# History-depth extension (Tier-1 alpha research)

**Status:** PRE-REGISTERED — run on MacBook (heavy I/O + full harness).  
**Branch:** `research/history-depth-extension` (create from latest research stack).  
**Production impact:** none. **Do not retune any production knob on deep history.**

---

## Pre-registration (locked before rebuild)

### Motivation

All current conclusions rest on ~35 non-overlapping weekly windows in essentially
one post-2021 regime. Extending history toward max Alpaca daily-bar depth adds
the 2018 vol shock and full 2020 crash (where the feed allows).

### Protocol

1. **Empirical coverage first** — bars per calendar year per symbol; document
   where the feed thins out. Do **not** assume a uniform start date.
2. **Rebuild the research snapshot completely** from prod source + max history
   per symbol (`Adjustment.SPLIT`, ~200 req/min pacing via existing extender).
3. **Race guard (rule 6)** — refuse analysis until completion manifest is
   `complete=true` and live counts match.
4. **Re-run full signal harness** (all existing signals incl. sector residual /
   SUE if present) on the extended window.
5. **Report per signal:** mean IC, t, window count, and **era split**
   (pre-/post-2021) — diagnostic only, **not a tuning input**.
6. **Log prominently:** survivorship bias grows with depth (today’s constituents
   backfilled). Absolute Sharpe/CAGR on deep history is optimistic; payload is
   **relative** signal comparisons and IC stability, not levels.
7. **Do not retune** production knobs. If a knob’s confirmation looks
   overturned on deep history → report only; human decides.

### Success / interpretation (not promotion of a new signal)

| outcome | meaning |
|---|---|
| Sector residual still ≥ market residual on deep IC + stable sign | strengthens Task 1 PROMOTE case |
| Sector residual collapses pre-2021 | **PARK** Task 1 wire-in |
| SUE remains weak after full earnings + depth | **DEAD** SUE for this stack |
| Any production knob looks worse deep | report; no auto-retune |

---

## MacBook runbook

```bash
# 0. Repo + env
git fetch origin
git checkout research/earnings-gap-and-sue   # or history-depth branch once pushed
# ensure .env has ALPACA_* (and FMP if resuming earnings)

# 1. (Optional) finish earnings backfill first — multi-day free tier
python scripts/backfill_earnings_events.py \
  --snapshot backtest_snapshots/prod.sqlite \
  --provider fmp --force-symbol --limit 250 --sleep 0.35

# 2. Coverage probe (before long rebuild)
python scripts/run_history_depth_research.py --phase coverage \
  --snapshot backtest_snapshots/prod.sqlite

# 3. Full deep rebuild of research.sqlite (LONG — Alpaca per symbol)
#    Clears prior completion manifest; writes complete=true only at end.
python scripts/extend_snapshot_universe.py \
  --source backtest_snapshots/prod.sqlite \
  --output backtest_snapshots/research.sqlite \
  --force-copy \
  --history-days 5000 \
  --min-bars 260 \
  --sleep 0.15

# 4. Also refresh SPY + sector ETFs to the same depth on BOTH snapshots
python scripts/fetch_sector_etfs_to_snapshot.py \
  --snapshot backtest_snapshots/research.sqlite --history-days 5000
python scripts/fetch_sector_etfs_to_snapshot.py \
  --snapshot backtest_snapshots/prod.sqlite --history-days 5000

# 5. Harness + era split (after race guard passes)
python scripts/run_history_depth_research.py --phase harness \
  --snapshot backtest_snapshots/research.sqlite \
  --workers 8 --allow-spawn

# 6. Copy reports/ + docs/research/history-depth-extension.md results back
```

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## Data provenance

*(filled at run time)*

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## Results

*(filled at run time)*

---

## Verdict

**Pending MacBook run.**

## What a human must decide next

- Do not retune production from deep history without explicit review.
- Use relative IC stability to accept/reject Task 1 sector residual wire-in.