{
  "generated_at": "2026-07-18T21:39:07.916038",
  "research_snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite",
  "prod_subset_n": 506,
  "panel_tickers": 4403,
  "top_n": 1500,
  "min_price": 5.0,
  "checks": {
    "fip_same_week_liquid_1500": {
      "note": "Replication of main breadth run (same-week $vol mask)",
      "mean_ic": -0.0168,
      "ic_t_stat": -1.85,
      "weeks": 35,
      "avg_cross_section": 1471.2,
      "ic_positive_pct": 40.0,
      "reliable": true
    },
    "fip_lagged_membership_1w": {
      "note": "Liquid top-N ranked on *prior* week's median $vol \u2014 excludes same-week liquidity explosion leak",
      "mean_ic": -0.0102,
      "ic_t_stat": -0.93,
      "weeks": 35,
      "avg_cross_section": 1471.2,
      "ic_positive_pct": 40.0,
      "reliable": true
    },
    "fip_tier_1_800": {
      "note": "Same-week liquid ranks 1\u2013800 (senior liquid tier)",
      "mean_ic": -0.035,
      "ic_t_stat": -2.99,
      "weeks": 35,
      "avg_cross_section": 791.2,
      "ic_positive_pct": 25.7,
      "reliable": true
    },
    "fip_tier_801_1500": {
      "note": "Same-week liquid ranks 801\u20131500 (junior liquid tier)",
      "mean_ic": 0.0141,
      "ic_t_stat": 1.25,
      "weeks": 35,
      "avg_cross_section": 700.0,
      "ic_positive_pct": 60.0,
      "reliable": true
    },
    "fip_prod_universe_subset": {
      "note": "Symbols in prod.sqlite (~S&P-like large-cap book) inside same-week liquid top-N \u2014 compositional control",
      "mean_ic": -0.0444,
      "ic_t_stat": -2.88,
      "weeks": 35,
      "avg_cross_section": 497.5,
      "ic_positive_pct": 25.7,
      "reliable": true
    },
    "fip_momentum_conditional_top20pct": {
      "note": "Among liquid top-N, keep mom_12_1 percentile \u2265 80.0 (paper: ID modulates continuation among winners; gate-relevant)",
      "mean_ic": -0.0879,
      "ic_t_stat": -4.58,
      "weeks": 35,
      "avg_cross_section": 294.3,
      "ic_positive_pct": 22.9,
      "reliable": true
    },
    "vol_6m_liquid_1500": {
      "note": "Context: low-vol anomaly strength on this pool",
      "mean_ic": -0.0465,
      "ic_t_stat": -1.3,
      "weeks": 35,
      "avg_cross_section": 1471.2,
      "ic_positive_pct": 37.1,
      "reliable": true
    },
    "mom_12_1_liquid_1500": {
      "note": "Context: raw momentum on liquid breadth",
      "mean_ic": 0.0462,
      "ic_t_stat": 1.91,
      "weeks": 35,
      "avg_cross_section": 1471.2,
      "ic_positive_pct": 65.7,
      "reliable": true
    },
    "mom_12_1_resid_liquid_1500": {
      "note": "Context: residual momentum on liquid breadth",
      "mean_ic": 0.0289,
      "ic_t_stat": 1.33,
      "weeks": 35,
      "avg_cross_section": 1471.2,
      "ic_positive_pct": 60.0,
      "reliable": true
    }
  },
  "interpretation": {
    "leak_ruled_out": false,
    "junior_tier_drives_positive": true,
    "prod_subset_still_negative": true,
    "mom_conditional_negative_and_reliable": true,
    "compositional_flip_story": "If prod subset IC is negative while full liquid-1500 is positive, the sign flip is compositional (bleeders / Nasdaq junk), not a temporal regime change. Unconditional fip pools continuous winners (want neg IC) against continuous losers/bleeders (want pos IC).",
    "vol_tilt_warning": "vol_6m large negative IC on breadth: high-vol lottery names underperform. Production 80/20 high-vol tilt was validated on S&P-like names; must re-validate before any universe broaden."
  },
  "platform_verdict": "ALIVE as breadth-book tilt candidate among momentum winners only \u2014 still needs a book-level experiment; not a production wire-in."
}