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.
This commit is contained in:
2026-07-18 20:22:11 +02:00
parent c2d29184dd
commit 9704e0d85a
8 changed files with 1578 additions and 73 deletions
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{
"generated_at": "2026-07-18T19:48:28.127710",
"liquid_breadth_top_n": 1500,
"liquid_min_price": 5.0,
"fingerprint": {
"signal": "fip_id",
"weeks": 35,
"avg_cross_section": 497.7,
"mean_ic": -0.045,
"ic_t_stat": -2.91,
"ic_positive_pct": 25.7,
"mean_quintile_spread": -0.0168,
"reliable": true,
"pass": true,
"expected_ic": -0.045,
"expected_t": -2.9
},
"breadth": null,
"verdict": null,
"fingerprint_report_path": "reports\\fip-breadth-20260718-194828-fingerprint.json"
}