research: interpret history-depth MacBook harness (PARK sector residual wire-in)
Authoritative report history-depth-20260719-103315: race guard pass on deep research.sqlite. Sector residual still short-window only (no pre-2021); fip sign flips on broad deep sample; no production retune.
This commit is contained in:
@@ -1,7 +1,8 @@
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# History-depth extension (Tier-1 alpha research)
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**Status:** PRE-REGISTERED — run on MacBook (heavy I/O + full harness).
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**Branch:** `research/history-depth-extension` (create from latest research stack).
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**Status:** **RUN COMPLETE — human interpretation below.**
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**Branch:** `research/earnings-gap-and-sue` (MacBook commit `f6e0ca7`)
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**Authoritative artifact:** `reports/history-depth-20260719-103315.json`
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**Production impact:** none. **Do not retune any production knob on deep history.**
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---
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@@ -43,166 +44,139 @@ the 2018 vol shock and full 2020 crash (where the feed allows).
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---
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## MacBook runbook
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Prefer the bundled script (one entry point):
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```bash
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git fetch origin && git checkout research/earnings-gap-and-sue
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# .env: ALPACA_* required; FMP_* if resuming earnings
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# copy backtest_snapshots/prod.sqlite if not already local
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chmod +x scripts/run_tier1_macbook.sh
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# Default: coverage → deep rebuild → harness (+ era split)
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./scripts/run_tier1_macbook.sh
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# Optional variants
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./scripts/run_tier1_macbook.sh --all # + earnings resume first
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./scripts/run_tier1_macbook.sh --earnings-only # multi-day FMP + 2a/2b only
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./scripts/run_tier1_macbook.sh --harness-only # skip rebuild
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./scripts/run_tier1_macbook.sh --coverage-only
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# Tunables
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WORKERS=12 HISTORY_DAYS=5000 ./scripts/run_tier1_macbook.sh
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./scripts/run_tier1_macbook.sh --workers 12 --fmp-limit 250
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```
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Then commit `reports/` + updated research docs, or copy them back to Windows.
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---
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## Data provenance
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*(filled at run time)*
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| check | result |
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|---|---|
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| Snapshot | MacBook `research.sqlite` |
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| Manifest `complete` | **true** (finished 2026-07-19T08:19Z) |
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| Live counts match | yes — 4655 tickers / 6,609,926 OHLCV / 4149 rank_only |
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| `history_days` | 5000 |
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| fetch_ok / fail | 4152 / 0 |
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| Race guard | **pass** |
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> **SURVIVORSHIP BIAS:** today’s constituents backfilled historically. Absolute
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> Sharpe/CAGR levels on deep history are optimistic. Use **relative** signal IC
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> comparisons and era stability only — not levels.
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**Coverage JSON was empty in the auto-written doc** (harness-only phase after
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rebuild). Manifest is the race-guard source of truth for this run.
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Earlier MacBook files `history-depth-20260719-093853` … `095156` are intermediate
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/ incomplete passes — **do not cite**. Only **103315** is authoritative.
