History-depth extension (Tier-1 alpha research)

Status: PRE-REGISTERED — run on MacBook (heavy I/O + full harness).
Branch: research/history-depth-extension (create from latest research stack).
Production impact: none. Do not retune any production knob on deep history.

Pre-registration (locked before rebuild)

Motivation

All current conclusions rest on ~35 non-overlapping weekly windows in essentially one post-2021 regime. Extending history toward max Alpaca daily-bar depth adds the 2018 vol shock and full 2020 crash (where the feed allows).

Protocol

Empirical coverage first — bars per calendar year per symbol; document where the feed thins out. Do not assume a uniform start date.
Rebuild the research snapshot completely from prod source + max history per symbol (Adjustment.SPLIT, ~200 req/min pacing via existing extender).
Race guard (rule 6) — refuse analysis until completion manifest is complete=true and live counts match.
Re-run full signal harness (all existing signals incl. sector residual / SUE if present) on the extended window.
Report per signal: mean IC, t, window count, and era split (pre-/post-2021) — diagnostic only, not a tuning input.
Log prominently: survivorship bias grows with depth (today’s constituents backfilled). Absolute Sharpe/CAGR on deep history is optimistic; payload is relative signal comparisons and IC stability, not levels.
Do not retune production knobs. If a knob’s confirmation looks overturned on deep history → report only; human decides.

Success / interpretation (not promotion of a new signal)

outcome	meaning
Sector residual still ≥ market residual on deep IC + stable sign	strengthens Task 1 PROMOTE case
Sector residual collapses pre-2021	PARK Task 1 wire-in
SUE remains weak after full earnings + depth	DEAD SUE for this stack
Any production knob looks worse deep	report; no auto-retune

MacBook runbook

Prefer the bundled script (one entry point):

git fetch origin && git checkout research/earnings-gap-and-sue
# .env: ALPACA_* required; FMP_* if resuming earnings
# copy backtest_snapshots/prod.sqlite if not already local

chmod +x scripts/run_tier1_macbook.sh

# Default: coverage → deep rebuild → harness (+ era split)
./scripts/run_tier1_macbook.sh

# Optional variants
./scripts/run_tier1_macbook.sh --all            # + earnings resume first
./scripts/run_tier1_macbook.sh --earnings-only  # multi-day FMP + 2a/2b only
./scripts/run_tier1_macbook.sh --harness-only   # skip rebuild
./scripts/run_tier1_macbook.sh --coverage-only

# Tunables
WORKERS=12 HISTORY_DAYS=5000 ./scripts/run_tier1_macbook.sh
./scripts/run_tier1_macbook.sh --workers 12 --fmp-limit 250

Then commit reports/ + updated research docs, or copy them back to Windows.

Data provenance

(filled at run time)

Results

Generated: 2026-07-19T09:41:34.109378

SURVIVORSHIP BIAS: today's constituents backfilled historically. Absolute Sharpe/CAGR levels on deep history are optimistic. Use RELATIVE signal IC comparisons and era stability only — not levels.

Coverage

{
  "snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/prod.sqlite",
  "ticker_count": 506,
  "ohlcv_row_count": 629263,
  "date_range": {
    "min": "2021-06-24",
    "max": "2026-07-02"
  },
  "bars_per_year": [
    {
      "year": "2021",
      "bars": 65678,
      "tickers_with_bars": 494
    },
    {
      "year": "2022",
      "bars": 124423,
      "tickers_with_bars": 497
    },
    {
      "year": "2023",
      "bars": 124479,
      "tickers_with_bars": 499
    },
    {
      "year": "2024",
      "bars": 126129,
      "tickers_with_bars": 501
    },
    {
      "year": "2025",
      "bars": 125615,
      "tickers_with_bars": 504
    },
    {
      "year": "2026",
      "bars": 62939,
      "tickers_with_bars": 505
    }
  ],
  "bars_per_symbol": {
    "min": 14,
    "p10": 1261,
    "p50": 1261,
    "p90": 1261,
    "max": 1261
  },
  "symbols_by_start_year": {
    "2021": 494,
    "2022": 3,
    "2023": 2,
    "2024": 2,
    "2025": 3,
    "2026": 1
  },
  "note": "Where ticker counts drop in early years, the feed (or listing history) thins \u2014 do not treat those years as a full 505-name cross-section.",
  "survivorship_banner": "SURVIVORSHIP BIAS: today's constituents backfilled historically. Absolute Sharpe/CAGR levels on deep history are optimistic. Use RELATIVE signal IC comparisons and era stability only \u2014 not levels."
}

Race guard

{}

Signal IC (full extended window)

Harness not run this pass.

Era split (diagnostic only)

No era split.

Verdict

COVERAGE_ONLY

Coverage probe only; run --phase harness after deep rebuild.

What a human must decide next

Compare sector residual vs market residual across eras.
If pre-2021 IC collapses, park Task 1 wire-in.
Do not retune production knobs on deep history levels.

Artifacts: reports/history-depth-20260719-094134.json

5.1 KiB Raw Blame History Unescape Escape