dennisthiessenandClaude Opus 5
3483797e75
Two review findings on 46ace50.
[P1] Raising HY_OAS_WINDOW_DAYS to 700 only reached newly computed rows. A
routine run recomputes the latest trading date alone, and `rebuilding` was keyed
on "no v3 snapshot exists at all", which is false once the cutover has run --
so every row already written kept the credit gap the wider window exists to
close, indefinitely.
Adds SENSOR_REVISION: stamped into each snapshot, absent on pre-marker rows
(read as 1), and a stored revision below the current one triggers exactly one
reseed. Deliberately not METHODOLOGY, which would partition the history API and
discard the cached event study -- neither warranted, since the study recomputes
its Warning series from source rather than reading snapshots and so cannot be
staled by a reseed.
The reseed is bounded by REBUILD_LOOKBACK_DAYS in calendar days rather than a
session count, because the binding constraint is the OAS fetch: each replayed
row needs W3's 20-business-day lookback inside HY_OAS_WINDOW_DAYS. Replaying by
session count would have left the oldest stored rows unrepaired -- the exact
rows the fix targets. At 672 days the replay covers ~464 sessions, W3's oldest
requirement lands on the first fetched OAS day, and the ~400-session series the
cutover wrote is fully covered. A test asserts that relationship so the two
constants cannot drift back into recreating the gap.
[P2] With nothing ever collected, current_observation returned available=true
and the default placeholders -- "unknown" for every hyperscaler, "mixed" for the
reaction -- so the card announced a reading that never happened. Those are the
absence of an observation, not an observation of absence. Gated on `observed`
(non-null fetched_at, the one field every path writing real content stamps),
which blanks the content and drives a proper empty state naming where an admin
collects one. This was a regression from 46ace50; fundamental_overlay never had
it, since no observation means no effective date means pending.
Also renames the leftover v2 identifiers in the touched paths
(rewrite_existing_v2, latest_v2).
Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
Research log — what we tested, what happened, what we kept
Every strategy question we've put to the backtest, in one table. The point is to
stop re-litigating settled questions: if a row says "rejected", the experiment
was run and the data said no. Detail lives in the linked docs and in
reports/*.json (all committed).
The one-line summary of the whole platform: it is a long-only cross-sectional momentum book — buy the top quintile by beta-adjusted 12-1 momentum, tilt toward higher volatility, hold ≤ 10 names, cut at 1.5× ATR, then trail at 3× ATR for up to 30 trading days. After an initial stop, require the daily production gate to fail and subsequently qualify again before re-entry. Everything else in the app (composite score, Structural S/R, the Gate Target Ladder, sentiment, fundamentals) is display or screening, not edge.
1. What survived — the production strategy
| Component | Status | Why it's there |
|---|---|---|
| Residual 12-1 momentum, top 20%, long-only | The edge. Everything else is scaffolding | Only component with a measured cross-sectional IC. Promoted July 2026 |
| 80/20 residual-momentum / 6m-volatility rank | Ranking tilt | Buys ~2pp CAGR over momentum-only; costs ~6pp drawdown |
| 1.5× ATR initial stop | Real exit | Cuts losers fast |
| 3× ATR trailing stop, 30-day max hold | Real exit | Best Sharpe of every exit tested |
| Post-stop normal gate reset | Re-entry policy | Stop always closes; a later gate failure and subsequent fresh qualification define the next signal episode. The selected study arm reached Sharpe 1.77 / CAGR 48.3% at capacity 10; live scan-before-outcome timing is stricter (Sharpe 1.68 / CAGR 44.8% analogue). Full study |
| Max 15 concurrent positions, 1% risk per trade | Sizing | Raised from 10 (2026-08-05) so the count cap never binds: +1.075pp CAGR paired, 51 paths better / 2 worse, drawdown unchanged. Cash plus the 20% notional cap saturates the book near 12. Findings |
| Structural S/R | Human-facing product context | Clean, capped zones for charts and alerts; not read by the scanner |
| Gate Target Ladder | Screening machinery | Volume-free transient proposals preserve the production candidate set exactly; never an exit |
2. Rejected — do not resurrect without new data
| # | Experiment | Result | Decision | Evidence |
|---|---|---|---|---|
| 1 | Gate target as a take-profit (exit at the target, with or without the trail) | Sharpe 2.04 → 1.47, CAGR halved (50.4% → 28.9%). Win rate rose (37.5% → 40.0%) — the tell: it truncates the right tail | Rejected. The target must never become an exit | sr-levels-and-exits.md · backtest-20260712-sr-target-exit.json |
