dennisthiessen/signal-platform
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
7d60e54f5a11e7eb8f5b049551bdb997da8c053b
signal-platform/reports/fip-breadth-20260718-194828-fingerprint.json
T
dennisthiessen 9704e0d85a
Deploy / lint (push) Successful in 9s
Details
Deploy / deploy (push) Canceled after 0s
Details
Deploy / test (push) Canceled after 1m5s
Details
feat: Phase B fip_id liquid-breadth research tooling 
Add research-only snapshot extender, PIT dollar-volume mask for signal IC,
rank-only harness path, fingerprint+breadth runner, and docs. Fingerprint
reproduced IC -0.045 / t -2.91 on prod.sqlite. No production gate/schedule changes.
2026-07-18 20:22:11 +02:00

578 lines
16 KiB
JSON
Raw Blame History

{
"generated_at": "2026-07-18T18:21:28.359793+00:00",
"tickers": 506,
"rank_only_tickers": 0,
"candidates": 202765,
"qualified": 1086,
"params": {
"step_days": 5,
"step_sessions": 5,
"entry_cadence": "weekly",
"signal_eval_cadence": "weekly",
"horizon_days": 30,
"min_lookback": 60,
"cost_per_side_pct": 0.1,
"target_model": "production_gtl",
"target_model_label": "Live GTL (production)",
"is_production_target_model": true,
"production_reentry_policy": "gate_reset",
"liquid_breadth_top_n": null,
"liquid_min_price": null,
"signal_eval_only": true
},
"activation": {
"min_momentum_percentile": 80.0,
"min_rr": 2.0,
"min_confidence": 0.0,
"require_high_conviction": false,
"exclude_conflicts": false,
"exclude_neutral": true
},
"overall_qualified": {
"total": 1086,
"wins": 379,
"losses": 591,
"expired": 116,
"hit_rate": 39.1,
"avg_r": 0.255,
"total_r": 276.76,
"net_avg_r": 0.209,
"net_total_r": 226.56,
"best_r": 8.85,
"worst_r": -3.38,
"avg_hold_days": 12.0,
"net_r_per_day": 0.0174,
"median_net_r": -1.031,
"profit_factor": 1.34,
"net_avg_r_ex_top5": 0.049
},
"overall_all": {
"total": 202765,
"wins": 82220,
"losses": 113809,
"expired": 6736,
"hit_rate": 41.9,
"avg_r": -0.04,
"total_r": -8186.18,
"net_avg_r": -0.095,
"net_total_r": -19184.55,
"best_r": 9.24,
"worst_r": -16.42,
"avg_hold_days": 8.2,
"net_r_per_day": -0.0115,
"median_net_r": -1.035,
"profit_factor": 0.85,
"net_avg_r_ex_top5": -0.22
},
"by_direction": {
"long": {
"total": 1086,
"wins": 379,
"losses": 591,
"expired": 116,
"hit_rate": 39.1,
"avg_r": 0.255,
"total_r": 276.76,
"net_avg_r": 0.209,
"net_total_r": 226.56,
"best_r": 8.85,
"worst_r": -3.38,
"avg_hold_days": 12.0,
"net_r_per_day": 0.0174,
"median_net_r": -1.031,
"profit_factor": 1.34,
"net_avg_r_ex_top5": 0.049
},
"short": {
"total": 0,
"wins": 0,
"losses": 0,
"expired": 0,
"hit_rate": null,
"avg_r": null,
"total_r": null,
"net_avg_r": null,
"net_total_r": null,
"best_r": null,
"worst_r": null,
"avg_hold_days": null,
"net_r_per_day": null,
"median_net_r": null,
"profit_factor": null,
"net_avg_r_ex_top5": null
}
},
"min_momentum_percentile": 80.0,
"sweep": [
{
"min_momentum_percentile": 90.0,
"total": 497,
"wins": 177,
"losses": 269,
"expired": 51,
"hit_rate": 39.7,
"avg_r": 0.276,
"total_r": 137.05,
"net_avg_r": 0.235,
"net_total_r": 116.55,
"best_r": 8.85,
"worst_r": -3.38,
"avg_hold_days": 11.8,
"net_r_per_day": 0.0199,
"median_net_r": -1.026,
"profit_factor": 1.39,
"net_avg_r_ex_top5": 0.071
},
{
"min_momentum_percentile": 80.0,
"total": 1086,
"wins": 379,
"losses": 591,
"expired": 116,
"hit_rate": 39.1,
"avg_r": 0.255,
"total_r": 276.76,
