Authoritative report history-depth-20260719-103315: race guard pass on deep
research.sqlite. Sector residual still short-window only (no pre-2021); fip sign
flips on broad deep sample; no production retune.
Tier-1 alpha research (local only, no production deploy):
Sector residual momentum: two-factor SPY+sector residual and sector demean signals, IC harness + A/B. Sector resid clears pre-registered bars narrowly (PROMOTE for human wire design only). Sector demean fails t vs market resid.
Earnings: earnings_events backfill (FMP bulk paid; FMP/AV per-symbol), 2a gap diagnostic report-only, 2b SUE IC (PARK; incomplete 48/506 coverage).
History-depth: pre-registered doc + runner for MacBook deep rebuild/harness.
Do not ship production residual or filters from this branch.
Log the 21:14 orphan as a snapshot-build race, rewrite the context table to
authoritative ICs only, and soften the vol-tilt warning. Add extender completion
manifest + breadth refuse guard; strip intermediate/orphaned reports; park the
thread (no book sim, no deploy).
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.
Add research-only snapshot extender, PIT dollar-volume mask for signal IC,
rank-only harness path, fingerprint+breadth runner, and docs. Fingerprint
reproduced IC -0.045 / t -2.91 on prod.sqlite. No production gate/schedule changes.
Browse, drill, and compare all report sections (not just four tables), overlay equity curves, and sort reports by generated_at so the newest run is always on top.
min_rr = 2.0 was hand-set in Admin (2026-06-24) and never swept — the gate
ablation only tested the floor on-vs-off, never its level. It was the last
un-swept knob in the live gate.
Swept against portfolio Sharpe under the real exit, with a parity self-check
(reproduces_production_gate: the row at the live floor must rebuild production's
exact 1,089-setup qualified set — it does).
min_rr qualified in-sample Sh/CAGR OOS Sh/CAGR (entries >= 2024-07)
0.0 6636 1.98 / 58.5% 2.02 / 66.2%
1.2 3897 1.34 / 33.9% 1.12 / 28.8%
1.5 3127 1.20 / 29.6% 1.12 / 28.8%
1.75 1974 1.64 / 44.5% 1.15 / 27.4%
2.0 (live) 1089 2.04 / 50.4% 2.78 / 73.3%
2.25 577 1.64 / 31.8% 1.71 / 31.9%
2.5 286 1.67 / 29.0% 0.68 / 8.7%
KEEP 2.0. It is the optimum in both windows, and a peak that reproduces in data
it was never fitted to is real evidence. But treat it as fragile: unlike the ATR
trail (a plateau), this is a spike with a trough beside it — +/-0.25 costs ~0.4
Sharpe in-sample and ~1.6 out-of-sample — and the curve is bimodal (floor-off is
good, 1.2-1.75 is bad, 2.0 is good). The hand-set value landed on the peak by
luck, not by tuning. Do not nudge it.
Worth knowing: turning the floor OFF entirely is the second-best row in both
windows, with substantially higher CAGR (58.5% / 66.2%) and more trades. If CAGR
ever outranks Sharpe here, "no R:R floor" is a live option — and it would sever
the gate's last dependency on the weak S/R detector.
Also fixes a metric artifact in the holdout harness. The train book's equity curve
ran to the end of the data while its entries stopped at the split, so it sat in
flat cash for two years and deflated its own CAGR/Sharpe (reported 0.95 / 14.6%;
actually 1.31 / 29.6%). _simulate_portfolio now truncates the calendar to
hold_days after the last entry when end_date is set — it only triggers on the
holdout train window, so no other number moves. The clear-air OOS verdict is
unaffected: it rests on the test row, whose entries and curve both start at the
split and were always clean. Both holdout reports regenerated.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Dennis Thiessen
dennisthiessen