| 2 | Clear-air fallback — synthesize a 3× ATR target so 52-week-high breakouts stop being vetoed by "no resistance above" | Looked strictly better in-sample (Sharpe 2.07, CAGR 62.3%, DD 20.1%) but failed a real out-of-sample holdout: Sharpe 2.78 → 2.45, higher drawdown | Rejected. Gate stays as-is | sr-levels-and-exits.md · backtest-20260712-holdout-*.json |
| 3 | Blanket S/R fallback (any missing target, not just clear air) | Sharpe 1.82, per-setup expectancy 0.583 → 0.280 R | Rejected. 65% of what it admitted were ATR/R:R filter misses, which are actively bad | sr-levels-and-exits.md |
| 4 | Expected-value gate (min_expected_value replacing the R:R + probability pair) |
Structurally favoured distant lottery targets; selected worse-than-random setups | Removed June 2026. Settings dropped in migration 020 | migration 009, 020 |
| 5 | Blue-sky projected targets (invent a target above when none exists) | Dilutive under the ATR-trail exit | Reverted July 2026. Same root cause as #2 — better targets can't help when the exit ignores them | — |
| 6 | SPY 200d-MA regime overlay (block entries / go flat) | Halves return (315% → 138%), zero drawdown benefit | Rejected. The ATR trail already manages downside; the filter blocks the recovery entries that make the money | backtest-20260708-regime-overlay.json |
| 7 | Short setups | Fight the trend, drag expectancy | Excluded while the momentum gate is active | — |
| 8 | Standalone volatility ranking (high-vol 80, no momentum) | CAGR 31.6%, DD −34.8%, Sharpe 1.12 | Rejected. Vol is a tilt, not a signal | prod-baseline |
| 9 | Low-volatility ranking | CAGR 2.7%, Sharpe 0.29 | Rejected. No edge | prod-baseline |
| 10 | Inverse-vol position sizing | The apparent "win" was mis-attributed: the 20% notional cap bound on 95% of entries, so it measured concentration, not vol-sizing. Genuine inverse-vol cuts DD to −18.2% but costs ~58pp return at flat Sharpe | Rejected as edge; it's a risk-preference trade | backtest-20260709-position-sizing*.json |
| 11 | FIP path-smoothness as tie-breaker/filter | Non-monotonic within the qualified set; thinning the entry stream costs more compounding than the tilt returns | Rejected as a filter — but see §4, it's the strongest raw signal we've measured | — |
| 12 | Fixed take-profit sweep (R-multiples) | No interior optimum ever found — the best TP is "no TP" | Rejected. Momentum's edge lives in the right tail | backtest_service.py:450 |
| 13 | Sector-residual 12-1 (mom_12_1_sector_resid / sector demean) as replacement for market residual |
Short-window IC/A/B looked knife-edge green; deep repaired + liquid-1500 retest: weeks 83, mild +IC 0.027 / t 1.69, below iron bar 0.03 (FAIL). Demean already weaker | Rejected / closed. Keep production market residual. Do not resurrect without a new pre-registered protocol | sector-residual-momentum.md · sector-resid-deep-20260719-113319.json · history-depth supersession note |
3. Tuned and confirmed — don't retest on this snapshot
A systematic single-variable sweep (July 2026) confirmed every production setting. Re-running these against the same ~4-year snapshot is wasted compute and invites overfitting.
| Knob | Verdict |
|---|---|
| ATR trail multiple {1.5–4.0} | Keep 3.0 — ≤2.0 whipsaws out the right tail; ≥2.5 is a plateau |
| Momentum lookback (6-1, 3-1, 12-7 Novy-Marx, composites) | Keep residual 12-1 — the others have IC ≈ 0 or weaker t-stats |
| Selection cutoff {70…90} × book size {10, 15, 20} | Keep cutoff 80; book size now 15 — the focused daily bracket found cap 15 worth +1.075pp CAGR (the weekly replay's contrary reading was EV-per-trade). Weekly rank replacement hurt. Findings |
| Position sizing (equal-weight, inverse-vol, risk-% sweep) | Keep 1% fixed-fractional |
| Primary-target probability floor | Keep 20% — pruned lottery targets, 1,428 → 1,089 qualified, lifted Sharpe |
| Primary-target R:R selector | Keep 1.5 — target choice is intentionally independent of the later 2.0 activation floor |
| Exit policy (hold / SMA50 / 20-day low / technical-40 / ATR trail) | Keep 3× ATR trail — best Sharpe (2.04) |
Activation R:R floor min_rr (swept 2026-07-12) |
Keep 2.0 — best in-sample and out-of-sample. But it is a spike, not a plateau — see below |
| Post-stop re-entry (nine daily policy arms) | Keep normal gate reset at production capacity 10 — Sharpe 1.77 vs 1.67 immediate and 1.47 fixed cooldown 5. The result changes with book capacity; see post-stop-reentry.md |
The min_rr sweep (2026-07-12)
min_rr = 2.0 had been hand-set in Admin and never swept — the gate ablation only
tested the floor on vs off, never its level. Swept against portfolio Sharpe under the
real exit, with a parity self-check (reproduces_production_gate: true — the row at 2.0
rebuilds production's exact 1,089-setup qualified set).
