dennisthiessen
fa25b6ee68
Tier-1 alpha research (local only, no production deploy): Sector residual momentum: two-factor SPY+sector residual and sector demean signals, IC harness + A/B. Sector resid clears pre-registered bars narrowly (PROMOTE for human wire design only). Sector demean fails t vs market resid. Earnings: earnings_events backfill (FMP bulk paid; FMP/AV per-symbol), 2a gap diagnostic report-only, 2b SUE IC (PARK; incomplete 48/506 coverage). History-depth: pre-registered doc + runner for MacBook deep rebuild/harness. Do not ship production residual or filters from this branch.
332 lines
8.9 KiB
JSON
332 lines
8.9 KiB
JSON
{
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"generated_at": "2026-07-19T09:31:29.078611",
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"data_provenance": {
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"snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\prod.sqlite",
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"n_earnings_events": 5612,
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"backfill_meta": {
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"done": 48,
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"universe_tickers": 506
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},
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"announce_range": {
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"min": "1985-08-31",
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"max": "2026-07-16"
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},
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"with_actual_and_estimate": 5018
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},
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"experiment_2a": {
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"sim_summary": {
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"sharpe": 2.09,
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"sharpe_se": 0.497,
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"cagr_pct": 51.6,
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"max_drawdown_pct": 21.4,
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"trades": 322,
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"total_return_pct": 424.6
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},
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"n_trades_parsed": 322,
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"q1_losses_worse_than_minus_1r": {
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"n_losses_lt_minus_1r": 28,
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"n_with_earnings_in_hold": 1,
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"fraction_with_earnings": 0.0357,
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"all_trades_with_earnings_in_hold": 14,
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"fraction_all_trades_with_earnings": 0.0435
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},
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"q2_entry_within_3d_before_announce": {
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"pre_earn_entries": {
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"n": 4,
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"mean": 1.9379,
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"win_rate": 0.5,
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"p05": -1.2428,
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"p25": -0.8833,
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"p50": 1.1209,
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"p75": 3.942,
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"p95": 6.2623,
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"min": -1.3327,
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"max": 6.8424
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},
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"other_entries": {
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"n": 318,
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"mean": 0.6965,
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"win_rate": 0.3711,
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"p05": -1.1052,
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"p25": -1.0,
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"p50": -0.8259,
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"p75": 2.1053,
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"p95": 6.077,
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"min": -3.2587,
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"max": 12.8654
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},
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"all_entries": {
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"n": 322,
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"mean": 0.7119,
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"win_rate": 0.3727,
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"p05": -1.1209,
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"p25": -1.0,
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"p50": -0.8251,
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"p75": 2.1595,
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"p95": 6.2246,
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"min": -3.2587,
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"max": 12.8654
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},
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"tail_trim_note": "Compare p95/max and mean of pre_earn vs other. Rising win_rate with falling mean/p95 = right-tail trim red flag."
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},
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"note": "REPORT-ONLY \u2014 no filter shipped."
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},
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"experiment_2b": {
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"signal_eval_side_by_side": {
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"mom_12_1": {
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"signal": "mom_12_1",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0531,
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"ic_t_stat": 1.61,
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"ic_positive_pct": 65.7,
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"mean_quintile_spread": 0.0206,
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"reliable": true
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},
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"mom_12_1_resid": {
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"signal": "mom_12_1_resid",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0552,
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"ic_t_stat": 1.98,
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"ic_positive_pct": 60.0,
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"mean_quintile_spread": 0.0207,
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"reliable": true
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},
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"mom_12_1_sector_resid": {
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"signal": "mom_12_1_sector_resid",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0578,
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"ic_t_stat": 2.34,
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"ic_positive_pct": 65.7,
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"mean_quintile_spread": 0.0245,
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"reliable": true
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},
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"mom_12_1_sector_demeaned": {
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"signal": "mom_12_1_sector_demeaned",
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"weeks": 35,
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"avg_cross_section": 496.7,
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"mean_ic": 0.034,
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"ic_t_stat": 1.32,
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"ic_positive_pct": 62.9,
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"mean_quintile_spread": 0.0154,
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"reliable": true
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},
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"sue_latest": {
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"signal": "sue_latest",
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"weeks": 44,
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"avg_cross_section": 47.4,
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"mean_ic": 0.0172,
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"ic_t_stat": 0.6,
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"ic_positive_pct": 47.7,
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"mean_quintile_spread": 0.0064,
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"reliable": true
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},
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"fip_id": {
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"signal": "fip_id",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": -0.045,
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"ic_t_stat": -2.91,
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"ic_positive_pct": 25.7,
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"mean_quintile_spread": -0.0168,
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"reliable": true
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}
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},
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"signal_eval_identical_sue_subset": {
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"mom_12_1": {
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"signal": "mom_12_1",
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"weeks": 35,
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"avg_cross_section": 47.3,
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"mean_ic": -0.0174,
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"ic_t_stat": -0.42,
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"ic_positive_pct": 45.7,
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"mean_quintile_spread": 0.0077,
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"reliable": true
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},
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"mom_12_1_resid": {
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"signal": "mom_12_1_resid",
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"weeks": 35,
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"avg_cross_section": 47.3,
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"mean_ic": -0.0104,
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"ic_t_stat": -0.27,
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"ic_positive_pct": 51.4,
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"mean_quintile_spread": 0.0075,
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"reliable": true
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},
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"sue_latest": {
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"signal": "sue_latest",
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"weeks": 44,
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"avg_cross_section": 47.4,
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"mean_ic": 0.0172,
