dennisthiessenandClaude Fable 5
c7c60a64f2
Earnings backfill sourced from the public DoltHub earnings repo at a pinned commit rather than the FMP API: reproducible for anyone re-running the study, and it burns no request quota. 12,414 events, 98.6% of symbols with >=8 announcements, 99.2% paired actual/estimate, no keyed duplicates. 2a earnings-gap diagnostic: INFORMATIONAL, no filter shipped. The pre-earnings cohort's right tail was better, so the registered avoid-earnings condition failed. Note the raw 23/266 vs 115/574 incidence gap is largely a duration confound -- severe losses stop out fast and have less time to span an announcement -- so it is not evidence that holding through earnings is safe. 2b SUE: FAIL against the pre-registered +0.03 bar (unconditional IC +0.0151 over 56 reliable windows, momentum-conditional +0.0213). Signs stable across eras, so this is a clean null rather than an ambiguous one, consistent with post-earnings drift having decayed in large caps. Closes the Tier-1 arc: Task 1 dead on deep evidence, Task 2 dead here, Task 3 complete as diagnostic. No in-sample research thread remains open. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
350 lines
10 KiB
JSON
350 lines
10 KiB
JSON
{
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"generated_at": "2026-07-20T07:02:10.934892+00:00",
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"snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite",
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"snapshot_resolved": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite",
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"complete": true,
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"RHM"
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],
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{
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"symbol": "SPCX",
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"first_bar": "2026-06-12",
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"bars": 24
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{
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"symbol": "Q",
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{
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"symbol": "PSKY",
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{
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"symbol": "SNDK",
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"first_bar": "2025-02-13",
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"bars": 357
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},
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{
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"symbol": "GEV",
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{
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{
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"symbol": "VLTO",
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"bars": 700
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},
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{
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"symbol": "KVUE",
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"bars": 803
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{
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"symbol": "GEHC",
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"bars": 898
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}
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],
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"min": "2016-01-04",
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"max": "2026-07-17"
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},
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"rows": 2649,
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"min": "2016-01-04",
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"max": "2026-07-17"
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},
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},
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"gate_pass": true
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},
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"data_quality": {
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"window": {
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"from": "2020-01-22",
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"to": "2026-07-17"
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},
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"prod_symbols": 505,
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"events": 12414,
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"symbols_with_any_event": 504,
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"symbols_with_ge8_announcements_pct": 98.6,
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"symbols_with_ge8_paired_announcements": 495,
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"symbols_with_ge8_paired_announcements_pct": 98.0,
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"duplicate_rows_in_table": 0,
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"restated_rows_fetched": 940,
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"dedupe_policy": "UNIQUE(symbol, announce_date); normalise dot/dash symbols; retain one calendar row per key; preserve existing non-null session/EPS values from the prior FMP/Alpha Vantage partial backfill, then fill nulls and all remaining symbols from DoltHub; attach DoltHub period-end alignment",
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"events_per_symbol_year": {
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"mean_active_span_rate": 4.08,
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"expected": "approximately 4",
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{
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}
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]
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},
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"reliable": true,
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"assessment": "usable"
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},
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"point_in_time_policy": "announce_date_plus_1_trading_day_for_all_events",
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"sue_scaling": {
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"primary": "eps_surprise_over_stdev_of_prior_8_surprises_min_4",
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"fallback_trigger": "paired event coverage <50% or symbols with >=8 paired events <50%",
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"fallback_needed": false,
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"fallback_name": "not_used"
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},
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"backfill": {
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"mode": "dolthub_public_bulk_clone",
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"window": {
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"from": "2020-01-22",
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"to": "2026-07-17"
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},
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"coverage_amendment": {
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"approved_by_user": true,
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"reason": "FMP free tier blocks historical bulk earnings",
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"original_start": "2016-01-04",
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"amended_announcement_start": "2020-01-22"
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},
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"source": {
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"repository": "https://www.dolthub.com/repositories/post-no-preference/earnings",
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"commit": "9n0et3hpj9j7vue8f3qsldon3qa5sdjj",
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"license": "CC-BY-SA-4.0",
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},
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},
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"pairing": {
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"method": "minimum-cost monotonic alignment per symbol",
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-14,
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90
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],
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"max": 89
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},
