dennisthiessen/signal-platform
1
0 Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
7a9b3ad38b50059bfb12aa3e57cc72b8232647fc
signal-platform/reports/residual-normalization-20260908.json
T
dennisthiessenandClaude Opus 5.5 7a9b3ad38b research: volatility-standardized residual momentum screen, failed 
Strategy review (2026-09-08) and a frozen, paired signal screen of
residual 12-1 momentum divided by its formation-window residual
volatility. Across 73 non-overlapping windows the normalized signal's IC
is 0.0128 against 0.0145 for the matched control, below the frozen 0.03
floor, so the conditional portfolio replay was not run and nothing in
production changes.

Code-review fixes to the runner, before first commit: a missing OHLC
price stops the run instead of reading as 0; the snapshot connection is
closed explicitly (on Windows it otherwise kept the file locked); the
paired-coverage check raises instead of asserting, so python -O cannot
strip it; and source files are recorded as git blob ids with line
endings normalized, so the report can be checked against history. The
report was regenerated with the fixed runner; its screen section is
byte-identical to the original run.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
2026-10-10 18:45:24 +02:00

1769 lines
49 KiB
JSON
Raw Blame History

{
"schema_version": 1,
"generated_at": "2026-10-10T07:53:06.165467+00:00",
"status": "complete_signal_screen",
"snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite",
"snapshot_sha256": "ca4c14d60a334d68ccb413a6cebb692437a10f53b4724fb338ee06c314e245b4",
"source_git_blobs": {
"scripts/run_residual_normalization.py": "ec5554c8eee27d8ec0c0b5db578bf8c06ead1bd2",
"docs/research/residual-normalization.md": "fd42b5871de087a6f3155eba37baa9165d2f6961",
"app/services/momentum_service.py": "764c3459cab9854dedd2dedd8900f8d5006d62dc",
"app/services/backtest_service.py": "dcfca5729f27479ec36f7bde05e6ffee37a0ebc5"
},
"manifest": {
"schema_version": 1,
"snapshot": "research.sqlite",
"snapshot_resolved": "C:\\Workspace\\signal-platform\\backtest_snapshots\\research.sqlite",
"complete": true,
"finished_at": "2026-07-19T14:22:15.706192+00:00",
"ticker_count": 4650,
"ohlcv_row_count": 5081073,
"rank_only_count": 4144,
"sources": {
"pool": "source_snapshot"
},
"history_days": 5000,
"min_bars": 1262,
"fetch_ok": 505,
"fetch_fail": 1,
"limit": null,
"extra": {
"prod_symbols_at_start": 506,
"pool_size": 506,
"to_fetch": 506,
"source_symbols_only": true,
"benchmark_spy_rows": 2649
},
"verified_counts": {
"ticker_count": 4650,
"ohlcv_row_count": 5081073,
"rank_only_count": 4144
}
},
"python": "3.12.6 (tags/v3.12.6:a4a2d2b, Sep 6 2024, 20:11:23) [MSC v.1940 64 bit (AMD64)]",
"packages": {
"numpy": "2.4.2",
"sqlalchemy": "2.0.48"
},
"screen": {
"summaries": {
"full": {
"windows": 73,
"first_asof": "2017-01-06",
"last_asof": "2026-05-01",
"last_forward_end": "2026-06-15",
"arms": {
"unrestricted_control": {
"mean_ic": 0.014468897350003854,
"ic_t_stat_descriptive": 0.6593995405902425,
"ic_ci95": [
-0.025664026040726262,
0.04499611098598997
],
"positive_window_fraction": 0.5753424657534246,
"avg_cross_section": 485.4931506849315,
"mean_quintile_spread": 0.009691892555720791,
"reliable_window_count": true
},
"paired_control": {
"mean_ic": 0.014457395234331299,
"ic_t_stat_descriptive": 0.6584819150576402,
"ic_ci95": [
-0.025710305211087518,
0.04500749002172409
],
"positive_window_fraction": 0.5753424657534246,
"avg_cross_section": 485.3835616438356,
"mean_quintile_spread": 0.009671784708488841,
"reliable_window_count": true
},
"normalized": {
"mean_ic": 0.012842334032622681,
"ic_t_stat_descriptive": 0.5692411430808498,
"ic_ci95": [
-0.027109620525595193,
0.04415731921250195
],
"positive_window_fraction": 0.589041095890411,
"avg_cross_section": 485.3835616438356,
"mean_quintile_spread": 0.007507379852373328,
"reliable_window_count": true
}
},
"paired_mean_ic_delta": -0.001615061201708621,
"paired_ic_delta_ci95": [
-0.004960466538844113,
0.0015584142071432597
]
},
"pre_2021": {
"windows": 30,
"first_asof": "2017-01-06",
"last_asof": "2020-10-09",
"last_forward_end": "2020-11-20",
"arms": {
"unrestricted_control": {
"mean_ic": 0.007787335687696347,
"ic_t_stat_descriptive": 0.22004652618600648,
"ic_ci95": [
-0.033750069950846076,
