research: park Phase B fip breadth; race guard and compact evidence
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).
This commit is contained in:
@@ -263,7 +263,7 @@ A systematic single-variable sweep (offline prod snapshot, production gate/rank/
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Two findings future sessions must not re-litigate:
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- **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.
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- **`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`).
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- **`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`.
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### The iron rule for strategy changes
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@@ -281,7 +281,7 @@ Corollaries: never let an unvalidated score gate setups; the outcome evaluator m
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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.)
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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.
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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.)
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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.)
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## Key Use Cases
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@@ -140,9 +140,9 @@ knobs.
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| Lead | Why it's interesting | Blocker |
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|---|---|---|
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| **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 |
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| **`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) |
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| **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 |
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| **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 |
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| **`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) |
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| **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 |
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| **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 |
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| **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 |
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@@ -169,6 +169,11 @@ knobs.
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6. **Fill timing is part of the strategy.** Close-fill reports are not deployable
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numbers for an overnight scanner. Grade promotion under the fill mode you will
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actually trade.
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7. **Incomplete research artifacts are not results.** The Phase B +0.0575 / t +5.12
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liquid-fip row was orphaned within hours: it raced a partially built
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`research.sqlite`. Extender now writes a completion manifest; breadth mode
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refuses without a match. Same class of protection as calendar-truncation
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asserts — do not re-mythologize numbers computed on half a universe.
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---
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@@ -1,13 +1,15 @@
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# Broad-universe fip_id IC research (Phase B)
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**Status:** unconditional fip closed; mom-conditional lead confirmed on single-sourced path.
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**Production impact:** none. Display card remains context-only.
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**Status:** **Parked / closed for now.** Unconditional fip not green; mom-conditional lead logged; breadth-momentum thesis challenged. No book sim until reopen.
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**Production impact:** none. Display card remains context-only. No deploy from this work.
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**Artifacts:** research log + compact reports + env-gated harness hooks; tooling stays for a future reopen.
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## Scope
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- Research only — production universe, gate, scanner, schedule unchanged.
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- Snapshot: `research.sqlite` (~4,650 tickers = prod + nasdaq_all extend).
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- Liquid mask: top **1,500** by point-in-time 63d median $vol, price ≥ **$5**/week.
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- **Completion manifest required:** extender writes `<snapshot>.manifest.json`; breadth runners refuse without a matching complete manifest (see §Race guard).
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## Caveats
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@@ -15,6 +17,7 @@
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- IEX volume undercount → relative $vol rank only.
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- Pool skew: Nasdaq-heavy; missing pure NYSE mid-caps.
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- Do not mix multi-signal tables across universe baselines.
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- **Do not cite orphaned 21:14 numbers** (see below).
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---
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@@ -28,47 +31,83 @@
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**Pass.** Formula + pipeline trustworthy.
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Residual momentum on the same fingerprint (what the production book ranks on): **IC +0.055 / t +1.98**.
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---
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## Discrepancy (must not be papered over)
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## The orphan (21:14) — root cause
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| Source | fip IC (liquid ~1500) | t |
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|---|---:|---:|
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| Report `fip-breadth-20260718-211440-breadth.json` | **+0.0575** | **+5.12** |
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| Single-sourced recompute (2026-07-19) | **−0.0168** | **−1.85** |
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| Orphan run 21:14 (removed from tree; was `fip-breadth-20260718-211440-breadth.json`) | **+0.0575** | **+5.12** |
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| Single-sourced recompute on complete snapshot (2026-07-19) | **−0.0168** | **−1.85** |
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That is a **sign disagreement** on the same intended quantity. Method rule: the number you cannot reconcile is the number you cannot use.
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### What we did
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### Verdict: orphaned — raced the snapshot build
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1. **Single-sourced the mask** — diagnostics call harness `_signal_series` + `_filter_liquid_breadth_week_rich` only (no parallel mask).
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2. **Documented avg_cross_section semantics** — always **post-mask** IC sample size.
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3. **Logged pre-mask stats** so “did top-N bind?” is answerable.
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**Not** “orphaned, unexplained.” The mechanism is derivable from the table itself:
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### Authoritative unconditional liquid fip (post-reconciliation)
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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.
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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.
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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.
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**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.
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**Kept artifacts**
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| File | Role |
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|---|---|
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| `reports/fip-reconcile-20260719-000520.json` | Authoritative single-sourced ICs (compact; membership dumps stripped) |
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| `reports/fip-breadth-20260718-211440-fingerprint.json` | Prod fingerprint pass |
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### Race guard (same class as calendar truncation)
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| Piece | Behavior |
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|---|---|
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| `extend_snapshot_universe.py` | Clears any prior manifest on start; on full completion writes `<output>.manifest.json` with `complete=true`, ticker / OHLCV / rank_only counts, `finished_at`. `--limit` smoke runs write `complete=false`. |
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| `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. |
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Helper: `scripts/research_snapshot_manifest.py`.
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---
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## Authoritative unconditional liquid fip (post-reconciliation)
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| metric | value |
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|---|---:|
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| mean_ic | **−0.0168** |
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| ic_t_stat | **−1.85** |
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| weeks | 35 |
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| avg_cross_section (**post-mask**) | 1471.2 |
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| avg_cross_section (**post-mask IC sample**) | 1471.2 |
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| avg_raw_pool | 3214.4 |
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| avg_eligible_pre_mask | **2338.4** |
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| mask_binds_pct | **97.1%** |
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| reliable | true |
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**Mask binds hard** (eligible ≫ 1500). The hypothesis that “1471 meant the mask never bound / unmasked +5σ” is **false**.
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**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**.