"net_avg_r": 0.209,
"net_total_r": 226.56,
"best_r": 8.85,
"worst_r": -3.38,
"avg_hold_days": 12.0,
"net_r_per_day": 0.0174,
"median_net_r": -1.031,
"profit_factor": 1.34,
"net_avg_r_ex_top5": 0.049
},
{
"min_momentum_percentile": 70.0,
"total": 1841,
"wins": 597,
"losses": 1062,
"expired": 182,
"hit_rate": 36.0,
"avg_r": 0.152,
"total_r": 280.26,
"net_avg_r": 0.104,
"net_total_r": 190.75,
"best_r": 8.85,
"worst_r": -4.21,
"avg_hold_days": 11.8,
"net_r_per_day": 0.0088,
"median_net_r": -1.037,
"profit_factor": 1.16,
"net_avg_r_ex_top5": -0.055
},
{
"min_momentum_percentile": 60.0,
"total": 2772,
"wins": 873,
"losses": 1611,
"expired": 288,
"hit_rate": 35.1,
"avg_r": 0.126,
"total_r": 348.07,
"net_avg_r": 0.075,
"net_total_r": 209.25,
"best_r": 8.85,
"worst_r": -4.21,
"avg_hold_days": 12.0,
"net_r_per_day": 0.0063,
"median_net_r": -1.04,
"profit_factor": 1.12,
"net_avg_r_ex_top5": -0.077
},
{
"min_momentum_percentile": 50.0,
"total": 3901,
"wins": 1182,
"losses": 2295,
"expired": 424,
"hit_rate": 34.0,
"avg_r": 0.089,
"total_r": 345.37,
"net_avg_r": 0.038,
"net_total_r": 146.96,
"best_r": 8.85,
"worst_r": -4.86,
"avg_hold_days": 12.1,
"net_r_per_day": 0.0031,
"median_net_r": -1.042,
"profit_factor": 1.06,
"net_avg_r_ex_top5": -0.114
},
{
"min_momentum_percentile": 0.0,
"total": 14588,
"wins": 3719,
"losses": 9271,
"expired": 1598,
"hit_rate": 28.6,
"avg_r": -0.065,
"total_r": -952.08,
"net_avg_r": -0.115,
"net_total_r": -1676.86,
"best_r": 9.24,
"worst_r": -15.94,
"avg_hold_days": 12.1,
"net_r_per_day": -0.0095,
"median_net_r": -1.043,
"profit_factor": 0.84,
"net_avg_r_ex_top5": -0.275
}
],
"gate_ablation": [
{
"variant": "all_floors",
"total": 1086,
"wins": 379,
"losses": 591,
"expired": 116,
"hit_rate": 39.1,
"avg_r": 0.255,
"total_r": 276.76,
"net_avg_r": 0.209,
"net_total_r": 226.56,
"best_r": 8.85,
"worst_r": -3.38,
"avg_hold_days": 12.0,
"net_r_per_day": 0.0174,
"median_net_r": -1.031,
"profit_factor": 1.34,
"net_avg_r_ex_top5": 0.049,
"hold_days": 30,
"hold_avg_r": 0.631,
"hold_net_avg_r": 0.585,
"hold_total_r": 684.97
},
{
"variant": "no_confidence_floor",
"total": 1093,
"wins": 380,
"losses": 596,
"expired": 117,
"hit_rate": 38.9,
"avg_r": 0.25,
"total_r": 273.55,
"net_avg_r": 0.204,
"net_total_r": 222.99,
"best_r": 8.85,
"worst_r": -3.38,
"avg_hold_days": 11.9,
"net_r_per_day": 0.0171,
"median_net_r": -1.031,
"profit_factor": 1.33,
"net_avg_r_ex_top5": 0.045,
"hold_days": 30,
"hold_avg_r": 0.626,
"hold_net_avg_r": 0.58,
"hold_total_r": 684.08
},
{
"variant": "no_rr_floor",
"total": 6849,
"wins": 3235,
"losses": 3409,
"expired": 205,
"hit_rate": 48.7,
"avg_r": 0.112,
"total_r": 770.17,
"net_avg_r": 0.061,
"net_total_r": 418.96,
"best_r": 8.85,
"worst_r": -5.16,
"avg_hold_days": 7.9,
"net_r_per_day": 0.0078,
"median_net_r": -0.061,
"profit_factor": 1.11,
"net_avg_r_ex_top5": -0.061,
"hold_days": 30,
"hold_avg_r": 0.354,
"hold_net_avg_r": 0.303,
"hold_total_r": 2425.86
},
{
"variant": "no_neutral_exclusion",
"total": 2313,
"wins": 770,
"losses": 1279,
"expired": 264,
"hit_rate": 37.6,
"avg_r": 0.2,
"total_r": 462.35,
"net_avg_r": 0.154,
"net_total_r": 355.89,
"best_r": 8.85,
"worst_r": -3.38,
"avg_hold_days": 12.6,
"net_r_per_day": 0.0122,
"median_net_r": -1.031,
"profit_factor": 1.25,
"net_avg_r_ex_top5": 0.004,
"hold_days": 30,
"hold_avg_r": 0.583,
"hold_net_avg_r": 0.537,
