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research: Task 2 closed — SUE dead, earnings gap informational

Browse Source 
Earnings backfill sourced from the public DoltHub earnings repo at a
pinned commit rather than the FMP API: reproducible for anyone re-running
the study, and it burns no request quota. 12,414 events, 98.6% of symbols
with >=8 announcements, 99.2% paired actual/estimate, no keyed duplicates.

2a earnings-gap diagnostic: INFORMATIONAL, no filter shipped. The
pre-earnings cohort's right tail was better, so the registered
avoid-earnings condition failed. Note the raw 23/266 vs 115/574 incidence
gap is largely a duration confound -- severe losses stop out fast and have
less time to span an announcement -- so it is not evidence that holding
through earnings is safe.

2b SUE: FAIL against the pre-registered +0.03 bar (unconditional IC
+0.0151 over 56 reliable windows, momentum-conditional +0.0213). Signs
stable across eras, so this is a clean null rather than an ambiguous one,
consistent with post-earnings drift having decayed in large caps.

Closes the Tier-1 arc: Task 1 dead on deep evidence, Task 2 dead here,
Task 3 complete as diagnostic. No in-sample research thread remains open.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
This commit is contained in:
dennisthiessen
2026-07-20 21:10:46 +02:00
co-authored by Claude Fable 5
parent 1fa3d70dec
commit c7c60a64f2
14 changed files with 3705 additions and 1828 deletions
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scripts/run_tier1_macbook.sh
+5 -3
View File
@@ -120,12 +120,14 @@ case "$PHASE" in
ssl) ssl_check ;;
earnings)
need_file "$PROD_SNAP"
log "Earnings backfill + research (parked experiment)"
need_file "$RESEARCH_SNAP"
log "Earnings Task 2 bulk backfill + registered 2a/2b closeout"
"$PYTHON" scripts/backfill_earnings_events.py \
--snapshot "$PROD_SNAP" --provider fmp --force-symbol \
--snapshot "$PROD_SNAP" --from-date 2016-01-04 --window-days 30 \
--limit "$FMP_LIMIT" --sleep "$FMP_SLEEP"
"$PYTHON" scripts/run_earnings_research.py \
--snapshot "$PROD_SNAP" --workers "$WORKERS" --allow-spawn
--snapshot "$RESEARCH_SNAP" --universe-snapshot "$PROD_SNAP" \
--earnings-snapshot "$PROD_SNAP" --workers "$WORKERS" --allow-spawn
;;
prod_book)
need_file "$RESEARCH_SNAP"