u2014 compositional control", - "mean_ic": -0.0444, - "ic_t_stat": -2.88, - "weeks": 35, - "avg_cross_section": 497.5, - "ic_positive_pct": 25.7, - "reliable": true - }, - "fip_momentum_conditional_top20pct": { - "note": "Among liquid top-N, keep mom_12_1 percentile \u2265 80.0 (paper: ID modulates continuation among winners; gate-relevant)", - "mean_ic": -0.0879, - "ic_t_stat": -4.58, - "weeks": 35, - "avg_cross_section": 294.3, - "ic_positive_pct": 22.9, - "reliable": true - }, - "vol_6m_liquid_1500": { - "note": "Context: low-vol anomaly strength on this pool", - "mean_ic": -0.0465, - "ic_t_stat": -1.3, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 37.1, - "reliable": true - }, - "mom_12_1_liquid_1500": { - "note": "Context: raw momentum on liquid breadth", - "mean_ic": 0.0462, - "ic_t_stat": 1.91, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 65.7, - "reliable": true - }, - "mom_12_1_resid_liquid_1500": { - "note": "Context: residual momentum on liquid breadth", - "mean_ic": 0.0289, - "ic_t_stat": 1.33, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 60.0, - "reliable": true - } - }, - "interpretation": { - "leak_ruled_out": false, - "junior_tier_drives_positive": true, - "prod_subset_still_negative": true, - "mom_conditional_negative_and_reliable": true, - "compositional_flip_story": "If prod subset IC is negative while full liquid-1500 is positive, the sign flip is compositional (bleeders / Nasdaq junk), not a temporal regime change. Unconditional fip pools continuous winners (want neg IC) against continuous losers/bleeders (want pos IC).", - "vol_tilt_warning": "vol_6m large negative IC on breadth: high-vol lottery names underperform. Production 80/20 high-vol tilt was validated on S&P-like names; must re-validate before any universe broaden." - }, - "platform_verdict": "ALIVE as breadth-book tilt candidate among momentum winners only \u2014 still needs a book-level experiment; not a production wire-in." -} \ No newline at end of file diff --git a/reports/fip-breadth-diagnostics-20260718-213908.json b/reports/fip-breadth-diagnostics-20260718-213908.json deleted file mode 100644 index c51ad81..0000000 --- a/reports/fip-breadth-diagnostics-20260718-213908.json +++ /dev/null @@ -1,100 +0,0 @@ -{ - "generated_at": "2026-07-18T21:39:07.916038", - "research_snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite", - "prod_subset_n": 506, - "panel_tickers": 4403, - "top_n": 1500, - "min_price": 5.0, - "checks": { - "fip_same_week_liquid_1500": { - "note": "Replication of main breadth run (same-week $vol mask)", - "mean_ic": -0.0168, - "ic_t_stat": -1.85, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 40.0, - "reliable": true - }, - "fip_lagged_membership_1w": { - "note": "Liquid top-N ranked on *prior* week's median $vol \u2014 excludes same-week liquidity explosion leak", - "mean_ic": -0.0102, - "ic_t_stat": -0.93, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 40.0, - "reliable": true - }, - "fip_tier_1_800": { - "note": "Same-week liquid ranks 1\u2013800 (senior liquid tier)", - "mean_ic": -0.035, - "ic_t_stat": -2.99, - "weeks": 35, - "avg_cross_section": 791.2, - "ic_positive_pct": 25.7, - "reliable": true - }, - "fip_tier_801_1500": { - "note": "Same-week liquid ranks 801\u20131500 (junior liquid tier)", - "mean_ic": 0.0141, - "ic_t_stat": 1.25, - "weeks": 35, - "avg_cross_section": 700.0, - "ic_positive_pct": 60.0, - "reliable": true - }, - "fip_prod_universe_subset": { - "note": "Symbols in prod.sqlite (~S&P-like large-cap book) inside same-week liquid top-N \u2014 compositional control", - "mean_ic": -0.0444, - "ic_t_stat": -2.88, - "weeks": 35, - "avg_cross_section": 497.5, - "ic_positive_pct": 25.7, - "reliable": true - }, - "fip_momentum_conditional_top20pct": { - "note": "Among liquid top-N, keep mom_12_1 percentile \u2265 80.0 (paper: ID modulates continuation among winners; gate-relevant)", - "mean_ic": -0.0879, - "ic_t_stat": -4.58, - "weeks": 35, - "avg_cross_section": 294.3, - "ic_positive_pct": 22.9, - "reliable": true - }, - "vol_6m_liquid_1500": { - "note": "Context: low-vol anomaly strength on this pool", - "mean_ic": -0.0465, - "ic_t_stat": -1.3, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 37.1, - "reliable": true - }, - "mom_12_1_liquid_1500": { - "note": "Context: raw momentum on liquid breadth", - "mean_ic": 0.0462, - "ic_t_stat": 1.91, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 65.7, - "reliable": true - }, - "mom_12_1_resid_liquid_1500": { - "note": "Context: residual momentum on liquid breadth", - "mean_ic": 0.0289, - "ic_t_stat": 1.33, - "weeks": 35, - "avg_cross_section": 1471.2, - "ic_positive_pct": 60.0, - "reliable": true - } - }, - "interpretation": { - "leak_ruled_out": false, - "junior_tier_drives_positive": true, - "prod_subset_still_negative": true, - "mom_conditional_negative_and_reliable": true, - "compositional_flip_story": "If prod subset IC is negative while full liquid-1500 is positive, the sign flip is compositional (bleeders / Nasdaq junk), not a temporal regime change. Unconditional fip pools continuous winners (want neg IC) against continuous losers/bleeders (want pos IC).", - "vol_tilt_warning": "vol_6m large negative IC on breadth: high-vol lottery names underperform. Production 80/20 high-vol tilt was validated on S&P-like names; must re-validate before any universe broaden." - }, - "platform_verdict": "ALIVE as breadth-book tilt candidate among momentum winners only \u2014 still needs a book-level experiment; not a production wire-in." -} \ No newline at end of file diff --git a/reports/fip-reconcile-20260719-000520.json b/reports/fip-reconcile-20260719-000520.json index 2b9a3b7..4c0bea6 100644 --- a/reports/fip-reconcile-20260719-000520.json +++ b/reports/fip-reconcile-20260719-000520.json @@ -107,6575 +107,6 @@ "reliable": true } }, - "membership_dumps": [ - { - "week": [ - 2022, - 49 - ], - "stats": { - "raw_pool": 2984, - "eligible_pre_mask": 2339, - "post_mask": 1500, - "mask_binds": true - }, - "symbols": [ - "A", - "AAL", - "AAON", - "AAPL", - "ABBV", - "ABCL", - "ABNB", - "ABT", - "ACAD", - "ACB", - "ACET", - "ACGL", - "ACHC", - "ACIW", - "ACLS", - "ACMR", - "ACN", - "ACRS", - "ACT", - "ADAM", - "ADBE", - "ADEA", - "ADI", - "ADM", - "ADP", - "ADPT", - "ADSK", - "ADTN", - "ADUS", - "ADV", - "AEE", - "AEHR", - "AEIS", - "AEP", - "AES", - "AEVA", - "AFCG", - "AFL", - "AFRM", - "AFYA", - "AGEN", - "AGIO", - "AGNC", - "AGNCN", - "AGNCO", - "AGNCP", - "AGNT", - "AGYS", - "AHCO", - "AIG", - "AIIO", - "AIZ", - "AJG", - "AKAM", - "ALB", - "ALCO", - "ALDX", - "ALEC", - "ALGM", - "ALGN", - "ALGT", - "ALHC", - "ALKS", - "ALKT", - "ALL", - "ALLE", - "ALLO", - "ALNT", - "ALNY", - "ALRM", - "ALT", - "ALXO", - "AMAL", - "AMAT", - "AMBA", - "AMCR", - "AMCX", - "AMD", - "AME", - "AMGN", - "AMKR", - "AMP", - "AMPH", - "AMPL", - "AMRN", - "AMSF", - "AMT", - "AMZN", - "ANAB", - "ANDE", - "ANET", - "ANGI", - "ANGO", - "ANIK", - "ANIP", - "AON", - "AOS", - "AOSL", - "APA", - "APD", - "APEI", - "APH", - "APO", - "APOG", - "APP", - "APPF", - "APPN", - "APPS", - "APTV", - "ARCB", - "ARCC", - "ARCT", - "ARE", - "ARES", - "ARGX", - "ARHS", - "ARKO", - "ARLP", - "ARQQ", - "ARQT", - "ARRY", - "ARTNA", - "ARVN", - "ARWR", - "ASLE", - "ASML", - "ASND", - "ASO", - "ASTE", - "ASTH", - "ASTL", - "ATEC", - "ATER", - "ATEX", - "ATNI", - "ATO", - "ATOM", - "ATRA", - "ATRC", - "ATRO", - "AUDC", - "AVAV", - "AVB", - "AVGO", - "AVNW", - "AVO", - "AVT", - "AVXL", - "AVY", - "AWK", - "AXGN", - "AXON", - "AXP", - "AXSM", - "AZO", - "AZTA", - "BA", - "BAC", - "BALL", - "BAND", - "BANF", - "BANR", - "BATRA", - "BATRK", - "BAX", - "BBIO", - "BBSI", - "BBY", - "BCAB", - "BCPC", - "BCRX", - "BCTX", - "BCYC", - "BDX", - "BEAM", - "BEAT", - "BEEM", - "BELFB", - "BEN", - "BF-B", - "BFC", - "BFST", - "BG", - "BHF", - "BIDU", - "BIIB", - "BILI", - "BIOX", - "BIRD", - "BJRI", - "BK", - "BKNG", - "BKR", - "BL", - "BLDP", - "BLDR", - "BLFS", - "BLK", - "BLKB", - "BLMN", - "BLNK", - "BMBL", - "BMRC", - "BMRN", - "BMY", - "BNGO", - "BNTX", - "BOKF", - "BOOM", - "BPOP", - "BR", - "BRK-B", - "BRKR", - "BRO", - "BRZE", - "BSX", - "BSY", - "BTAI", - "BUSE", - "BWB", - "BWIN", - "BX", - "BXP", - "BYND", - "BZ", - "BZUN", - "C", - "CABA", - "CAC", - "CACC", - "CAG", - "CAH", - "CAKE", - "CALM", - "CAMT", - "CAR", - "CARG", - "CARR", - "CASH", - "CASS", - "CASY", - "CAT", - "CATY", - "CB", - "CBOE", - "CBRE", - "CBRL", - "CBSH", - "CCAP", - "CCB", - "CCBG", - "CCC", - "CCCC", - "CCD", - "CCEP", - "CCI", - "CCL", - "CCNE", - "CCOI", - "CCRN", - "CCSI", - "CDLX", - "CDNA", - "CDNS", - "CDW", - "CDXS", - "CECO", - "CELH", - "CENN", - "CENT", - "CENTA", - "CENX", - "CERT", - "CEVA", - "CF", - "CFFN", - "CFG", - "CG", - "CGBD", - "CGC", - "CGEM", - "CGNX", - "CHCO", - "CHD", - "CHDN", - "CHEF", - "CHI", - "CHKP", - "CHRD", - "CHRS", - "CHRW", - "CHTR", - "CHW", - "CHY", - "CI", - "CIEN", - "CIGI", - "CINF", - "CL", - "CLAR", - "CLBK", - "CLDX", - "CLFD", - "CLMT", - "CLNE", - "CLX", - "CMCO", - "CMCSA", - "CME", - "CMG", - "CMI", - "CMPR", - "CMPS", - "CMRC", - "CMS", - "CMTL", - "CNC", - "CNOB", - "CNP", - "CNXC", - "CNXN", - "COCO", - "COF", - "COGT", - "COHR", - "COHU", - "COIN", - "COKE", - "COLB", - "COLL", - "COLM", - "COO", - "COP", - "COR", - "CORT", - "COST", - "CPAY", - "CPB", - "CPRT", - "CPT", - "CRAI", - "CRBU", - "CRCT", - "CRH", - "CRL", - "CRM", - "CRMT", - "CRNC", - "CRNX", - "CROX", - "CRSP", - "CRSR", - "CRTO", - "CRUS", - "CRVL", - "CRWD", - "CSCO", - "CSGP", - "CSIQ", - "CSQ", - "CSTL", - "CSWC", - "CSX", - "CTAS", - "CTBI", - "CTKB", - "CTRA", - "CTRN", - "CTSH", - "CTVA", - "CVBF", - "CVCO", - "CVLT", - "CVS", - "CVX", - "CWCO", - "CWST", - "CYRX", - "CYTK", - "CZR", - "D", - "DAL", - "DASH", - "DBGI", - "DBX", - "DCBO", - "DCGO", - "DD", - "DDOG", - "DE", - "DECK", - "DELL", - "DG", - "DGII", - "DGX", - "DH", - "DHI", - "DHR", - "DIOD", - "DIS", - "DJT", - "DKNG", - "DLO", - "DLR", - "DLTR", - "DMLP", - "DMRC", - "DNLI", - "DNUT", - "DOC", - "DOCU", - "DOMO", - "DOO", - "DORM", - "DOV", - "DOW", - "DOX", - "DPZ", - "DRH", - "DRI", - "DRS", - "DRVN", - "DSGN", - "DSGR", - "DSGX", - "DTE", - "DUK", - "DUOL", - "DVA", - "DVN", - "DXCM", - "DXLG", - "DXPE", - "DYN", - "EA", - "EBAY", - "EBC", - "ECHO", - "ECL", - "ECPG", - "ED", - "EDIT", - "EEFT", - "EFSC", - "EFX", - "EG", - "EGBN", - "EH", - "EIX", - "EL", - "ELV", - "EME", - "EMR", - "ENPH", - "ENSG", - "ENTA", - "ENTG", - "ENVX", - "EOG", - "EOLS", - "EPAM", - "EQIX", - "EQR", - "EQT", - "ERAS", - "ERIC", - "ERIE", - "ERII", - "ES", - "ESLT", - "ESQ", - "ESS", - "ESTA", - "ETN", - "ETR", - "EVCM", - "EVER", - "EVGO", - "EVRG", - "EW", - "EWBC", - "EWTX", - "EXC", - "EXE", - "EXEL", - "EXFY", - "EXLS", - "EXPD", - "EXPE", - "EXPO", - "EXR", - "EXTR", - "EYE", - "EZPW", - "F", - "FA", - "FANG", - "FAST", - "FATE", - "FBNC", - "FCBC", - "FCEL", - "FCFS", - "FCNCA", - "FCX", - "FDMT", - "FDS", - "FDUS", - "FDX", - "FE", - "FELE", - "FFAI", - "FFBC", - "FFIN", - "FFIV", - "FHB", - "FIBK", - "FICO", - "FIS", - "FISV", - "FITB", - "FIVE", - "FIVN", - "FIX", - "FIZZ", - "FLEX", - "FLGT", - "FLNA", - "FLNC", - "FLWS", - "FLYW", - "FMBH", - "FMNB", - "FNKO", - "FNUC", - "FORM", - "FORR", - "FOX", - "FOXA", - "FOXF", - "FRHC", - "FRME", - "FROG", - "FRPT", - "FRSH", - "FRT", - "FSLR", - "FSLY", - "FSV", - "FTAI", - "FTCI", - "FTDR", - "FTNT", - "FTV", - "FULC", - "FULT", - "FUTU", - "FWONA", - "FWONK", - "FWRD", - "FWRG", - "GABC", - "GAIN", - "GBDC", - "GCMG", - "GD", - "GDDY", - "GDRX", - "GDS", - "GDYN", - "GE", - "GEN", - "GFS", - "GGAL", - "GGR", - "GH", - "GIII", - "GILD", - "GIS", - "GL", - "GLAD", - "GLBE", - "GLNG", - "GLPI", - "GLUE", - "GLW", - "GM", - "GMAB", - "GNRC", - "GNTX", - "GO", - "GOGO", - "GOOD", - "GOOG", - "GOOGL", - "GPC", - "GPN", - "GPRE", - "GPRO", - "GRFS", - "GRMN", - "GRPN", - "GRWG", - "GS", - "GSAT", - "GSBC", - "GSHD", - "GT", - "GTLB", - "GTM", - "GTX", - "GWW", - "HAFC", - "HAIN", - "HAL", - "HALO", - "HAPN", - "HAS", - "HBAN", - "HBANP", - "HBNC", - "HCA", - "HCAT", - "HCKT", - "HCM", - "HCSG", - "HD", - "HDSN", - "HELE", - "HFWA", - "HIFS", - "HIG", - "HII", - "HIMX", - "HLIT", - "HLMN", - "HLNE", - "HLT", - "HNRG", - "HON", - "HOOD", - "HOPE", - "HPE", - "HPK", - "HPQ", - "HQY", - "HRL", - "HRMY", - "HROW", - "HRZN", - "HSIC", - "HST", - "HSTM", - "HSY", - "HTHT", - "HTLD", - "HTO", - "HTZ", - "HTZWW", - "HUBB", - "HUBG", - "HUDI", - "HUM", - "HURN", - "HUT", - "HWC", - "HWKN", - "HWM", - "HYFM", - "HYMC", - "IART", - "IBCP", - "IBKR", - "IBM", - "IBOC", - "IBRX", - "ICE", - "ICFI", - "ICHR", - "ICLR", - "ICUI", - "IDCC", - "IDXX", - "IDYA", - "IEP", - "IEX", - "IFF", - "IHRT", - "IIIV", - "ILMN", - "IMCR", - "IMKTA", - "IMMR", - "IMTX", - "IMUX", - "IMVT", - "IMXI", - "INCY", - "INDB", - "INDI", - "INGN", - "INMD", - "INO", - "INSE", - "INSM", - "INTA", - "INTC", - "INTU", - "INVA", - "INVH", - "IONS", - "IOSP", - "IOVA", - "IP", - "IPAR", - "IPGP", - "IQV", - "IR", - "IRDM", - "IRM", - "IRTC", - "IRWD", - "ISRG", - "IT", - "ITRI", - "ITW", - "IVZ", - "J", - "JACK", - "JAKK", - "JAZZ", - "JBHT", - "JBIO", - "JBL", - "JBLU", - "JBSS", - "JCI", - "JD", - "JJSF", - "JKHY", - "JNJ", - "JOUT", - "JOYY", - "JPM", - "JRVR", - "JYNT", - "KALU", - "KDP", - "KE", - "KELYA", - "KEY", - "KEYS", - "KHC", - "KIDS", - "KIM", - "KKR", - "KLAC", - "KLIC", - "KLRS", - "KLXE", - "KMB", - "KMI", - "KNSA", - "KO", - "KOD", - "KPTI", - "KR", - "KRNT", - "KRNY", - "KROS", - "KRUS", - "KRYS", - "KTOS", - "KURA", - "KYMR", - "KYNB", - "L", - "LAMR", - "LAND", - "LASR", - "LAUR", - "LBRDA", - "LBRDK", - "LBTYA", - "LBTYK", - "LCID", - "LDOS", - "LE", - "LECO", - "LEGN", - "LEN", - "LESL", - "LFUS", - "LGIH", - "LGND", - "LH", - "LHX", - "LI", - "LII", - "LILA", - "LILAK", - "LIN", - "LIND", - "LITE", - "LIVN", - "LKFN", - "LKFT", - "LKQ", - "LLY", - "LMAT", - "LMT", - "LNT", - "LNTH", - "LOCO", - "LOGI", - "LOPE", - "LOVE", - "LOW", - "LPLA", - "LPRO", - "LPSN", - "LQDA", - "LQDT", - "LRCX", - "LSCC", - "LSTR", - "LULU", - "LUNG", - "LUV", - "LVS", - "LWLG", - "LYB", - "LYEL", - "LYFT", - "LYV", - "LZ", - "MA", - "MAA", - "MANH", - "MAR", - "MARA", - "MAS", - "MASS", - "MAT", - "MATW", - "MBIN", - "MBLY", - "MBUU", - "MBWM", - "MCD", - "MCFT", - "MCHB", - "MCHP", - "MCK", - "MCO", - "MCRB", - "MCRI", - "MDB", - "MDGL", - "MDLZ", - "MDT", - "MEDP", - "MELI", - "MEOH", - "MERC", - "MET", - "META", - "METC", - "MFIC", - "MGEE", - "MGM", - "MGNI", - "MGNX", - "MGPI", - "MGRC", - "MIDD", - "MIRM", - "MITK", - "MKC", - "MKSI", - "MKTX", - "MLAB", - "MLCO", - "MLKN", - "MLM", - "MMM", - "MMSI", - "MMYT", - "MNDY", - "MNRO", - "MNST", - "MNTK", - "MO", - "MOMO", - "MORN", - "MOS", - "MPAA", - "MPC", - "MPWR", - "MQ", - "MRCY", - "MRK", - "MRNA", - "MRSH", - "MRTN", - "MRVI", - "MRVL", - "MS", - "MSBI", - "MSCI", - "MSEX", - "MSFT", - "MSI", - "MSTR", - "MTB", - "MTCH", - "MTD", - "MTLS", - "MTSI", - "MTVA", - "MU", - "MXCT", - "MXL", - "MYGN", - "MYRG", - "MZTI", - "NAVI", - "NBIX", - "NBTB", - "NCLH", - "NCNO", - "NDAQ", - "NDSN", - "NEE", - "NEM", - "NEO", - "NEOG", - "NESR", - "NEWT", - "NFBK", - "NFE", - "NFLX", - "NI", - "NICE", - "NIU", - "NKE", - "NKTR", - "NKTX", - "NMFC", - "NMIH", - "NMRK", - "NNOX", - "NOC", - "NOVT", - "NOW", - "NRC", - "NRDS", - "NRG", - "NRIX", - "NSC", - "NSIT", - "NSSC", - "NTAP", - "NTCT", - "NTES", - "NTGR", - "NTLA", - "NTNX", - "NTRA", - "NTRS", - "NUE", - "NVAX", - "NVCR", - "NVDA", - "NVEC", - "NVMI", - "NVR", - "NWBI", - "NWE", - "NWL", - "NWPX", - "NWS", - "NWSA", - "NXPI", - "NXST", - "O", - "OCFC", - "OCSL", - "ODFL", - "OFIX", - "OFLX", - "OKE", - "OKTA", - "OLED", - "OLLI", - "OM", - "OMAB", - "OMC", - "OMCL", - "ON", - "ONB", - "ONC", - "ONEW", - "OPCH", - "OPI", - "OPRX", - "ORCL", - "ORLY", - "ORMP", - "OSBC", - "OSIS", - "OSPN", - "OSUR", - "OSW", - "OTEX", - "OTIS", - "OTLY", - "OTTR", - "OUST", - "OXLC", - "OXY", - "OZK", - "PAA", - "PACB", - "PAGP", - "PAHC", - "PAMT", - "PANW", - "PATK", - "PAX", - "PAYO", - "PAYX", - "PCAR", - "PCG", - "PCRX", - "PCT", - "PCTY", - "PCVX", - "PDD", - "PDFS", - "PDSB", - "PEBO", - "PECO", - "PEG", - "PEGA", - "PENG", - "PENN", - "PEP", - "PERI", - "PETS", - "PFBC", - "PFE", - "PFG", - "PG", - "PGC", - "PGNY", - "PGR", - "PGY", - "PH", - "PHAT", - "PHM", - "PHUN", - "PI", - "PKG", - "PLAB", - "PLAY", - 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"GEN", - "GFS", - "GGAL", - "GGR", - "GH", - "GIII", - "GILD", - "GIS", - "GL", - "GLAD", - "GLBE", - "GLNG", - "GLPI", - "GLUE", - "GLW", - "GM", - "GMAB", - "GNRC", - "GNTX", - "GO", - "GOGO", - "GOOD", - "GOOG", - "GOOGL", - "GOSS", - "GOVX", - "GPC", - "GPN", - "GPRE", - "GPRO", - "GRFS", - "GRMN", - "GRPN", - "GS", - "GSAT", - "GSBC", - "GSHD", - "GSM", - "GT", - "GTLB", - "GTM", - "GTX", - "GWW", - "HAFC", - "HAIN", - "HAL", - "HALO", - "HAPN", - "HAS", - "HBAN", - "HBANP", - "HBNC", - "HCA", - "HCAT", - "HCKT", - "HCM", - "HCSG", - "HD", - "HDSN", - "HELE", - "HFWA", - "HIG", - "HII", - "HIMX", - "HLIT", - "HLMN", - "HLNE", - "HLT", - "HNRG", - "HOFT", - "HOLO", - "HON", - "HOOD", - "HOPE", - "HPE", - "HPK", - "HPQ", - "HQY", - "HRL", - "HRMY", - "HROW", - "HRZN", - "HSIC", - "HST", - "HSTM", - "HSY", - "HTHT", - "HTLD", - "HTO", - "HUBB", - "HUBG", - "HUM", - "HURN", - "HUT", - "HWC", - "HWKN", - "HWM", - "HYFM", - "HYMC", - "IART", - "IBCP", - "IBKR", - "IBM", - "IBOC", - "IBRX", - "ICE", - "ICFI", - "ICHR", - "ICLR", - "ICUI", - "IDCC", - "IDXX", - "IDYA", - "IEP", - "IEX", - "IFF", - "IHRT", - "IIIV", - "ILMN", - "IMCR", - "IMKTA", - "IMMR", - "IMTX", - "IMVT", - "IMXI", - "INCY", - "INDB", - "INDI", - "INGN", - "INMD", - "INO", - "INSE", - "INSG", - "INSM", - "INTA", - "INTC", - "INTU", - "INVA", - "INVH", - "IONS", - "IOSP", - "IOVA", - "IP", - "IPAR", - "IPGP", - "IQV", - "IR", - "IRDM", - "IRM", - "IRTC", - "IRWD", - "ISRG", - "IT", - "ITRI", - "ITW", - "IVZ", - "J", - "JACK", - "JAKK", - "JAZZ", - "JBHT", - "JBIO", - "JBL", - "JBLU", - "JBSS", - "JCI", - "JD", - "JJSF", - "JKHY", - "JNJ", - "JOUT", - "JOYY", - "JPM", - "JRVR", - "JYNT", - "KALU", - "KDP", - "KE", - "KELYA", - "KEY", - "KEYS", - "KHC", - "KIDS", - "KIM", - "KKR", - "KLAC", - "KLIC", - "KLRS", - "KLXE", - "KMB", - "KMI", - "KNSA", - "KO", - "KOD", - "KPRX", - "KPTI", - "KR", - "KRNT", - "KRNY", - "KROS", - "KRUS", - "KRYS", - "KTOS", - "KURA", - "KYMR", - "KYNB", - "L", - "LAMR", - "LAND", - "LASR", - "LAUR", - "LBRDA", - "LBRDK", - "LBTYA", - "LBTYK", - "LCID", - "LDOS", - "LE", - "LECO", - "LEGN", - "LEN", - "LESL", - "LFST", - "LFUS", - "LGIH", - "LGND", - "LH", - "LHX", - "LI", - "LII", - "LILA", - "LILAK", - "LIN", - "LIND", - "LITE", - "LIVN", - "LKFN", - "LKFT", - "LKQ", - "LLY", - "LMAT", - "LMT", - "LNT", - "LNTH", - "LOCO", - "LOGI", - "LOPE", - "LOVE", - "LOW", - "LPLA", - "LPRO", - "LPSN", - "LQDA", - "LQDT", - "LRCX", - "LSCC", - "LSTR", - "LULU", - "LUNG", - "LUV", - "LVS", - "LWLG", - "LYB", - "LYEL", - "LYFT", - "LYV", - "LZ", - "MA", - "MAA", - "MANH", - "MAR", - "MARA", - "MAS", - "MASS", - "MAT", - "MATW", - "MBIN", - "MBUU", - "MBWM", - "MCD", - "MCFT", - "MCHB", - "MCHP", - "MCK", - "MCO", - "MCRB", - "MCRI", - "MDB", - "MDGL", - "MDLZ", - "MDT", - "MEDP", - "MELI", - "MEOH", - "MERC", - "MET", - "META", - "METC", - "MFIC", - "MGEE", - "MGM", - "MGNI", - "MGPI", - "MGRC", - "MIDD", - "MIRM", - "MIST", - "MITK", - "MKC", - "MKSI", - "MKTX", - "MLAB", - "MLCO", - "MLKN", - "MLM", - "MMM", - "MMSI", - "MMYT", - "MNDY", - "MNRO", - "MNST", - "MNTK", - "MO", - "MORN", - "MOS", - "MPC", - "MPWR", - "MQ", - "MRCY", - "MRK", - "MRNA", - "MRSH", - "MRTN", - "MRVI", - "MRVL", - "MS", - "MSBI", - "MSCI", - "MSEX", - "MSFT", - "MSI", - "MSTR", - "MTB", - "MTCH", - "MTD", - "MTLS", - "MTSI", - "MU", - "MXCT", - "MXL", - "MYGN", - "MYRG", - "MZTI", - "NAVI", - "NBIX", - "NBTB", - "NCLH", - "NCNO", - "NDAQ", - "NDSN", - "NEE", - "NEGG", - "NEM", - "NEO", - "NEOG", - "NESR", - "NEWT", - "NEXT", - "NFBK", - "NFE", - "NFLX", - "NI", - "NICE", - "NKE", - "NKTR", - "NKTX", - "NMFC", - "NMIH", - "NMRK", - "NNOX", - "NOC", - "NOVT", - "NOW", - "NRC", - "NRG", - "NRIX", - "NSC", - "NSIT", - "NSSC", - "NTAP", - "NTCT", - "NTES", - "NTGR", - "NTLA", - "NTNX", - "NTRA", - "NTRS", - "NUE", - "NVAX", - "NVCR", - "NVDA", - "NVMI", - "NVR", - "NWBI", - "NWE", - "NWL", - "NWPX", - "NWS", - "NWSA", - "NXPI", - "NXST", - "O", - "OCFC", - "OCSL", - "ODFL", - "OFIX", - "OFLX", - "OKE", - "OKTA", - "OLED", - "OLLI", - "OM", - "OMAB", - "OMC", - "OMCL", - "ON", - "ONB", - "ONC", - "ONEW", - "OPCH", - "OPI", - "OPRT", - "OPRX", - "ORCL", - "ORLY", - "ORMP", - "OSBC", - "OSIS", - "OSPN", - "OSW", - "OTEX", - "OTIS", - "OTLY", - "OTTR", - "OUST", - "OXLC", - "OXY", - "OZK", - "PAA", - "PACB", - "PAGP", - "PAHC", - "PAMT", - "PANW", - "PATK", - "PAX", - "PAYO", - "PAYX", - "PCAR", - "PCG", - "PCRX", - "PCT", - "PCTY", - "PCVX", - "PDD", - "PDFS", - "PEBO", - "PECO", - "PEG", - "PEGA", - "PENG", - "PENN", - "PEP", - "PERI", - "PETS", - "PFBC", - "PFE", - "PFG", - "PG", - "PGC", - "PGNY", - "PGR", - "PGY", - "PH", - "PHAT", - "PHM", - "PHUN", - "PI", - "PKG", - "PLAB", - "PLAY", - "PLCE", - "PLD", - "PLMR", - "PLPC", - "PLRX", - "PLTK", - "PLTR", - "PLUG", - "PLUS", - "PLXS", - "PM", - "PMVP", - "PNC", - "PNR", - "PNTG", - "PNW", - "PODD", - "POOL", - "POWI", - "PPC", - "PPG", - "PPL", - "PPLI", - "PRAA", - "PRAX", - "PRCT", - "PRDO", - "PRGS", - "PRTA", - "PRTS", - "PRU", - "PRVA", - "PSA", - "PSEC", - "PSMT", - "PSX", - "PTC", - "PTCT", - "PTEN", - "PTGX", - "PTLO", - "PTON", - "PUBM", - "PWP", - "PWR", - "PYPL", - "PZZA", - "QCOM", - "QCRH", - "QDEL", - "QFIN", - "QLYS", - "QNRX", - "QNST", - "QQQX", - "QRVO", - "QS", - "QTRX", - "QURE", - "RARE", - "RCKT", - "RCL", - "RCMT", - "RDNT", - "RDNW", - "RDWR", - "REG", - "REGN", - "RELL", - "RELY", - "RENT", - "REPL", - "REYN", - "RF", - "RGEN", - "RGLD", - "RGNX", - "RGP", - "RICK", - "RIGL", - "RILY", - "RIOT", - "RJF", - "RKLB", - "RL", - "RLAY", - "RLMD", - "RMBS", - "RMD", - "RMNI", - "RMR", - "RNA", - "RNAC", - "RNW", - "ROAD", - "ROCK", - "ROIV", - "ROK", - "ROKU", - "ROL", - "ROOT", - "ROP", - "ROST", - "RPAY", - "RPD", - "RPRX", - "RRGB", - "RRR", - "RSG", - "RTX", - "RUM", - "RUN", - "RUSHA", - "RVMD", - "RVTY", - "RXRX", - "RXT", - "RYAAY", - "RYTM", - "SABR", - "SAFT", - "SAIA", - "SAIC", - "SANA", - "SANM", - "SATS", - "SBAC", - "SBCF", - "SBGI", - "SBLK", - "SBRA", - "SBUX", - "SCHL", - "SCHW", - "SCSC", - "SDGR", - "SEAT", - "SEDG", - "SEER", - "SEIC", - "SENEA", - "SENS", - "SFM", - "SFNC", - "SGHT", - "SGML", - "SGRY", - "SHC", - "SHEN", - "SHLS", - "SHOE", - "SHOO", - "SHOP", - "SHW", - "SIBN", - "SIGA", - "SIGI", - "SIMO", - "SIRI", - "SITM", - "SJM", - "SKIN", - "SKYT", - "SKYW", - "SLAB", - "SLB", - "SLDP", - "SLM", - "SLP", - "SLRC", - "SMBC", - "SMCI", - "SMPL", - "SMTC", - "SNA", - "SNDX", - "SNEX", - "SNPS", - "SNY", - "SO", - "SOFI", - "SOHU", - "SONO", - "SPFI", - "SPG", - "SPGI", - "SPSC", - "SPT", - "SPWH", - "SRAD", - "SRCE", - "SRE", - "SRPT", - "SRRK", - "SRTS", - "SSNC", - "SSP", - "SSRM", - "SSTI", - "SSYS", - "STAA", - "STBA", - "STE", - "STEP", - "STGW", - "STLD", - "STNE", - "STOK", - "STRA", - "STRL", - "STRO", - "STT", - "STX", - "STZ", - "SUPN", - "SVC", - "SW", - "SWBI", - "SWK", - "SWKS", - "SYBT", - "SYF", - "SYK", - "SYM", - "SYNA", - "SYY", - "T", - "TAP", - "TARS", - "TASK", - "TBBK", - "TBCH", - "TBLD", - "TBPH", - "TCBI", - "TCBK", - "TCMD", - "TCOM", - "TCPC", - "TCRT", - "TCX", - "TDG", - "TDY", - "TEAM", - "TECH", - "TEL", - "TENB", - "TER", - "TFC", - "TFSL", - "TGT", - "TGTX", - "TH", - "THFF", - "THRM", - "THRY", - "TIGO", - "TIL", - "TILE", - "TITN", - "TJX", - "TKO", - "TLRY", - "TLS", - "TMCI", - "TMDX", - "TMO", - "TMUS", - "TNDM", - "TNXP", - "TOWN", - "TPL", - "TPR", - "TREE", - "TRGP", - "TRI", - "TRIN", - "TRIP", - "TRMB", - "TRMD", - "TRMK", - "TRNS", - "TROW", - "TRS", - "TRST", - "TRUP", - "TRV", - "TSCO", - "TSEM", - "TSLA", - "TSN", - "TT", - "TTD", - "TTEC", - "TTEK", - "TTGT", - "TTMI", - "TTWO", - "TVRD", - "TVTX", - "TW", - "TWST", - "TXG", - "TXN", - "TXRH", - "TXT", - "TYL", - "UAL", - "UBER", - "UBSI", - "UCTT", - "UDR", - "UEIC", - "UFCS", - "UFPI", - "UFPT", - "UHS", - "ULCC", - "ULH", - "ULTA", - "UMBF", - "UNH", - "UNIT", - "UNP", - "UPBD", - "UPLD", - "UPS", - "UPST", - "UPWK", - "URBN", - "URI", - "USB", - "UTHR", - "UVSP", - "V", - "VC", - "VCEL", - "VCTR", - "VCYT", - "VECO", - "VERA", - "VERI", - "VERU", - "VERX", - "VIAV", - "VICI", - "VICR", - "VIR", - "VISN", - "VITL", - "VLO", - "VLY", - "VMC", - "VNDA", - "VNOM", - "VOD", - "VRDN", - "VREX", - "VRM", - "VRNS", - "VRRM", - "VRSK", - "VRSN", - "VRT", - "VRTX", - "VSAT", - "VST", - "VTR", - "VTRS", - "VUZI", - "VZ", - "WAB", - "WABC", - "WAFD", - "WASH", - "WAT", - "WB", - "WDAY", - "WDC", - "WDFC", - "WEC", - "WELL", - "WEN", - "WERN", - "WEST", - "WFC", - "WFRD", - "WGS", - "WHWK", - "WINA", - "WING", - "WIX", - "WKHS", - "WLDN", - "WM", - "WMB", - "WMG", - "WMT", - "WOOF", - "WRB", - "WRLD", - "WSBC", - "WSBF", - "WSC", - "WSFS", - "WSM", - "WST", - "WTFC", - "WTW", - "WWD", - "WY", - "WYNN", - "XAIR", - "XEL", - "XENE", - "XMTR", - "XNCR", - "XOM", - "XP", - "XPEL", - "XRAY", - "XRX", - "XYL", - "XYZ", - "YORW", - "YUM", - "Z", - "ZBH", - "ZBRA", - "ZD", - "ZG", - "ZION", - "ZLAB", - "ZM", - "ZNTL", - "ZS", - "ZTS", - "ZUMZ", - "ZVRA", - "ZVZZT", - "ZYME" - ], - "n_symbols": 1500 - }, - { - "week": [ - 2022, - 25 - ], - "stats": { - "raw_pool": 493, - "eligible_pre_mask": 492, - "post_mask": 492, - "mask_binds": false - }, - "symbols": [ - "A", - "AAPL", - "ABBV", - "ABNB", - "ABT", - "ACGL", - "ACN", - "ADBE", - "ADI", - "ADM", - "ADP", - "ADSK", - "AEE", - "AEP", - "AES", - "AFL", - "AIG", - "AIZ", - "AJG", - "AKAM", - "ALB", - "ALGN", - "ALL", - "ALLE", - "AMAT", - "AMCR", - "AMD", - "AME", - "AMGN", - "AMP", - "AMT", - "AMZN", - "ANET", - "AON", - "AOS", - "APA", - "APD", - "APH", - "APO", - "APP", - "APTV", - "ARE", - "ARES", - "ATO", - "AVB", - "AVGO", - "AVY", - "AWK", - "AXON", - "AXP", - "AZO", - "BA", - "BAC", - "BALL", - "BAX", - "BBY", - "BDX", - "BEN", - "BF-B", - "BG", - "BIIB", - "BK", - "BKNG", - "BKR", - "BLDR", - "BLK", - "BMY", - "BR", - "BRK-B", - "BRO", - "BSX", - "BX", - "BXP", - "C", - "CAG", - "CAH", - "CARR", - "CASY", - "CAT", - "CB", - "CBOE", - "CBRE", - "CCI", - "CCL", - "CDNS", - "CDW", - "CF", - "CFG", - "CHD", - "CHRW", - "CHTR", - "CI", - "CIEN", - "CINF", - "CL", - "CLX", - "CMCSA", - "CME", - "CMG", - "CMI", - "CMS", - "CNC", - "CNP", - "COF", - "COHR", - "COIN", - "COO", - "COP", - "COR", - "COST", - "CPAY", - "CPB", - "CPRT", - "CPT", - "CRH", - "CRL", - "CRM", - "CRWD", - "CSCO", - "CSGP", - "CSX", - "CTAS", - "CTRA", - "CTSH", - "CTVA", - "CVNA", - "CVS", - "CVX", - "D", - "DAL", - "DASH", - "DD", - "DDOG", - "DE", - "DECK", - "DELL", - "DG", - "DGX", - "DHI", - "DHR", - "DIS", - "DLR", - "DLTR", - "DOC", - "DOV", - "DOW", - "DPZ", - "DRI", - "DTE", - "DUK", - "DVA", - "DVN