dennisthiessen/signal-platform
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

tests done

Browse Source
This commit is contained in:
Dennis Thiessen
2026-07-19 10:40:19 +02:00
parent 06cf054f60
commit f6e0ca734f
12 changed files with 1801 additions and 5 deletions
Download Patch File Download Diff File Expand all files Collapse all files
reports/history-depth-20260719-103315.json
+494
View File
@@ -0,0 +1,494 @@
{
"generated_at": "2026-07-19T10:33:15.322673",
"survivorship_banner": "SURVIVORSHIP BIAS: today's constituents backfilled historically. Absolute Sharpe/CAGR levels on deep history are optimistic. Use RELATIVE signal IC comparisons and era stability only \u2014 not levels.",
"coverage": null,
"race_guard": {
"manifest": {
"schema_version": 1,
"snapshot": "research.sqlite",
"snapshot_resolved": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite",
"complete": true,
"finished_at": "2026-07-19T08:19:02.992206+00:00",
"ticker_count": 4655,
"ohlcv_row_count": 6609926,
"rank_only_count": 4149,
"sources": {
"nasdaq_all": "nasdaq_trader",
"sp500": "wikipedia_sp500"
},
"history_days": 5000,
"min_bars": 260,
"fetch_ok": 4152,
"fetch_fail": 0,
"limit": null,
"extra": {
"prod_symbols_at_start": 506,
"pool_size": 4648,
"to_fetch": 4152
},
"live_counts": {
"ticker_count": 4655,
"ohlcv_row_count": 6609926,
"rank_only_count": 4149
}
},
"ok": true
},
"harness": {
"survivorship_banner": "SURVIVORSHIP BIAS: today's constituents backfilled historically. Absolute Sharpe/CAGR levels on deep history are optimistic. Use RELATIVE signal IC comparisons and era stability only \u2014 not levels.",
"signal_eval": [
{
"signal": "high_52w",
"weeks": 84,
"avg_cross_section": 2280.3,
"mean_ic": 0.1111,
"ic_t_stat": 6.41,
"ic_positive_pct": 76.2,
"mean_quintile_spread": -13.5104,
"reliable": true
},
{
"signal": "mom_12_1",
"weeks": 83,
"avg_cross_section": 2277.5,
"mean_ic": 0.0663,
"ic_t_stat": 5.11,
"ic_positive_pct": 74.7,
"mean_quintile_spread": -10.1818,
"reliable": true
},
{
"signal": "mom_12_1_sector_resid",
"weeks": 35,
"avg_cross_section": 497.7,
"mean_ic": 0.0578,
"ic_t_stat": 2.34,
"ic_positive_pct": 65.7,
"mean_quintile_spread": 0.0245,
"reliable": true
},
{
"signal": "trend_200",
"weeks": 85,
"avg_cross_section": 2308.1,
"mean_ic": 0.0546,
"ic_t_stat": 4.3,
"ic_positive_pct": 70.6,
"mean_quintile_spread": -12.4094,
"reliable": true
},
{
"signal": "mom_6_1",
"weeks": 88,
"avg_cross_section": 2375.7,
"mean_ic": 0.0493,
"ic_t_stat": 4.91,
"ic_positive_pct": 70.5,
"mean_quintile_spread": 3.4224,
"reliable": true
},
{
"signal": "mom_3_1",
"weeks": 90,
"avg_cross_section": 2425.6,
"mean_ic": 0.0363,
"ic_t_stat": 3.58,
"ic_positive_pct": 72.2,
"mean_quintile_spread": 0.9289,
