From 64761f38bac3c313f1dec6eac7b353f9e01c13e7 Mon Sep 17 00:00:00 2001 From: Dennis Thiessen Date: Sun, 19 Jul 2026 10:42:01 +0200 Subject: [PATCH] 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. --- docs/research/history-depth-extension.md | 256 ++++++++++------------- reports/history-depth-20260719-103315.md | 256 ++++++++++------------- 2 files changed, 230 insertions(+), 282 deletions(-) diff --git a/docs/research/history-depth-extension.md b/docs/research/history-depth-extension.md index 79da918..522c57e 100644 --- a/docs/research/history-depth-extension.md +++ b/docs/research/history-depth-extension.md @@ -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) | diff --git a/reports/history-depth-20260719-103315.md b/reports/history-depth-20260719-103315.md index 79da918..522c57e 100644 --- a/reports/history-depth-20260719-103315.md +++ b/reports/history-depth-20260719-103315.md @@ -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) |