", - "DXCM", - "EA", - "EBAY", - "ECL", - "ED", - "EFX", - "EG", - "EIX", - "EL", - "ELV", - "EME", - "EMR", - "EOG", - "EPAM", - "EQIX", - "EQR", - "EQT", - "ERIE", - "ES", - "ESS", - "ETN", - "ETR", - "EVRG", - "EW", - "EXC", - "EXE", - "EXPD", - "EXPE", - "EXR", - "F", - "FANG", - "FAST", - "FCX", - "FDS", - "FDX", - "FE", - "FFIV", - "FICO", - "FIS", - "FISV", - "FITB", - "FIX", - "FOX", - "FOXA", - "FRT", - "FSLR", - "FTNT", - "FTV", - "GD", - "GDDY", - "GE", - "GEN", - "GILD", - "GIS", - "GL", - "GLW", - "GM", - "GNRC", - "GOOG", - "GOOGL", - "GPC", - "GPN", - "GRMN", - "GS", - "GWW", - "HAL", - "HAS", - "HBAN", - "HCA", - "HD", - "HIG", - "HII", - "HLT", - "HON", - "HPE", - "HPQ", - "HRL", - "HSIC", - "HST", - "HSY", - "HUBB", - "HUM", - "HWM", - "IBKR", - "IBM", - "ICE", - "IDXX", - "IEX", - "IFF", - "INCY", - "INTC", - "INTU", - "INVH", - "IP", - "IQV", - "IR", - "IRM", - "ISRG", - "IT", - "ITW", - "IVZ", - "J", - "JBHT", - "JBL", - "JCI", - "JKHY", - "JNJ", - "JPM", - "KDP", - "KEY", - "KEYS", - "KHC", - "KIM", - "KKR", - "KLAC", - "KMB", - "KMI", - "KO", - "KR", - "L", - "LDOS", - "LEN", - "LH", - "LHX", - "LII", - "LIN", - "LITE", - "LLY", - "LMT", - "LNT", - "LOW", - "LRCX", - "LULU", - "LUV", - "LVS", - "LYB", - "LYV", - "MA", - "MAA", - "MAR", - "MAS", - "MCD", - "MCHP", - "MCK", - "MCO", - "MDLZ", - "MDT", - "MET", - "META", - "MGM", - "MKC", - "MLM", - "MMM", - "MNST", - "MO", - "MOS", - "MPC", - "MPWR", - "MRK", - "MRNA", - "MRSH", - "MS", - "MSCI", - "MSFT", - "MSI", - "MSTR", - "MTB", - "MTD", - "MU", - "NCLH", - "NDAQ", - "NDSN", - "NEE", - "NEM", - "NFLX", - "NI", - "NKE", - "NOC", - "NOW", - "NRG", - "NSC", - "NTAP", - "NTRS", - "NUE", - "NVDA", - "NVR", - "NWS", - "NWSA", - "NXPI", - "O", - "ODFL", - "OKE", - "OMC", - "ON", - "ORCL", - "ORLY", - "OTIS", - "OXY", - "PANW", - "PAYX", - "PCAR", - "PCG", - "PEG", - "PEP", - "PFE", - "PFG", - "PG", - "PGR", - "PH", - "PHM", - "PKG", - "PLD", - "PLTR", - "PM", - "PNC", - "PNR", - "PNW", - "PODD", - "POOL", - "PPG", - "PPL", - "PRU", - "PSA", - "PSX", - "PTC", - "PWR", - "PYPL", - "QCOM", - "RCL", - "REG", - "REGN", - "RF", - "RJF", - "RL", - "RMD", - "ROK", - "ROL", - "ROP", - "ROST", - "RSG", - "RTX", - "RVTY", - "SATS", - "SBAC", - "SBUX", - "SCHW", - "SHW", - "SJM", - "SLB", - "SNA", - "SNPS", - "SO", - "SPG", - "SPGI", - "SRE", - "STE", - "STLD", - "STT", - "STX", - "STZ", - "SW", - "SWK", - "SWKS", - "SYF", - "SYK", - "SYY", - "T", - "TAP", - "TDG", - "TDY", - "TECH", - "TEL", - "TER", - "TFC", - "TGT", - "TJX", - "TKO", - "TMO", - "TMUS", - "TPL", - "TPR", - "TRGP", - "TRMB", - "TROW", - "TRV", - "TSCO", - "TSLA", - "TSN", - "TT", - "TTD", - "TTWO", - "TXN", - "TXT", - "TYL", - "UAL", - "UBER", - "UDR", - "UHS", - "ULTA", - "UNH", - "UNP", - "UPS", - "URI", - "USB", - "V", - "VICI", - "VLO", - "VMC", - "VRSK", - "VRSN", - "VRT", - "VRTX", - "VST", - "VTR", - "VTRS", - "VZ", - "WAB", - "WAT", - "WDAY", - "WDC", - "WEC", - "WELL", - "WFC", - "WM", - "WMB", - "WMT", - "WRB", - "WSM", - "WST", - "WTW", - "WY", - "WYNN", - "XEL", - "XOM", - "XYL", - "XYZ", - "YUM", - "ZBH", - "ZBRA", - "ZTS" - ], - "n_symbols": 492 - } - ], "interpretation": { "harness_and_shared_filter_agree": true, "mask_binds_pct": 97.1, @@ -6689,5 +120,6 @@ "compositional_story": "fip_id pools continuous winners (neg IC) vs continuous bleeders (pos IC). Prod-subset and senior liquid stay negative; junior liquid is less negative / positive \u2014 composition, not jumpiness premium.", "vol_tilt_warning": "High-vol names underperform on breadth relative to S&P-like books. Re-validate production 80/20 high-vol tilt before any universe broaden." }, - "platform_verdict": "Mom-conditional fip ALIVE as book-tilt candidate (needs book sim) \u2014 not production wire-in. Unconditional fip not green." -} \ No newline at end of file + "platform_verdict": "Mom-conditional fip ALIVE as book-tilt candidate (needs book sim) \u2014 not production wire-in. Unconditional fip not green.", + "membership_dumps_note": "Removed 5 week membership symbol lists from the committed artifact (compact decision evidence). Full dumps recoverable from git history of this file pre-cleanup." +} diff --git a/scripts/extend_snapshot_universe.py b/scripts/extend_snapshot_universe.py index 9d5ab37..886d9e2 100644 --- a/scripts/extend_snapshot_universe.py +++ b/scripts/extend_snapshot_universe.py @@ -10,8 +10,13 @@ Pipeline 3. Fetch ~5y daily bars from Alpaca for symbols missing (or short) in the copy. 4. Insert new tickers + OHLCV; mark them in side table ``research_rank_only`` so the harness can feed signal IC without GTL/candidate replay. +5. Write a **completion manifest** (``.manifest.json``) with ticker / + OHLCV / rank_only counts and finished-at. Breadth runners refuse to start + without a matching complete manifest — same class of guard as calendar + truncation (see 2026-07-18 21:14 race: orphaned +0.0575 on a partial pool). Resume-friendly: re-running skips symbols that already have ≥ ``--min-bars``. +A ``--limit`` smoke run writes ``complete: false`` so breadth mode still refuses. Example ------- @@ -197,12 +202,21 @@ async def _fetch_symbol_bars( async def _main() -> None: + # ROOT is already on sys.path; keep the helper import path-local. + from research_snapshot_manifest import ( # type: ignore[import-not-found] + clear_manifest, + write_completion_manifest, + ) + args = _parse_args() source = Path(args.source) output = Path(args.output) if not source.exists(): raise SystemExit(f"Source snapshot not found: {source}") + # Any rebuild/update invalidates prior completion until we finish cleanly. + clear_manifest(output) + if args.force_copy or not output.exists(): output.parent.mkdir(parents=True, exist_ok=True) if output.exists(): @@ -375,12 +389,40 @@ async def _main() -> None: text("SELECT COUNT(*) FROM ohlcv_records") ).scalar_one() + # Full planned work only when --limit is unset. Smoke runs stay incomplete + # so breadth mode cannot mythologize a 50-symbol toy pool. + is_complete = args.limit is None + manifest_path = write_completion_manifest( + output, + complete=is_complete, + sources=sources, + history_days=int(args.history_days), + min_bars=int(args.min_bars), + fetch_ok=ok, + fetch_fail=fail, + limit=args.limit, + extra={ + "prod_symbols_at_start": len(prod_symbols), + "pool_size": len(pool), + "to_fetch": len(to_fetch), + }, + ) + print("Done.") print(f" output: {output}") print(f" tickers: {ticker_n}") print(f" ohlcv rows: {ohlcv_n}") print(f" research_rank_only: {rank_only_n}") print(f" fetched ok/fail: {ok}/{fail}") + print( + f" completion manifest: {manifest_path} " + f"(complete={is_complete})" + ) + if not is_complete: + print( + " NOTE: --limit set → complete=false; breadth