signal-platform/docs/research/phase-a-matrix.md

Phase A research matrix (2026-07-18) — results and decisions

Report: reports/research-matrix-phase-a.json / .md
Branch: research/portfolio-vol-and-followups
Validation split: entries ≥ 2024-07-01 (called validation, not holdout — this window has been opened before).
Cadence: daily, production gate/rank/trail + gate-reset re-entry.
Pre-registered N for DSR: 20.

Pre-registered promotion rule (unchanged after run start)

Promote only if all of:

1. Validation Sharpe ≥ control
2. Validation max DD not worse by more than 2pp
3. Train Sharpe not worse (both-windows consistency)

Always report whether validation ΔSharpe exceeds 1 × SE (expect most will not).

Mechanics guards confirmed before reading results: calendar truncation asserted on every arm; next-open re-anchors stop to fill − 1.5×ATR(signal); vol scalars apply at entry only.

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Control baseline

Window	Sharpe	SE	CAGR	MaxDD	Calmar	Trades
Train	1.75	0.68	49.8%	17.9%	2.78	240
Validation	1.68	0.72	41.6%	20.9%	1.99	239
Full (close-fill)	1.77	0.50	48.3%	21.6%	2.23	472

Validation SE ≈ 0.72 — almost no arm clears a 1-SE delta.

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Per-arm decisions

A2 — Max hold {30, 45, 60, 90} — note and move on

Hold	Val Sharpe	Val DD	Train Sharpe	Trades train
30	1.68	20.9	1.75	240
45	2.07	19.3	1.43	218
60	2.12	19.3	1.11	186
90	2.04	23.1	1.30	179

Validation-only would have “found” +0.4 Sharpe. Train collapses: longer holds leave stale names blocking slots (240 → 186 trades at hold-60). This is a regime interaction (trend validation vs chop train), not a free knob. A regime-conditional hold is a large research program; prior regime-overlay work already argues against that path.

Decision: keep max hold 30. Do not ship longer static holds.

A3 — Equity-curve vol targeting — reject as edge; park as optional insurance

Scalars averaged 0.77–1.07 as designed (grid straddled historical book vol ~22–25%). Lower targets de-levered; vt25 was nearly neutral (val Sharpe 1.63 vs 1.68). Wide clamp ≈ headline clamp. Lookback sensitivity did not unlock a win.

This sample has no major vol-regime shift, so the run rejects vol targeting as an edge on this data — it does not reject crash-insurance value in a future high-vol regime. The ~0.02 Sharpe cost at vt25 is a nearly free insurance policy if drawdown tolerance ever tightens.

Decision: do not ship. Settles “Phase 2 = vol-scaled momentum” as an edge plan on this snapshot. Park vt25 as optional risk preference only.

A5 — Correlation caps — reject; sector caps stay Phase B with reduced expectations

Best near-miss: 0.6 skip — val Sharpe 1.70, val DD 17.0% (tempting), but train Sharpe 1.61 < 1.75 and full-period Sharpe 1.59 vs 1.77 (the cap deletes real momentum concentration profit). Half-size variants were worse.

Decision: no pure corr cap. Sector caps remain Phase B with reduced expectations.

A4 — Next-open fill — not a reject; the discovery

	Close control	Next-open
Full Sharpe	1.77	1.20
Full CAGR	48.3%	30.0%
Val Sharpe	1.68	1.44
Val DD	20.9%	28.2%

Overnight gap on validation entries: mean −0.52%, median −0.18%, p05 −4.5%, p95 +2.1% (n=243).

This is not “slippage noise.” It is largely the overnight momentum drift that close-fill earns and a 07:00-Berlin scanner (signal yesterday’s close → fill tomorrow’s open) structurally cannot. Honest deployable number under that schedule is ~Sharpe 1.2 / CAGR 30%, not 1.77 / 48%.

Decision baseline going forward: grade promotion under fill_mode=next_open; keep close-fill as the historical control for comparability with prior reports.

Highest-leverage follow-up (not a strategy change): near-close / MOC-style execution (~15:45 ET) so live fills sit near the close the signal is built on. Simulator proof arm: stale_close (signal t−1 close, fill t close). Secondary: next-open gap-cap (skip open > +2% vs signal close) — measure, don’t assume.

fip_id re-derivation — validated

Weekly IC fingerprint on this snapshot: mean IC −0.045, t = −2.92, reliable (35 weeks). Matches the July record. Safe to reuse when the universe broadens.

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Promotion table (rule as written)

Outcome	Arms
Promote	only a2_hold_30 (identity with control)
Reject	every other arm

No arm cleared ΔSharpe > 1 SE.

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What not to do next

• Re-litigate rejected-table items, min_rr, GTL
• Regime-conditional max-hold as a “small” experiment
• Treat validation-only max-hold glitter as a free CAGR lift
• Ship vol targeting as edge without a vol-regime sample

What to do next

1. Execution recovery matrix — stale_close vs close vs next_open; optional gap-cap under next_open (scripts/run_execution_recovery_matrix.py).
2. If stale_close ≈ close control: schedule scan near the US close (not a signal rewrite).
3. Until near-close execution ships live: decision baseline = next_open.
4. Phase B data work only when wanted: nasdaq_all + fip_id, earnings calendar, sector residual/caps.