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.

docs/research/README.md

@@ -115,10 +115,24 @@ Full write-up: **[phase-a-matrix.md](phase-a-matrix.md)** ·
 | 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` |
+| Next-open fill | **Discovery, not reject** — honest deployable ~Sharpe 1.2 / CAGR 30% under overnight scanner. Decision baseline until near-close ships = `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).
+### Execution recovery (same day) — closed as evidence
+
+Full write-up: **[execution-recovery.md](execution-recovery.md)** ·
+`reports/execution_recovery_matrix.json`.
+
+| Finding | Decision |
+|---|---|
+| Monotone fill timing (next_open → stale → close) + DD recovery | **When you fill**, not decaying alpha |
+| Live bracket **[1.57, 1.77]** full Sharpe | Near-close expected near top of bracket; no more fill-timing sim |
+| Gap-cap | **Dead** — third tail-trim instance |
+| Auto-`recover: false` | Not a null — bar hit the lower-bound arm by 0.03 train SE |
+
+**Highest-leverage open work:** **ops** — move the single daily R:R scan to
+`America/New_York` near-close (checklist in execution-recovery.md). Not more research
+knobs.
 
 ---
 
@@ -126,10 +140,10 @@ Full write-up: **[phase-a-matrix.md](phase-a-matrix.md)** ·
 
 | Lead | Why it's interesting | Blocker |
 |---|---|---|
-| **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 |
+| **Near-close / MOC execution (ops)** | Recovers overnight momentum drift left on the table by a morning EU scan; evidence closed | Implement schedule + partial-bar scan path; one qualifying scan/day only |
-| **`fip_id`** (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 |
+| **`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 — **after** execution path is decided |
-| **Broader universe** (`nasdaq_all`) | Strengthens every week's cross-section and the IC t-stat | Also where `fip_id` could become tradeable |
+| **Broader universe** (`nasdaq_all`) | Strengthens every week's cross-section and the IC t-stat | Grade under the fill mode you will trade |
-| **Forward paper-trade record** | The only true out-of-sample evidence the snapshot cannot give | Time |
+| **Forward paper-trade record** | The only true out-of-sample evidence the snapshot cannot give | Time; mark entries at actual near-close fill once ops ships |
 | **Better target model for clear-air names** | The return is demonstrably there (#2 wins on raw CAGR in *both* train and test); it's the *flat* 3× ATR target that makes it too expensive in risk | Needs a per-name model, not a constant k×ATR |
 
 ---
@@ -138,7 +152,8 @@ Full write-up: **[phase-a-matrix.md](phase-a-matrix.md)** ·
 
 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
-   proper train/test split by entry date. Use `BACKTEST_HOLDOUT_SPLIT`.
+   proper train/test split by entry date. Use `BACKTEST_HOLDOUT_SPLIT` / a named
+   validation window — and do not pretend a repeatedly opened window is pristine.
 2. **Check what population an ablation actually admits.** The blanket fallback (#3)
    looked like it tested the "resistance famine" hypothesis. It didn't — 65% of the
    setups it let in were a different population entirely, and they drove the result.
@@ -148,6 +163,12 @@ Full write-up: **[phase-a-matrix.md](phase-a-matrix.md)** ·
 4. **The iron rule:** a signal earns its way into selection *only* through the
    factor harness — |mean IC| ≳ 0.03, consistent sign, `reliable: true` (≥ 12
    non-overlapping windows). Never let an unvalidated score gate setups.
+5. **Momentum filters are guilty of tail-trimming until proven otherwise.**
+   Independent failures: take-profit exits, FIP as an in-book filter, gap-up entry
+   caps. Cosmetic quality up, P&L down — the right tail *is* the edge.
+6. **Fill timing is part of the strategy.** Close-fill reports are not deployable
+   numbers for an overnight scanner. Grade promotion under the fill mode you will
+   actually trade.
 
