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research: park Phase B fip breadth; race guard and compact evidence

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Log the 21:14 orphan as a snapshot-build race, rewrite the context table to
authoritative ICs only, and soften the vol-tilt warning. Add extender completion
manifest + breadth refuse guard; strip intermediate/orphaned reports; park the
thread (no book sim, no deploy).
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dennisthiessen
2026-07-19 00:32:20 +02:00
parent 7d60e54f5a
commit 2311999e57
16 changed files with 562 additions and 8103 deletions
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docs/research/README.md
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@@ -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.
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