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"pre_2020_eps_history_use": "trailing_surprise_stdev_only; never treated as an announcement or live signal event"
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},
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"dedupe_policy": "UNIQUE(symbol, announce_date); normalise dot/dash symbols; retain one calendar row per key; preserve existing non-null session/EPS values from the prior FMP/Alpha Vantage partial backfill, then fill nulls and all remaining symbols from DoltHub; attach DoltHub period-end alignment",
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"events_in_window": 12414,
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"symbols_without_dolthub_calendar": [
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"RHM",
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"SPCX"
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],
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"announce_date_range": {
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"min": "2020-01-22",
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"max": "2026-07-17"
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},
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"complete": true
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}
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},
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"production_impact": "none",
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"experiment": "2b",
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"result": {
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"verdict": "FAIL",
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"verdict_detail": "SUE DEAD for this stack",
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"grade_rule": {
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"mean_ic_ge_0_03_positive": false,
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"reliable_ge_12_windows": true,
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"positive_sign_pre_and_post_2021": true,
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"pass": false
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},
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"signal": "sue_latest",
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"reliable": true
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},
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"era_split": {
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"pre_2021": {
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"signal": "sue_latest",
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"weeks": 9,
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"avg_cross_section": 398.3,
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"mean_ic": 0.0286,
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"ic_t_stat": 0.7,
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"ic_positive_pct": 55.6,
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"mean_quintile_spread": 0.0084,
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"reliable": false
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},
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"post_2021": {
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"signal": "sue_latest",
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"weeks": 48,
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"avg_cross_section": 461.9,
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"mean_ic": 0.0172,
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"ic_t_stat": 1.34,
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"ic_positive_pct": 64.6,
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"mean_quintile_spread": 0.0038,
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"reliable": true
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}
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},
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"signal_eval_identical_cross_sections": {
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"sue_latest": {
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"signal": "sue_latest",
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"weeks": 56,
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"avg_cross_section": 450.9,
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"mean_ic": 0.0148,
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"ic_t_stat": 1.27,
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"ic_positive_pct": 51.8,
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"mean_quintile_spread": 0.004,
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"reliable": true
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},
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"mom_12_1": {
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"signal": "mom_12_1",
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"weeks": 56,
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"avg_cross_section": 450.9,
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"mean_ic": 0.0195,
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"ic_t_stat": 0.74,
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"ic_positive_pct": 58.9,
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"mean_quintile_spread": 0.0104,
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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": 56,
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"avg_cross_section": 450.9,
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"mean_ic": 0.0262,
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"ic_t_stat": 1.07,
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"ic_positive_pct": 55.4,
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"mean_quintile_spread": 0.0114,
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"reliable": true
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}
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},
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"identical_cross_section_definition": "same week-symbol-forward-return cells where sue_latest, mom_12_1, and mom_12_1_resid are all non-null",
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"momentum_conditional_top_quintile": {
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"mean_ic": 0.0213,
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"ic_t_stat": 1.3,
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"weeks": 56,
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"avg_cross_section": 89.8,
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"population": "top_mom_12_1_quintile_only"
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},
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"coverage": {
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"symbols_with_live_sue": 501,
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"avg_weekly_live_n_all_weeks": 453.1,
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"avg_cross_section_n_scored_nonoverlap": 451.4,
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"thin_cross_section_lt_100": false,
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"warning": null
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},
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"scaling": {
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"method": "eps_surprise_over_stdev_of_prior_8_surprises_min_4",
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"fallback": "not_used",
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"counts": {
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"standard_scaled_events": 12149,
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"events_scaled_from_period_history": 12149,
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"price_fallback_events": 0,
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"dropped_insufficient_trailing_history": 95,
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"dropped_missing_period_alignment": 67,
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"dropped_zero_stdev": 0
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},
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"pre_coverage_history_policy": "period-end EPS surprises may scale later events but are never treated as live signals without an announcement date",
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"availability": "announce_date_plus_1_trading_day",
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"carry_trading_days": 63
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},
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}
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}
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