signal-platform/docs/research/history-depth-extension.md

History-depth extension (Tier-1 alpha research)

Status: CLOSED. Sector-residual deep test FAIL — Task 1 archived as rejected (see supersession).
Branch: research/earnings-gap-and-sue
Superseded artifact (do not cite): reports/history-depth-20260719-103315.json — UNMASKED, TWO-TIER SNAPSHOT
Authoritative sector grade: reports/sector-resid-deep-20260719-113319.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 — decided: CLOSED / REJECTED (archive complete). No wire-in.
2. Do not retune residual vs raw, FIP, or vol blend from deep IC tables without a pre-registered book A/B on the intended universe.
3. Optional (separate threads only): finish earnings backfill and re-run SUE; snapshot per-symbol depth guard as tooling.

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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)

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Supersession notice (2026-07-19 sector-resid deep test)

The table and interpretation from history-depth-20260719-103315 are UNMASKED, TWO-TIER SNAPSHOT — superseded, directional only, do not cite. Prod-universe names (and sector residual coverage) were left shallow while breadth names were deepened; sector residual weeks=35 was a data gap.

Sector-residual deep test outcome: FAIL (archived)

Task 1 CLOSED / REJECTED — sector residual dead on deep evidence. Archived in the research log rejected table (#13). Do not resurrect without a new pre-registered protocol.

check	result
weeks	83 (data fix worked)
mean IC	0.0268 (below 0.03 bar) → FAIL
t vs resid same CS	1.69 ≥ 1.30 pass
era signs	both + pass

• Artifact: reports/sector-resid-deep-20260719-113319.json
• Summary write-up: sector-residual-momentum.md

Future snapshot rebuilds must verify per-symbol depth (earliest-bar uniformity across the intended universe) — guard is a to-do, not part of this order.