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"ic_t_stat": 0.6,
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"ic_positive_pct": 47.7,
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"mean_quintile_spread": 0.0064,
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"reliable": true
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}
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},
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"identical_subset_note": "Mom baselines re-scored only on (week, symbol) cells where SUE exists. Use this table when backfill is incomplete \u2014 full-universe mom N is not comparable.",
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"full_signal_eval": [
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{
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"signal": "vol_6m",
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"weeks": 39,
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"avg_cross_section": 498.2,
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"mean_ic": 0.0609,
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"ic_t_stat": 1.48,
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"ic_positive_pct": 64.1,
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"mean_quintile_spread": 0.0337,
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"reliable": true
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},
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{
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"signal": "mom_12_1_sector_resid",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0578,
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"ic_t_stat": 2.34,
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"ic_positive_pct": 65.7,
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"mean_quintile_spread": 0.0245,
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"reliable": true
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},
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{
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"signal": "mom_12_1_resid",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0552,
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"ic_t_stat": 1.98,
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"ic_positive_pct": 60.0,
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"mean_quintile_spread": 0.0207,
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"reliable": true
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},
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{
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"signal": "mom_12_1",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0531,
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"ic_t_stat": 1.61,
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"ic_positive_pct": 65.7,
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"mean_quintile_spread": 0.0206,
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"reliable": true
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},
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{
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"signal": "mom_12_1_sector_demeaned",
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"weeks": 35,
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"avg_cross_section": 496.7,
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"mean_ic": 0.034,
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"ic_t_stat": 1.32,
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"ic_positive_pct": 62.9,
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"mean_quintile_spread": 0.0154,
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"reliable": true
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},
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{
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"signal": "sue_latest",
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"weeks": 44,
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"avg_cross_section": 47.4,
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"mean_ic": 0.0172,
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"ic_t_stat": 0.6,
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"ic_positive_pct": 47.7,
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"mean_quintile_spread": 0.0064,
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"reliable": true
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},
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{
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"signal": "trend_200",
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"weeks": 37,
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"avg_cross_section": 497.9,
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"mean_ic": 0.0161,
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"ic_t_stat": 0.44,
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"ic_positive_pct": 59.5,
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"mean_quintile_spread": 0.006,
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"reliable": true
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},
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{
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"signal": "reversal_1m",
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"weeks": 43,
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"avg_cross_section": 498.7,
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"mean_ic": 0.0059,
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"ic_t_stat": 0.22,
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"ic_positive_pct": 53.5,
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"mean_quintile_spread": 0.0053,
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"reliable": true
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},
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{
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"signal": "mom_6_1",
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"weeks": 39,
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"avg_cross_section": 498.2,
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"mean_ic": 0.0051,
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"ic_t_stat": 0.21,
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"ic_positive_pct": 56.4,
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"mean_quintile_spread": 0.0087,
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"reliable": true
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},
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{
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"signal": "mom_3_1",
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"weeks": 42,
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"avg_cross_section": 498.5,
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"mean_ic": -0.0064,
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"ic_t_stat": -0.25,
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"ic_positive_pct": 50.0,
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"mean_quintile_spread": 0.0046,
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"reliable": true
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},
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{
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"signal": "high_52w",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": -0.0086,
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"ic_t_stat": -0.26,
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"ic_positive_pct": 54.3,
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"mean_quintile_spread": -0.0088,
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"reliable": true
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},
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{
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"signal": "fip_id",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": -0.045,
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"ic_t_stat": -2.91,
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"ic_positive_pct": 25.7,
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"mean_quintile_spread": -0.0168,
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"reliable": true
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}
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],
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"sue_grade": {
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"green": false,
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"checks": {
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"mean_ic": 0.0172,
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"sign_positive": true,
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"abs_ge_0_03": false,
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"reliable": true,
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"ic_t_stat": 0.6,
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"weeks": 44
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},
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"reason": "iron rule not met",
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"row": {
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"signal": "sue_latest",
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"weeks": 44,
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"avg_cross_section": 47.4,
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"mean_ic": 0.0172,
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"ic_t_stat": 0.6,
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"ic_positive_pct": 47.7,
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"mean_quintile_spread": 0.0064,
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"reliable": true
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}
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},
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"momentum_conditional_sue": {
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"mean_ic": -0.0065,
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"ic_t_stat": -0.1,
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"weeks": 35,
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"note": "IC of sue_latest within top mom_12_1 quintile (non-overlapping weeks)"
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},
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"sue_coverage": {
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"symbols_with_sue": 48,
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"avg_weeks_with_sue": 47.1,
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"weeks_with_min_cross_section": 256
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}
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},
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"verdict": "PARK",
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"verdict_detail": "SUE IC=0.0172 below iron bar or unreliable; keep data, no wire.",
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"human_next": "- No SUE book change.\n- Read 2a tails before considering any earnings-avoid filter.",
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"report_path": "reports/earnings-gap-sue-20260719-093129.json",
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"fmp_note": "Bulk earnings-calendar is paid (402 on free tier). Backfill used per-symbol /stable/earnings; see earnings-backfill-status.json."
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}
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