"reliable": true
},
{
"signal": "mom_12_1_sector_demeaned",
"weeks": 35,
"avg_cross_section": 496.7,
"mean_ic": 0.034,
"ic_t_stat": 1.32,
"ic_positive_pct": 62.9,
"mean_quintile_spread": 0.0154,
"reliable": true
},
{
"signal": "fip_id",
"weeks": 83,
"avg_cross_section": 2277.5,
"mean_ic": 0.0267,
"ic_t_stat": 3.25,
"ic_positive_pct": 67.5,
"mean_quintile_spread": -0.0017,
"reliable": true
},
{
"signal": "mom_12_1_resid",
"weeks": 83,
"avg_cross_section": 2277.5,
"mean_ic": 0.0256,
"ic_t_stat": 2.21,
"ic_positive_pct": 65.1,
"mean_quintile_spread": 10.1373,
"reliable": true
},
{
"signal": "reversal_1m",
"weeks": 91,
"avg_cross_section": 2443.2,
"mean_ic": 0.003,
"ic_t_stat": 0.31,
"ic_positive_pct": 48.4,
"mean_quintile_spread": -7.0153,
"reliable": true
},
{
"signal": "vol_6m",
"weeks": 88,
"avg_cross_section": 2375.7,
"mean_ic": -0.1226,
"ic_t_stat": -6.34,
"ic_positive_pct": 21.6,
"mean_quintile_spread": 1.4646,
"reliable": true
}
],
"era_split": {
"era_split_date": "2021-01-01",
"note": "Diagnostic only \u2014 not a tuning input. Nested lookbacks are not OOS.",
"full": {
"high_52w": {
"signal": "high_52w",
"weeks": 84,
"avg_cross_section": 2280.3,
"mean_ic": 0.1111,
"ic_t_stat": 6.41,
"ic_positive_pct": 76.2,
"mean_quintile_spread": -13.5104,
"reliable": true
},
"mom_12_1": {
"signal": "mom_12_1",
"weeks": 83,
"avg_cross_section": 2277.5,
"mean_ic": 0.0663,
"ic_t_stat": 5.11,
"ic_positive_pct": 74.7,
"mean_quintile_spread": -10.1818,
"reliable": true
},
"mom_12_1_sector_resid": {
"signal": "mom_12_1_sector_resid",
"weeks": 35,
"avg_cross_section": 497.7,
"mean_ic": 0.0578,
"ic_t_stat": 2.34,
"ic_positive_pct": 65.7,
"mean_quintile_spread": 0.0245,
"reliable": true
},
"trend_200": {
"signal": "trend_200",
"weeks": 85,
"avg_cross_section": 2308.1,
"mean_ic": 0.0546,
"ic_t_stat": 4.3,
"ic_positive_pct": 70.6,
"mean_quintile_spread": -12.4094,
"reliable": true
},
"mom_6_1": {
"signal": "mom_6_1",
"weeks": 88,
"avg_cross_section": 2375.7,
"mean_ic": 0.0493,
"ic_t_stat": 4.91,
"ic_positive_pct": 70.5,
"mean_quintile_spread": 3.4224,
"reliable": true
},
"mom_3_1": {
"signal": "mom_3_1",
"weeks": 90,
"avg_cross_section": 2425.6,
"mean_ic": 0.0363,
"ic_t_stat": 3.58,
"ic_positive_pct": 72.2,
"mean_quintile_spread": 0.9289,
"reliable": true
},
"mom_12_1_sector_demeaned": {
"signal": "mom_12_1_sector_demeaned",
"weeks": 35,
"avg_cross_section": 496.7,
"mean_ic": 0.034,
"ic_t_stat": 1.32,
"ic_positive_pct": 62.9,
"mean_quintile_spread": 0.0154,
"reliable": true
},
"fip_id": {
"signal": "fip_id",
"weeks": 83,
"avg_cross_section": 2277.5,
"mean_ic": 0.0267,
"ic_t_stat": 3.25,
"ic_positive_pct": 67.5,
"mean_quintile_spread": -0.0017,
"reliable": true
},
"mom_12_1_resid": {
"signal": "mom_12_1_resid",