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Harness `_signal_evaluation` vs manual IC through the same filter: **exact match** (−0.0168 / −1.85).
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### Verdict on the orphan
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**Iron rule unconditional:** **not green** (|IC| 0.017 < 0.03), correct mild-negative sign.
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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.
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---
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**Iron rule unconditional:** still **not green** (|IC| 0.017 < 0.03), and now with the correct mild-negative sign.
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## Context table (orphaned 21:14 vs authoritative) — kill the myth numbers
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Artifact: `reports/fip-reconcile-20260719-000520.json`
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The context table died with the orphan. **−0.16 must not survive in the log.**
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| signal (liquid ~1500) | orphaned (21:14) | authoritative (shared filter) | consequence |
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|---|---:|---:|---|
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| **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 |
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| **raw mom** (`mom_12_1`) | +0.10 / t +4.6 | **+0.046 / t +1.91** | Below iron-rule bar on this pool |
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| **resid mom** (`mom_12_1_resid`) | +0.04 / t +2.3 | **+0.029 / t +1.33** | Ditto, and weaker than raw |
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### Breadth-momentum thesis — challenged
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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.
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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.
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---
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@@ -107,27 +146,57 @@ Computed on the **same single-sourced path** as the authoritative −0.017. This
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| Decision | |
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|---|---|
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| Unconditional fip | **Closed** for production |
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| Mom-conditional fip | **Alive as book-tilt candidate only** — book sim before any gate talk |
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| Mom-conditional fip | **Alive as book-tilt candidate only** — and only after a baseline breadth book proves itself |
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| Display card | Stays |
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| Production change | **None** |
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---
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## Vol-tilt / residual-mom warning (any future breadth move)
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## Vol-tilt warning (softened)
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| signal (liquid, single-sourced) | IC | t |
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|---|---:|---:|
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| vol_6m | −0.048 | −1.4 |
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| mom_12_1 | +0.046 | +1.9 |
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| mom_12_1_resid | +0.029 | +1.3 |
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| vol_6m | −0.048 | **−1.36** |
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| mom_12_1 | +0.046 | +1.91 |
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| mom_12_1_resid | +0.029 | +1.33 |
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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).
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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.
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---
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## What this means for the book experiment
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A fip tilt presupposes a breadth momentum book worth tilting — **that is no longer free.**
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**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.
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### Parked next step (if reopened): pre-registered two-arm design
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Not started — **design only**, pre-register before any sim:
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|
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| Arm | Definition |
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|---|---|
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| **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 |
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| **B — +fip tilt** | Same book + mom-conditional fip tilt (among mom winners, prefer smoother paths / negative fip_id) |
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| Grade on | Spec |
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|---|---|
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| Split | Entry-date train / validation (`BACKTEST_HOLDOUT_SPLIT` naming — not pristine holdout) |
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| Metrics | Sharpe + Mertens/Lo SE, PSR, **DSR**; max DD; turnover; cost drag |
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| Promote bar | Arm A must be in production-book territory first; Arm B must beat A on validation with DSR-aware multiple-testing honesty |
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| Fail-closed | If A fails, fip is a footnote; do not shop tilts on a dead baseline |
|
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|
||||
---
|
||||
|
||||
## How to re-run (research branch only)
|
||||
|
||||
```powershell
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# 1) Full extend writes completion manifest (required)
|
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.\.venv\Scripts\python.exe scripts\extend_snapshot_universe.py `
|
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--source backtest_snapshots\prod.sqlite `
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--output backtest_snapshots\research.sqlite
|
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|
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# 2) Breadth / diagnostics refuse without matching manifest
|
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.\.venv\Scripts\python.exe scripts\run_fip_breadth_diagnostics.py `
|
||||
--research-snapshot backtest_snapshots\research.sqlite `
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||||
--prod-snapshot backtest_snapshots\prod.sqlite `
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@@ -139,7 +208,9 @@ High-vol names tend to underperform on this pool relative to a clean S&P-like bo
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## 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.
|
||||
|
||||
@@ -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.
|
||||
|
||||
@@ -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)",
|
||||
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||||
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||||
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|
||||
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||||
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||||
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|
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|
||||
}
|
||||
],
|
||||
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|
||||
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|
||||
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
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|
||||
{
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||||
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|
||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
}
|
||||
],
|
||||
"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."
|
||||
},
|
||||
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|
||||
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|
||||
"holdout": null,
|
||||
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|
||||
"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
|
||||
},
|
||||
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|
||||
"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,
|
||||
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|
||||
"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."
|
||||
}
|
||||
}
|
||||
@@ -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"
|
||||
}
|
||||
@@ -1,596 +0,0 @@
|
||||
{
|
||||
"generated_at": "2026-07-18T19:23:17.726528+00:00",
|
||||
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|
||||
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|
||||
"candidates": 202769,
|
||||
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|
||||
"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": {
|
||||
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|
||||
"min_rr": 2.0,
|
||||
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|
||||
"require_high_conviction": false,
|
||||
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|
||||
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|
||||
},
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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},
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||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
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|
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||||
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||||
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||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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|
||||
}
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
{
|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
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|
||||
"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."
|
||||
}
|
||||
}
|
||||
@@ -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
|
||||
}
|
||||
@@ -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."
|
||||
}
|
||||
@@ -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."
|
||||
}
|
||||
File diff suppressed because it is too large
Load Diff
@@ -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** (``<output>.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__":
|
||||
|
||||
@@ -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: ``<snapshot>.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}
|
||||
@@ -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__":
|
||||
|
||||
@@ -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
|
||||
|
||||
@@ -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
|
||||
Reference in New Issue
Block a user