signal-platform/docs/research/execution-recovery.md

Execution recovery (2026-07-18) — when you fill is the edge you leave on the table

Report: reports/execution_recovery_matrix.json / .md
Follows Phase A A4 (phase-a-matrix.md).
Arms: close_control · next_open · stale_close · next_open_gap2.

Mechanics verified before sign-off: stale_close re-anchors stop to fill − 1.5×ATR(signal day); no same-day stop after a close fill; each t−1 candidate keeps its own gate/rank cross-section (no lookahead). Numbers trusted.

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Results

Arm	Full Sharpe	Full CAGR	Full DD	Train Sharpe	Val Sharpe
close_control	1.77	48.3%	21.6%	1.75	1.68
stale_close	1.57	40.6%	21.8%	1.36	1.74
next_open	1.20	30.0%	28.2%	0.94	1.44
next_open_gap2	1.06	25.2%	27.8%	0.72	1.41

Monotonicity (the strongest evidence)

In every window, Sharpe recovers as the fill moves toward the signal:

Window	next_open → stale_close → close
Train	0.94 → 1.36 → 1.75
Validation	1.44 → 1.74 → 1.68*
Full	1.20 → 1.57 → 1.77

*Val close 1.68 is within SE of stale 1.74 — not a break of the story.

A dead edge does not produce a monotone gradient in fill timing. A live edge that is progressively surrendered to execution delay does. Combined with full-period DD recovery (28.2% → 21.8% ≈ close’s 21.6%), this confirms the diagnosis: when you fill, not decaying alpha.

Auto-flag recover: False is not a null

Pre-registered recovery applied the “≥ close − 0.5 SE” bar to stale_close, the lower-bound arm (one full session of lag). Flags:

Flag	Result
near_close_control (val)	True (Δ +0.06)
beats_next_open	True (val Δ +0.30)
train_ok	False (1.36 vs need ≥ ~1.39 — miss by ~0.03)

The floor missed “≥ close − 0.5 SE” by 0.03 while the live design is expected to sit above the floor. The flag worked correctly on the wrong object.

Log sentence: Partial recovery proven; full recovery needs same-day fill.

Live outcome bracket

Bound	Arm	Meaning
Floor	stale_close ~1.57 full	One-session-stale close fill (conservative)
Ceiling	close_control ~1.77 full	Same-day close; optimistic only by final ~15 min of signal info

Real near-close execution (scan ~15:30–15:40 ET on a ~99% complete bar, MOC by 15:50/15:55) is signal-at-partial-bar filled at the same close the control uses. Live truth is bracketed [1.57, 1.77] with residual uncertainty of ~15 minutes of staleness, not 24 hours — expect near the top of the bracket.

stale_close alone already justifies the schedule change. No further fill-timing simulation on this snapshot — the bracket is the result. You cannot simulate 15:45 partial bars from daily data, and you do not need to.

Gap-cap — dead (third tail-trim instance)

next_open_gap2 worse than plain next_open on every window (full Sharpe 1.06 vs 1.20). 262 full-period gap-ups skipped — they were continuations.

This is the third independent instance of the same lesson:

1. Take-profit exits (gate target as TP)
2. FIP as an in-book filter
3. Gap-up entry caps

Any rule that trims the right tail improves cosmetic quality metrics and destroys P&L. Standing method rule: momentum filters must be presumed guilty of tail-trimming until shown otherwise.

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Decisions locked

1. Biggest lever is execution scheduling, not a strategy rewrite.
2. Until near-close execution is live: grade strategy promotion under fill_mode=next_open; keep close-fill as historical control.
3. After near-close ships: grade under a close-like / near-close fill mode (actual live path).
4. No more sim arms on fill timing for this snapshot.
5. Gap-cap: do not ship.
6. Strategy work (nasdaq_all, fip_id, sector) waits until the execution path is decided — those experiments must be graded under the fill mode you will trade.

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Ops design — settle before touching the scheduler

1. One canonical qualifying scan per day (non-negotiable)

Post-stop gate-reset was validated on one full-universe observation per day. Adding a near-close scan alongside the 07:00 scan would let fail→qualify transitions complete twice as fast and silently change the validated re-entry policy.

Move the R:R scan to near-close. Leave sentiment / fundamentals / OHLCV-backfill at 07:00 (or existing early slots). Preserve scan before Outcome Eval (scan late session, eval after close) so the documented strict-gate-reset live analogue is unchanged.

2. Cron in America/New_York, not Europe/Berlin

DST offsets shift on different dates. A Berlin-fixed wall time drifts ~1 hour off the US close for a week or two twice a year.

3. Fill mechanics and feed honesty

• NYSE MOC cutoff 15:50 ET; Nasdaq 15:55 ET.
• Scan ~15:30–15:40 ET on a latest-price snapshot; place entries by 15:50.
• For now: paper-trade entries marked at the actual close.
• Document Alpaca entitlement: if only 15-minute-delayed SIP, a 15:35 scan sees ~15:20 prices — immaterial for a 12-month signal, but write it down so nobody treats it as a bug.

4. Partial-bar plumbing

• Scan synthesizes day-t’s in-progress bar from the snapshot.
• Nightly OHLCV job overwrites with the final bar via existing idempotent upsert.
• Forward paper record marks entries at the actual near-close fill so the live track measures the new execution honestly.

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Implementation status

Item	Status
Research evidence	Closed — this doc + matrix report
Scheduler move (R:R scan → NY near-close)	Not started — blocked on ops design above
Partial-bar scan path	Not started
Paper fill-at-close marking	Not started (may already mark at close; verify when shipping)