The v3 cutover run scored 2/4 corrections warned against v2's 3/4, which reads
like a regression and is not one. Only 4 of the 11 detected corrections fall in
the holdout, so recall is one event from a different headline -- and the event
that flips is decided by threshold placement, not by what the score saw. "v3
without the credit sensor" catches 2025-02-21 at a *higher* threshold (35.5)
than shipped v3 misses it at (32.3), because the alarm rule needs a rising edge
and a lower threshold can fire outside the horizon then never reset below.
Two caveats are now computed and surfaced rather than left for the reader to
infer:
- Holdout event count against MIN_EVENTS_FOR_CONFIDENCE. The summary sentence
states how many of the detected corrections actually fall in the test period.
- Warning-sensor coverage across the split. The score renormalises over what is
available, so a training window predating a sensor's history freezes the
threshold on a different construct than the holdout is measured against. At
the cutover that is 39% of training sessions with all three sensors versus
100% of the test period, credit history beginning 2023-07-25.
Restricting the threshold to sensor-matched training sessions was tested and
rejected: those sessions are a calm recent stretch, so the threshold falls from
32.3 to 22.5 and false alarms rise from 3.3 to 8.6/yr. It swaps a coverage bias
for a regime-selection bias. The report states its limits instead.
_warning_series now returns per-session sensor counts alongside the scores.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
The LLM-sourced capex/earnings observations carried 12+8 of 100 Warning points,
so both pegged at 100 produced a Warning of 20.0 -- below the event study's 25.3
alarm threshold and still inside the "stable" band. The reading was
arithmetically incapable of changing anything on screen, which is why refreshing
it appeared to do nothing. They are now a qualitative overlay reported beside
the scores rather than diluted into them.
Calibrated against the 408 v2 sessions to 2026-07-24, reproduced offline from
Alpaca + FRED; the harness matched the stored prod distribution exactly before
any parameter was changed.
State:
- P3 used dd_pct * 5, reaching 100 at a 20% drawdown -- the 90th percentile of
the observed distribution -- so 39/408 sessions sat at exactly 100 with no
resolution left during the part of a selloff that matters most. Replaced with
anchored breakpoints keeping headroom past the observed 36% maximum, blended
2:1 like P1/P2 instead of max(). P3's realized share of State falls from 65%
to 40%, matching its nominal weight.
- Credit level is now anchors-only. ICE capped FRED's BAMLH0A0HYM2 at a rolling
3-year window in April 2026, silently turning the 10-year percentile leg into
a 3-year one that scored 20 points of stress at an OAS of 3.5 -- the level its
own anchors call "mild". The anchors already encode the long-run distribution.
Warning:
- Added HY OAS 20-session widening (25%). The level is pinned at zero below the
3.5 anchor; its rate of change is not.
- Divergence tapers to a 0.35 floor instead of a hard price_ret >= 0 gate, which
zeroed the sensor through every decline: on 2026-07-24 the basket shed 10
points of participation in 20 sessions and Warning printed exactly 0.
- The event study and the live monitor now share one sensor definition, so they
cannot silently drift apart.
Bands are per axis (State 20/50/80, Warning 20/40/60) with quadrant dividers at
50/40; v2 Warning never exceeded 64.9 against a shared 60, leaving that half of
the quadrant unreachable. Realized shares: State 73/15/8/3%, Warning 69/20/8/3%.
Snapshots now record credit_history_days and vix_history_days -- the percentile
defect went unnoticed for months because nothing asserted the window the code
claimed.
Cutover: the first run rebuilds 400 sessions automatically; the Event Study job
must be re-run, as its cached report self-invalidates on the methodology check.
Co-Authored-By: Claude Opus 5 <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.
Four-arm results: 505 stays positive (softer on deep history); liquid breadth
destroys book under current knobs. Stop tracking 1.3GB pkl cache under reports/.cache.
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.
Deep masked retest failed the iron IC bar (0.027 < 0.03). Log as rejected #13 in
research README; close sector-residual and history-depth docs. Production market
residual unchanged.
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.
Move the only qualifying R:R scan to 15:30 ET with chained Telegram alerts,
put outcome eval after a final-bar OHLCV fetch, enforce NY trading-day
requalify semantics, stamp paper trades fill_mode=near_close, and migrate
stored schedule_* keys to America/New_York.
Record monotone fill-timing gradient, live [1.57,1.77] bracket, recover-flag
interpretation, gap-cap as third tail-trim, and pre-scheduler ops checklist.
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.
Honor custom S/R tolerance as a transient detect, refresh levels after OHLCV
mutations without failing committed price writes, report per-ticker S/R
rebuild failures from admin cleanup, and warn in the admin UI when refresh is partial.
dennisthiessen
