signal-platform/docs/research/tr-rank-agreement.md

Total-return vs price-return momentum — ranking screen

Run date: 2026-09-07 · Verdict: proceed to Step 3 (pre-registered rule fired) Reports: reports/tr-rank-agreement.json, reports/tr-rank-agreement-mechanism.json Script: scripts/research_tr_rank_agreement.py Cache: backtest_snapshots/tr-rank-cache.sqlite (507 symbols, 630,524 aligned bars)

Question

12-1 momentum is defined on total returns; production computes it on split-adjusted prices, which ignore dividends. Before building the production tr_factor machinery (Step 3 of the plan), does the basis actually change what the gate admits and how it orders?

Deliberately a screen, not a portfolio simulation. A difference here is a reason to measure trades, not evidence that P&L changes.

Configuration

Universe	backtest_snapshots/survivorship-a.sqlite, 505 symbols with bars (RHM has a ticker row but no bars in the snapshot, so it is inert in both arms)
Window	2021-06-24 → 2026-07-02, clipped to the snapshot
Decision dates	every SPY session; 1,009 had enough history to evaluate
Momentum	production compute_residual_12_1_momentum, unchanged; price series against nominal SPY, total-return series against total-return SPY
Volatility leg	production compute_realized_vol_6m on the SPLIT series, computed once per date and held fixed in both arms so only momentum varies
Gate	production min_momentum_percentile = 80.0, via production _percentiles
Ordering	production blend_strategy_rank, symbol as deterministic tie-break, symbols fed in sorted order in both arms
Comparison	the full admitted list, never truncated to max_positions
Runtime	146 s with the production function — no NumPy rewrite needed, so no equivalence test was required

Coverage is complete. One Adjustment.SPLIT and one Adjustment.ALL request per symbol; 507 symbols cached, zero dates present in one adjustment but not the other. No symbol with snapshot bars is missing from the cache — the script refuses to run in that case rather than reporting the gap as agreement.

Result

Evaluated dates	1,009
Dates with a different ordered list	1,009 (100%)
Dates with a different admitted set	1,007 (99.8%)
Mean set disagreement, |A △ B| / |A ∪ B|	0.0867
Max set disagreement	0.2143
Mean admitted names per arm	100.09
Mean replacements per date (one out paired with one in)	4.56
Max replacements on a single date	12
Mean symmetric difference (names counted on both sides)	9.13

Per year, every evaluated date differs:

Year	Dates	Different set	Different order
2022	132	132	132
2023	250	250	250
2024	252	252	252
2025	250	248	250
2026	125	125	125

Counted directly from the daily set differences rather than derived from the Jaccard ratio: 4.56 names are replaced on an average date — 4.56 leave and 4.56 arrive, so 9.13 names appear on one side or the other, out of about 100 admitted. A swap moves two names, which makes the symmetric difference twice the replacement count and the two easy to conflate.

Strong evidence of a dividend effect

First changed date, 2022-06-24 — 99 names admitted in each arm, nine swapped:

• Only on price return: CDNS, MAR, FIX, COST, LIN, AON, STE, CI, AJG
• Only on total return: EXC, PSX, WY, AMCR, DTE, GIS, FE, BMY, ES

Growth and low-yield names out; utilities, energy, staples and other high payers in. Nine tickers are not evidence, so it was measured (--mechanism 25, saved to reports/tr-rank-agreement-mechanism.json with its sampled dates and per-date values): across 40 sampled dates, the Spearman correlation between a name's trailing 12-month implied yield — from the ALL/SPLIT ratio over the formation window — and its momentum-percentile shift between arms is +0.79 (range +0.71 to +0.85, every sampled date positive).

What that does and does not pin down. The reordering is systematic and directional rather than numerical noise, and it moves with yield. It is not a clean isolation of the stock's own yield: both the stock series and the benchmark leg change between arms, so the measured shift also contains the beta-weighted benchmark yield. Read it as strong evidence consistent with a dividend effect. Isolating own-yield would need a third variant — total-return stock series against a nominal SPY leg — which has not been run.

Verdict

The pre-registered rule was "no ordered-list difference on any evaluated date → stop". Differences occur on every evaluated date, so Step 3 proceeds.

What this does and does not establish:

• Does: the momentum basis materially changes gate admission and ordering, every day, in a yield-driven direction.
• Does not: show that realised P&L changes. Production also applies setup qualification, existing holdings, available slots and the rest of the admission path. A name that swaps into the admitted list may never produce a setup. Step 3's paired portfolio replay is what decides whether any of this reaches trades.
• Worth noting: the tuning recorded as closed in the research log was carried out on a price-return basis throughout. This screen does not invalidate it — it says the input those conclusions were computed on is not the one the factor is defined on.

Reproduce

python scripts/research_tr_rank_agreement.py --fetch          # 1,014 requests, cached
python scripts/research_tr_rank_agreement.py --time-batch 20  # runtime projection
python scripts/research_tr_rank_agreement.py                  # full screen
python scripts/research_tr_rank_agreement.py --mechanism 25   # yield vs percentile shift

The cache makes re-runs free and the screen deterministic; delete backtest_snapshots/tr-rank-cache.sqlite to refetch.