runners will refuse " + "this snapshot until a full extend finishes." + ) if __name__ == "__main__": diff --git a/scripts/research_snapshot_manifest.py b/scripts/research_snapshot_manifest.py new file mode 100644 index 0000000..6b765a9 --- /dev/null +++ b/scripts/research_snapshot_manifest.py @@ -0,0 +1,172 @@ +"""Completion manifest for research.sqlite — cheap race guard. + +The 2026-07-18 21:14 breadth run fired while ``extend_snapshot_universe`` was +still (or had just been) building the snapshot. Harness and shared-filter +recomputes agree on *complete* data, so the orphaned +0.0575 was incomplete +universe, not a code path bug. + +Same class of protection as calendar-truncation assertions in the research +matrix: refuse to read results from a half-built artifact. + +Layout +------ +Sidecar path: ``.manifest.json`` next to the sqlite file +(e.g. ``backtest_snapshots/research.sqlite.manifest.json``). +""" + +from __future__ import annotations + +import json +from datetime import datetime, timezone +from pathlib import Path +from typing import Any + +from sqlalchemy import create_engine, text + +MANIFEST_SCHEMA_VERSION = 1 + + +def manifest_path_for(snapshot: Path) -> Path: + """Sidecar path for a research snapshot.""" + return Path(str(snapshot) + ".manifest.json") + + +def _count_snapshot(snapshot: Path) -> dict[str, int]: + engine = create_engine( + f"sqlite:///{snapshot.resolve().as_posix()}", + future=True, + ) + try: + with engine.connect() as conn: + ticker_n = int(conn.execute(text("SELECT COUNT(*) FROM tickers")).scalar_one()) + ohlcv_n = int( + conn.execute(text("SELECT COUNT(*) FROM ohlcv_records")).scalar_one() + ) + try: + rank_only_n = int( + conn.execute(text("SELECT COUNT(*) FROM research_rank_only")).scalar_one() + ) + except Exception: + rank_only_n = 0 + finally: + engine.dispose() + return { + "ticker_count": ticker_n, + "ohlcv_row_count": ohlcv_n, + "rank_only_count": rank_only_n, + } + + +def write_completion_manifest( + snapshot: Path, + *, + complete: bool, + sources: dict[str, str] | None = None, + history_days: int | None = None, + min_bars: int | None = None, + fetch_ok: int | None = None, + fetch_fail: int | None = None, + limit: int | None = None, + extra: dict[str, Any] | None = None, +) -> Path: + """Write (or overwrite) the sidecar completion manifest for *snapshot*.""" + snapshot = Path(snapshot) + counts = _count_snapshot(snapshot) if snapshot.exists() else { + "ticker_count": 0, + "ohlcv_row_count": 0, + "rank_only_count": 0, + } + payload: dict[str, Any] = { + "schema_version": MANIFEST_SCHEMA_VERSION, + "snapshot": snapshot.name, + "snapshot_resolved": str(snapshot.resolve()) if snapshot.exists() else str(snapshot), + "complete": bool(complete), + "finished_at": datetime.now(timezone.utc).isoformat(), + **counts, + "sources": sources or {}, + "history_days": history_days, + "min_bars": min_bars, + "fetch_ok": fetch_ok, + "fetch_fail": fetch_fail, + "limit": limit, + } + if extra: + payload["extra"] = extra + path = manifest_path_for(snapshot) + path.write_text(json.dumps(payload, indent=2, default=str) + "\n", encoding="utf-8") + return path + + +def clear_manifest(snapshot: Path) -> None: + """Remove any existing completion manifest (start of a rebuild).""" + path = manifest_path_for(Path(snapshot)) + if path.exists(): + path.unlink() + + +def load_manifest(snapshot: Path) -> dict[str, Any] | None: + path = manifest_path_for(Path(snapshot)) + if not path.exists(): + return None + return json.loads(path.read_text(encoding="utf-8")) + + +def assert_research_snapshot_complete(snapshot: Path) -> dict[str, Any]: + """Refuse breadth-mode work unless the extender finished cleanly. + + Raises ``SystemExit`` with a clear message on any failure (missing + manifest, incomplete flag, or live counts that no longer match the + recorded totals — e.g. a mid-run overwrite of the sqlite file). + """ + snapshot = Path(snapshot) + if not snapshot.exists(): + raise SystemExit( + f"Research snapshot missing: {snapshot}\n" + "Build it with: python scripts/extend_snapshot_universe.py" + ) + + path = manifest_path_for(snapshot) + if not path.exists(): + raise SystemExit( + f"Research snapshot completion manifest missing: {path}\n" + "Refusing breadth run — this is the guard that would have caught " + "the 2026-07-18 21:14 race against a half-built research.sqlite.\n" + "Re-run extend_snapshot_universe.py to completion (no --limit), " + "or for a trusted existing full snapshot:\n" + " python -c \"from pathlib import Path; " + "from scripts.research_snapshot_manifest import write_completion_manifest; " + f"write_completion_manifest(Path(r'{snapshot}'), complete=True)\"" + ) + + try: + manifest = json.loads(path.read_text(encoding="utf-8")) + except json.JSONDecodeError as exc: + raise SystemExit(f"Corrupt research snapshot manifest {path}: {exc}") from exc + + if not manifest.get("complete"): + raise SystemExit( + f"Research snapshot marked incomplete in {path}\n" + f"(finished_at={manifest.get('finished_at')}, limit={manifest.get('limit')}).\n" + "Re-run extend_snapshot_universe.py without --limit until Done." + ) + + live = _count_snapshot(snapshot) + mismatches: list[str] = [] + for key in ("ticker_count", "ohlcv_row_count", "rank_only_count"): + recorded = manifest.get(key) + if recorded is None: + mismatches.append(f"{key}: missing in manifest") + continue + if int(recorded) != int(live[key]): + mismatches.append( + f"{key}: manifest={recorded} live={live[key]}" + ) + if mismatches: + raise SystemExit( + "Research snapshot does not match its completion manifest " + f"({path}). Likely a partial rewrite or concurrent extend:\n - " + + "\n - ".join(mismatches) + + "\nRe-run extend_snapshot_universe.py to completion." + ) + + return {**manifest, "live_counts": live} diff --git a/scripts/run_fip_breadth_diagnostics.py b/scripts/run_fip_breadth_diagnostics.py index 3625328..3c55376 100644 --- a/scripts/run_fip_breadth_diagnostics.py +++ b/scripts/run_fip_breadth_diagnostics.py @@ -3,9 +3,9 @@ Uses the same collection + ``_filter_liquid_breadth_week_rich`` as ``run_backtest`` signal_eval. No parallel mask implementation. -Reconciles the harness +0.0575 vs prior dual-path −0.017 disagreement by -deleting the second mask, dumping membership/pre-post stats, and re-running -mom-conditional IC through the surviving path only. +Single-sourced liquid-breadth fip diagnostics through harness mask helpers. +Re-runs unconditional / tier / prod-subset / mom-conditional ICs and context +signals. Requires a complete research.sqlite completion manifest. Research branch only. Example: @@ -49,7 +49,12 @@ def _parse_args() -> argparse.Namespace: p.add_argument("--min-price", type=float, default=5.0) p.add_argument("--workers", type=int, default=max(1, (mp.cpu_count() or 