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research: fip breadth diagnostics + compositional read

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Add lagged/tier/prod-subset/mom-conditional checks on research.sqlite.
Log: unconditional sign is a winner/bleeder tug-of-war; mom-conditional
fip stays negative and reliable; warn on high-vol tilt if universe broadens.
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dennisthiessen
2026-07-18 21:40:05 +02:00
parent d34c7a21b7
commit ceaaadc49f
5 changed files with 995 additions and 25 deletions
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reports/fip-breadth-diagnostics-20260718-213908.json
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{
"generated_at": "2026-07-18T21:39:07.916038",
"research_snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite",
"prod_subset_n": 506,
"panel_tickers": 4403,
"top_n": 1500,
"min_price": 5.0,
"checks": {
"fip_same_week_liquid_1500": {
"note": "Replication of main breadth run (same-week $vol mask)",
"mean_ic": -0.0168,
"ic_t_stat": -1.85,
"weeks": 35,
"avg_cross_section": 1471.2,
"ic_positive_pct": 40.0,
"reliable": true
},
"fip_lagged_membership_1w": {
"note": "Liquid top-N ranked on *prior* week's median $vol \u2014 excludes same-week liquidity explosion leak",
"mean_ic": -0.0102,
"ic_t_stat": -0.93,
"weeks": 35,
"avg_cross_section": 1471.2,
"ic_positive_pct": 40.0,
"reliable": true
},
"fip_tier_1_800": {
"note": "Same-week liquid ranks 1\u2013800 (senior liquid tier)",
"mean_ic": -0.035,
"ic_t_stat": -2.99,
"weeks": 35,
"avg_cross_section": 791.2,
"ic_positive_pct": 25.7,
"reliable": true
},
"fip_tier_801_1500": {
"note": "Same-week liquid ranks 801\u20131500 (junior liquid tier)",
"mean_ic": 0.0141,
"ic_t_stat": 1.25,
"weeks": 35,
"avg_cross_section": 700.0,
"ic_positive_pct": 60.0,
"reliable": true
},
"fip_prod_universe_subset": {
"note": "Symbols in prod.sqlite (~S&P-like large-cap book) inside same-week liquid top-N \u2014 compositional control",
"mean_ic": -0.0444,
"ic_t_stat": -2.88,
"weeks": 35,
"avg_cross_section": 497.5,
"ic_positive_pct": 25.7,
"reliable": true
},
"fip_momentum_conditional_top20pct": {
"note": "Among liquid top-N, keep mom_12_1 percentile \u2265 80.0 (paper: ID modulates continuation among winners; gate-relevant)",
"mean_ic": -0.0879,
"ic_t_stat": -4.58,
"weeks": 35,
"avg_cross_section": 294.3,
"ic_positive_pct": 22.9,
"reliable": true
},
"vol_6m_liquid_1500": {
"note": "Context: low-vol anomaly strength on this pool",
"mean_ic": -0.0465,
"ic_t_stat": -1.3,
"weeks": 35,
"avg_cross_section": 1471.2,
"ic_positive_pct": 37.1,
"reliable": true
},
"mom_12_1_liquid_1500": {
"note": "Context: raw momentum on liquid breadth",
"mean_ic": 0.0462,
"ic_t_stat": 1.91,
"weeks": 35,
"avg_cross_section": 1471.2,
"ic_positive_pct": 65.7,
"reliable": true
},
"mom_12_1_resid_liquid_1500": {
"note": "Context: residual momentum on liquid breadth",
"mean_ic": 0.0289,
"ic_t_stat": 1.33,
"weeks": 35,
"avg_cross_section": 1471.2,
"ic_positive_pct": 60.0,
"reliable": true
}
},
"interpretation": {
"leak_ruled_out": false,
"junior_tier_drives_positive": true,
"prod_subset_still_negative": true,
"mom_conditional_negative_and_reliable": true,
"compositional_flip_story": "If prod subset IC is negative while full liquid-1500 is positive, the sign flip is compositional (bleeders / Nasdaq junk), not a temporal regime change. Unconditional fip pools continuous winners (want neg IC) against continuous losers/bleeders (want pos IC).",
"vol_tilt_warning": "vol_6m large negative IC on breadth: high-vol lottery names underperform. Production 80/20 high-vol tilt was validated on S&P-like names; must re-validate before any universe broaden."
},
"platform_verdict": "ALIVE as breadth-book tilt candidate among momentum winners only \u2014 still needs a book-level experiment; not a production wire-in."
}