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

Capacity correction (2026-08-05): the full close-fill control also records skipped_book_full = 519 versus 472 admitted trades, so the ten-slot book refuses 52.4% of admitted+blocked qualified opportunities. The older weekly claim that the cap never bound is stale and does not apply to this daily gate-reset configuration. Capacity is now isolated in the focused bracket study.

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 (until near-close ships): grade promotion under fill_mode=next_open; keep close-fill as the historical control for comparability with prior reports.

Follow-up (done): execution recovery matrix — see execution-recovery.md. Short version: monotone fill-timing gradient + DD recovery prove this is when you fill; live bracket [1.57, 1.77]; gap-cap dead; no more fill-timing sim on this snapshot; ops move R:R scan to NY near-close (one scan/day).

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
• More fill-timing simulation on this snapshot (settled — see execution-recovery.md)
• Dual daily qualifying scans (would break gate-reset validation)
• Gap-up entry filters (third tail-trim failure)

What to do next

1. Ship near-close execution — ops checklist in execution-recovery.md
   (one R:R scan/day in America/New_York, MOC window, partial-bar honesty).
2. Until that ships: decision baseline = next_open.
3. Strategy work (nasdaq_all, fip_id, sector) only after execution path is decided, graded under the fill mode you will trade.