0.06820731287037404
],
"positive_window_fraction": 0.5666666666666667,
"avg_cross_section": 472.0,
"mean_quintile_spread": 0.0075777393155377765,
"reliable_window_count": true
},
"paired_control": {
"mean_ic": 0.00775934720622646,
"ic_t_stat_descriptive": 0.21895306784202126,
"ic_ci95": [
-0.033805017790486815,
0.06827961319972924
],
"positive_window_fraction": 0.5666666666666667,
"avg_cross_section": 471.73333333333335,
"mean_quintile_spread": 0.007528810220606697,
"reliable_window_count": true
},
"normalized": {
"mean_ic": 0.004956030238823178,
"ic_t_stat_descriptive": 0.13421837397110112,
"ic_ci95": [
-0.03954609730805619,
0.06605737223678776
],
"positive_window_fraction": 0.5666666666666667,
"avg_cross_section": 471.73333333333335,
"mean_quintile_spread": 0.004619920180716147,
"reliable_window_count": true
}
},
"paired_mean_ic_delta": -0.0028033169674032852,
"paired_ic_delta_ci95": [
-0.008151700038659202,
0.001515881215178447
]
},
"post_2021": {
"windows": 42,
"first_asof": "2021-01-08",
"last_asof": "2026-05-01",
"last_forward_end": "2026-06-15",
"arms": {
"unrestricted_control": {
"mean_ic": 0.023771770407856184,
"ic_t_stat_descriptive": 0.8337525368095275,
"ic_ci95": [
-0.012510134282946676,
0.06295485850682679
],
"positive_window_fraction": 0.5952380952380952,
"avg_cross_section": 495.1666666666667,
"mean_quintile_spread": 0.012616425267519635,
"reliable_window_count": true
},
"paired_control": {
"mean_ic": 0.023771770407856184,
"ic_t_stat_descriptive": 0.8337525368095275,
"ic_ci95": [
-0.012510134282946676,
0.06295485850682679
],
"positive_window_fraction": 0.5952380952380952,
"avg_cross_section": 495.1666666666667,
"mean_quintile_spread": 0.012616425267519635,
"reliable_window_count": true
},
"normalized": {
"mean_ic": 0.022588331541864248,
"ic_t_stat_descriptive": 0.777552338354707,
"ic_ci95": [
-0.014671007941367241,
0.063093355697023
],
"positive_window_fraction": 0.6190476190476191,
"avg_cross_section": 495.1666666666667,
"mean_quintile_spread": 0.010630334139700675,
"reliable_window_count": true
}
},
"paired_mean_ic_delta": -0.0011834388659919468,
"paired_ic_delta_ci95": [
-0.005965195533675296,
0.003076462018338155
]
}
},
"verdict": {
"passed": false,
"checks": {
"mean_ic_ge_0_03": false,
"at_least_12_windows": true,
"pre_2021_positive": true,
"post_2021_positive": true
},
"failed_checks": [
"mean_ic_ge_0_03"
]
},
"windows": [
{
"asof": "2017-01-06",
"forward_end": "2017-02-21",
"arms": {
"unrestricted_control": {
"n": 464,
"ic": -0.0337691026987029,
"quintile_spread": -0.008601936867419842
},
"paired_control": {
"n": 464,
"ic": -0.0337691026987029,
"quintile_spread": -0.008601936867419842
},
"normalized": {
"n": 464,
"ic": -0.014782924151384907,
"quintile_spread": 0.006257535661638877
}
}
},
{
"asof": "2017-02-24",
"forward_end": "2017-04-07",
"arms": {
"unrestricted_control": {
"n": 464,
"ic": 0.09991375106009316,
"quintile_spread": 0.026464680670714023
},
"paired_control": {
"n": 464,
"ic": 0.09991375106009316,
"quintile_spread": 0.026464680670714023
},
"normalized": {
"n": 464,
"ic": 0.07950350401333856,
"quintile_spread": 0.015059909720129522
}
}
},
{
"asof": "2017-04-07",
"forward_end": "2017-05-22",
"arms": {
"unrestricted_control": {
"n": 464,
"ic": 0.02344145282615433,
"quintile_spread": 0.004405735833542493
},
"paired_control": {
"n": 464,
"ic": 0.02344145282615433,
"quintile_spread": 0.004405735833542493
},
"normalized": {
"n": 464,
"ic": 0.024050240608115087,
"quintile_spread": 0.004218782043210124
}
}
},
{
"asof": "2017-05-26",
"forward_end": "2017-07-11",
"arms": {
"unrestricted_control": {
"n": 464,
"ic": 0.04666944553223284,
"quintile_spread": 0.01296911833003192
},
"paired_control": {
"n": 464,
"ic": 0.04666944553223284,
"quintile_spread": 0.01296911833003192
},
"normalized": {
"n": 464,
"ic": 0.045976691163928246,
"quintile_spread": 0.009042118369222602
}
}
},
{
"asof": "2017-07-14",
"forward_end": "2017-08-25",
"arms": {
"unrestricted_control": {
"n": 465,
"ic": -0.03239513958031397,
"quintile_spread": 0.0063033223682077075
},
"paired_control": {
"n": 465,
"ic": -0.03239513958031397,
"quintile_spread": 0.0063033223682077075
},
"normalized": {
"n": 465,
"ic": -0.014177114240462533,
"quintile_spread": 0.00791479755317314
}
}
},
{
"asof": "2017-08-25",
"forward_end": "2017-10-09",