"weeks": 83,
"avg_cross_section": 2277.5,
"mean_ic": 0.0256,
"ic_t_stat": 2.21,
"ic_positive_pct": 65.1,
"mean_quintile_spread": 10.1373,
"reliable": true
},
"reversal_1m": {
"signal": "reversal_1m",
"weeks": 91,
"avg_cross_section": 2443.2,
"mean_ic": 0.003,
"ic_t_stat": 0.31,
"ic_positive_pct": 48.4,
"mean_quintile_spread": -7.0153,
"reliable": true
},
"vol_6m": {
"signal": "vol_6m",
"weeks": 88,
"avg_cross_section": 2375.7,
"mean_ic": -0.1226,
"ic_t_stat": -6.34,
"ic_positive_pct": 21.6,
"mean_quintile_spread": 1.4646,
"reliable": true
}
},
"pre_2021": {
"high_52w": {
"signal": "high_52w",
"weeks": 36,
"avg_cross_section": 1422.2,
"mean_ic": 0.0494,
"ic_t_stat": 2.0,
"ic_positive_pct": 63.9,
"mean_quintile_spread": -31.5146,
"reliable": true
},
"mom_12_1": {
"signal": "mom_12_1",
"weeks": 36,
"avg_cross_section": 1424.8,
"mean_ic": 0.0413,
"ic_t_stat": 2.94,
"ic_positive_pct": 66.7,
"mean_quintile_spread": -23.3935,
"reliable": true
},
"trend_200": {
"signal": "trend_200",
"weeks": 38,
"avg_cross_section": 1440.9,
"mean_ic": 0.0322,
"ic_t_stat": 2.23,
"ic_positive_pct": 68.4,
"mean_quintile_spread": -27.5982,
"reliable": true
},
"mom_12_1_resid": {
"signal": "mom_12_1_resid",
"weeks": 36,
"avg_cross_section": 1424.8,
"mean_ic": 0.0226,
"ic_t_stat": 1.68,
"ic_positive_pct": 69.4,
"mean_quintile_spread": 23.4097,
"reliable": true
},
"mom_3_1": {
"signal": "mom_3_1",
"weeks": 42,
"avg_cross_section": 1480.0,
"mean_ic": 0.0217,
"ic_t_stat": 1.84,
"ic_positive_pct": 73.8,
"mean_quintile_spread": 2.0077,
"reliable": true
},
"mom_6_1": {
"signal": "mom_6_1",
"weeks": 40,
"avg_cross_section": 1461.2,
"mean_ic": 0.0205,
"ic_t_stat": 1.63,
"ic_positive_pct": 65.0,
"mean_quintile_spread": 7.4512,
"reliable": true
},
"fip_id": {
"signal": "fip_id",
"weeks": 36,
"avg_cross_section": 1424.8,
"mean_ic": 0.0116,
"ic_t_stat": 1.35,
"ic_positive_pct": 58.3,
"mean_quintile_spread": -0.0118,
"reliable": true
},
"reversal_1m": {
"signal": "reversal_1m",
"weeks": 44,
"avg_cross_section": 1501.4,
"mean_ic": 0.0019,
"ic_t_stat": 0.15,
"ic_positive_pct": 50.0,
"mean_quintile_spread": -14.4299,
"reliable": true
},
"vol_6m": {
"signal": "vol_6m",
"weeks": 40,
"avg_cross_section": 1461.2,
"mean_ic": -0.056,
"ic_t_stat": -2.16,
"ic_positive_pct": 35.0,
"mean_quintile_spread": 3.1335,
"reliable": true
}
},
"post_2021": {
"high_52w": {
"signal": "high_52w",
"weeks": 48,
"avg_cross_section": 2914.5,
"mean_ic": 0.1375,
"ic_t_stat": 4.34,
"ic_positive_pct": 79.2,
"mean_quintile_spread": -0.0856,
"reliable": true
},
"mom_12_1": {
"signal": "mom_12_1",
"weeks": 48,
"avg_cross_section": 2913.0,
"mean_ic": 0.0791,
"ic_t_stat": 3.64,
"ic_positive_pct": 77.1,
"mean_quintile_spread": -0.0858,
"reliable": true