"hold_total_r": 1348.89
},
{
"variant": "momentum_only",
"total": 14696,
"wins": 6827,
"losses": 7359,
"expired": 510,
"hit_rate": 48.1,
"avg_r": 0.114,
"total_r": 1669.64,
"net_avg_r": 0.064,
"net_total_r": 936.93,
"best_r": 8.85,
"worst_r": -5.71,
"avg_hold_days": 8.4,
"net_r_per_day": 0.0076,
"median_net_r": -1.013,
"profit_factor": 1.11,
"net_avg_r_ex_top5": -0.055,
"hold_days": 30,
"hold_avg_r": 0.395,
"hold_net_avg_r": 0.345,
"hold_total_r": 5798.82
}
],
"gate_ablation_note": "Each row re-qualifies the same candidates at the current momentum cutoff (80) with one floor removed (long-only while the momentum gate is active). If dropping a floor doesn't hurt net expectancy, that floor isn't pulling its weight. The Hold columns grade the same variants under the hold-to-horizon time exit instead of the S/R target \u2014 the view that matters if the exit policy moves to a fixed hold.",
"time_exit_sweep": [
{
"hold_days": 5,
"total": 1086,
"wins": 603,
"win_rate": 55.5,
"avg_r": 0.175,
"total_r": 190.16,
"net_avg_r": 0.129,
"net_total_r": 139.97,
"best_r": 5.09,
"worst_r": -2.51,
"avg_hold_days": 4.5,
"net_r_per_day": 0.0285,
"median_net_r": 0.115,
"profit_factor": 1.36,
"net_avg_r_ex_top5": -0.002
},
{
"hold_days": 10,
"total": 1086,
"wins": 559,
"win_rate": 51.5,
"avg_r": 0.357,
"total_r": 387.9,
"net_avg_r": 0.311,
"net_total_r": 337.7,
"best_r": 6.73,
"worst_r": -2.51,
"avg_hold_days": 7.9,
"net_r_per_day": 0.0395,
"median_net_r": 0.031,
"profit_factor": 1.67,
"net_avg_r_ex_top5": 0.112
},
{
"hold_days": 21,
"total": 1086,
"wins": 487,
"win_rate": 44.8,
"avg_r": 0.525,
"total_r": 570.33,
"net_avg_r": 0.479,
"net_total_r": 520.14,
"best_r": 9.86,
"worst_r": -3.38,
"avg_hold_days": 13.7,
"net_r_per_day": 0.0349,
"median_net_r": -1.027,
"profit_factor": 1.81,
"net_avg_r_ex_top5": 0.191
},
{
"hold_days": 30,
"total": 1086,
"wins": 434,
"win_rate": 40.0,
"avg_r": 0.631,
"total_r": 684.97,
"net_avg_r": 0.585,
"net_total_r": 634.78,
"best_r": 12.87,
"worst_r": -3.38,
"avg_hold_days": 17.8,
"net_r_per_day": 0.0329,
"median_net_r": -1.033,
"profit_factor": 1.9,
"net_avg_r_ex_top5": 0.212
}
],
"portfolio_sim": {
"params": {
"starting_capital": 10000.0,
"max_positions": 10,
"risk_per_trade_pct": 1.0,
"notional_cap_pct": 20.0,
"cost_per_side_pct": 0.1,
"hold_days": 30
},
"policies": [],
"note": "One capital-constrained book over the same qualified setups the tables above grade per-setup: at most 10 concurrent positions (one per ticker), best momentum first, fixed-fractional risk sizing with a no-leverage cap, entries at the detection close, stops filled at the worse of stop or open. 'target' races the S/R target against the stop (timeout at the horizon); 'hold' keeps the initial stop and exits at the horizon close. SPY return is price-only over the same window. In-sample; no dividends."
},
"strategy_variants": {
"variants": [],
"note": "Research-only hold-to-horizon portfolio variants. Production now uses residual 12-1 momentum at cutoff 80; the remaining rows compare the legacy raw rank, raw cutoff 90, one max-15 capacity check, and volatility overlays."
},
"exit_policy_variants": {
"variants": [],
"note": "Research-only exit policies over the residual/high-vol 80/20 entry candidate. Every row uses the same entry qualification/ranking and changes only the exit discipline."