"arms": {
"unrestricted_control": {
"n": 465,
"ic": 0.09380690037094148,
"quintile_spread": 0.0206109566878245
},
"paired_control": {
"n": 465,
"ic": 0.09380690037094148,
"quintile_spread": 0.0206109566878245
},
"normalized": {
"n": 465,
"ic": 0.09558104617911174,
"quintile_spread": 0.021703341747020877
}
}
},
{
"asof": "2017-10-13",
"forward_end": "2017-11-27",
"arms": {
"unrestricted_control": {
"n": 466,
"ic": 0.11080527022143456,
"quintile_spread": 0.030823232836920775
},
"paired_control": {
"n": 466,
"ic": 0.11080527022143456,
"quintile_spread": 0.030823232836920775
},
"normalized": {
"n": 466,
"ic": 0.1286931675847526,
"quintile_spread": 0.024874865048088553
}
}
},
{
"asof": "2017-12-01",
"forward_end": "2018-01-17",
"arms": {
"unrestricted_control": {
"n": 466,
"ic": -0.197013489446602,
"quintile_spread": -0.03861143019496714
},
"paired_control": {
"n": 466,
"ic": -0.197013489446602,
"quintile_spread": -0.03861143019496714
},
"normalized": {
"n": 466,
"ic": -0.23966774465315965,
"quintile_spread": -0.054617294159826676
}
}
},
{
"asof": "2018-01-19",
"forward_end": "2018-03-05",
"arms": {
"unrestricted_control": {
"n": 466,
"ic": 0.18254707355983862,
"quintile_spread": 0.046095162436983084
},
"paired_control": {
"n": 466,
"ic": 0.18254707355983862,
"quintile_spread": 0.046095162436983084
},
"normalized": {
"n": 466,
"ic": 0.18038730608614667,
"quintile_spread": 0.03996268733372085
}
}
},
{
"asof": "2018-03-09",
"forward_end": "2018-04-23",
"arms": {
"unrestricted_control": {
"n": 467,
"ic": 0.07729151385793606,
"quintile_spread": 0.009449663733268363
},
"paired_control": {
"n": 467,
"ic": 0.07729151385793606,
"quintile_spread": 0.009449663733268363
},
"normalized": {
"n": 467,
"ic": 0.0633000099472648,
"quintile_spread": 0.003447837374714227
}
}
},
{
"asof": "2018-04-27",
"forward_end": "2018-06-11",
"arms": {
"unrestricted_control": {
"n": 467,
"ic": 0.1976811592153791,
"quintile_spread": 0.055307837813723136
},
"paired_control": {
"n": 467,
"ic": 0.1976811592153791,
"quintile_spread": 0.055307837813723136
},
"normalized": {
"n": 467,
"ic": 0.19669638886905524,
"quintile_spread": 0.051958057419099236
}
}
},
{
"asof": "2018-06-15",
"forward_end": "2018-07-30",
"arms": {
"unrestricted_control": {
"n": 470,
"ic": -0.2820645080233889,
"quintile_spread": -0.05837344990948545
},
"paired_control": {
"n": 470,
"ic": -0.2820645080233889,
"quintile_spread": -0.05837344990948545
},
"normalized": {
"n": 470,
"ic": -0.29105053472643766,
"quintile_spread": -0.05338512337155308
}
}
},
{
"asof": "2018-08-03",
"forward_end": "2018-09-17",
"arms": {
"unrestricted_control": {
"n": 471,
"ic": 0.1681406972644742,
"quintile_spread": 0.04041357244663188
},
"paired_control": {
"n": 471,
"ic": 0.1681406972644742,
"quintile_spread": 0.04041357244663188
},
"normalized": {
"n": 471,
"ic": 0.1714210210440595,
"quintile_spread": 0.024793635580884016
}
}
},
{
"asof": "2018-09-21",
"forward_end": "2018-11-02",
"arms": {
"unrestricted_control": {
"n": 471,
"ic": 0.005647841838377861,
"quintile_spread": 0.0038558455268316028
},
"paired_control": {
"n": 470,
"ic": 0.006197209796370787,
"quintile_spread": 0.0038558455268316028
},
"normalized": {
"n": 470,
"ic": 0.008863567474227415,
"quintile_spread": 0.00498889436957814
}
}
},
{
"asof": "2018-11-02",
"forward_end": "2018-12-18",
"arms": {
"unrestricted_control": {
"n": 471,
"ic": -0.060396833329031376,
"quintile_spread": 0.0004781405797147503
},
"paired_control": {
"n": 470,
"ic": -0.06025888600480069,
"quintile_spread": 0.0004781405797147503
},
"normalized": {
"n": 470,
"ic": -0.050315032777567645,
"quintile_spread": -0.0029097834126919075
}
}
},
{
"asof": "2018-12-21",
"forward_end": "2019-02-06",
"arms": {
"unrestricted_control": {
"n": 472,
"ic": -0.12208018837362763,
"quintile_spread": -0.013440726965129574
},
"paired_control": {
"n": 471,
"ic": -0.12282060175348733,
"quintile_spread": -0.013440726965129574
},
"normalized": {
"n": 471,
"ic": -0.1426396714450766,
"quintile_spread": -0.02303437519712312
}
}
},
{
"asof": "2019-02-08",
"forward_end": "2019-03-25",
"arms": {
"unrestricted_control": {
"n": 473,
"ic": 0.2291449122449612,
"quintile_spread": 0.04211637882813583
},
"paired_control": {
"n": 472,
"ic": 0.2288830837916265,
"quintile_spread": 0.04211637882813583
