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research: survivorship sensitivity and total-return momentum investigation

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Three questions answered against snapshot copies, with no production change.

Step 1 — how sensitive is the backtest to the ranking universe? Restoring 85
S&P 500 constituents removed between 2021-06 and 2026-07 moves the same window
from 2.09 Sharpe / 51.6% CAGR to 1.57 / 38.1%. The failed banks never reached
either book (identical best/worst trade R), so this measures universe
recomposition, not survivorship bias. The removals list is curated by hand with
per-symbol sources; only three explicitly confirmed terminal events get marks,
and four unresolved endings are reported as caveats rather than inferred.

Step 2 — does a total-return basis change the ranking? Ordered lists differ on
1009 of 1009 evaluated dates, 4.56 replacements per date. The shift correlates
with trailing implied yield (mean Spearman +0.79), which is strong evidence
consistent with a dividend effect but does not isolate own-yield, since both
the stock and benchmark legs change.

Step 3a — does that reach P&L? A paired replay reusing one shared candidate set
(control reproduces the production row exactly) changes ~30% of entries.
Treatment is -3.7pp CAGR and -1.9pp drawdown, with the entire return gap in
2025. A paired moving-block bootstrap (seed 20260907, 5000 replicates, 21/63
blocks, both reported) puts every interval across zero.

Decision: production stays unchanged. No schema, no ingestion, no wider sweep.
The observed window does not resolve which basis is better, and choosing a
threshold now — with -3.7pp on the table — would be fitting the rule to the
answer.

Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01HAH7vVtn7qbcn1EVheecHQ
This commit is contained in:
dennisthiessenandClaude Opus 5 committed 2026-09-07 19:29:34 +02:00
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reports/backtest-20260907-survivorship-a.json
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reports/backtest-20260907-survivorship-b-nomarks.json
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reports/backtest-20260907-survivorship-b.json
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reports/tr-rank-agreement-mechanism.json
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{
"generated_at": "2026-09-07T10:55:05.693160+00:00",
"snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\survivorship-a.sqlite",
"cache": "C:\\Workspace\\signal-platform\\backtest_snapshots\\tr-rank-cache.sqlite",
"window": {
"start": "2021-06-24",
"end": "2026-07-02"
},
"universe_size": 505,
"sample_every_n_sessions": 25,
"result": {
"what_it_measures": "Spearman correlation, per sampled date, between a name's trailing 12-month implied yield (from the ALL/SPLIT ratio over the formation window) and the change in its momentum percentile between the two arms.",
"caveat": "Both the stock series and the benchmark leg change between arms, so this is strong evidence consistent with a dividend effect - it does not isolate the stock's own yield from the beta-weighted benchmark yield.",
"formation_window_bars": 252,
"min_symbols_per_date": 30,
"sampled_dates": 40,
"sample_date_list": [
"2022-07-28",
"2022-09-01",
"2022-10-07",
"2022-11-11",
"2022-12-19",
"2023-01-26",
"2023-03-03",
"2023-04-10",
"2023-05-15",
"2023-06-21",
"2023-07-27",
"2023-08-31",
"2023-10-06",
"2023-11-10",
"2023-12-18",
"2024-01-25",
"2024-03-01",
"2024-04-08",
"2024-05-13",
"2024-06-18",
"2024-07-25",
"2024-08-29",
"2024-10-04",
"2024-11-08",
"2024-12-16",
"2025-01-24",
"2025-03-03",
"2025-04-07",
"2025-05-13",
"2025-06-18",
"2025-07-25",
"2025-08-29",
"2025-10-06",
"2025-11-10",
"2025-12-16",
"2026-01-23",
"2026-03-02",
"2026-04-07",
"2026-05-12",
"2026-06-17"
],
"mean_spearman_yield_vs_percentile_shift": 0.7924,
"min": 0.7138,
"max": 0.8459,
"per_date_spearman": [
0.7814,
0.7933,
0.8216,
0.8325,
0.8108,
0.8147,
0.8074,
0.8421,
0.7867,
0.7907,
0.7682,
0.7568,
0.7849,
0.7536,
0.7138,
0.7385,
0.7414,
0.7697,
0.8078,
0.8325,
0.8132,
0.8459,
0.8397,
0.7966,
0.7808,
0.8285,
0.8068,
0.8376,
0.7974,
0.8256,
0.8046,
0.7762,
0.8008,
0.8046,
0.7793,
0.7978,
0.7678,
0.7549,
0.7501,
0.7384
]
}
}
reports/tr-rank-agreement.json
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{
"generated_at": "2026-09-07T10:57:26.602851+00:00",
"snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\survivorship-a.sqlite",
"cache": "C:\\Workspace\\signal-platform\\backtest_snapshots\\tr-rank-cache.sqlite",
"window": {
"start": "2021-06-24",
"end": "2026-07-02"
},
"universe_size": 505,
"inert_snapshot_symbols": [
"RHM"
],
"cutoff": 80.0,
"verdict": "proceed to Step 3 - ordered lists differ",
"result": {
"evaluated_dates": 1009,
"skipped_dates_no_history": 252,
"dates_with_different_admitted_set": 1007,
"dates_with_different_ordered_list": 1009,
"mean_set_disagreement": 0.08668279921946223,
"max_set_disagreement": 0.21428571428571427,
"mean_admitted_per_arm": 100.09,
"mean_names_only_in_price_return": 4.56,
"mean_names_only_in_total_return": 4.56,
"mean_replacements_per_date": 4.56,
"max_replacements_per_date": 12,
"mean_symmetric_difference": 9.13,
"per_year": {
"2022": {
"dates": 132,
"changed_sets": 132,
"changed_orders": 132
},
"2023": {
"dates": 250,
"changed_sets": 250,
"changed_orders": 250
},
"2024": {
"dates": 252,
"changed_sets": 252,
"changed_orders": 252
},
"2025": {
"dates": 250,
"changed_sets": 248,
"changed_orders": 250
},
"2026": {
"dates": 125,
"changed_sets": 125,
"changed_orders": 125
}
},
"examples": [
{
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"admitted_price_return": 99,
"admitted_total_return": 99,
"only_in_price_return": [
"CDNS",
"MAR",
"FIX",
"COST",
"LIN",
"AON",
"STE",
"CI",
"AJG"
],
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"EXC",
"PSX",
"WY",
"AMCR",
"DTE",
"GIS",
"FE",
"BMY",
"ES"
],
"order_changed_without_membership_change": false,
"first_10_price_return": [
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"EQT",
"APA",
"DVN",
"MOS",
"CTRA",
"ON",
"ALB",
"CF",
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],
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]
},
{
"date": "2022-06-27",
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"only_in_price_return": [
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"FIX",
"CI",
"PAYX",
"HSIC",
"L",
"AIZ"
],
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"MO",
"AMCR",
"GIS",
"DTE",
"CMS",
"FE",
"BMY"
],
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"ALB"
]
},
{
"date": "2022-06-28",
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"FCX",
"LYV",
"ULTA",
"CDNS",
"AMP",
"FIX",
"AJG"
],
"only_in_total_return": [
"EXC",
"MO",
"AMCR",
"ETR",
"DTE",
"CMS",
"BMY"
],
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"first_10_price_return": [
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"ON",
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"ALB",
"HAL"
],
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"OXY",
"APA",
"DVN",
"EQT",
"MOS",
"CTRA",
"ON",
"CF",
"EXE",
"HAL"
]
},
{
"date": "2022-06-29",
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"only_in_price_return": [
"CDNS",
"FIX",
"COST",
"WAB",
"AJG",
"TRV"
],
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"EXC",
"LYB",
"MO",
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"DTE",
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"first_10_price_return": [
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],
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"OXY",
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"DVN",
"EQT",
"MOS",
"CTRA",
"CF",
"ALB",
"EXE",
"ON"
]
},
{
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"only_in_price_return": [
"LYV",
"CDNS",
"RJF",
"WAB",
"FIX",
"AON",
"TKO"
],
"only_in_total_return": [
"EXC",
"NRG",
"MO",
"LMT",
"DTE",
"WEC",
"AEE"
],
"order_changed_without_membership_change": false,
"first_10_price_return": [
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"APA",
"DVN",
"EQT",
"MOS",
"CTRA",
"ON",
"CF",
"ALB",
"HAL"
],
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]
},
{
"date": "2022-07-01",
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],
"only_in_total_return": [
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],
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],
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]
},
{
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"only_in_price_return": [
"HLT",
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"L",
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],
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"EXC",
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"MO",
"CMS",
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],
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"first_10_price_return": [
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],
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"SMCI",
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]
},
{
"date": "2022-07-06",
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"TPL",
"ANET",
"HLT",
"LIN",
"UNH",
"CVS"
],
"only_in_total_return": [
"EXC",
"RF",
"LYB",
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],
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"first_10_price_return": [
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"CF",
"HAL"
],
"first_10_total_return": [
"APA",
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"EQT",
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"CTRA",
"ON",
"SMCI",
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]
},
{
"date": "2022-07-07",
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"only_in_price_return": [
"RJF",
"LIN",
"PKG",
"L"
],
"only_in_total_return": [
"EXC",
"LYB",
"WY",
"ETR"
],
"order_changed_without_membership_change": false,
"first_10_price_return": [
"APA",
"OXY",
"DVN",
"EQT",
"ON",
"MOS",
"SMCI",
"CTRA",
"HAL",
"CF"
],
"first_10_total_return": [
"APA",
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]
},
{
"date": "2022-07-08",
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],
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"LYB",
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"ETR",
"AEP",
"ATO"
],
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"first_10_price_return": [
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],
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]
}
],
"elapsed_seconds": 132.0
},
"coverage": {
"symbols_cached": 507,
"symbols_with_unmatched_dates": 0,
"total_unmatched_dates": 0
}
}
reports/tr-total-return-ab.json
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