Reports: backtest-20260712-min-rr-sweep.json (in-sample), -oos.json (test window only).
| min_rr | qualified | In-sample Sharpe / CAGR | OOS Sharpe / CAGR (entries ≥ 2024-07) |
|---|---|---|---|
| 0.0 (floor off) | 6636 | 1.98 / 58.5% | 2.02 / 66.2% |
| 1.2 (old code default) | 3897 | 1.34 / 33.9% | 1.12 / 28.8% |
| 1.5 | 3127 | 1.20 / 29.6% | 1.12 / 28.8% |
| 1.75 | 1974 | 1.64 / 44.5% | 1.15 / 27.4% |
| 2.0 (live) | 1089 | 2.04 / 50.4% | 2.78 / 73.3% |
| 2.25 | 577 | 1.64 / 31.8% | 1.71 / 31.9% |
| 2.5 | 286 | 1.67 / 29.0% | 0.68 / 8.7% |
| 3.0 | 89 | 1.09 / 9.1% | 0.87 / 5.0% |
Verdict: keep 2.0. It is the optimum in both windows, and the peak reproducing in data it was never fitted to is real evidence — the one thing the clear-air experiment couldn't show.
But treat it as fragile, and do not nudge it. Unlike the ATR trail (a plateau above 2.5), this is a spike with a trough beside it: ±0.25 costs ~0.4 Sharpe in-sample and ~1.6 Sharpe out-of-sample. A knob that sharp is not a robustly identified parameter, and the curve is bimodal (floor-off is good, 1.2–1.75 is bad, 2.0 is good) — which is not how a well-behaved threshold behaves. We got lucky: the hand-set value landed on the peak.
Also worth knowing: turning the floor off entirely is the second-best row in both windows — nearly the same Sharpe with substantially higher CAGR (58.5% / 66.2%) and more trades. If CAGR ever matters more than Sharpe here, "no R:R floor" is a live option, and it would also sever the last dependency the gate has on the weak S/R detector.
4. Phase A matrix (2026-07-18) — closed
Full write-up: phase-a-matrix.md ·
reports/research-matrix-phase-a.json.
| Arm | Decision |
|---|---|
| Max-hold {45,60,90} | Note and move on — validation glitter, train collapse (regime interaction) |
| Equity-curve vol targeting | Reject as edge on this sample; park vt25 as optional DD insurance only |
| Correlation caps | Reject; sector caps stay Phase B with reduced expectations |
| Next-open fill | Discovery, not reject — honest deployable ~Sharpe 1.2 / CAGR 30% under overnight scanner. Decision baseline until near-close ships = next_open |
fip_id re-derive |
Validated (IC −0.045, t = −2.92) |
Execution recovery (same day) — closed as evidence
Full write-up: execution-recovery.md ·
reports/execution_recovery_matrix.json.
| Finding | Decision |
|---|---|
| Monotone fill timing (next_open → stale → close) + DD recovery | When you fill, not decaying alpha |
| Live bracket [1.57, 1.77] full Sharpe | Near-close expected near top of bracket; no more fill-timing sim |
| Gap-cap | Dead — third tail-trim instance |
Auto-recover: false |
Not a null — bar hit the lower-bound arm by 0.03 train SE |
Highest-leverage open work: ops — move the single daily R:R scan to
America/New_York near-close (checklist in execution-recovery.md). Not more research
knobs.