},
"normalized": {
"n": 472,
"ic": 0.24473452939740747,
"quintile_spread": 0.04933489371460474
}
}
},
{
"asof": "2019-03-29",
"forward_end": "2019-05-13",
"arms": {
"unrestricted_control": {
"n": 473,
"ic": -0.08334503443810193,
"quintile_spread": -0.023448767462600363
},
"paired_control": {
"n": 472,
"ic": -0.08483032716349072,
"quintile_spread": -0.023448767462600363
},
"normalized": {
"n": 472,
"ic": -0.0728665682144724,
"quintile_spread": -0.01683956771194743
}
}
},
{
"asof": "2019-05-17",
"forward_end": "2019-07-01",
"arms": {
"unrestricted_control": {
"n": 473,
"ic": 0.019876710756749474,
"quintile_spread": 0.02122032577121805
},
"paired_control": {
"n": 473,
"ic": 0.019876710756749474,
"quintile_spread": 0.02122032577121805
},
"normalized": {
"n": 473,
"ic": 0.020263506320495787,
"quintile_spread": 0.01743668146024406
}
}
},
{
"asof": "2019-07-05",
"forward_end": "2019-08-16",
"arms": {
"unrestricted_control": {
"n": 474,
"ic": 0.31562670693110867,
"quintile_spread": 0.0790257350007089
},
"paired_control": {
"n": 474,
"ic": 0.31562670693110867,
"quintile_spread": 0.0790257350007089
},
"normalized": {
"n": 474,
"ic": 0.32045562296030977,
"quintile_spread": 0.07955173736012709
}
}
},
{
"asof": "2019-08-16",
"forward_end": "2019-09-30",
"arms": {
"unrestricted_control": {
"n": 475,
"ic": -0.3494942405201643,
"quintile_spread": -0.0635889777285724
},
"paired_control": {
"n": 475,
"ic": -0.3494942405201643,
"quintile_spread": -0.0635889777285724
},
"normalized": {
"n": 475,
"ic": -0.3540071983945494,
"quintile_spread": -0.06991656459043234
}
}
},
{
"asof": "2019-10-04",
"forward_end": "2019-11-15",
"arms": {
"unrestricted_control": {
"n": 475,
"ic": -0.38247756397695654,
"quintile_spread": -0.09793061306406989
},
"paired_control": {
"n": 474,
"ic": -0.383154007265065,
"quintile_spread": -0.09939848591200225
},
"normalized": {
"n": 474,
"ic": -0.43084415886237926,
"quintile_spread": -0.10467733122275887
}
}
},
{
"asof": "2019-11-15",
"forward_end": "2019-12-31",
"arms": {
"unrestricted_control": {
"n": 477,
"ic": -0.13672651435383743,
"quintile_spread": -0.025737495511462892
},
"paired_control": {
"n": 476,
"ic": -0.13759270923125547,
"quintile_spread": -0.025737495511462892
},
"normalized": {
"n": 476,
"ic": -0.15117105057791685,
"quintile_spread": -0.027555362064260777
}
}
},
{
"asof": "2020-01-03",
"forward_end": "2020-02-18",
"arms": {
"unrestricted_control": {
"n": 479,
"ic": 0.38706422899869847,
"quintile_spread": 0.1141975719254351
},
"paired_control": {
"n": 478,
"ic": 0.38956743199648797,
"quintile_spread": 0.1141975719254351
},
"normalized": {
"n": 478,
"ic": 0.41524843951200274,
"quintile_spread": 0.1285042601807913
}
}
},
{
"asof": "2020-02-21",
"forward_end": "2020-04-03",
"arms": {
"unrestricted_control": {
"n": 479,
"ic": 0.2761607821385208,
"quintile_spread": 0.1174314688346258
},
"paired_control": {
"n": 479,
"ic": 0.2761607821385208,
"quintile_spread": 0.1174314688346258
},
"normalized": {
"n": 479,
"ic": 0.27742158087368207,
"quintile_spread": 0.1027421658280755
}
}
},
{
"asof": "2020-04-03",
"forward_end": "2020-05-18",
"arms": {
"unrestricted_control": {
"n": 479,
"ic": -0.07366429800578261,
"quintile_spread": -0.019757872304519586
},
"paired_control": {
"n": 479,
"ic": -0.07366429800578261,
"quintile_spread": -0.019757872304519586
},
"normalized": {
"n": 479,
"ic": -0.08493702011687529,
"quintile_spread": -0.017641101552285154
}
}
},
{
"asof": "2020-05-22",
"forward_end": "2020-07-07",
"arms": {
"unrestricted_control": {
"n": 480,
"ic": 0.09532886427458452,
"quintile_spread": 0.03136325543000381
},
"paired_control": {
"n": 480,
"ic": 0.09532886427458452,
"quintile_spread": 0.03136325543000381
},
"normalized": {
"n": 480,
"ic": 0.07624023975798506,
"quintile_spread": 0.013282006835498378
}
}
},
{
"asof": "2020-07-10",
"forward_end": "2020-08-21",
"arms": {
"unrestricted_control": {
"n": 483,
"ic": 0.07094581570169126,
"quintile_spread": 0.015632374586191426
},
"paired_control": {
"n": 483,
"ic": 0.07094581570169126,
"quintile_spread": 0.015632374586191426
},
"normalized": {
"n": 483,
"ic": 0.06359478679193963,
"quintile_spread": 0.015726900955981497
}
}
},
{
"asof": "2020-08-21",
"forward_end": "2020-10-05",
"arms": {
"unrestricted_control": {
"n": 483,
"ic": -0.07555261052876232,
