docs: lock execution-recovery decisions and ops constraints
Record monotone fill-timing gradient, live [1.57,1.77] bracket, recover-flag interpretation, gap-cap as third tail-trim, and pre-scheduler ops checklist.
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# Execution recovery (2026-07-18) — when you fill is the edge you leave on the table
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Report: `reports/execution_recovery_matrix.json` / `.md`
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Follows Phase A A4 ([phase-a-matrix.md](phase-a-matrix.md)).
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Arms: `close_control` · `next_open` · `stale_close` · `next_open_gap2`.
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Mechanics verified before sign-off: `stale_close` re-anchors stop to
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fill − 1.5×ATR(signal day); no same-day stop after a close fill; each t−1
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candidate keeps its own gate/rank cross-section (no lookahead). Numbers trusted.
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---
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## Results
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| Arm | Full Sharpe | Full CAGR | Full DD | Train Sharpe | Val Sharpe |
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|---|---:|---:|---:|---:|---:|
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| **close_control** | **1.77** | **48.3%** | **21.6%** | 1.75 | 1.68 |
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| **stale_close** | **1.57** | **40.6%** | **21.8%** | 1.36 | **1.74** |
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| next_open | 1.20 | 30.0% | 28.2% | 0.94 | 1.44 |
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| next_open_gap2 | 1.06 | 25.2% | 27.8% | 0.72 | 1.41 |
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### Monotonicity (the strongest evidence)
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In every window, Sharpe recovers as the fill moves **toward** the signal:
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| Window | next_open → stale_close → close |
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|---|---|
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| Train | 0.94 → 1.36 → 1.75 |
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| Validation | 1.44 → 1.74 → 1.68* |
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| Full | 1.20 → 1.57 → 1.77 |
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\*Val close 1.68 is within SE of stale 1.74 — not a break of the story.
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A dead edge does **not** produce a monotone gradient in fill timing. A live edge
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that is progressively surrendered to execution delay does. Combined with full-period
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**DD recovery** (28.2% → 21.8% ≈ close’s 21.6%), this confirms the diagnosis:
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**when you fill**, not decaying alpha.
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### Auto-flag `recover: False` is not a null
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Pre-registered recovery applied the “≥ close − 0.5 SE” bar to **`stale_close`**,
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the **lower-bound** arm (one full session of lag). Flags:
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| Flag | Result |
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|---|---|
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| near_close_control (val) | **True** (Δ +0.06) |
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| beats_next_open | **True** (val Δ +0.30) |
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| train_ok | **False** (1.36 vs need ≥ ~1.39 — miss by ~0.03) |
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The floor missed “≥ close − 0.5 SE” by 0.03 while the live design is expected to
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sit **above** the floor. The flag worked correctly on the wrong object.
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**Log sentence:** *Partial recovery proven; full recovery needs same-day fill.*
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### Live outcome bracket
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| Bound | Arm | Meaning |
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|---|---|---|
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| Floor | stale_close ~1.57 full | One-session-stale close fill (conservative) |
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| Ceiling | close_control ~1.77 full | Same-day close; optimistic only by final ~15 min of signal info |
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Real near-close execution (scan ~15:30–15:40 ET on a ~99% complete bar, MOC by
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15:50/15:55) is signal-at-partial-bar filled at the same close the control uses.
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**Live truth is bracketed [1.57, 1.77]** with residual uncertainty of ~15 minutes
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of staleness, not 24 hours — expect near the **top** of the bracket.
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`stale_close` alone already justifies the schedule change. **No further fill-timing
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simulation on this snapshot** — the bracket is the result. You cannot simulate
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15:45 partial bars from daily data, and you do not need to.
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### Gap-cap — dead (third tail-trim instance)
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`next_open_gap2` worse than plain next_open on every window (full Sharpe 1.06 vs
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1.20). **262** full-period gap-ups skipped — they were continuations.
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This is the **third independent instance** of the same lesson:
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1. Take-profit exits (gate target as TP)
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2. FIP as an in-book filter
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3. **Gap-up entry caps**
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Any rule that trims the right tail improves cosmetic quality metrics and destroys
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P&L. **Standing method rule:** momentum filters must be presumed guilty of
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tail-trimming until shown otherwise.
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---
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## Decisions locked
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1. **Biggest lever is execution scheduling**, not a strategy rewrite.
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2. **Until near-close execution is live:** grade strategy promotion under
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`fill_mode=next_open`; keep close-fill as historical control.
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3. **After near-close ships:** grade under a close-like / near-close fill mode
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(actual live path).
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4. **No more sim arms** on fill timing for this snapshot.
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5. **Gap-cap:** do not ship.
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6. **Strategy work** (nasdaq_all, fip_id, sector) waits until the execution path
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is decided — those experiments must be graded under the fill mode you will trade.
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---
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## Ops design — settle before touching the scheduler
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### 1. One canonical qualifying scan per day (non-negotiable)
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Post-stop gate-reset was validated on **one full-universe observation per day**.
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Adding a near-close scan *alongside* the 07:00 scan would let fail→qualify
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transitions complete twice as fast and **silently change** the validated re-entry
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policy.
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**Move** the R:R scan to near-close. **Leave** sentiment / fundamentals /
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OHLCV-backfill at 07:00 (or existing early slots). Preserve **scan before
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Outcome Eval** (scan late session, eval after close) so the documented
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strict-gate-reset live analogue is unchanged.
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### 2. Cron in `America/New_York`, not `Europe/Berlin`
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DST offsets shift on different dates. A Berlin-fixed wall time drifts ~1 hour
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off the US close for a week or two twice a year.
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### 3. Fill mechanics and feed honesty
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- NYSE MOC cutoff **15:50 ET**; Nasdaq **15:55 ET**.
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- Scan ~**15:30–15:40 ET** on a latest-price snapshot; place entries by 15:50.
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- For now: paper-trade entries marked at the **actual close**.
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- Document Alpaca entitlement: if only 15-minute-delayed SIP, a 15:35 scan sees
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~15:20 prices — immaterial for a 12-month signal, but write it down so nobody
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treats it as a bug.
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### 4. Partial-bar plumbing
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- Scan synthesizes day-t’s in-progress bar from the snapshot.
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- Nightly OHLCV job overwrites with the final bar via existing idempotent upsert.
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- Forward paper record marks entries at the actual near-close fill so the live
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track measures the new execution honestly.
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---
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## Implementation status
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| Item | Status |
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| Research evidence | **Closed** — this doc + matrix report |
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| Scheduler move (R:R scan → NY near-close) | **Not started** — blocked on ops design above |
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| Partial-bar scan path | **Not started** |
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| Paper fill-at-close marking | **Not started** (may already mark at close; verify when shipping) |
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