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feat: Phase B fip_id liquid-breadth research tooling
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Add research-only snapshot extender, PIT dollar-volume mask for signal IC,
rank-only harness path, fingerprint+breadth runner, and docs. Fingerprint
reproduced IC -0.045 / t -2.91 on prod.sqlite. No production gate/schedule changes.
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dennisthiessen
2026-07-18 20:22:11 +02:00
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docs/research/README.md
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@@ -141,8 +141,8 @@ knobs.
| Lead | Why it's interesting | Blocker |
|---|---|---|
| **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 — **after** execution path is decided |
| **Broader universe** (`nasdaq_all`) | Strengthens every week's cross-section and the IC t-stat | Grade under the fill mode you will trade |
| **`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; ticker technicals show it display-only | Doesn't improve *this* book as a filter. **Phase B tooling ready:** liquid-breadth IC on research.sqlite — see [fip-breadth-ic.md](fip-breadth-ic.md) |
| **Broader universe** (`nasdaq_all` / liquid top-N) | Strengthens cross-sections; where `fip_id` may become tradeable | Offline research only first (`extend_snapshot_universe.py`); not prod scan |
| **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 |