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feat: log Phase A decisions and add execution-recovery matrix

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Document Phase A (max-hold/vol/corr closed; next-open as decision baseline).
Add stale_close and next_open gap-cap fill modes plus a small matrix to test
whether near-close scheduling recovers overnight momentum drift.
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dennisthiessen
2026-07-18 16:27:10 +02:00
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@@ -105,18 +105,36 @@ and it would also sever the last dependency the *gate* has on the weak S/R detec
---
## 4. Open leads
## 4. Phase A matrix (2026-07-18) — closed
Full write-up: **[phase-a-matrix.md](phase-a-matrix.md)** ·
`reports/research-matrix-phase-a.json`.
| Arm | Decision |
|---|---|
| Max-hold {45,60,90} | **Note and move on** — validation glitter, train collapse (regime interaction) |
| Equity-curve vol targeting | **Reject as edge** on this sample; park vt25 as optional DD insurance only |
| Correlation caps | **Reject**; sector caps stay Phase B with reduced expectations |
| Next-open fill | **Discovery, not reject** — honest deployable ~Sharpe 1.2 / CAGR 30%. Decision baseline for future promotion = `next_open` |
| `fip_id` re-derive | **Validated** (IC −0.045, t = −2.92) |
**Highest-leverage open work:** near-close execution recovery (scheduling, not a new signal). Simulator: `scripts/run_execution_recovery_matrix.py` (`stale_close` + gap-cap).
---
## 5. Open leads
| Lead | Why it's interesting | Blocker |
|---|---|---|
| **`fip_id`** (information discreteness over the 12-1 window) | **Strongest cross-sectional signal measured on this universe** — IC −0.045, t = −2.91, correct sign | Doesn't improve *this* book (the momentum gate already captures it in-sample). Revisit when the universe broadens |
| **Near-close / MOC execution** | Recovers the overnight momentum drift a 07:00-Berlin scanner leaves on the table (~0.5 Sharpe / ~18pp CAGR vs close-fill) | Prove with `stale_close` arm; then schedule change |
| **`fip_id`** (information discreteness over the 12-1 window) | **Strongest cross-sectional signal measured on this universe** — IC −0.045, t = −2.91, correct sign; re-derived fingerprint matched Phase A | Doesn't improve *this* book. Revisit when the universe broadens |
| **Broader universe** (`nasdaq_all`) | Strengthens every week's cross-section and the IC t-stat | Also where `fip_id` could become tradeable |
| **Forward paper-trade record** | The only true out-of-sample evidence the snapshot cannot give | Time |
| **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 |
---
## 5. Method rules learned the hard way
## 6. Method rules learned the hard way
1. **Nested lookback windows are NOT out-of-sample.** The clear-air result (#2) was
clean, large, and consistent across five nested windows — and still died on a
@@ -133,7 +151,7 @@ and it would also sever the last dependency the *gate* has on the weak S/R detec
---
## 6. Why we stay with the current strategy
## 7. Why we stay with the current strategy
Everything we've tried to add has either failed the backtest, failed
out-of-sample, or turned out to be measuring something other than what it claimed.