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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
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dennisthiessenandClaude Opus 5 committed 2026-09-07 19:29:34 +02:00
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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": {
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"changed_sets": 252,
"changed_orders": 252
},
"2025": {
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"changed_sets": 248,
"changed_orders": 250
},
"2026": {
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"changed_sets": 125,
"changed_orders": 125
}
},
"examples": [
{
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],
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],
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],
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{
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{
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],
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{
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{
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{
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]
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{
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]
}
],
"elapsed_seconds": 132.0
},
"coverage": {
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"symbols_with_unmatched_dates": 0,
"total_unmatched_dates": 0
}
}