"quintile_spread": -0.008304108503735775
},
"paired_control": {
"n": 483,
"ic": -0.07555261052876232,
"quintile_spread": -0.008304108503735775
},
"normalized": {
"n": 483,
"ic": -0.09363747479856209,
"quintile_spread": -0.025833001927781107
}
}
},
{
"asof": "2020-10-09",
"forward_end": "2020-11-20",
"arms": {
"unrestricted_control": {
"n": 484,
"ic": -0.33749353288701434,
"quintile_spread": -0.09303682166261694
},
"paired_control": {
"n": 484,
"ic": -0.33749353288701434,
"quintile_spread": -0.09303682166261694
},
"normalized": {
"n": 484,
"ic": -0.32365424846028285,
"quintile_spread": -0.08579399792365787
}
}
},
{
"asof": "2020-11-20",
"forward_end": "2021-01-06",
"arms": {
"unrestricted_control": {
"n": 484,
"ic": -0.1758049212105689,
"quintile_spread": -0.04971388413434018
},
"paired_control": {
"n": 484,
"ic": -0.1758049212105689,
"quintile_spread": -0.04971388413434018
},
"normalized": {
"n": 484,
"ic": -0.15990044754153795,
"quintile_spread": -0.03703291006565983
}
}
},
{
"asof": "2021-01-08",
"forward_end": "2021-02-23",
"arms": {
"unrestricted_control": {
"n": 484,
"ic": -0.2701777094996605,
"quintile_spread": -0.1069292688887367
},
"paired_control": {
"n": 484,
"ic": -0.2701777094996605,
"quintile_spread": -0.1069292688887367
},
"normalized": {
"n": 484,
"ic": -0.24168502537762143,
"quintile_spread": -0.056216491871556064
}
}
},
{
"asof": "2021-02-26",
"forward_end": "2021-04-12",
"arms": {
"unrestricted_control": {
"n": 484,
"ic": -0.12695944290418842,
"quintile_spread": -0.03182831701295805
},
"paired_control": {
"n": 484,
"ic": -0.12695944290418842,
"quintile_spread": -0.03182831701295805
},
"normalized": {
"n": 484,
"ic": -0.15967225798121035,
"quintile_spread": -0.04983755671985008
}
}
},
{
"asof": "2021-04-16",
"forward_end": "2021-05-28",
"arms": {
"unrestricted_control": {
"n": 487,
"ic": 0.14298278204372167,
"quintile_spread": 0.02399526095146703
},
"paired_control": {
"n": 487,
"ic": 0.14298278204372167,
"quintile_spread": 0.02399526095146703
},
"normalized": {
"n": 487,
"ic": 0.12946661779428467,
"quintile_spread": 0.012125469026815116
}
}
},
{
"asof": "2021-05-28",
"forward_end": "2021-07-13",
"arms": {
"unrestricted_control": {
"n": 487,
"ic": -0.15106043926131224,
"quintile_spread": -0.015815987786815356
},
"paired_control": {
"n": 487,
"ic": -0.15106043926131224,
"quintile_spread": -0.015815987786815356
},
"normalized": {
"n": 487,
"ic": -0.1269434148413289,
"quintile_spread": -0.008090075289666702
}
}
},
{
"asof": "2021-07-16",
"forward_end": "2021-08-27",
"arms": {
"unrestricted_control": {
"n": 487,
"ic": 0.2714301862594633,
"quintile_spread": 0.06332208201843262
},
"paired_control": {
"n": 487,
"ic": 0.2714301862594633,
"quintile_spread": 0.06332208201843262
},
"normalized": {
"n": 487,
"ic": 0.27821289158684387,
"quintile_spread": 0.06819442748732481
}
}
},
{
"asof": "2021-08-27",
"forward_end": "2021-10-11",
"arms": {
"unrestricted_control": {
"n": 487,
"ic": 0.009195623584052178,
"quintile_spread": 0.023466141439191693
},
"paired_control": {
"n": 487,
"ic": 0.009195623584052178,
"quintile_spread": 0.023466141439191693
},
"normalized": {
"n": 487,
"ic": -0.03980896653948229,
"quintile_spread": -0.004538674499524602
}
}
},
{
"asof": "2021-10-15",
"forward_end": "2021-11-29",
"arms": {
"unrestricted_control": {
"n": 488,
"ic": 0.053234648998263405,
"quintile_spread": 0.02526213742968665
},
"paired_control": {
"n": 488,
"ic": 0.053234648998263405,
"quintile_spread": 0.02526213742968665
},
"normalized": {
"n": 488,
"ic": 0.08285254699218812,
"quintile_spread": 0.02264841576768794
}
}
},
{
"asof": "2021-12-03",
"forward_end": "2022-01-18",
"arms": {
"unrestricted_control": {
"n": 489,
"ic": -0.20266467846315836,
"quintile_spread": -0.05427930638322939
},
"paired_control": {
"n": 489,
"ic": -0.20266467846315836,
"quintile_spread": -0.05427930638322939
},
"normalized": {
"n": 489,
"ic": -0.22157512104711138,
"quintile_spread": -0.058420489648633306
}
}
},
{
"asof": "2022-01-21",
"forward_end": "2022-03-07",
"arms": {
"unrestricted_control": {
"n": 491,
"ic": 0.20537560610653283,
"quintile_spread": 0.08284882196693179
},
"paired_control": {
"n": 491,
"ic": 0.20537560610653283,
"quintile_spread": 0.08284882196693179
},
"normalized": {
"n": 491,
"ic": 0.17019735021324608,