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---
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## Results
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## Results (authoritative: 103315)
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Generated: `2026-07-19T10:33:15.322673`
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### Full-window signal IC (broad research universe, deep bars)
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> **SURVIVORSHIP BIAS: today's constituents backfilled historically. Absolute Sharpe/CAGR levels on deep history are optimistic. Use RELATIVE signal IC comparisons and era stability only — not levels.**
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### Coverage
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```json
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{}
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```
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### Race guard
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```json
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{
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"manifest": {
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"schema_version": 1,
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"snapshot": "research.sqlite",
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"snapshot_resolved": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite",
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"complete": true,
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"finished_at": "2026-07-19T08:19:02.992206+00:00",
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"ticker_count": 4655,
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"ohlcv_row_count": 6609926,
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"rank_only_count": 4149,
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"sources": {
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"nasdaq_all": "nasdaq_trader",
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"sp500": "wikipedia_sp500"
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},
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"history_days": 5000,
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"min_bars": 260,
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"fetch_ok": 4152,
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"fetch_fail": 0,
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"limit": null,
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"extra": {
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"prod_symbols_at_start": 506,
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"pool_size": 4648,
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"to_fetch": 4152
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},
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"live_counts": {
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"ticker_count": 4655,
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"ohlcv_row_count": 6609926,
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"rank_only_count": 4149
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}
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},
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"ok": true
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}
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```
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### Signal IC (full extended window)
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| signal | mean_ic | ic_t_stat | weeks | avg_N | reliable |
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| signal | mean_ic | t | weeks | avg_N | notes |
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|---|---:|---:|---:|---:|---|
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| high_52w | 0.1111 | 6.41 | 84 | 2280.3 | True |
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| mom_12_1 | 0.0663 | 5.11 | 83 | 2277.5 | True |
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| mom_12_1_sector_resid | 0.0578 | 2.34 | 35 | 497.7 | True |
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| trend_200 | 0.0546 | 4.3 | 85 | 2308.1 | True |
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| mom_6_1 | 0.0493 | 4.91 | 88 | 2375.7 | True |
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| mom_3_1 | 0.0363 | 3.58 | 90 | 2425.6 | True |
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| mom_12_1_sector_demeaned | 0.034 | 1.32 | 35 | 496.7 | True |
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| fip_id | 0.0267 | 3.25 | 83 | 2277.5 | True |
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| mom_12_1_resid | 0.0256 | 2.21 | 83 | 2277.5 | True |
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| reversal_1m | 0.003 | 0.31 | 91 | 2443.2 | True |
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| vol_6m | -0.1226 | -6.34 | 88 | 2375.7 | True |
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| high_52w | **0.111** | **6.41** | 84 | 2280 | strong on deep breadth |
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| mom_12_1 | **0.066** | **5.11** | 83 | 2278 | raw momentum strong |
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| trend_200 | 0.055 | 4.30 | 85 | 2308 | |
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| mom_6_1 | 0.049 | 4.91 | 88 | 2376 | |
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| mom_3_1 | 0.036 | 3.58 | 90 | 2426 | |
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| fip_id | **+0.027** | **3.25** | 83 | 2278 | **sign flip vs prod fingerprint** |
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| mom_12_1_resid | 0.026 | 2.21 | 83 | 2278 | market residual still + but weaker than raw |
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| reversal_1m | ~0 | 0.31 | 91 | 2443 | dead |
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| vol_6m | **−0.123** | **−6.34** | 88 | 2376 | low-vol anomaly strong |
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| mom_12_1_sector_resid | 0.058 | 2.34 | **35** | **498** | **not deep-sample — see caveats** |
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| mom_12_1_sector_demeaned | 0.034 | 1.32 | **35** | **497** | same short fingerprint |
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### Era split (diagnostic only)
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### Era split (diagnostic only — not a tuning input)
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#### full
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| signal | pre-2021 IC / t / w / N | post-2021 IC / t / w / N |
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|---|---|---|
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| mom_12_1 | +0.041 / 2.94 / 36 / 1425 | +0.079 / 3.64 / 48 / 2913 |
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| mom_12_1_resid | +0.023 / 1.68 / 36 / 1425 | +0.027 / 1.37 / 48 / 2913 |
