signal-platform/reports/history-depth-20260719-103315.md

History-depth extension (Tier-1 alpha research)

Status: RUN COMPLETE — human interpretation below.
Branch: research/earnings-gap-and-sue (MacBook commit f6e0ca7)
Authoritative artifact: reports/history-depth-20260719-103315.json
Production impact: none. Do not retune any production knob on deep history.

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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

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Data provenance

check	result
Snapshot	MacBook research.sqlite
Manifest complete	true (finished 2026-07-19T08:19Z)
Live counts match	yes — 4655 tickers / 6,609,926 OHLCV / 4149 rank_only
history_days	5000
fetch_ok / fail	4152 / 0
Race guard	pass

SURVIVORSHIP BIAS: today’s constituents backfilled historically. Absolute Sharpe/CAGR levels on deep history are optimistic. Use relative signal IC comparisons and era stability only — not levels.

Coverage JSON was empty in the auto-written doc (harness-only phase after rebuild). Manifest is the race-guard source of truth for this run.

Earlier MacBook files history-depth-20260719-093853 … 095156 are intermediate / incomplete passes — do not cite. Only 103315 is authoritative.

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Results (authoritative: 103315)

Full-window signal IC (broad research universe, deep bars)

signal	mean_ic	t	weeks	avg_N	notes
high_52w	0.111	6.41	84	2280	strong on deep breadth
mom_12_1	0.066	5.11	83	2278	raw momentum strong
trend_200	0.055	4.30	85	2308
mom_6_1	0.049	4.91	88	2376
mom_3_1	0.036	3.58	90	2426
fip_id	+0.027	3.25	83	2278	sign flip vs prod fingerprint
mom_12_1_resid	0.026	2.21	83	2278	market residual still + but weaker than raw
reversal_1m	~0	0.31	91	2443	dead
vol_6m	−0.123	−6.34	88	2376	low-vol anomaly strong
mom_12_1_sector_resid	0.058	2.34	35	498	not deep-sample — see caveats
mom_12_1_sector_demeaned	0.034	1.32	35	497	same short fingerprint

Era split (diagnostic only — not a tuning input)

signal	pre-2021 IC / t / w / N	post-2021 IC / t / w / N
mom_12_1	+0.041 / 2.94 / 36 / 1425	+0.079 / 3.64 / 48 / 2913
mom_12_1_resid	+0.023 / 1.68 / 36 / 1425	+0.027 / 1.37 / 48 / 2913
fip_id	+0.012 / 1.35 / 36 / 1425	+0.037 / 2.91 / 48 / 2913
vol_6m	−0.056 / −2.16 / 40 / 1461	−0.162 / −4.94 / 48 / 3123
high_52w	+0.049 / 2.0 / 36 / 1422	+0.138 / 4.34 / 48 / 2915
sector_resid	absent	0.058 / 2.34 / 35 / 498 (short only)
sector_demeaned	absent	0.034 / 1.32 / 35 / 497 (short only)

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Critical caveats (must read)

1. Sector residual did not get a deep-history stress test

mom_12_1_sector_resid / _demeaned still show exactly the Task‑1 short-window fingerprint: 35 weeks, N≈498, IC 0.0578, t 2.34.

On the same run, raw mom_12_1 has 83 weeks, N≈2278. So depth worked for price-only signals, but sector residual is still limited to the ~505 labeled prod names × short factor calendar (sector map only covers prod; and/or sector ETF / two-factor path did not extend usable residual weeks).

Pre-registered rule: “Sector residual collapses pre-2021 → PARK Task 1 wire-in.” Pre-2021 sector residual is absent from the era table. That is a PARK, not a confirmation of the short-window PROMOTE.

Do not claim “sector residual beats market residual on deep history” from this table — the two rows are not the same cross-section or window count.

2. fip_id sign flips vs production fingerprint

sample	fip mean IC	t
Prod 505, ~5y (fingerprint)	−0.045	−2.91
Research breadth, deep (this run)	+0.027	+3.25

This does not authorize resurrecting unconditional FIP as a book filter. It confirms earlier Phase‑B caution: FIP edge is universe- and sample-dependent. Production display card can stay context-only. Nested lookbacks still not OOS.

3. Market residual vs raw momentum on deep breadth

On deep broad IC, raw 12‑1 (0.066 / t 5.1) ≫ market residual (0.026 / t 2.2). That does not by itself overturn production residual ranking (book A/B was on 505 + GTL gate, not pure factor IC), but it is a yellow flag for “residual is always the better rank key” stories on broad history. No auto-retune.

4. Low-vol anomaly is the cleanest deep-history result

vol_6m IC −0.12 / t −6.3 full; stronger post-2021. Consistent sign across eras. Production already blends high-vol (not low-vol) into the 80/20 rank — this report does not change that without a separate A/B. Flag for human awareness only.

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Verdicts (vs pre-registration)

question	verdict
Task 1 sector residual wire-in	PARK — no pre-2021 sector residual; deep-sample IC not established; short-window PROMOTE stays “human design only,” not strengthened by this run
Sector demean	still DEAD for promotion (t 1.32, short only)
SUE	not re-scored here (no sue_latest in harness table) — leave Task 2 PARK until full earnings backfill
fip unconditional book filter	remains rejected / parked despite sign flip on broad deep sample
Production residual / 80/20 / trail knobs	no retune from this report
Overall Task 3	COMPLETE as diagnostic — payload is relative IC + caveats above

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What a human must decide next

1. Sector residual: keep research-only until either
   (a) sector ETF + sector map cover the full deep window and IC is re-run with weeks ≫ 35 on a documented universe, or
   (b) explicitly accept short-window-only evidence (weaker case).
2. Do not merge sector residual into production from this depth run.
3. Do not retune residual vs raw, FIP, or vol blend from these IC tables without a pre-registered book A/B on the intended universe.
4. Optional follow-up: extend sector ETF history + sector labels to nasdaq_all, re-run only sector residual IC on deep research.sqlite with race guard.
5. Optional: finish earnings backfill (48→506) and re-run SUE; depth alone did not include SUE.

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Artifacts

file	role
reports/history-depth-20260719-103315.json	authoritative
reports/history-depth-20260719-103315.md	companion dump
reports/history-depth-20260719-093853 … 095156	ignore (partial)