{
  "generated_at": "2026-07-19T09:31:29.078611",
  "data_provenance": {
    "snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\prod.sqlite",
    "n_earnings_events": 5612,
    "backfill_meta": {
      "done": 48,
      "universe_tickers": 506
    },
    "announce_range": {
      "min": "1985-08-31",
      "max": "2026-07-16"
    },
    "with_actual_and_estimate": 5018
  },
  "experiment_2a": {
    "sim_summary": {
      "sharpe": 2.09,
      "sharpe_se": 0.497,
      "cagr_pct": 51.6,
      "max_drawdown_pct": 21.4,
      "trades": 322,
      "total_return_pct": 424.6
    },
    "n_trades_parsed": 322,
    "q1_losses_worse_than_minus_1r": {
      "n_losses_lt_minus_1r": 28,
      "n_with_earnings_in_hold": 1,
      "fraction_with_earnings": 0.0357,
      "all_trades_with_earnings_in_hold": 14,
      "fraction_all_trades_with_earnings": 0.0435
    },
    "q2_entry_within_3d_before_announce": {
      "pre_earn_entries": {
        "n": 4,
        "mean": 1.9379,
        "win_rate": 0.5,
        "p05": -1.2428,
        "p25": -0.8833,
        "p50": 1.1209,
        "p75": 3.942,
        "p95": 6.2623,
        "min": -1.3327,
        "max": 6.8424
      },
      "other_entries": {
        "n": 318,
        "mean": 0.6965,
        "win_rate": 0.3711,
        "p05": -1.1052,
        "p25": -1.0,
        "p50": -0.8259,
        "p75": 2.1053,
        "p95": 6.077,
        "min": -3.2587,
        "max": 12.8654
      },
      "all_entries": {
        "n": 322,
        "mean": 0.7119,
        "win_rate": 0.3727,
        "p05": -1.1209,
        "p25": -1.0,
        "p50": -0.8251,
        "p75": 2.1595,
        "p95": 6.2246,
        "min": -3.2587,
        "max": 12.8654
      },
      "tail_trim_note": "Compare p95/max and mean of pre_earn vs other. Rising win_rate with falling mean/p95 = right-tail trim red flag."
    },
    "note": "REPORT-ONLY \u2014 no filter shipped."
  },
  "experiment_2b": {
    "signal_eval_side_by_side": {
      "mom_12_1": {
        "signal": "mom_12_1",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": 0.0531,
        "ic_t_stat": 1.61,
        "ic_positive_pct": 65.7,
        "mean_quintile_spread": 0.0206,
        "reliable": true
      },
      "mom_12_1_resid": {
        "signal": "mom_12_1_resid",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": 0.0552,
        "ic_t_stat": 1.98,
        "ic_positive_pct": 60.0,
        "mean_quintile_spread": 0.0207,
        "reliable": true
      },
      "mom_12_1_sector_resid": {
        "signal": "mom_12_1_sector_resid",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": 0.0578,
        "ic_t_stat": 2.34,
        "ic_positive_pct": 65.7,
        "mean_quintile_spread": 0.0245,
        "reliable": true
      },
      "mom_12_1_sector_demeaned": {
        "signal": "mom_12_1_sector_demeaned",
        "weeks": 35,
        "avg_cross_section": 496.7,
        "mean_ic": 0.034,
        "ic_t_stat": 1.32,
        "ic_positive_pct": 62.9,
        "mean_quintile_spread": 0.0154,
        "reliable": true
      },
      "sue_latest": {
        "signal": "sue_latest",
        "weeks": 44,
        "avg_cross_section": 47.4,
        "mean_ic": 0.0172,
        "ic_t_stat": 0.6,
        "ic_positive_pct": 47.7,
        "mean_quintile_spread": 0.0064,
        "reliable": true
      },
      "fip_id": {
        "signal": "fip_id",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": -0.045,
        "ic_t_stat": -2.91,
        "ic_positive_pct": 25.7,
        "mean_quintile_spread": -0.0168,
        "reliable": true
      }
    },
    "signal_eval_identical_sue_subset": {
      "mom_12_1": {
        "signal": "mom_12_1",
        "weeks": 35,
        "avg_cross_section": 47.3,
        "mean_ic": -0.0174,
        "ic_t_stat": -0.42,
        "ic_positive_pct": 45.7,
        "mean_quintile_spread": 0.0077,
        "reliable": true
      },
      "mom_12_1_resid": {
        "signal": "mom_12_1_resid",
        "weeks": 35,
        "avg_cross_section": 47.3,
        "mean_ic": -0.0104,
        "ic_t_stat": -0.27,
        "ic_positive_pct": 51.4,
        "mean_quintile_spread": 0.0075,
        "reliable": true
      },
      "sue_latest": {
        "signal": "sue_latest",
        "weeks": 44,
        "avg_cross_section": 47.4,
        "mean_ic": 0.0172,
        "ic_t_stat": 0.6,
        "ic_positive_pct": 47.7,
        "mean_quintile_spread": 0.0064,
        "reliable": true
      }
    },