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| fip_id | +0.012 / 1.35 / 36 / 1425 | +0.037 / 2.91 / 48 / 2913 |
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| vol_6m | −0.056 / −2.16 / 40 / 1461 | −0.162 / −4.94 / 48 / 3123 |
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| high_52w | +0.049 / 2.0 / 36 / 1422 | +0.138 / 4.34 / 48 / 2915 |
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| **sector_resid** | **absent** | 0.058 / 2.34 / 35 / 498 (short only) |
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| **sector_demeaned** | **absent** | 0.034 / 1.32 / 35 / 497 (short only) |
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| signal | mean_ic | t | weeks | N |
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|---|---:|---:|---:|---:|
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| fip_id | 0.0267 | 3.25 | 83 | 2277.5 |
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| high_52w | 0.1111 | 6.41 | 84 | 2280.3 |
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| mom_12_1 | 0.0663 | 5.11 | 83 | 2277.5 |
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| mom_12_1_resid | 0.0256 | 2.21 | 83 | 2277.5 |
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| mom_12_1_sector_demeaned | 0.034 | 1.32 | 35 | 496.7 |
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| mom_12_1_sector_resid | 0.0578 | 2.34 | 35 | 497.7 |
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| mom_3_1 | 0.0363 | 3.58 | 90 | 2425.6 |
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| mom_6_1 | 0.0493 | 4.91 | 88 | 2375.7 |
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| reversal_1m | 0.003 | 0.31 | 91 | 2443.2 |
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| trend_200 | 0.0546 | 4.3 | 85 | 2308.1 |
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| vol_6m | -0.1226 | -6.34 | 88 | 2375.7 |
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---
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#### pre_2021
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## Critical caveats (must read)
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| signal | mean_ic | t | weeks | N |
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|---|---:|---:|---:|---:|
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| fip_id | 0.0116 | 1.35 | 36 | 1424.8 |
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| high_52w | 0.0494 | 2.0 | 36 | 1422.2 |
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| mom_12_1 | 0.0413 | 2.94 | 36 | 1424.8 |
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| mom_12_1_resid | 0.0226 | 1.68 | 36 | 1424.8 |
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| mom_3_1 | 0.0217 | 1.84 | 42 | 1480.0 |
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| mom_6_1 | 0.0205 | 1.63 | 40 | 1461.2 |
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| reversal_1m | 0.0019 | 0.15 | 44 | 1501.4 |
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| trend_200 | 0.0322 | 2.23 | 38 | 1440.9 |
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| vol_6m | -0.056 | -2.16 | 40 | 1461.2 |
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### 1. Sector residual did **not** get a deep-history stress test
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#### post_2021
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`mom_12_1_sector_resid` / `_demeaned` still show **exactly** the Task‑1 short-window
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fingerprint: **35 weeks, N≈498, IC 0.0578, t 2.34**.
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| signal | mean_ic | t | weeks | N |
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|---|---:|---:|---:|---:|
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| fip_id | 0.0366 | 2.91 | 48 | 2913.0 |
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| high_52w | 0.1375 | 4.34 | 48 | 2914.5 |
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| mom_12_1 | 0.0791 | 3.64 | 48 | 2913.0 |
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| mom_12_1_resid | 0.0265 | 1.37 | 48 | 2913.0 |
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| mom_12_1_sector_demeaned | 0.034 | 1.32 | 35 | 496.7 |
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| mom_12_1_sector_resid | 0.0578 | 2.34 | 35 | 497.7 |
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| mom_3_1 | 0.0291 | 1.54 | 48 | 3234.2 |
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| mom_6_1 | 0.0779 | 4.36 | 48 | 3122.6 |
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| reversal_1m | -0.0126 | -0.72 | 48 | 3315.8 |
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| trend_200 | 0.0585 | 2.68 | 48 | 3001.5 |
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| vol_6m | -0.1623 | -4.94 | 48 | 3122.6 |
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On the same run, raw `mom_12_1` has **83 weeks, N≈2278**. So depth worked for
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price-only signals, but sector residual is still limited to the **~505 labeled
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prod names × short factor calendar** (sector map only covers prod; and/or sector
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ETF / two-factor path did not extend usable residual weeks).
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**Pre-registered rule:** “Sector residual collapses pre-2021 → PARK Task 1
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wire-in.” Pre-2021 sector residual is **absent** from the era table. That is a
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**PARK**, not a confirmation of the short-window PROMOTE.
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## Verdict
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Do **not** claim “sector residual beats market residual on deep history” from
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this table — the two rows are **not the same cross-section or window count**.
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**PENDING_HUMAN**
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### 2. `fip_id` sign flips vs production fingerprint
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Harness complete — human interprets relative IC / era stability. No production retune from this artifact.
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| sample | fip mean IC | t |
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|---|---:|---:|
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| Prod 505, ~5y (fingerprint) | **−0.045** | −2.91 |
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| Research breadth, deep (this run) | **+0.027** | +3.25 |
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This does **not** authorize resurrecting unconditional FIP as a book filter. It
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confirms earlier Phase‑B caution: FIP edge is **universe- and sample-dependent**.
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Production display card can stay context-only. Nested lookbacks still not OOS.
