research: survivorship sensitivity and total-return momentum investigation

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

reports/tr-rank-agreement-mechanism.json

@@ -0,0 +1,105 @@
+{
+  "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
+    ]
+  }
+}