4) - 1)) p.add_argument("--allow-spawn", action="store_true") - p.add_argument("--dump-weeks", type=int, default=5, help="How many weeks to dump membership for") + p.add_argument( + "--dump-weeks", + type=int, + default=0, + help="Weeks of liquid membership symbol lists to embed (default 0 — keep reports compact)", + ) p.add_argument("--out", default=None) p.add_argument("--quiet", action="store_true") return p.parse_args() @@ -173,8 +178,23 @@ def main() -> None: args = _parse_args() research = Path(args.research_snapshot) prod = Path(args.prod_snapshot) - if not research.exists(): - raise SystemExit(f"Missing {research}") + + # Refuse half-built research.sqlite (2026-07-18 21:14 race). + scripts_dir = Path(__file__).resolve().parent + if str(scripts_dir) not in sys.path: + sys.path.insert(0, str(scripts_dir)) + from research_snapshot_manifest import ( # type: ignore[import-not-found] + assert_research_snapshot_complete, + ) + + manifest = assert_research_snapshot_complete(research) + if not args.quiet: + print( + f"Manifest ok: tickers={manifest.get('ticker_count')} " + f"ohlcv={manifest.get('ohlcv_row_count')} " + f"finished_at={manifest.get('finished_at')}", + flush=True, + ) # Force harness liquid-mode collection (same env as breadth run). os.environ["BACKTEST_LIQUID_BREADTH"] = str(int(args.top_n)) @@ -503,9 +523,9 @@ def main() -> None: ), "mom_conditional_negative_and_reliable": mom_alive, "orphan_plus_five_sigma": ( - "Prior report fip-breadth-20260718-211440-breadth.json listed " - "fip IC +0.0575 / t +5.12. This single-sourced recompute is the " - "authoritative number; if it disagrees, the +0.0575 row is orphaned." + "Orphaned 21:14 row (+0.0575 / t +5.12) raced a partial " + "research.sqlite and was removed from reports/ (Git history only). " + "Harness path and shared filter agree on complete data." ), "compositional_story": ( "fip_id pools continuous winners (neg IC) vs continuous bleeders " @@ -513,19 +533,36 @@ def main() -> None: "liquid is less negative / positive — composition, not jumpiness premium." ), "vol_tilt_warning": ( - "High-vol names underperform on breadth relative to S&P-like books. " - "Re-validate production 80/20 high-vol tilt before any universe broaden." + "Authoritative liquid vol_6m IC ≈ −0.048 / t ≈ −1.36 — directional " + "hypothesis only, not significant. Do not cite the orphaned −0.16 / " + "t −6.1. Re-validate production 80/20 high-vol tilt before any " + "universe broaden; it is not a settled finding on this pool." + ), + "breadth_momentum_thesis": ( + "Residual mom on liquid-1500 is +0.029 / t +1.33 vs fingerprint " + "0.055 / t 1.98 on 505 names — more breadth did not strengthen the " + "momentum t-stat on this pool. Clean mom edge lives in the large-cap " + "universe already traded. A fip tilt presupposes a breadth mom book " + "worth tilting; that baseline must be proven first." ), }, "platform_verdict": ( - "Mom-conditional fip ALIVE as book-tilt candidate (needs book sim) — " - "not production wire-in. Unconditional fip not green." + "Mom-conditional fip ALIVE as book-tilt candidate only — requires a " + "pre-registered two-arm breadth book (baseline liquid-1500 mom vs +fip " + "tilt) before any gate talk. Unconditional fip not green. Production: none." if mom_alive else ( "fip CLOSED for production: mom-conditional does not clear iron rule " "on single-sourced path. Display card is the resting place." ) ), + "research_snapshot_manifest": { + "finished_at": manifest.get("finished_at"), + "ticker_count": manifest.get("ticker_count"), + "ohlcv_row_count": manifest.get("ohlcv_row_count"), + "rank_only_count": manifest.get("rank_only_count"), + "complete": manifest.get("complete"), + }, } stamp = datetime.now().strftime("%Y%m%d-%H%M%S") @@ -533,8 +570,9 @@ def main() -> None: out.parent.mkdir(parents=True, exist_ok=True) out.write_text(json.dumps(results, indent=2, default=str), encoding="utf-8") - # Update research log - _update_md(Path("docs/research/fip-breadth-ic.md"), results, out) + # Append a machine reconciliation stub next to the JSON only — never clobber + # the curated research log at docs/research/fip-breadth-ic.md. + _update_md(out.with_suffix(".md"), results, out) if not args.quiet: print("=== Harness fip_id (authoritative) ===") @@ -560,18 +598,10 @@ def _update_md(path: Path, results: dict, artifact: Path) -> None: "", "### Problem", "", - "Two implementations of the liquid-1500 fip IC disagreed on **sign**:", - "", - "- Harness report `fip-breadth-20260718-211440-breadth.json`: **+0.0575 / t +5.12**", - "- Dual-path diagnostics (since deleted): **−0.017 / t −1.9**", - "", - "A static read cannot decide which is right without single-sourcing the mask.", - "", - "### Resolution", + "Machine stub only — curated narrative lives in `docs/research/fip-breadth-ic.md`.", "", f"- **Single source:** {results.get('single_source')}", - f"- **avg_cross_section semantics:** {results.get('avg_cross_section_semantics')}", - f"- Harness `_signal_evaluation` vs shared-filter recompute agree: " + f"- Harness vs shared-filter agree: " f"**{interp.get('harness_and_shared_filter_agree')}**", "", "### Authoritative unconditional fip (liquid top-N, post-mask)", @@ -587,10 +617,6 @@ def _update_md(path: Path, results: dict, artifact: Path) -> None: f"| mask_binds_pct | {h.get('mask_binds_pct')} |", f"| reliable | {h.get('reliable')} |", "", - "The **+0.0575 / +5.12** row is **orphaned** if the authoritative recompute " - "disagrees; do not cite it. Iron-rule unconditional green still requires " - "negative sign and |IC| ≳ 0.03 on this row.", - "", "### Checks (single-sourced)", "", "| check | mean_ic | t | weeks | avg N | reliable |", @@ -626,21 +652,17 @@ def _update_md(path: Path, results: dict, artifact: Path) -> None: "", results.get("platform_verdict", ""), "", - "### Vol-tilt warning", + "### Vol-tilt / breadth-momentum notes", "", interp.get("vol_tilt_warning", ""), "", + interp.get("breadth_momentum_thesis", ""), + "", f"Artifact: `{artifact.as_posix()}`", "", ]) - existing = path.read_text(encoding="utf-8") if path.exists() else "" - marker = "## Reconciliation" - if marker in existing: - existing = existing.split(marker)[0].rstrip() + "\n" - # Also strip old dual-path diagnostics section if present after reconciliation - if "## Follow-up diagnostics" in existing and marker not in path.read_text(encoding="utf-8") if path.exists() else "": - pass - path.write_text(existing.rstrip() + "\n" + "\n".join(lines), encoding="utf-8") + # Always overwrite the machine stub (never the curated research log). + path.write_text("\n".join(lines).lstrip() + "\n", encoding="utf-8") if __name__ == "__main__": diff --git a/scripts/run_fip_breadth_research.py b/scripts/run_fip_breadth_research.py index cc9f6e9..9b0e57a 100644 --- a/scripts/run_fip_breadth_research.py +++ b/scripts/run_fip_breadth_research.py @@ -1,8 +1,9 @@ """Phase B: fip_id IC on liquid-breadth cross-section (local research only). 