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### 3. Market residual vs raw momentum on deep breadth
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On deep broad IC, **raw 12‑1 (0.066 / t 5.1) ≫ market residual (0.026 / t 2.2)**.
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That does **not** by itself overturn production residual ranking (book A/B was
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on 505 + GTL gate, not pure factor IC), but it is a yellow flag for “residual is
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always the better rank key” stories on broad history. **No auto-retune.**
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### 4. Low-vol anomaly is the cleanest deep-history result
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`vol_6m` IC −0.12 / t −6.3 full; stronger post-2021. Consistent sign across eras.
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Production already blends **high**-vol (not low-vol) into the 80/20 rank — this
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report does not change that without a separate A/B. Flag for human awareness only.
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---
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## Verdicts (vs pre-registration)
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| question | verdict |
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|---|---|
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| Task 1 sector residual wire-in | **PARK** — no pre-2021 sector residual; deep-sample IC not established; short-window PROMOTE stays “human design only,” **not strengthened** by this run |
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| Sector demean | still **DEAD** for promotion (t 1.32, short only) |
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| SUE | **not re-scored here** (no `sue_latest` in harness table) — leave Task 2 **PARK** until full earnings backfill |
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| fip unconditional book filter | remains **rejected / parked** despite sign flip on broad deep sample |
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| Production residual / 80/20 / trail knobs | **no retune** from this report |
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| Overall Task 3 | **COMPLETE as diagnostic** — payload is relative IC + caveats above |
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---
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## What a human must decide next
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- Compare sector residual vs market residual across eras.
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- If pre-2021 IC collapses, park Task 1 wire-in.
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- Do not retune production knobs on deep history levels.
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1. **Sector residual:** keep research-only until either
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(a) sector ETF + sector map cover the full deep window **and** IC is re-run
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with weeks ≫ 35 on a documented universe, or
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(b) explicitly accept short-window-only evidence (weaker case).
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2. **Do not** merge sector residual into production from this depth run.
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3. **Do not** retune residual vs raw, FIP, or vol blend from these IC tables
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without a pre-registered book A/B on the intended universe.
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4. Optional follow-up: extend sector ETF history + sector labels to nasdaq_all,
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re-run **only** sector residual IC on deep research.sqlite with race guard.
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5. Optional: finish earnings backfill (48→506) and re-run SUE; depth alone did
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not include SUE.
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Artifacts: `reports/history-depth-20260719-103315.json`
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---
|
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## Artifacts
|
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|
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| file | role |
|
||||
|---|---|
|
||||
| `reports/history-depth-20260719-103315.json` | **authoritative** |
|
||||
| `reports/history-depth-20260719-103315.md` | companion dump |
|
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| `reports/history-depth-20260719-093853` … `095156` | **ignore** (partial) |
|
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|
||||
@@ -1,7 +1,8 @@
|
||||
# History-depth extension (Tier-1 alpha research)
|
||||
|
||||
**Status:** PRE-REGISTERED — run on MacBook (heavy I/O + full harness).
|
||||
**Branch:** `research/history-depth-extension` (create from latest research stack).
|
||||
**Status:** **RUN COMPLETE — human interpretation below.**
|
||||
**Branch:** `research/earnings-gap-and-sue` (MacBook commit `f6e0ca7`)
|
||||
**Authoritative artifact:** `reports/history-depth-20260719-103315.json`
|
||||
**Production impact:** none. **Do not retune any production knob on deep history.**
|
||||
|
||||
---
|
||||
@@ -43,166 +44,139 @@ the 2018 vol shock and full 2020 crash (where the feed allows).