},
"mom_6_1": {
"signal": "mom_6_1",
"weeks": 48,
"avg_cross_section": 3122.6,
"mean_ic": 0.0779,
"ic_t_stat": 4.36,
"ic_positive_pct": 75.0,
"mean_quintile_spread": -0.0781,
"reliable": true
},
"trend_200": {
"signal": "trend_200",
"weeks": 48,
"avg_cross_section": 3001.5,
"mean_ic": 0.0585,
"ic_t_stat": 2.68,
"ic_positive_pct": 72.9,
"mean_quintile_spread": -0.1129,
"reliable": true
},
"mom_12_1_sector_resid": {
"signal": "mom_12_1_sector_resid",
"weeks": 35,
"avg_cross_section": 497.7,
"mean_ic": 0.0578,
"ic_t_stat": 2.34,
"ic_positive_pct": 65.7,
"mean_quintile_spread": 0.0245,
"reliable": true
},
"fip_id": {
"signal": "fip_id",
"weeks": 48,
"avg_cross_section": 2913.0,
"mean_ic": 0.0366,
"ic_t_stat": 2.91,
"ic_positive_pct": 70.8,
"mean_quintile_spread": -0.0151,
"reliable": true
},
"mom_12_1_sector_demeaned": {
"signal": "mom_12_1_sector_demeaned",
"weeks": 35,
"avg_cross_section": 496.7,
"mean_ic": 0.034,
"ic_t_stat": 1.32,
"ic_positive_pct": 62.9,
"mean_quintile_spread": 0.0154,
"reliable": true
},
"mom_3_1": {
"signal": "mom_3_1",
"weeks": 48,
"avg_cross_section": 3234.2,
"mean_ic": 0.0291,
"ic_t_stat": 1.54,
"ic_positive_pct": 66.7,
"mean_quintile_spread": -0.0356,
"reliable": true
},
"mom_12_1_resid": {
"signal": "mom_12_1_resid",
"weeks": 48,
"avg_cross_section": 2913.0,
"mean_ic": 0.0265,
"ic_t_stat": 1.37,
"ic_positive_pct": 66.7,
"mean_quintile_spread": -0.0405,
"reliable": true
},
"reversal_1m": {
"signal": "reversal_1m",
"weeks": 48,
"avg_cross_section": 3315.8,
"mean_ic": -0.0126,
"ic_t_stat": -0.72,
"ic_positive_pct": 45.8,
"mean_quintile_spread": -0.0387,
"reliable": true
},
"vol_6m": {
"signal": "vol_6m",
"weeks": 48,
"avg_cross_section": 3122.6,
"mean_ic": -0.1623,
"ic_t_stat": -4.94,
"ic_positive_pct": 22.9,
"mean_quintile_spread": 0.0059,
"reliable": true
}
}
},
"params": {
"step_days": 5,
"step_sessions": 5,
"entry_cadence": "weekly",
"signal_eval_cadence": "weekly",
"horizon_days": 30,
"min_lookback": 60,
"cost_per_side_pct": 0.1,
"target_model": "production_gtl",
"target_model_label": "Live GTL (production)",
"is_production_target_model": true,
"production_reentry_policy": "gate_reset",
"liquid_breadth_top_n": null,
"liquid_min_price": null,
"signal_eval_only": true
},
"tickers": 4655,
"generated_at_run": "2026-07-19T08:27:27.206022+00:00"
},
"verdict": "PENDING_HUMAN",
"verdict_detail": "Harness complete \u2014 human interprets relative IC / era stability. No production retune from this artifact.",
"human_next": "- Compare sector residual vs market residual across eras.\n- If pre-2021 IC collapses, park Task 1 wire-in.\n- Do not retune production knobs on deep history levels.",
"report_path": "reports/history-depth-20260719-103315.json"
}