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

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.

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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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MacBook runbook

Prefer the bundled script (one entry point):

git fetch origin && git checkout research/earnings-gap-and-sue
# .env: ALPACA_* required; FMP_* if resuming earnings
# copy backtest_snapshots/prod.sqlite if not already local

chmod +x scripts/run_tier1_macbook.sh

# Default: coverage → deep rebuild → harness (+ era split)
./scripts/run_tier1_macbook.sh

# Optional variants
./scripts/run_tier1_macbook.sh --all            # + earnings resume first
./scripts/run_tier1_macbook.sh --earnings-only  # multi-day FMP + 2a/2b only
./scripts/run_tier1_macbook.sh --harness-only   # skip rebuild
./scripts/run_tier1_macbook.sh --coverage-only

# Tunables
WORKERS=12 HISTORY_DAYS=5000 ./scripts/run_tier1_macbook.sh
./scripts/run_tier1_macbook.sh --workers 12 --fmp-limit 250

Then commit reports/ + updated research docs, or copy them back to Windows.

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Data provenance

(filled at run time)

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Results

(filled at run time)

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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.