dennisthiessen
32bf9c9297
scripts/run_tier1_macbook.sh wraps earnings resume, coverage probe, deep snapshot rebuild, sector ETF refresh, and history-depth harness with phase flags.
95 lines
3.2 KiB
Markdown
95 lines
3.2 KiB
Markdown
# History-depth extension (Tier-1 alpha research)
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**Status:** PRE-REGISTERED — run on MacBook (heavy I/O + full harness).
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**Branch:** `research/history-depth-extension` (create from latest research stack).
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**Production impact:** none. **Do not retune any production knob on deep history.**
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---
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## Pre-registration (locked before rebuild)
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### Motivation
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All current conclusions rest on ~35 non-overlapping weekly windows in essentially
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one post-2021 regime. Extending history toward max Alpaca daily-bar depth adds
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the 2018 vol shock and full 2020 crash (where the feed allows).
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### Protocol
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1. **Empirical coverage first** — bars per calendar year per symbol; document
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where the feed thins out. Do **not** assume a uniform start date.
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2. **Rebuild the research snapshot completely** from prod source + max history
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per symbol (`Adjustment.SPLIT`, ~200 req/min pacing via existing extender).
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3. **Race guard (rule 6)** — refuse analysis until completion manifest is
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`complete=true` and live counts match.
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4. **Re-run full signal harness** (all existing signals incl. sector residual /
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SUE if present) on the extended window.
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5. **Report per signal:** mean IC, t, window count, and **era split**
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(pre-/post-2021) — diagnostic only, **not a tuning input**.
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6. **Log prominently:** survivorship bias grows with depth (today’s constituents
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backfilled). Absolute Sharpe/CAGR on deep history is optimistic; payload is
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**relative** signal comparisons and IC stability, not levels.
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7. **Do not retune** production knobs. If a knob’s confirmation looks
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overturned on deep history → report only; human decides.
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### Success / interpretation (not promotion of a new signal)
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| outcome | meaning |
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|---|---|
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| Sector residual still ≥ market residual on deep IC + stable sign | strengthens Task 1 PROMOTE case |
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| Sector residual collapses pre-2021 | **PARK** Task 1 wire-in |
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| SUE remains weak after full earnings + depth | **DEAD** SUE for this stack |
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| Any production knob looks worse deep | report; no auto-retune |
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---
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## MacBook runbook
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Prefer the bundled script (one entry point):
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```bash
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git fetch origin && git checkout research/earnings-gap-and-sue
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# .env: ALPACA_* required; FMP_* if resuming earnings
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# copy backtest_snapshots/prod.sqlite if not already local
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chmod +x scripts/run_tier1_macbook.sh
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# Default: coverage → deep rebuild → harness (+ era split)
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./scripts/run_tier1_macbook.sh
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# Optional variants
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./scripts/run_tier1_macbook.sh --all # + earnings resume first
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./scripts/run_tier1_macbook.sh --earnings-only # multi-day FMP + 2a/2b only
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./scripts/run_tier1_macbook.sh --harness-only # skip rebuild
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./scripts/run_tier1_macbook.sh --coverage-only
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# Tunables
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WORKERS=12 HISTORY_DAYS=5000 ./scripts/run_tier1_macbook.sh
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./scripts/run_tier1_macbook.sh --workers 12 --fmp-limit 250
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```
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Then commit `reports/` + updated research docs, or copy them back to Windows.
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---
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## Data provenance
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*(filled at run time)*
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---
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## Results
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*(filled at run time)*
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---
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## Verdict
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**Pending MacBook run.**
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## What a human must decide next
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- Do not retune production from deep history without explicit review.
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- Use relative IC stability to accept/reject Task 1 sector residual wire-in.
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