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.

---

## 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.

---

## 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 Do not cite it.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`

---

## 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.

---

## 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** |

---

## 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).

---

## How to re-run (research branch only)

```powershell
.\.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
```

---

## 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.