    "identical_subset_note": "Mom baselines re-scored only on (week, symbol) cells where SUE exists. Use this table when backfill is incomplete \u2014 full-universe mom N is not comparable.",
    "full_signal_eval": [
      {
        "signal": "vol_6m",
        "weeks": 39,
        "avg_cross_section": 498.2,
        "mean_ic": 0.0609,
        "ic_t_stat": 1.48,
        "ic_positive_pct": 64.1,
        "mean_quintile_spread": 0.0337,
        "reliable": true
      },
      {
        "signal": "mom_12_1_sector_resid",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": 0.0578,
        "ic_t_stat": 2.34,
        "ic_positive_pct": 65.7,
        "mean_quintile_spread": 0.0245,
        "reliable": true
      },
      {
        "signal": "mom_12_1_resid",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": 0.0552,
        "ic_t_stat": 1.98,
        "ic_positive_pct": 60.0,
        "mean_quintile_spread": 0.0207,
        "reliable": true
      },
      {
        "signal": "mom_12_1",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": 0.0531,
        "ic_t_stat": 1.61,
        "ic_positive_pct": 65.7,
        "mean_quintile_spread": 0.0206,
        "reliable": true
      },
      {
        "signal": "mom_12_1_sector_demeaned",
        "weeks": 35,
        "avg_cross_section": 496.7,
        "mean_ic": 0.034,
        "ic_t_stat": 1.32,
        "ic_positive_pct": 62.9,
        "mean_quintile_spread": 0.0154,
        "reliable": true
      },
      {
        "signal": "sue_latest",
        "weeks": 44,
        "avg_cross_section": 47.4,
        "mean_ic": 0.0172,
        "ic_t_stat": 0.6,
        "ic_positive_pct": 47.7,
        "mean_quintile_spread": 0.0064,
        "reliable": true
      },
      {
        "signal": "trend_200",
        "weeks": 37,
        "avg_cross_section": 497.9,
        "mean_ic": 0.0161,
        "ic_t_stat": 0.44,
        "ic_positive_pct": 59.5,
        "mean_quintile_spread": 0.006,
        "reliable": true
      },
      {
        "signal": "reversal_1m",
        "weeks": 43,
        "avg_cross_section": 498.7,
        "mean_ic": 0.0059,
        "ic_t_stat": 0.22,
        "ic_positive_pct": 53.5,
        "mean_quintile_spread": 0.0053,
        "reliable": true
      },
      {
        "signal": "mom_6_1",
        "weeks": 39,
        "avg_cross_section": 498.2,
        "mean_ic": 0.0051,
        "ic_t_stat": 0.21,
        "ic_positive_pct": 56.4,
        "mean_quintile_spread": 0.0087,
        "reliable": true
      },
      {
        "signal": "mom_3_1",
        "weeks": 42,
        "avg_cross_section": 498.5,
        "mean_ic": -0.0064,
        "ic_t_stat": -0.25,
        "ic_positive_pct": 50.0,
        "mean_quintile_spread": 0.0046,
        "reliable": true
      },
      {
        "signal": "high_52w",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": -0.0086,
        "ic_t_stat": -0.26,
        "ic_positive_pct": 54.3,
        "mean_quintile_spread": -0.0088,
        "reliable": true
      },
      {
        "signal": "fip_id",
        "weeks": 35,
        "avg_cross_section": 497.7,
        "mean_ic": -0.045,
        "ic_t_stat": -2.91,
        "ic_positive_pct": 25.7,
        "mean_quintile_spread": -0.0168,
        "reliable": true
      }
    ],
    "sue_grade": {
      "green": false,
      "checks": {
        "mean_ic": 0.0172,
        "sign_positive": true,
        "abs_ge_0_03": false,
        "reliable": true,
        "ic_t_stat": 0.6,
        "weeks": 44
      },
      "reason": "iron rule not met",
      "row": {
        "signal": "sue_latest",
        "weeks": 44,
        "avg_cross_section": 47.4,
        "mean_ic": 0.0172,
        "ic_t_stat": 0.6,
        "ic_positive_pct": 47.7,
        "mean_quintile_spread": 0.0064,
        "reliable": true
      }
    },
    "momentum_conditional_sue": {
      "mean_ic": -0.0065,
      "ic_t_stat": -0.1,
      "weeks": 35,
      "note": "IC of sue_latest within top mom_12_1 quintile (non-overlapping weeks)"
    },
    "sue_coverage": {
      "symbols_with_sue": 48,
      "avg_weeks_with_sue": 47.1,
      "weeks_with_min_cross_section": 256
    }
  },
  "verdict": "PARK",
  "verdict_detail": "SUE IC=0.0172 below iron bar or unreliable; keep data, no wire.",
  "human_next": "- No SUE book change.\n- Read 2a tails before considering any earnings-avoid filter.",
  "report_path": "reports/earnings-gap-sue-20260719-093129.json",
  "fmp_note": "Bulk earnings-calendar is paid (402 on free tier). Backfill used per-symbol /stable/earnings; see earnings-backfill-status.json."
}