research: volatility-standardized residual momentum screen, failed

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Strategy review (2026-09-08) and a frozen, paired signal screen of
residual 12-1 momentum divided by its formation-window residual
volatility. Across 73 non-overlapping windows the normalized signal's IC
is 0.0128 against 0.0145 for the matched control, below the frozen 0.03
floor, so the conditional portfolio replay was not run and nothing in
production changes.

Code-review fixes to the runner, before first commit: a missing OHLC
price stops the run instead of reading as 0; the snapshot connection is
closed explicitly (on Windows it otherwise kept the file locked); the
paired-coverage check raises instead of asserting, so python -O cannot
strip it; and source files are recorded as git blob ids with line
endings normalized, so the report can be checked against history. The
report was regenerated with the fixed runner; its screen section is
byte-identical to the original run.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>

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dennisthiessenandClaude Opus 5.5 committed 2026-10-10 18:45:24 +02:00

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