"quintile_spread": 0.0556090264814038
}
}
},
{
"asof": "2022-03-11",
"forward_end": "2022-04-25",
"arms": {
"unrestricted_control": {
"n": 491,
"ic": -0.009414356373914128,
"quintile_spread": -0.013756916805842432
},
"paired_control": {
"n": 491,
"ic": -0.009414356373914128,
"quintile_spread": -0.013756916805842432
},
"normalized": {
"n": 491,
"ic": 0.019592080039009793,
"quintile_spread": -0.00414048750054518
}
}
},
{
"asof": "2022-04-29",
"forward_end": "2022-06-13",
"arms": {
"unrestricted_control": {
"n": 493,
"ic": 0.12147121015436613,
"quintile_spread": 0.06887200925330883
},
"paired_control": {
"n": 493,
"ic": 0.12147121015436613,
"quintile_spread": 0.06887200925330883
},
"normalized": {
"n": 493,
"ic": 0.08776149393573823,
"quintile_spread": 0.052533881086187534
}
}
},
{
"asof": "2022-06-17",
"forward_end": "2022-08-02",
"arms": {
"unrestricted_control": {
"n": 493,
"ic": -0.1995005218712213,
"quintile_spread": -0.058848590713233936
},
"paired_control": {
"n": 493,
"ic": -0.1995005218712213,
"quintile_spread": -0.058848590713233936
},
"normalized": {
"n": 493,
"ic": -0.1975950058997186,
"quintile_spread": -0.06311709639573511
}
}
},
{
"asof": "2022-08-05",
"forward_end": "2022-09-19",
"arms": {
"unrestricted_control": {
"n": 494,
"ic": 0.3529900013512696,
"quintile_spread": 0.08841976511907704
},
"paired_control": {
"n": 494,
"ic": 0.3529900013512696,
"quintile_spread": 0.08841976511907704
},
"normalized": {
"n": 494,
"ic": 0.3601656163842563,
"quintile_spread": 0.08845803665373739
}
}
},
{
"asof": "2022-09-23",
"forward_end": "2022-11-04",
"arms": {
"unrestricted_control": {
"n": 494,
"ic": 0.1562297138468805,
"quintile_spread": 0.06853884137052715
},
"paired_control": {
"n": 494,
"ic": 0.1562297138468805,
"quintile_spread": 0.06853884137052715
},
"normalized": {
"n": 494,
"ic": 0.14788469066252774,
"quintile_spread": 0.07549438018611233
}
}
},
{
"asof": "2022-11-04",
"forward_end": "2022-12-19",
"arms": {
"unrestricted_control": {
"n": 494,
"ic": -0.14236494084898058,
"quintile_spread": -0.025597758877036428
},
"paired_control": {
"n": 494,
"ic": -0.14236494084898058,
"quintile_spread": -0.025597758877036428
},
"normalized": {
"n": 494,
"ic": -0.1415828468887079,
"quintile_spread": -0.023150473192361565
}
}
},
{
"asof": "2022-12-23",
"forward_end": "2023-02-08",
"arms": {
"unrestricted_control": {
"n": 494,
"ic": -0.42257346937607426,
"quintile_spread": -0.1762215900500922
},
"paired_control": {
"n": 494,
"ic": -0.42257346937607426,
"quintile_spread": -0.1762215900500922
},
"normalized": {
"n": 494,
"ic": -0.4469638116056393,
"quintile_spread": -0.17611982253161604
}
}
},
{
"asof": "2023-02-10",
"forward_end": "2023-03-27",
"arms": {
"unrestricted_control": {
"n": 495,
"ic": 0.12063085471404657,
"quintile_spread": 0.030552125034837806
},
"paired_control": {
"n": 495,
"ic": 0.12063085471404657,
"quintile_spread": 0.030552125034837806
},
"normalized": {
"n": 495,
"ic": 0.16656159347161045,
"quintile_spread": 0.03894807687661969
}
}
},
{
"asof": "2023-03-31",
"forward_end": "2023-05-15",
"arms": {
"unrestricted_control": {
"n": 495,
"ic": -0.0032271915973104428,
"quintile_spread": -0.008291496040707686
},
"paired_control": {
"n": 495,
"ic": -0.0032271915973104428,
"quintile_spread": -0.008291496040707686
},
"normalized": {
"n": 495,
"ic": 0.0056932456338228835,
"quintile_spread": -0.0022473469799385772
}
}
},
{
"asof": "2023-05-19",
"forward_end": "2023-07-05",
"arms": {
"unrestricted_control": {
"n": 496,
"ic": -0.00027171828625713226,
"quintile_spread": -0.023634690965664618
},
"paired_control": {
"n": 496,
"ic": -0.00027171828625713226,
"quintile_spread": -0.023634690965664618
},
"normalized": {
"n": 496,
"ic": -0.015871770210707056,
"quintile_spread": -0.01626575872376109
}
}
},
{
"asof": "2023-07-07",
"forward_end": "2023-08-18",
"arms": {
"unrestricted_control": {
"n": 496,
"ic": 0.014184028904610459,
"quintile_spread": 0.012984017848581324
},
"paired_control": {
"n": 496,
"ic": 0.014184028904610459,
"quintile_spread": 0.012984017848581324
},
"normalized": {
"n": 496,
"ic": 0.013135804071742281,
"quintile_spread": 0.01690874220723456
}
}
},
{
"asof": "2023-08-18",
"forward_end": "2023-10-02",
"arms": {
"unrestricted_control": {
"n": 496,
"ic": 0.231696139692505,
"quintile_spread": 0.03610130337507335