},
"portfolio_monitor": null,
"production_cadence_comparison": null,
"holdout": null,
"min_rr_sweep": null,
"target_model_diagnostics": {
"target_model": "production_gtl",
"target_model_label": "Live GTL (production)",
"candidate_count": 202765,
"primary_source_counts": {
"pivot_point": 196290,
"range_grid": 180036
},
"primary_round_only": 0,
"primary_strength_100": 138596,
"avg_primary_strength": 80.109,
"avg_primary_distance_atr": 2.293,
"avg_primary_rejection_count": 41.908,
"avg_raw_level_count": 53.204,
"avg_gate_level_count": 53.204
},
"signal_eval": [
{
"signal": "vol_6m",
"weeks": 39,
"avg_cross_section": 498.2,
"mean_ic": 0.0609,
"ic_t_stat": 1.48,
"ic_positive_pct": 64.1,
"mean_quintile_spread": 0.0337,
"reliable": true
},
{
"signal": "mom_12_1_resid",
"weeks": 35,
"avg_cross_section": 497.7,
"mean_ic": 0.0552,
"ic_t_stat": 1.98,
"ic_positive_pct": 60.0,
"mean_quintile_spread": 0.0207,
"reliable": true
},
{
"signal": "mom_12_1",
"weeks": 35,
"avg_cross_section": 497.7,
"mean_ic": 0.0531,
"ic_t_stat": 1.61,
"ic_positive_pct": 65.7,
"mean_quintile_spread": 0.0206,
"reliable": true
},
{
"signal": "trend_200",
"weeks": 37,
"avg_cross_section": 497.9,
"mean_ic": 0.0161,
"ic_t_stat": 0.44,
"ic_positive_pct": 59.5,
"mean_quintile_spread": 0.006,
"reliable": true
},
{
"signal": "reversal_1m",
"weeks": 43,
"avg_cross_section": 498.7,
"mean_ic": 0.0059,
"ic_t_stat": 0.22,
"ic_positive_pct": 53.5,
"mean_quintile_spread": 0.0053,
"reliable": true
},
{
"signal": "mom_6_1",
"weeks": 39,
"avg_cross_section": 498.2,
"mean_ic": 0.0051,
"ic_t_stat": 0.21,
"ic_positive_pct": 56.4,
"mean_quintile_spread": 0.0087,
"reliable": true
},
{
"signal": "mom_3_1",
"weeks": 42,
"avg_cross_section": 498.5,
"mean_ic": -0.0064,
"ic_t_stat": -0.25,
"ic_positive_pct": 50.0,
"mean_quintile_spread": 0.0046,
"reliable": true
},
{
"signal": "high_52w",
"weeks": 35,
"avg_cross_section": 497.7,
"mean_ic": -0.0086,
"ic_t_stat": -0.26,
"ic_positive_pct": 54.3,
"mean_quintile_spread": -0.0088,
"reliable": true
},
{
"signal": "fip_id",
"weeks": 35,
"avg_cross_section": 497.7,
"mean_ic": -0.045,
"ic_t_stat": -2.91,
"ic_positive_pct": 25.7,
"mean_quintile_spread": -0.0168,
"reliable": true
}
],
"signal_eval_note": "Cross-sectional rank-IC of price-only signals vs the forward 30-day return (min 20 names/window). |IC| \u2273 0.03 with a consistent sign is a real (if small) edge; near 0 means ranking on it sorts nothing. Momentum factors and high_52w are expected positive; reversal_1m and vol_6m expected negative (mean-reversion / low-vol anomaly). IC is measured on non-overlapping windows; signals with fewer than 12 independent windows are flagged unreliable (too few regimes \u2014 deepen history with the Data Backfill job).",
"note": "Sentiment & fundamentals held neutral (no point-in-time history). Stops fill at the worse of the stop or the bar's open (gaps through the stop are modeled, so a loss can exceed \u22121R); targets never fill better than their level. ~6 months \u2248 one market regime \u2014 treat as directional, not gospel.",
"recommendation": {
"headline": "Trade the qualified list long-only; hold 30 trading days with the initial ATR stop.",
"items": [
{
"topic": "exit",
"text": "Legacy exit diagnostic: hold 30 trading days with the initial stop (+0.58R net/trade vs +0.21R for the S/R target exit)."
},
{
"topic": "gate",
"text": "Gate: the confidence floor adds nothing \u2014 dropping it costs +0.01R/trade and adds 7 trades."
},
{
"topic": "gate",
"text": "Gate: keep the R:R floor (worth +0.28R/trade under the hold exit)."
},
{
"topic": "gate",
"text": "Gate: keep the NEUTRAL exclusion (worth +0.05R/trade under the hold exit)."
},
{
"topic": "cutoff",
"text": "Residual-momentum cutoff: 90 has the best per-trade net (+0.23R over 497 setups)."
},
{
"topic": "robustness",
"text": "Robustness: expectancy survives removing the top 5% of winners (+0.21R net/trade under the recommended 30d hold) \u2014 the edge is not a handful of outliers."
}
],
"note": "Derived from this report's numbers on every run \u2014 the advice flips if the data does."
},
"research_recommendation": {
"items": [],
"note": "Strategy variants unavailable; re-run the backtest after benchmark data is present."
}
}
Reference in New Issue View Git Blame Copy Permalink