signal-platform/docs/research/fip-breadth-ic.md

Broad-universe fip_id IC research (Phase B)

Status: unconditional fip closed; mom-conditional lead confirmed on single-sourced path.
Production impact: none. Display card remains context-only.

Scope

• Research only — production universe, gate, scanner, schedule unchanged.
• Snapshot: research.sqlite (~4,650 tickers = prod + nasdaq_all extend).
• Liquid mask: top 1,500 by point-in-time 63d median $vol, price ≥ $5/week.

Caveats

• Survivorship bias (today’s constituents, history backfilled).
• IEX volume undercount → relative $vol rank only.
• Pool skew: Nasdaq-heavy; missing pure NYSE mid-caps.
• Do not mix multi-signal tables across universe baselines.

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Fingerprint (505-name prod)

	Expected	Observed
mean IC	−0.045	−0.045
t-stat	−2.9	−2.91
weeks / N / reliable	≥12 / ~500 / true	35 / 497.7 / true

Pass. Formula + pipeline trustworthy.

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Discrepancy (must not be papered over)

Source	fip IC (liquid ~1500)	t
Report fip-breadth-20260718-211440-breadth.json	+0.0575	+5.12
Single-sourced recompute (2026-07-19)	−0.0168	−1.85

That is a sign disagreement on the same intended quantity. Method rule: the number you cannot reconcile is the number you cannot use.

What we did

1. Single-sourced the mask — diagnostics call harness _signal_series + _filter_liquid_breadth_week_rich only (no parallel mask).
2. Documented avg_cross_section semantics — always post-mask IC sample size.
3. Logged pre-mask stats so “did top-N bind?” is answerable.

Authoritative unconditional liquid fip (post-reconciliation)

metric	value
mean_ic	−0.0168
ic_t_stat	−1.85
weeks	35
avg_cross_section (post-mask)	1471.2
avg_raw_pool	3214.4
avg_eligible_pre_mask	2338.4
mask_binds_pct	97.1%
reliable	true

Mask binds hard (eligible ≫ 1500). The hypothesis that “1471 meant the mask never bound / unmasked +5σ” is false.

Harness _signal_evaluation vs manual IC through the same filter: exact match (−0.0168 / −1.85).

Verdict on the orphan

The +0.0575 / t +5.12 row is orphaned. Do not cite it. Root cause of that single run is not fully forensic-reconstructed (no dual dump from the original process remains), but every single-sourced recompute on this snapshot lands near −0.017, and the tier blend (≈800×−0.035 + ≈670×+0.014)/1471 ≈ −0.013 is internally consistent with that number—not with +0.058.

Iron rule unconditional: still not green (|IC| 0.017 < 0.03), and now with the correct mild-negative sign.

Artifact: reports/fip-reconcile-20260719-000520.json

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Compositional story (supported)

fip_id = sign(PRET)×(%neg−%pos) pools:

• Continuous winners → want negative IC
• Continuous bleeders → want positive IC

check	IC	t	read
Prod-universe subset inside liquid	−0.044	−2.88	Matches fingerprint → compositional, not regime change
Tier 1–800 (senior)	−0.035	−2.99	Winner leg
Tier 801–1500 (junior)	+0.014	+1.25	More bleeder / junk weight
Lagged membership (prior-week $vol)	−0.010	−0.93	Same sign as same-week; not a +5σ leak artifact

Do not log “on Nasdaq, jumpy paths outperform.” That would mythologize an orphaned +0.06.

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Platform-relevant test: momentum-conditional fip

Among liquid top-1500, keep mom_12_1 ≥ P80 (~294 names/week):

metric	value
mean_ic	−0.0879
ic_t_stat	−4.58
ic_positive_pct	22.9%
weeks	35
reliable	true

Computed on the same single-sourced path as the authoritative −0.017. This is the paper’s claim and the only version a gate could consume.

Decision
Unconditional fip	Closed for production
Mom-conditional fip	Alive as book-tilt candidate only — book sim before any gate talk
Display card	Stays
Production change	None

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Vol-tilt / residual-mom warning (any future breadth move)

signal (liquid, single-sourced)	IC	t
vol_6m	−0.048	−1.4
mom_12_1	+0.046	+1.9
mom_12_1_resid	+0.029	+1.3

High-vol names tend to underperform on this pool relative to a clean S&P-like book. Production 80/20 high-vol tilt was validated on S&P-like names. If the universe ever broadens in production, re-validate that tilt first — it can flip from mildly helpful to harmful. Raw momentum also looks stronger than SPY residualization here (noisier fit for small caps).

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How to re-run (research branch only)

.\.venv\Scripts\python.exe scripts\run_fip_breadth_diagnostics.py `
  --research-snapshot backtest_snapshots\research.sqlite `
  --prod-snapshot backtest_snapshots\prod.sqlite `
  --workers 6 --allow-spawn

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Bottom line

1. Formal iron-rule screen: not green either before or after reconciliation.
2. +0.0575 / +5.12 is orphaned — authoritative unconditional liquid fip is −0.017 / −1.9; mask binds (~97%).
3. Compositional tug-of-war is the right story; jumpiness premium is not.
4. Mom-conditional −0.088 / −4.6 stands on the single-sourced path → optional next research step is a book A/B, not a gate wire-in.
5. Log any future reader who sees both numbers: trust the reconcile artifact, not the orphaned breadth headline.