1. Fingerprint check on the unextended prod snapshot (must ≈ IC −0.045 / t −2.9). -2. Run signal_eval on research.sqlite with BACKTEST_LIQUID_BREADTH=1500 PIT mask. -3. Write a research report under docs/research/ and reports/. +2. Assert research.sqlite has a matching **completion manifest** (race guard). +3. Run signal_eval on research.sqlite with BACKTEST_LIQUID_BREADTH=1500 PIT mask. +4. Write a research report under docs/research/ and reports/. Does not modify production DB, gate, scanner, or schedule. @@ -209,7 +210,9 @@ async def _main() -> None: stamp = datetime.now().strftime("%Y%m%d-%H%M%S") out_json = Path(args.out) if args.out else Path("reports") / f"fip-breadth-{stamp}.json" out_json.parent.mkdir(parents=True, exist_ok=True) - out_md = Path("docs/research") / "fip-breadth-ic.md" + # Never clobber the curated research log (docs/research/fip-breadth-ic.md). + # Machine summary goes next to the JSON report only. + out_md = out_json.with_suffix(".md") payload: dict = { "generated_at": datetime.now().isoformat(), @@ -257,17 +260,30 @@ async def _main() -> None: # --- 2) Breadth --- if not args.skip_research: - if not research.exists(): - raise SystemExit( - f"Research snapshot missing: {research}\n" - "Build it with: python scripts/extend_snapshot_universe.py" - ) + # Refuse half-built research.sqlite (2026-07-18 21:14 race). + scripts_dir = Path(__file__).resolve().parent + if str(scripts_dir) not in sys.path: + sys.path.insert(0, str(scripts_dir)) + from research_snapshot_manifest import ( # type: ignore[import-not-found] + assert_research_snapshot_complete, + ) + + manifest = assert_research_snapshot_complete(research) + payload["research_snapshot_manifest"] = { + "finished_at": manifest.get("finished_at"), + "ticker_count": manifest.get("ticker_count"), + "ohlcv_row_count": manifest.get("ohlcv_row_count"), + "rank_only_count": manifest.get("rank_only_count"), + "complete": manifest.get("complete"), + } os.environ["BACKTEST_LIQUID_BREADTH"] = str(int(args.liquid_breadth)) os.environ["BACKTEST_LIQUID_MIN_PRICE"] = str(float(args.min_price)) if not args.quiet: print( f"Breadth run on {research} " - f"(top {args.liquid_breadth}, min_price={args.min_price})…" + f"(top {args.liquid_breadth}, min_price={args.min_price}; " + f"manifest ok tickers={manifest.get('ticker_count')} " + f"finished_at={manifest.get('finished_at')})…" ) br_report = await _run_signal_eval( research, workers=args.workers, quiet=args.quiet diff --git a/tests/unit/test_research_snapshot_manifest.py b/tests/unit/test_research_snapshot_manifest.py new file mode 100644 index 0000000..6205167 --- /dev/null +++ b/tests/unit/test_research_snapshot_manifest.py @@ -0,0 +1,133 @@ +"""Completion-manifest guard for research.sqlite breadth runs.""" + +from __future__ import annotations + +import json +import sys +from pathlib import Path + +import pytest +from sqlalchemy import create_engine, text + +ROOT = Path(__file__).resolve().parents[2] +SCRIPTS = ROOT / "scripts" +if str(SCRIPTS) not in sys.path: + sys.path.insert(0, str(SCRIPTS)) + +from research_snapshot_manifest import ( # noqa: E402 + assert_research_snapshot_complete, + clear_manifest, + load_manifest, + manifest_path_for, + write_completion_manifest, +) + + +def _tiny_research_db(path: Path, *, tickers: int = 3, bars_each: int = 5) -> None: + engine = create_engine(f"sqlite:///{path.resolve().as_posix()}", future=True) + with engine.begin() as conn: + conn.execute( + text( + "CREATE TABLE tickers (" + "id INTEGER PRIMARY KEY, symbol TEXT NOT NULL UNIQUE, " + "name TEXT, created_at TEXT)" + ) + ) + conn.execute( + text( + "CREATE TABLE ohlcv_records (" + "id INTEGER PRIMARY KEY, ticker_id INTEGER, date TEXT, " + "open REAL, high REAL, low REAL, close REAL, volume INTEGER, " + "created_at TEXT)" + ) + ) + conn.execute( + text( + "CREATE TABLE research_rank_only (" + "ticker_id INTEGER PRIMARY KEY, symbol TEXT NOT NULL UNIQUE)" + ) + ) + for i in range(tickers): + sym = f"T{i}" + conn.execute( + text( + "INSERT INTO tickers (id, symbol, name, created_at) " + "VALUES (:id, :sym, NULL, '2026-01-01')" + ), + {"id": i + 1, "sym": sym}, + ) + if i > 0: + conn.execute( + text( + "INSERT INTO research_rank_only (ticker_id, symbol) " + "VALUES (:id, :sym)" + ), + {"id": i + 1, "sym": sym}, + ) + for d in range(bars_each): + conn.execute( + text( + "INSERT INTO ohlcv_records " + "(ticker_id, date, open, high, low, close, volume, created_at) " + "VALUES (:tid, :date, 1,1,1,1,100, '2026-01-01')" + ), + {"tid": i + 1, "date": f"2026-01-{d+1:02d}"}, + ) + engine.dispose() + + +def test_write_and_assert_complete(tmp_path: Path) -> None: + snap = tmp_path / "research.sqlite" + _tiny_research_db(snap) + path = write_completion_manifest(snap, complete=True, sources={"t": "unit"}) + assert path == manifest_path_for(snap) + assert path.exists() + + m = assert_research_snapshot_complete(snap) + assert m["complete"] is True + assert m["ticker_count"] == 3 + assert m["ohlcv_row_count"] == 15 + assert m["rank_only_count"] == 2 + assert m["live_counts"]["ticker_count"] == 3 + + +def test_refuse_missing_manifest(tmp_path: Path) -> None: + snap = tmp_path / "research.sqlite" + _tiny_research_db(snap) + with pytest.raises(SystemExit, match="manifest missing"): + assert_research_snapshot_complete(snap) + + +def test_refuse_incomplete_flag(tmp_path: Path) -> None: + snap = tmp_path / "research.sqlite" + _tiny_research_db(snap) + write_completion_manifest(snap, complete=False, limit=50) + with pytest.raises(SystemExit, match="marked incomplete"): + assert_research_snapshot_complete(snap) + + +def test_refuse_count_mismatch(tmp_path: Path) -> None: + snap = tmp_path / "research.sqlite" + _tiny_research_db(snap) + write_completion_manifest(snap, complete=True) + # Tamper: change live DB after manifest written + engine = create_engine(f"sqlite:///{snap.resolve().as_posix()}", future=True) + with engine.begin() as conn: + conn.execute( + text( + "INSERT INTO tickers (id, symbol, name, created_at) " + "VALUES (99, 'EXTRA', NULL, '2026-01-01')" + ) + ) + engine.dispose() + with pytest.raises(SystemExit, match="does not match"): + assert_research_snapshot_complete(snap) + + +def test_clear_manifest(tmp_path: Path) -> None: + snap = tmp_path / "research.sqlite" + _tiny_research_db(snap) + write_completion_manifest(snap, complete=True) + assert load_manifest(snap) is not None + clear_manifest(snap) + assert load_manifest(snap) is None