|
||||
|
||||
---
|
||||
|
||||
## MacBook runbook
|
||||
|
||||
Prefer the bundled script (one entry point):
|
||||
|
||||
```bash
|
||||
git fetch origin && git checkout research/earnings-gap-and-sue
|
||||
# .env: ALPACA_* required; FMP_* if resuming earnings
|
||||
# copy backtest_snapshots/prod.sqlite if not already local
|
||||
|
||||
chmod +x scripts/run_tier1_macbook.sh
|
||||
|
||||
# Default: coverage → deep rebuild → harness (+ era split)
|
||||
./scripts/run_tier1_macbook.sh
|
||||
|
||||
# Optional variants
|
||||
./scripts/run_tier1_macbook.sh --all # + earnings resume first
|
||||
./scripts/run_tier1_macbook.sh --earnings-only # multi-day FMP + 2a/2b only
|
||||
./scripts/run_tier1_macbook.sh --harness-only # skip rebuild
|
||||
./scripts/run_tier1_macbook.sh --coverage-only
|
||||
|
||||
# Tunables
|
||||
WORKERS=12 HISTORY_DAYS=5000 ./scripts/run_tier1_macbook.sh
|
||||
./scripts/run_tier1_macbook.sh --workers 12 --fmp-limit 250
|
||||
```
|
||||
|
||||
Then commit `reports/` + updated research docs, or copy them back to Windows.
|
||||
|
||||
---
|
||||
|
||||
## Data provenance
|
||||
|
||||
*(filled at run time)*
|
||||
| check | result |
|
||||
|---|---|
|
||||
| Snapshot | MacBook `research.sqlite` |
|
||||
| Manifest `complete` | **true** (finished 2026-07-19T08:19Z) |
|
||||
| Live counts match | yes — 4655 tickers / 6,609,926 OHLCV / 4149 rank_only |
|
||||
| `history_days` | 5000 |
|
||||
| fetch_ok / fail | 4152 / 0 |
|
||||
| Race guard | **pass** |
|
||||
|
||||
> **SURVIVORSHIP BIAS:** today’s constituents backfilled historically. Absolute
|
||||
> Sharpe/CAGR levels on deep history are optimistic. Use **relative** signal IC
|
||||
> comparisons and era stability only — not levels.
|
||||
|
||||
**Coverage JSON was empty in the auto-written doc** (harness-only phase after
|
||||
rebuild). Manifest is the race-guard source of truth for this run.
|
||||
|
||||
Earlier MacBook files `history-depth-20260719-093853` … `095156` are intermediate
|
||||
/ incomplete passes — **do not cite**. Only **103315** is authoritative.
|
||||
|
||||
---
|
||||
|
||||
## Results
|
||||
## Results (authoritative: 103315)
|
||||
|
||||
Generated: `2026-07-19T10:33:15.322673`
|
||||
### Full-window signal IC (broad research universe, deep bars)
|
||||
|
||||
> **SURVIVORSHIP BIAS: today's constituents backfilled historically. Absolute Sharpe/CAGR levels on deep history are optimistic. Use RELATIVE signal IC comparisons and era stability only — not levels.**
|
||||
|
||||
### Coverage
|
||||
|
||||
```json
|
||||
{}
|
||||
```
|
||||
|
||||
### Race guard
|
||||
|
||||
```json
|
||||
{
|
||||
"manifest": {
|
||||
"schema_version": 1,
|
||||
"snapshot": "research.sqlite",
|
||||
"snapshot_resolved": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite",
|
||||
"complete": true,
|
||||
"finished_at": "2026-07-19T08:19:02.992206+00:00",
|
||||
"ticker_count": 4655,
|
||||
"ohlcv_row_count": 6609926,
|
||||
"rank_only_count": 4149,
