Strategy review (2026-09-08) and a frozen, paired signal screen of
residual 12-1 momentum divided by its formation-window residual
volatility. Across 73 non-overlapping windows the normalized signal's IC
is 0.0128 against 0.0145 for the matched control, below the frozen 0.03
floor, so the conditional portfolio replay was not run and nothing in
production changes.
Code-review fixes to the runner, before first commit: a missing OHLC
price stops the run instead of reading as 0; the snapshot connection is
closed explicitly (on Windows it otherwise kept the file locked); the
paired-coverage check raises instead of asserting, so python -O cannot
strip it; and source files are recorded as git blob ids with line
endings normalized, so the report can be checked against history. The
report was regenerated with the fixed runner; its screen section is
byte-identical to the original run.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Pre-registered test of raising the stop to entry once a trade is +1R or
+2R, on top of the 3x ATR trail. be_1r fails the frozen rule (train worse
on all three graded metrics, test drawdown worse); be_2r changes 2 of 480
trades because the trail already reaches entry near +2R. The production
exit stays.
Breakeven exits get their own breakeven_stop label. They follow live
re-entry semantics (only initial-stop exits lock re-entry), and an
ungraded be_1r_gated diagnostic arm sends them through the post-stop gate
reset instead. The trail and breakeven ratchet share one helper, so
breakeven also applies on a next_open fill bar. breakeven_r is validated,
verdicts flag passes that are only ties, and the graded capacity comes
from the shadow book config. Every graded number and the parity row are
unchanged from the first run.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
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).
dennisthiessenandClaude Opus 5.5