Brings the durable artifacts of research/portfolio-capacity-rebalancing onto
main so the rationale for raising the count cap lives with the code that cites
it. The matrix runner, the research simulator hooks and the study's unit tests
are deliberately left behind; they remain at tag research/portfolio-capacity-final.
Corrects conclusions that were reached on EV per trade and are now superseded:
the findings doc's decisions 1 (keep cap 10) and 4 (run the risk-floor A/B) are
struck through and answered in a new correction section, and the research README
and phase-A matrix entries are updated to match. The frozen specification itself
is untouched -- its recorded SHA-256 f1e37783 still verifies.
effective-risk-floor-ab.md is retained but marked CLOSED/NEGATIVE: the study it
proposes is already answered by cap15 vs cash_unbounded (-0.753pp CAGR while
EV/trade rises), and its EV-based pass rule would have shipped it.
scripts/research_rankings.py replaces a fourth copy of the historical rank-map
helper; run_research_matrix, run_execution_recovery_matrix and
run_daily_reentry_matrix now share it. The shared version adds a duplicate
observation guard and a deterministic symbol tie-break the copies lacked.
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
Closes the parity investigation: prod reparse runs 6+7 reconciled against the
dry run, the collision check that caught the BEN regression (and its residue --
36 historical 53-week-drift rows, deliberately left), and the 2026-07-24 parity
report diffed against the 2026-07-23 baseline. Candidate coverage 482 -> 504 of
511 with the gap fully explained (PSKY/Q new registrants, FITB guard-tripped
with no revenue), agreement unchanged where both sides exist, and the remaining
deltas are documented definition differences. Includes the after-report and a
correction to the seventh pass (FITB loses its score, not just one input).
Recommends approving the A5 cutover with KLAC as the one carried caveat.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Found in review. _merge_amendments rebuilds a period from _MERGED_FIELDS +
_CARRIED_FIELDS alone, so a column in neither list is absent from the merged
row, not just stale — and callers read it with getattr(..., None), which
silently yields None. weighted_avg_diluted_shares was never added when the
market-cap fallback landed (_SNAPSHOT_COLS in the importer was updated, its
counterpart in the derivation was not).
The failure needed both of this branch's fixes at once: a multi-class issuer
with a partial amendment on its latest period (META with a Part-III-only
10-K/A) would silently lose market cap and FCF yield again.
Adds the field, a regression test for that case, and a guard test asserting
the merge/carry lists cover every SnapshotRow field, so the next column added
fails loudly rather than losing data quietly. Confirmed the guard catches the
original bug.
Also from review:
- Expose pe_caveat in the valuation payload, so a P/E suppressed by split
contamination says why instead of looking like missing data (the caveat was
set but never read).
- no_xbrl_filings now names both causes; the old text advised pinning a CIK
override, which is wrong for a genuine new registrant that simply has not
filed yet and clears itself.
- Document that fiscalYearEnd is the issuer's current calendar, so a fiscal-
year-end change degrades old periods (fallback/newest-wins), not current ones.
- Parser-level tests for _select_weighted_avg_shares (shortest-span-wins and
concept priority), which only had derivation-level coverage.
823 unit tests pass.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Nine-pass investigation of the 2026-07-23 A5 parity report: for each coverage
gap and wrong value, the root cause traced against live SEC company facts, the
fix, and its live-data validation. Also records the decisions taken (weighted-
average share fallback, keep ASC-606 revenue basis, basic-EPS fallback, keep the
25% split-guard threshold) and what remains genuinely unfixable from this data
(KLAC post-filing split, BRK-B dimensional share count). Includes the source
parity report the findings analyse.
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.
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.
dennisthiessenandClaude Opus 5