|
||||
"sources": {
|
||||
"nasdaq_all": "nasdaq_trader",
|
||||
"sp500": "wikipedia_sp500"
|
||||
},
|
||||
"history_days": 5000,
|
||||
"min_bars": 260,
|
||||
"fetch_ok": 4152,
|
||||
"fetch_fail": 0,
|
||||
"limit": null,
|
||||
"extra": {
|
||||
"prod_symbols_at_start": 506,
|
||||
"pool_size": 4648,
|
||||
"to_fetch": 4152
|
||||
},
|
||||
"live_counts": {
|
||||
"ticker_count": 4655,
|
||||
"ohlcv_row_count": 6609926,
|
||||
"rank_only_count": 4149
|
||||
}
|
||||
},
|
||||
"ok": true
|
||||
}
|
||||
```
|
||||
|
||||
### Signal IC (full extended window)
|
||||
|
||||
| signal | mean_ic | ic_t_stat | weeks | avg_N | reliable |
|
||||
| signal | mean_ic | t | weeks | avg_N | notes |
|
||||
|---|---:|---:|---:|---:|---|
|
||||
| high_52w | 0.1111 | 6.41 | 84 | 2280.3 | True |
|
||||
| mom_12_1 | 0.0663 | 5.11 | 83 | 2277.5 | True |
|
||||
| mom_12_1_sector_resid | 0.0578 | 2.34 | 35 | 497.7 | True |
|
||||
| trend_200 | 0.0546 | 4.3 | 85 | 2308.1 | True |
|
||||
| mom_6_1 | 0.0493 | 4.91 | 88 | 2375.7 | True |
|
||||
| mom_3_1 | 0.0363 | 3.58 | 90 | 2425.6 | True |
|
||||
| mom_12_1_sector_demeaned | 0.034 | 1.32 | 35 | 496.7 | True |
|
||||
| fip_id | 0.0267 | 3.25 | 83 | 2277.5 | True |
|
||||
| mom_12_1_resid | 0.0256 | 2.21 | 83 | 2277.5 | True |
|
||||
| reversal_1m | 0.003 | 0.31 | 91 | 2443.2 | True |
|
||||
| vol_6m | -0.1226 | -6.34 | 88 | 2375.7 | True |
|
||||
| high_52w | **0.111** | **6.41** | 84 | 2280 | strong on deep breadth |
|
||||
| mom_12_1 | **0.066** | **5.11** | 83 | 2278 | raw momentum strong |
|
||||
| trend_200 | 0.055 | 4.30 | 85 | 2308 | |
|
||||
| mom_6_1 | 0.049 | 4.91 | 88 | 2376 | |
|
||||
| mom_3_1 | 0.036 | 3.58 | 90 | 2426 | |
|
||||
| fip_id | **+0.027** | **3.25** | 83 | 2278 | **sign flip vs prod fingerprint** |
|
||||
| mom_12_1_resid | 0.026 | 2.21 | 83 | 2278 | market residual still + but weaker than raw |
|
||||
| reversal_1m | ~0 | 0.31 | 91 | 2443 | dead |
|
||||
| vol_6m | **−0.123** | **−6.34** | 88 | 2376 | low-vol anomaly strong |
|
||||
| mom_12_1_sector_resid | 0.058 | 2.34 | **35** | **498** | **not deep-sample — see caveats** |
|
||||
| mom_12_1_sector_demeaned | 0.034 | 1.32 | **35** | **497** | same short fingerprint |
|
||||
|
||||
### Era split (diagnostic only)
|
||||
### Era split (diagnostic only — not a tuning input)
|
||||
|
||||
#### full
|
||||
| signal | pre-2021 IC / t / w / N | post-2021 IC / t / w / N |
|
||||
|---|---|---|
|
||||
| mom_12_1 | +0.041 / 2.94 / 36 / 1425 | +0.079 / 3.64 / 48 / 2913 |
|
||||
| mom_12_1_resid | +0.023 / 1.68 / 36 / 1425 | +0.027 / 1.37 / 48 / 2913 |
|
||||
| fip_id | +0.012 / 1.35 / 36 / 1425 | +0.037 / 2.91 / 48 / 2913 |
|
||||
| vol_6m | −0.056 / −2.16 / 40 / 1461 | −0.162 / −4.94 / 48 / 3123 |
|
||||
| high_52w | +0.049 / 2.0 / 36 / 1422 | +0.138 / 4.34 / 48 / 2915 |
|
||||
| **sector_resid** | **absent** | 0.058 / 2.34 / 35 / 498 (short only) |
|
||||
| **sector_demeaned** | **absent** | 0.034 / 1.32 / 35 / 497 (short only) |