},
"paired_control": {
"n": 496,
"ic": 0.231696139692505,
"quintile_spread": 0.03610130337507335
},
"normalized": {
"n": 496,
"ic": 0.2393696489789175,
"quintile_spread": 0.040845780058748435
}
}
},
{
"asof": "2023-10-06",
"forward_end": "2023-11-17",
"arms": {
"unrestricted_control": {
"n": 496,
"ic": 0.06055895490243514,
"quintile_spread": 0.01304505475066426
},
"paired_control": {
"n": 496,
"ic": 0.06055895490243514,
"quintile_spread": 0.01304505475066426
},
"normalized": {
"n": 496,
"ic": 0.06281186631027612,
"quintile_spread": 0.010356019584321821
}
}
},
{
"asof": "2023-11-17",
"forward_end": "2024-01-03",
"arms": {
"unrestricted_control": {
"n": 496,
"ic": -0.34046910986938245,
"quintile_spread": -0.054883802827983746
},
"paired_control": {
"n": 496,
"ic": -0.34046910986938245,
"quintile_spread": -0.054883802827983746
},
"normalized": {
"n": 496,
"ic": -0.33302778548121575,
"quintile_spread": -0.05444876056488447
}
}
},
{
"asof": "2024-01-05",
"forward_end": "2024-02-20",
"arms": {
"unrestricted_control": {
"n": 497,
"ic": 0.49022330641446815,
"quintile_spread": 0.15550505538146958
},
"paired_control": {
"n": 497,
"ic": 0.49022330641446815,
"quintile_spread": 0.15550505538146958
},
"normalized": {
"n": 497,
"ic": 0.49810209879564993,
"quintile_spread": 0.15468697470509324
}
}
},
{
"asof": "2024-02-23",
"forward_end": "2024-04-08",
"arms": {
"unrestricted_control": {
"n": 497,
"ic": 0.002486254487672244,
"quintile_spread": 0.034176326249283816
},
"paired_control": {
"n": 497,
"ic": 0.002486254487672244,
"quintile_spread": 0.034176326249283816
},
"normalized": {
"n": 497,
"ic": 0.015773029158237414,
"quintile_spread": 0.031143929910712367
}
}
},
{
"asof": "2024-04-12",
"forward_end": "2024-05-24",
"arms": {
"unrestricted_control": {
"n": 497,
"ic": -0.0009022264171894953,
"quintile_spread": 0.009026976368656209
},
"paired_control": {
"n": 497,
"ic": -0.0009022264171894953,
"quintile_spread": 0.009026976368656209
},
"normalized": {
"n": 497,
"ic": -0.0020681805563266893,
"quintile_spread": 0.0009042785625436311
}
}
},
{
"asof": "2024-05-24",
"forward_end": "2024-07-10",
"arms": {
"unrestricted_control": {
"n": 498,
"ic": 0.06069606911575934,
"quintile_spread": 0.009038153067839769
},
"paired_control": {
"n": 498,
"ic": 0.06069606911575934,
"quintile_spread": 0.009038153067839769
},
"normalized": {
"n": 498,
"ic": 0.045782335804429884,
"quintile_spread": 0.0022719816569394605
}
}
},
{
"asof": "2024-07-12",
"forward_end": "2024-08-23",
"arms": {
"unrestricted_control": {
"n": 498,
"ic": -0.037846947926057445,
"quintile_spread": 0.0017935011229050744
},
"paired_control": {
"n": 498,
"ic": -0.037846947926057445,
"quintile_spread": 0.0017935011229050744
},
"normalized": {
"n": 498,
"ic": -0.05262727826504625,
"quintile_spread": -0.016235982609433007
}
}
},
{
"asof": "2024-08-23",
"forward_end": "2024-10-07",
"arms": {
"unrestricted_control": {
"n": 498,
"ic": 0.1079646896023433,
"quintile_spread": 0.03544813628540342
},
"paired_control": {
"n": 498,
"ic": 0.1079646896023433,
"quintile_spread": 0.03544813628540342
},
"normalized": {
"n": 498,
"ic": 0.1004611365821784,
"quintile_spread": 0.03203291356046483
}
}
},
{
"asof": "2024-10-11",
"forward_end": "2024-11-22",
"arms": {
"unrestricted_control": {
"n": 499,
"ic": 0.12877185696694593,
"quintile_spread": 0.0661017228096126
},
"paired_control": {
"n": 499,
"ic": 0.12877185696694593,
"quintile_spread": 0.0661017228096126
},
"normalized": {
"n": 499,
"ic": 0.10702127145857981,
"quintile_spread": 0.03984286553463631
}
}
},
{
"asof": "2024-11-22",
"forward_end": "2025-01-08",
"arms": {
"unrestricted_control": {
"n": 499,
"ic": -0.06001506627713258,
"quintile_spread": -0.012797559690290235
},
"paired_control": {
"n": 499,
"ic": -0.06001506627713258,
"quintile_spread": -0.012797559690290235
},
"normalized": {
"n": 499,
"ic": -0.061206364536301516,
"quintile_spread": -0.01741344294381795
}
}
},
{
"asof": "2025-01-10",
"forward_end": "2025-02-25",
"arms": {
"unrestricted_control": {
"n": 499,
"ic": 0.10000338025448487,
"quintile_spread": 0.016528588492936175
},
"paired_control": {
"n": 499,
"ic": 0.10000338025448487,
"quintile_spread": 0.016528588492936175
},
"normalized": {
"n": 499,
"ic": 0.13216997851123935,
"quintile_spread": 0.028932604170604757
