dennisthiessen
2311999e57
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).
126 lines
4.7 KiB
JSON
126 lines
4.7 KiB
JSON
{
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"generated_at": "2026-07-19T00:05:20.113638",
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"research_snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite",
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"top_n": 1500,
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"min_price": 5.0,
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"prod_subset_n": 506,
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"panel_tickers": 4403,
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"single_source": "diagnostics uses harness _signal_series + _filter_liquid_breadth_week_rich only (no parallel mask)",
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"avg_cross_section_semantics": "avg_cross_section = post-mask IC sample size. avg_raw_pool = pre-filter observations. avg_eligible_pre_mask = pass price+dvol before top-N. mask_binds_pct = weeks where eligible_pre_mask > top_n.",
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"harness_self_consistent": true,
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"checks": {
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"fip_harness_signal_eval": {
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"note": "Authoritative harness _signal_evaluation on collected fip_id",
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"signal": "fip_id",
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"weeks": 35,
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"avg_cross_section": 1471.2,
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"mean_ic": -0.0168,
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"ic_t_stat": -1.85,
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"ic_positive_pct": 40.0,
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"mean_quintile_spread": -0.0052,
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"reliable": true,
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"liquid_breadth_top_n": 1500,
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"liquid_min_price": 5.0,
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"avg_raw_pool": 3214.4,
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"avg_eligible_pre_mask": 2338.4,
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"mask_binds_pct": 97.1
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},
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"fip_same_week_via_shared_filter": {
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"note": "Same collected data, IC via shared _filter_liquid_breadth_week_rich",
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"mean_ic": -0.0168,
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"ic_t_stat": -1.85,
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"weeks": 35,
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"avg_cross_section": 1471.2,
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"ic_positive_pct": 40.0,
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"reliable": true
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},
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"fip_lagged_membership_1w": {
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"note": "Top-N by prior-week $vol on current fip pool (shared filter)",
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"mean_ic": -0.0102,
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"ic_t_stat": -0.93,
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"weeks": 35,
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"avg_cross_section": 1471.2,
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"ic_positive_pct": 40.0,
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"reliable": true
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},
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"fip_tier_1_800": {
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"note": "Senior liquid ranks 1\u2013800",
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"mean_ic": -0.035,
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"ic_t_stat": -2.99,
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"weeks": 35,
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"avg_cross_section": 791.2,
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"ic_positive_pct": 25.7,
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"reliable": true
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},
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"fip_tier_801_1500": {
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"note": "Junior liquid ranks 801\u2013top_n",
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"mean_ic": 0.0141,
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"ic_t_stat": 1.25,
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"weeks": 35,
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"avg_cross_section": 700.0,
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"ic_positive_pct": 60.0,
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"reliable": true
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},
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"fip_prod_universe_subset": {
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"note": "Prod.sqlite symbols inside liquid fip set",
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"mean_ic": -0.0444,
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"ic_t_stat": -2.88,
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"weeks": 35,
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"avg_cross_section": 497.5,
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"ic_positive_pct": 25.7,
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"reliable": true
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},
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"fip_momentum_conditional_top20pct": {
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"note": "Among liquid fip set, mom_12_1 \u2265 P80 (paper / gate-relevant)",
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"mean_ic": -0.0879,
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"ic_t_stat": -4.58,
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"weeks": 35,
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"avg_cross_section": 294.3,
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"ic_positive_pct": 22.9,
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"reliable": true
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},
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"vol_6m_liquid": {
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"note": "vol_6m through shared filter",
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"mean_ic": -0.0478,
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"ic_t_stat": -1.36,
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"weeks": 35,
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"avg_cross_section": 1500.0,
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"ic_positive_pct": 37.1,
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"reliable": true
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},
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"mom_12_1_liquid": {
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"note": "raw mom through shared filter",
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"mean_ic": 0.0462,
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"ic_t_stat": 1.91,
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"weeks": 35,
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"avg_cross_section": 1471.2,
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"ic_positive_pct": 65.7,
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"reliable": true
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},
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"mom_12_1_resid_liquid": {
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"note": "residual mom through shared filter",
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"mean_ic": 0.0289,
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"ic_t_stat": 1.33,
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"weeks": 35,
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"avg_cross_section": 1471.2,
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"ic_positive_pct": 60.0,
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"reliable": true
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}
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},
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"interpretation": {
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"harness_and_shared_filter_agree": true,
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"mask_binds_pct": 97.1,
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"avg_eligible_pre_mask": 2338.4,
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"avg_raw_pool": 3214.4,
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"prod_subset_still_negative": true,
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"junior_tier_more_positive": true,
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"lag_same_sign_as_same_week": true,
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"mom_conditional_negative_and_reliable": true,
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"orphan_plus_five_sigma": "Prior report fip-breadth-20260718-211440-breadth.json listed fip IC +0.0575 / t +5.12. This single-sourced recompute is the authoritative number; if it disagrees, the +0.0575 row is orphaned.",
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"compositional_story": "fip_id pools continuous winners (neg IC) vs continuous bleeders (pos IC). Prod-subset and senior liquid stay negative; junior liquid is less negative / positive \u2014 composition, not jumpiness premium.",
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"vol_tilt_warning": "High-vol names underperform on breadth relative to S&P-like books. Re-validate production 80/20 high-vol tilt before any universe broaden."
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},
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"platform_verdict": "Mom-conditional fip ALIVE as book-tilt candidate (needs book sim) \u2014 not production wire-in. Unconditional fip not green.",
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"membership_dumps_note": "Removed 5 week membership symbol lists from the committed artifact (compact decision evidence). Full dumps recoverable from git history of this file pre-cleanup."
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}
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