|
||||
|
||||
| signal | mean_ic | t | weeks | N |
|
||||
|---|---:|---:|---:|---:|
|
||||
| fip_id | 0.0267 | 3.25 | 83 | 2277.5 |
|
||||
| high_52w | 0.1111 | 6.41 | 84 | 2280.3 |
|
||||
| mom_12_1 | 0.0663 | 5.11 | 83 | 2277.5 |
|
||||
| mom_12_1_resid | 0.0256 | 2.21 | 83 | 2277.5 |
|
||||
| mom_12_1_sector_demeaned | 0.034 | 1.32 | 35 | 496.7 |
|
||||
| mom_12_1_sector_resid | 0.0578 | 2.34 | 35 | 497.7 |
|
||||
| mom_3_1 | 0.0363 | 3.58 | 90 | 2425.6 |
|
||||
| mom_6_1 | 0.0493 | 4.91 | 88 | 2375.7 |
|
||||
| reversal_1m | 0.003 | 0.31 | 91 | 2443.2 |
|
||||
| trend_200 | 0.0546 | 4.3 | 85 | 2308.1 |
|
||||
| vol_6m | -0.1226 | -6.34 | 88 | 2375.7 |
|
||||
---
|
||||
|
||||
#### pre_2021
|
||||
## Critical caveats (must read)
|
||||
|
||||
| signal | mean_ic | t | weeks | N |
|
||||
|---|---:|---:|---:|---:|
|
||||
| fip_id | 0.0116 | 1.35 | 36 | 1424.8 |
|
||||
| high_52w | 0.0494 | 2.0 | 36 | 1422.2 |
|
||||
| mom_12_1 | 0.0413 | 2.94 | 36 | 1424.8 |
|
||||
| mom_12_1_resid | 0.0226 | 1.68 | 36 | 1424.8 |
|
||||
| mom_3_1 | 0.0217 | 1.84 | 42 | 1480.0 |
|
||||
| mom_6_1 | 0.0205 | 1.63 | 40 | 1461.2 |
|
||||
| reversal_1m | 0.0019 | 0.15 | 44 | 1501.4 |
|
||||
| trend_200 | 0.0322 | 2.23 | 38 | 1440.9 |
|
||||
| vol_6m | -0.056 | -2.16 | 40 | 1461.2 |
|
||||
### 1. Sector residual did **not** get a deep-history stress test
|
||||
|
||||
#### post_2021
|
||||
`mom_12_1_sector_resid` / `_demeaned` still show **exactly** the Task‑1 short-window
|
||||
fingerprint: **35 weeks, N≈498, IC 0.0578, t 2.34**.
|
||||
|
||||
| signal | mean_ic | t | weeks | N |
|
||||
|---|---:|---:|---:|---:|
|
||||
| fip_id | 0.0366 | 2.91 | 48 | 2913.0 |
|
||||
| high_52w | 0.1375 | 4.34 | 48 | 2914.5 |
|
||||
| mom_12_1 | 0.0791 | 3.64 | 48 | 2913.0 |
|
||||
| mom_12_1_resid | 0.0265 | 1.37 | 48 | 2913.0 |
|
||||
| mom_12_1_sector_demeaned | 0.034 | 1.32 | 35 | 496.7 |
|
||||
| mom_12_1_sector_resid | 0.0578 | 2.34 | 35 | 497.7 |
|
||||
| mom_3_1 | 0.0291 | 1.54 | 48 | 3234.2 |
|
||||
| mom_6_1 | 0.0779 | 4.36 | 48 | 3122.6 |
|
||||
| reversal_1m | -0.0126 | -0.72 | 48 | 3315.8 |
|
||||
| trend_200 | 0.0585 | 2.68 | 48 | 3001.5 |
|
||||
| vol_6m | -0.1623 | -4.94 | 48 | 3122.6 |
|
||||
On the same run, raw `mom_12_1` has **83 weeks, N≈2278**. So depth worked for
|
||||
price-only signals, but sector residual is still limited to the **~505 labeled
|
||||
prod names × short factor calendar** (sector map only covers prod; and/or sector
|
||||
ETF / two-factor path did not extend usable residual weeks).
|
||||
|
||||
**Pre-registered rule:** “Sector residual collapses pre-2021 → PARK Task 1
|
||||
wire-in.” Pre-2021 sector residual is **absent** from the era table. That is a
|
||||
**PARK**, not a confirmation of the short-window PROMOTE.
|
||||
|
||||
## Verdict
|
||||
Do **not** claim “sector residual beats market residual on deep history” from
|
||||
this table — the two rows are **not the same cross-section or window count**.