 ---
 

docs/research/execution-recovery.md

@@ -0,0 +1,146 @@
+# Execution recovery (2026-07-18) — when you fill is the edge you leave on the table
+
+Report: `reports/execution_recovery_matrix.json` / `.md`  
+Follows Phase A A4 ([phase-a-matrix.md](phase-a-matrix.md)).  
+Arms: `close_control` · `next_open` · `stale_close` · `next_open_gap2`.
+
+Mechanics verified before sign-off: `stale_close` re-anchors stop to
+fill − 1.5×ATR(signal day); no same-day stop after a close fill; each t−1
+candidate keeps its own gate/rank cross-section (no lookahead). Numbers trusted.
+
+---
+
+## Results
+
+| Arm | Full Sharpe | Full CAGR | Full DD | Train Sharpe | Val Sharpe |
+|---|---:|---:|---:|---:|---:|
+| **close_control** | **1.77** | **48.3%** | **21.6%** | 1.75 | 1.68 |
+| **stale_close** | **1.57** | **40.6%** | **21.8%** | 1.36 | **1.74** |
+| next_open | 1.20 | 30.0% | 28.2% | 0.94 | 1.44 |
+| next_open_gap2 | 1.06 | 25.2% | 27.8% | 0.72 | 1.41 |
+
+### Monotonicity (the strongest evidence)
+
+In every window, Sharpe recovers as the fill moves **toward** the signal:
+
+| Window | next_open → stale_close → close |
+|---|---|
+| Train | 0.94 → 1.36 → 1.75 |
+| Validation | 1.44 → 1.74 → 1.68* |
+| Full | 1.20 → 1.57 → 1.77 |
+
+\*Val close 1.68 is within SE of stale 1.74 — not a break of the story.
+
+A dead edge does **not** produce a monotone gradient in fill timing. A live edge
+that is progressively surrendered to execution delay does. Combined with full-period
+**DD recovery** (28.2% → 21.8% ≈ close’s 21.6%), this confirms the diagnosis:
+**when you fill**, not decaying alpha.
+
+### Auto-flag `recover: False` is not a null
+
+Pre-registered recovery applied the “≥ close − 0.5 SE” bar to **`stale_close`**,
+the **lower-bound** arm (one full session of lag). Flags:
+
+| Flag | Result |
+|---|---|
+| near_close_control (val) | **True** (Δ +0.06) |
+| beats_next_open | **True** (val Δ +0.30) |
+| train_ok | **False** (1.36 vs need ≥ ~1.39 — miss by ~0.03) |
+
+The floor missed “≥ close − 0.5 SE” by 0.03 while the live design is expected to
+sit **above** the floor. The flag worked correctly on the wrong object.
+
+**Log sentence:** *Partial recovery proven; full recovery needs same-day fill.*
+
+### Live outcome bracket
+
+| Bound | Arm | Meaning |
+|---|---|---|
+| Floor | stale_close ~1.57 full | One-session-stale close fill (conservative) |
+| Ceiling | close_control ~1.77 full | Same-day close; optimistic only by final ~15 min of signal info |
+
+Real near-close execution (scan ~15:30–15:40 ET on a ~99% complete bar, MOC by
+15:50/15:55) is signal-at-partial-bar filled at the same close the control uses.
+**Live truth is bracketed [1.57, 1.77]** with residual uncertainty of ~15 minutes
+of staleness, not 24 hours — expect near the **top** of the bracket.
+
+`stale_close` alone already justifies the schedule change. **No further fill-timing
+simulation on this snapshot** — the bracket is the result. You cannot simulate
+15:45 partial bars from daily data, and you do not need to.
+
+### Gap-cap — dead (third tail-trim instance)
+
+`next_open_gap2` worse than plain next_open on every window (full Sharpe 1.06 vs
+1.20). **262** full-period gap-ups skipped — they were continuations.
+
+This is the **third independent instance** of the same lesson:
+
+1. Take-profit exits (gate target as TP)  
+2. FIP as an in-book filter  
+3. **Gap-up entry caps**
+
+Any rule that trims the right tail improves cosmetic quality metrics and destroys
+P&L. **Standing method rule:** momentum filters must be presumed guilty of
+tail-trimming until shown otherwise.
+
+---
+
+## Decisions locked
+
+1. **Biggest lever is execution scheduling**, not a strategy rewrite.  
+2. **Until near-close execution is live:** grade strategy promotion under
+   `fill_mode=next_open`; keep close-fill as historical control.  
+3. **After near-close ships:** grade under a close-like / near-close fill mode
+   (actual live path).  
+4. **No more sim arms** on fill timing for this snapshot.  
+5. **Gap-cap:** do not ship.  
+6. **Strategy work** (nasdaq_all, fip_id, sector) waits until the execution path
+   is decided — those experiments must be graded under the fill mode you will trade.
+
+---
+
+## Ops design — settle before touching the scheduler
+
+### 1. One canonical qualifying scan per day (non-negotiable)
+
+Post-stop gate-reset was validated on **one full-universe observation per day**.
+Adding a near-close scan *alongside* the 07:00 scan would let fail→qualify
+transitions complete twice as fast and **silently change** the validated re-entry
+policy.
+
+**Move** the R:R scan to near-close. **Leave** sentiment / fundamentals /
+OHLCV-backfill at 07:00 (or existing early slots). Preserve **scan before
+Outcome Eval** (scan late session, eval after close) so the documented
+strict-gate-reset live analogue is unchanged.
+
+### 2. Cron in `America/New_York`, not `Europe/Berlin`
+
+DST offsets shift on different dates. A Berlin-fixed wall time drifts ~1 hour
+off the US close for a week or two twice a year.
+
+### 3. Fill mechanics and feed honesty
+
+- NYSE MOC cutoff **15:50 ET**; Nasdaq **15:55 ET**.  
+- Scan ~**15:30–15:40 ET** on a latest-price snapshot; place entries by 15:50.  
+- For now: paper-trade entries marked at the **actual close**.  
+- Document Alpaca entitlement: if only 15-minute-delayed SIP, a 15:35 scan sees
+  ~15:20 prices — immaterial for a 12-month signal, but write it down so nobody
+  treats it as a bug.
+
+### 4. Partial-bar plumbing
+
+- Scan synthesizes day-t’s in-progress bar from the snapshot.  
+- Nightly OHLCV job overwrites with the final bar via existing idempotent upsert.  
+- Forward paper record marks entries at the actual near-close fill so the live
+  track measures the new execution honestly.
+
+---
+
+## Implementation status
+
+| Item | Status |
+|---|---|
+| Research evidence | **Closed** — this doc + matrix report |
+| Scheduler move (R:R scan → NY near-close) | **Not started** — blocked on ops design above |
+| Partial-bar scan path | **Not started** |
+| Paper fill-at-close marking | **Not started** (may already mark at close; verify when shipping) |