}
}
},
{
"asof": "2025-02-28",
"forward_end": "2025-04-11",
"arms": {
"unrestricted_control": {
"n": 499,
"ic": 0.0486780790496656,
"quintile_spread": 0.02084899356003274
},
"paired_control": {
"n": 499,
"ic": 0.0486780790496656,
"quintile_spread": 0.02084899356003274
},
"normalized": {
"n": 499,
"ic": 0.08270903252287708,
"quintile_spread": 0.00820002956898104
}
}
},
{
"asof": "2025-04-11",
"forward_end": "2025-05-27",
"arms": {
"unrestricted_control": {
"n": 501,
"ic": -0.09379163585180238,
"quintile_spread": -0.01991073998948356
},
"paired_control": {
"n": 501,
"ic": -0.09379163585180238,
"quintile_spread": -0.01991073998948356
},
"normalized": {
"n": 501,
"ic": -0.12222754491017965,
"quintile_spread": -0.038823484353618584
}
}
},
{
"asof": "2025-05-30",
"forward_end": "2025-07-15",
"arms": {
"unrestricted_control": {
"n": 501,
"ic": -0.26735157573299617,
"quintile_spread": -0.06692918808501702
},
"paired_control": {
"n": 501,
"ic": -0.26735157573299617,
"quintile_spread": -0.06692918808501702
},
"normalized": {
"n": 501,
"ic": -0.2988941956724002,
"quintile_spread": -0.0749465981334694
}
}
},
{
"asof": "2025-07-18",
"forward_end": "2025-08-29",
"arms": {
"unrestricted_control": {
"n": 501,
"ic": -0.11628274924255076,
"quintile_spread": -0.009960160055851236
},
"paired_control": {
"n": 501,
"ic": -0.11628274924255076,
"quintile_spread": -0.009960160055851236
},
"normalized": {
"n": 501,
"ic": -0.1082060261946227,
"quintile_spread": -0.01873749547370701
}
}
},
{
"asof": "2025-08-29",
"forward_end": "2025-10-13",
"arms": {
"unrestricted_control": {
"n": 501,
"ic": 0.2739092969439607,
"quintile_spread": 0.07451133396802959
},
"paired_control": {
"n": 501,
"ic": 0.2739092969439607,
"quintile_spread": 0.07451133396802959
},
"normalized": {
"n": 501,
"ic": 0.27207844072810555,
"quintile_spread": 0.08438814906553552
}
}
},
{
"asof": "2025-10-17",
"forward_end": "2025-12-01",
"arms": {
"unrestricted_control": {
"n": 501,
"ic": 0.04539838251783286,
"quintile_spread": 0.017187629320768866
},
"paired_control": {
"n": 501,
"ic": 0.04539838251783286,
"quintile_spread": 0.017187629320768866
},
"normalized": {
"n": 501,
"ic": 0.05473416513586373,
"quintile_spread": 0.017031058893963454
}
}
},
{
"asof": "2025-12-05",
"forward_end": "2026-01-21",
"arms": {
"unrestricted_control": {
"n": 501,
"ic": 0.007365030894386526,
"quintile_spread": 0.03183887594383297
},
"paired_control": {
"n": 501,
"ic": 0.007365030894386526,
"quintile_spread": 0.03183887594383297
},
"normalized": {
"n": 501,
"ic": 0.012405945081947659,
"quintile_spread": 0.03457464136718587
}
}
},
{
"asof": "2026-01-23",
"forward_end": "2026-03-09",
"arms": {
"unrestricted_control": {
"n": 501,
"ic": 0.13929260204690222,
"quintile_spread": 0.04198357525788473
},
"paired_control": {
"n": 501,
"ic": 0.13929260204690222,
"quintile_spread": 0.04198357525788473
},
"normalized": {
"n": 501,
"ic": 0.14660018608201922,
"quintile_spread": 0.04243495077029909
}
}
},
{
"asof": "2026-03-13",
"forward_end": "2026-04-27",
"arms": {
"unrestricted_control": {
"n": 502,
"ic": 0.23950867403352388,
"quintile_spread": 0.11616134525750102
},
"paired_control": {
"n": 502,
"ic": 0.23950867403352388,
"quintile_spread": 0.11616134525750102
},
"normalized": {
"n": 502,
"ic": 0.23410710676893384,
"quintile_spread": 0.11489331529762306
}
}
},
{
"asof": "2026-05-01",
"forward_end": "2026-06-15",
"arms": {
"unrestricted_control": {
"n": 500,
"ic": 0.05901076404305617,
"quintile_spread": 0.042017461764831156
},
"paired_control": {
"n": 500,
"ic": 0.05901076404305617,
"quintile_spread": 0.042017461764831156
},
"normalized": {
"n": 500,
"ic": 0.05301534806139224,
"quintile_spread": 0.055764122818771016
}
}
}
],
"coverage": {
"registry_symbols": 506,
"weekly_asofs_considered": 518,
"usable_weekly_asofs": 491,
"all_weekly_cell_reasons": {
"short_history": 14590,
"eligible": 238370,
"missing_forward_or_asof": 9088,
"zero_residual_variance": 60
},
"retained_unrestricted_cells": 35441,
"retained_paired_cells": 35433
},
"bootstrap": {
"seed": 20260908,
"replicates": 5000,
"window_block": 4,
"generator": "NumPy PCG64",
"interval": "percentile 95%"
}
},
"portfolio_stage": "not_run_failed_signal_screen",
"production_changed": false
}
Reference in new issue View Git Blame Copy Permalink