Operational plumbing to land the parser fixes and to make silent resolution
failures visible.
- Reparse: SecFundamentalsImporter(reparse=True) restages every accession with
the current parser and rewrites the ones that now reconstruct differently,
writing the full column set so a row is never half old-parse. Snapshots stay
immutable with respect to SEC; the stored row is our reconstruction, and after
a parser fix keeping it is a stale cache, not history. run_import(force=True)
bypasses the unchanged-revision no-op, since the staleness is on our side, not
the source's. Exposed as scripts/reparse_fundamentals.py, dry-run by default.
- CIK overrides: sec_universe reads a {symbol: cik} pin from
SystemSetting['sec_cik_overrides'], applied ahead of company_tickers.json, for
when SEC maps a ticker to a successor shell with no filings (XOM -> a zero-
filing "ExxonMobil Holdings Corp" while every 10-K/Q is under CIK 34088).
- Resolution validation: a tracked issuer resolving to a registrant with no XBRL
filings now records no_xbrl_filings and raises a warning naming the CIKs and
the override setting, instead of silently yielding nothing on every run.
- _diff_fields compares datetime instants, not representations: accepted_at
round-trips naive from SQLite but tz-aware from Postgres, which otherwise made
a reparse of identical data report every row as changed (and false-positived
the pre-existing discrepancy warning).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Earnings backfill sourced from the public DoltHub earnings repo at a
pinned commit rather than the FMP API: reproducible for anyone re-running
the study, and it burns no request quota. 12,414 events, 98.6% of symbols
with >=8 announcements, 99.2% paired actual/estimate, no keyed duplicates.
2a earnings-gap diagnostic: INFORMATIONAL, no filter shipped. The
pre-earnings cohort's right tail was better, so the registered
avoid-earnings condition failed. Note the raw 23/266 vs 115/574 incidence
gap is largely a duration confound -- severe losses stop out fast and have
less time to span an announcement -- so it is not evidence that holding
through earnings is safe.
2b SUE: FAIL against the pre-registered +0.03 bar (unconditional IC
+0.0151 over 56 reliable windows, momentum-conditional +0.0213). Signs
stable across eras, so this is a clean null rather than an ambiguous one,
consistent with post-earnings drift having decayed in large caps.
Closes the Tier-1 arc: Task 1 dead on deep evidence, Task 2 dead here,
Task 3 complete as diagnostic. No in-sample research thread remains open.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Drop intermediate history-depth reports, sector-residual runners/map/code hooks
(evidence stays in final reports + docs), and slim MacBook helper to ssl/earnings/
prod-book-matrix only. SSL bootstrap and archived research conclusions retained.
Pre-register A-D (4y/2016 x 505/505+liquid) with unchanged production knobs.
Runner caches full GTL candidates then re-ranks per arm; MacBook entry via
run_tier1_macbook.sh --prod-book-matrix.
SANITY-FAIL report showed megacaps/ETFs already at empirical 2016-01-04 floor
(2649 bars) after deepen; check wrongly required ~2013. Pass when megacaps leave
the old 2021 two-tier floor and match SPY; XLC listing exception retained.
Terminal follow-up for Task 1: detect/refetch shallow two-tier symbols and sector
ETFs at 5000d, regenerate manifest, run ONE liquid-1500 harness with era split, grade
mom_12_1_sector_resid mechanically. Bundled as run_tier1_macbook.sh --sector-resid-deep.
Extract app/ssl_bootstrap.py (shared with FastAPI main), wire it into research
scripts, and teach run_tier1_macbook.sh to locate combined-ca-bundle.pem, certifi,
optional USE_CORP_PROXY, plus --ssl-check diagnostics.
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.
Document Phase A (max-hold/vol/corr closed; next-open as decision baseline).
Add stale_close and next_open gap-cap fill modes plus a small matrix to test
whether near-close scheduling recovers overnight momentum drift.
Ship shared Sharpe SE/PSR diagnostics, next-open fill and equity-curve vol targeting in the portfolio simulator, re-derived fip_id, and a checkpointed offline matrix runner for Mac-side validation sweeps.
Finnhub profile2 reports marketCapitalization in millions; storing it
as dollars made mega-caps like SPCX show as micro (e.g. 1.8M). Normalize
on ingest, add unit tests, and include a one-shot SQL backfill script.
dennisthiessen