docs/research/phase-a-matrix.md

@@ -74,9 +74,15 @@ Overnight gap on validation entries: mean **−0.52%**, median −0.18%, p05 −
 
 This is not “slippage noise.” It is largely the **overnight momentum drift** that close-fill earns and a 07:00-Berlin scanner (signal yesterday’s close → fill tomorrow’s open) **structurally cannot**. Honest deployable number under that schedule is ~Sharpe 1.2 / CAGR 30%, not 1.77 / 48%.
 
-**Decision baseline going forward:** grade **promotion** under `fill_mode=next_open`; keep close-fill as the historical control for comparability with prior reports.
+**Decision baseline going forward (until near-close ships):** grade **promotion** under
+`fill_mode=next_open`; keep close-fill as the historical control for comparability
+with prior reports.
 
-**Highest-leverage follow-up (not a strategy change):** near-close / MOC-style execution (~15:45 ET) so live fills sit near the close the signal is built on. Simulator proof arm: `stale_close` (signal t−1 close, fill t close). Secondary: next-open **gap-cap** (skip open > +2% vs signal close) — measure, don’t assume.
+**Follow-up (done):** execution recovery matrix — see
+**[execution-recovery.md](execution-recovery.md)**. Short version: monotone fill-timing
+gradient + DD recovery prove this is *when you fill*; live bracket **[1.57, 1.77]**;
+gap-cap dead; no more fill-timing sim on this snapshot; ops move R:R scan to NY
+near-close (one scan/day).
 
 ### `fip_id` re-derivation — **validated**
 
@@ -101,10 +107,14 @@ No arm cleared ΔSharpe > 1 SE.
 - Regime-conditional max-hold as a “small” experiment  
 - Treat validation-only max-hold glitter as a free CAGR lift  
 - Ship vol targeting as edge without a vol-regime sample  
+- More fill-timing simulation on this snapshot (settled — see execution-recovery.md)  
+- Dual daily qualifying scans (would break gate-reset validation)  
+- Gap-up entry filters (third tail-trim failure)  
 
 ## What to do next
 
-1. **Execution recovery matrix** — `stale_close` vs close vs next_open; optional gap-cap under next_open (`scripts/run_execution_recovery_matrix.py`).  
+1. **Ship near-close execution** — ops checklist in [execution-recovery.md](execution-recovery.md)  
-2. If `stale_close` ≈ close control: schedule scan near the US close (not a signal rewrite).  
+   (one R:R scan/day in `America/New_York`, MOC window, partial-bar honesty).  
-3. Until near-close execution ships live: **decision baseline = next_open**.  
+2. Until that ships: **decision baseline = next_open**.  
-4. Phase B data work only when wanted: `nasdaq_all` + `fip_id`, earnings calendar, sector residual/caps.
+3. Strategy work (nasdaq_all, fip_id, sector) only **after** execution path is decided,
+   graded under the fill mode you will trade.