|
||||
|
||||
**PENDING_HUMAN**
|
||||
### 2. `fip_id` sign flips vs production fingerprint
|
||||
|
||||
Harness complete — human interprets relative IC / era stability. No production retune from this artifact.
|
||||
| sample | fip mean IC | t |
|
||||
|---|---:|---:|
|
||||
| Prod 505, ~5y (fingerprint) | **−0.045** | −2.91 |
|
||||
| Research breadth, deep (this run) | **+0.027** | +3.25 |
|
||||
|
||||
This does **not** authorize resurrecting unconditional FIP as a book filter. It
|
||||
confirms earlier Phase‑B caution: FIP edge is **universe- and sample-dependent**.
|
||||
Production display card can stay context-only. Nested lookbacks still not OOS.
|
||||
|
||||
### 3. Market residual vs raw momentum on deep breadth
|
||||
|
||||
On deep broad IC, **raw 12‑1 (0.066 / t 5.1) ≫ market residual (0.026 / t 2.2)**.
|
||||
That does **not** by itself overturn production residual ranking (book A/B was
|
||||
on 505 + GTL gate, not pure factor IC), but it is a yellow flag for “residual is
|
||||
always the better rank key” stories on broad history. **No auto-retune.**
|
||||
|
||||
### 4. Low-vol anomaly is the cleanest deep-history result
|
||||
|
||||
`vol_6m` IC −0.12 / t −6.3 full; stronger post-2021. Consistent sign across eras.
|
||||
Production already blends **high**-vol (not low-vol) into the 80/20 rank — this
|
||||
report does not change that without a separate A/B. Flag for human awareness only.
|
||||
|
||||
---
|
||||
|
||||
## Verdicts (vs pre-registration)
|
||||
|
||||
| question | verdict |
|
||||
|---|---|
|
||||
| Task 1 sector residual wire-in | **PARK** — no pre-2021 sector residual; deep-sample IC not established; short-window PROMOTE stays “human design only,” **not strengthened** by this run |
|
||||
| Sector demean | still **DEAD** for promotion (t 1.32, short only) |
|
||||
| SUE | **not re-scored here** (no `sue_latest` in harness table) — leave Task 2 **PARK** until full earnings backfill |
|
||||
| fip unconditional book filter | remains **rejected / parked** despite sign flip on broad deep sample |
|
||||
| Production residual / 80/20 / trail knobs | **no retune** from this report |
|
||||
| Overall Task 3 | **COMPLETE as diagnostic** — payload is relative IC + caveats above |
|
||||
|
||||
---
|
||||
|
||||
## What a human must decide next
|
||||
|
||||
- Compare sector residual vs market residual across eras.
|
||||
- If pre-2021 IC collapses, park Task 1 wire-in.
|
||||
- Do not retune production knobs on deep history levels.
|
||||
1. **Sector residual:** keep research-only until either
|
||||
(a) sector ETF + sector map cover the full deep window **and** IC is re-run
|
||||
with weeks ≫ 35 on a documented universe, or
|
||||
(b) explicitly accept short-window-only evidence (weaker case).
|
||||
2. **Do not** merge sector residual into production from this depth run.
|
||||
3. **Do not** retune residual vs raw, FIP, or vol blend from these IC tables
|
||||
without a pre-registered book A/B on the intended universe.
|
||||
4. Optional follow-up: extend sector ETF history + sector labels to nasdaq_all,
|
||||
re-run **only** sector residual IC on deep research.sqlite with race guard.
|
||||
5. Optional: finish earnings backfill (48→506) and re-run SUE; depth alone did
|
||||
not include SUE.
|
||||
|
||||
Artifacts: `reports/history-depth-20260719-103315.json`
|
||||
---
|
||||
|
||||
## Artifacts
|
||||
|
||||
| file | role |
|
||||
|---|---|
|
||||
| `reports/history-depth-20260719-103315.json` | **authoritative** |
|
||||
| `reports/history-depth-20260719-103315.md` | companion dump |
|
||||
| `reports/history-depth-20260719-093853` … `095156` | **ignore** (partial) |
|
||||
|
||||
Reference in New Issue
Block a user