Revert "feat: Phase B fip_id liquid-breadth research tooling"

This reverts commit 9704e0d85a.
2026-07-18 20:24:17 +02:00
parent 9704e0d85a
commit c2c7244d1a
8 changed files with 73 additions and 1578 deletions
@@ -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; 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 |
+| **`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 |
 | **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 |

@@ -1,54 +0,0 @@
-# Broad-universe fip_id IC research (Phase B)
-
-Generated: 2026-07-18T19:48:28.127710
-
-## Scope
-
- **Research only** — production universe, gate, scanner, schedule unchanged.
- Price-only signal harness; no sentiment/fundamentals on the broad tier.
- Point-in-time liquidity mask: top **1500** by 63d median $vol, price ≥ **$5.0** at as-of.
-
-## Caveats
-
- **Survivorship bias**: today's constituents backfilled historically (worse in small caps).
- **IEX volume undercount**: relative $vol rank only, not absolute floors.
- **Pool skew**: nasdaq_all ∪ sp500 tilts tech/biotech; missing pure NYSE mid-caps.
-
-## Fingerprint (505-name prod snapshot)
-
- Expected: IC ≈ -0.045, t ≈ -2.9
- Observed: IC = -0.045, t = -2.91, weeks = 35, reliable = True
- Pass: **True**
-
-## Liquid-breadth signal_eval (fip_id)
-
-**Not run yet in this environment** (no Alpaca credentials to build
-`backtest_snapshots/research.sqlite`). Local machine with keys:
-
-```bash
-python scripts/extend_snapshot_universe.py --force-copy
-python scripts/run_fip_breadth_research.py --skip-fingerprint --allow-spawn --workers 6
-```
-
-(`--skip-fingerprint` only after a green fingerprint on this machine.)
-
-| metric | value |
-|---|---|
-| mean_ic | _pending_ |
-| ic_t_stat | _pending_ |
-| weeks | _pending_ |
-| avg_cross_section | _pending_ |
-| reliable | _pending_ |
-
-## Verdict (iron rule)
-
- **Fingerprint:** green (IC −0.045 / t −2.91 / reliable / 35 weeks).  
- **Breadth iron rule:** **pending** until research.sqlite run completes.  
- Green breadth would authorize a **follow-up proposal** only (two-tier universe /
-  gate revalidation) — **not** production wire-in.
-
-## Artifacts
-
- Fingerprint report: `reports/fip-breadth-20260718-194828-fingerprint.json`
-  (and summary `reports/fip-breadth-20260718-194828.json`)
- Breadth report: _pending_