5. Open leads
| Lead | Why it's interesting | Blocker |
|---|---|---|
| Near-close / MOC execution (ops) | Recovers overnight momentum drift left on the table by a morning EU scan; evidence closed | Schedule + fill_mode shipped; live paper validation ongoing |
fip_id / liquid breadth |
Fingerprint −0.045 / t −2.91; liquid unconditional −0.017 / t −1.85 (not green); mom-conditional −0.088 / t −4.58 | Parked. Orphan +0.0575 died (snapshot race). Breadth did not strengthen resid-mom t-stat. Optional reopen = pre-registered two-arm liquid-1500 book first. See fip-breadth-ic.md |
| Broader universe | Composition changes factor signs (fip tug-of-war); vol-tilt on breadth is only a directional hypothesis (auth. −0.048 / t −1.36) | Any prod broaden must re-validate 80/20 tilt; offline research only; research.sqlite requires completion manifest |
| Forward paper-trade record | The only true out-of-sample evidence the snapshot cannot give | Time; mark entries at actual near-close fill once ops ships |
| Better target model for clear-air names | The return is demonstrably there (#2 wins on raw CAGR in both train and test); it's the flat 3× ATR target that makes it too expensive in risk | Needs a per-name model, not a constant k×ATR |
| Minimum effective-risk floor | ⛔ CLOSED NEGATIVE, not run. The floor lifts EV/trade (+0.032) and PF (+0.073) by deleting trades — 11.4 fewer per path, never one more — and costs −0.753pp CAGR, −0.047 Sharpe, −0.051 Calmar | Do not run the A/B; its EV-based pass rule would have shipped it. Withdrawn specification / findings |
6. Method rules learned the hard way
- Nested lookback windows are NOT out-of-sample. The clear-air result (#2) was
clean, large, and consistent across five nested windows — and still died on a
proper train/test split by entry date. Use
BACKTEST_HOLDOUT_SPLIT/ a named validation window — and do not pretend a repeatedly opened window is pristine. - Check what population an ablation actually admits. The blanket fallback (#3) looked like it tested the "resistance famine" hypothesis. It didn't — 65% of the setups it let in were a different population entirely, and they drove the result.
- A rising win rate is a warning, not a win. Both #1 and #12 raised the hit rate while destroying returns. In a right-tailed strategy, "winning more often" usually means you clipped the winners.
- The iron rule: a signal earns its way into selection only through the
factor harness — |mean IC| ≳ 0.03, consistent sign,
reliable: true(≥ 12 non-overlapping windows). Never let an unvalidated score gate setups. - Momentum filters are guilty of tail-trimming until proven otherwise. Independent failures: take-profit exits, FIP as an in-book filter, gap-up entry caps. Cosmetic quality up, P&L down — the right tail is the edge.
- Fill timing is part of the strategy. Close-fill reports are not deployable numbers for an overnight scanner. Grade promotion under the fill mode you will actually trade.
- Incomplete research artifacts are not results. The Phase B +0.0575 / t +5.12
liquid-fip row was orphaned within hours: it raced a partially built
research.sqlite. Extender now writes a completion manifest; breadth mode refuses without a match. Same class of protection as calendar-truncation asserts — do not re-mythologize numbers computed on half a universe.
7. Why we stay with the current strategy
Everything we've tried to add has either failed the backtest, failed out-of-sample, or turned out to be measuring something other than what it claimed. What's left is a boring, well-documented result: cross-sectional momentum works; the machinery around it mostly doesn't.
Structural S/R, the composite score, sentiment and fundamentals remain useful human context but have no measured edge. The Gate Target Ladder is different: it is internal screening machinery whose broad historical-price-traffic behavior was preserved explicitly and volume-free, with exact full-period parity. It is still neither market structure nor an exit. The one component that does have measured predictive edge is the momentum gate, and every knob on it has been swept and confirmed. After an initial-stop exit, that same gate now also defines when a new episode may begin: one later failed observation followed by a fresh qualification. The daily re-entry matrix supports this for the current 10-position book, but not as a universal rule for other portfolio capacities.
Capacity is closed positive: the count cap was raised 10 → 15 so it no longer binds, worth +1.075pp CAGR paired across 175 paths (51 better, 2 worse) at unchanged drawdown. Fifteen is headroom, not a target — cap15 peaked at 12 with zero full-book skips, so cash plus the 20% notional cap is the real ceiling.
An earlier reading of this run concluded "keep cap 10, added only 0.0018 R/trade." That was EV per trade, which is the wrong metric for a treatment that changes trade count: flat EV/trade means the blocked entries were as good as the taken ones, so refusing them cost their whole contribution to return. Weekly current-rank replacement remains rejected (−0.043 EV R, 24% churn). The 0.5% effective-risk-floor A/B is closed negative without being run — it costs 0.75pp of CAGR while raising EV/trade, and its frozen pass rule would have shipped it. See the frozen specification and the capacity findings.
The next real evidence is forward, not backward: the live paper-trade record.