dennisthiessen
9704e0d85a
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.
55 lines
1.8 KiB
Markdown
55 lines
1.8 KiB
Markdown
# Broad-universe fip_id IC research (Phase B)
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Generated: 2026-07-18T19:48:28.127710
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## Scope
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- **Research only** — production universe, gate, scanner, schedule unchanged.
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- Price-only signal harness; no sentiment/fundamentals on the broad tier.
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- Point-in-time liquidity mask: top **1500** by 63d median $vol, price ≥ **$5.0** at as-of.
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## Caveats
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- **Survivorship bias**: today's constituents backfilled historically (worse in small caps).
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- **IEX volume undercount**: relative $vol rank only, not absolute floors.
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- **Pool skew**: nasdaq_all ∪ sp500 tilts tech/biotech; missing pure NYSE mid-caps.
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## Fingerprint (505-name prod snapshot)
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- Expected: IC ≈ -0.045, t ≈ -2.9
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- Observed: IC = -0.045, t = -2.91, weeks = 35, reliable = True
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- Pass: **True**
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## Liquid-breadth signal_eval (fip_id)
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**Not run yet in this environment** (no Alpaca credentials to build
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`backtest_snapshots/research.sqlite`). Local machine with keys:
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```bash
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python scripts/extend_snapshot_universe.py --force-copy
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python scripts/run_fip_breadth_research.py --skip-fingerprint --allow-spawn --workers 6
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```
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(`--skip-fingerprint` only after a green fingerprint on this machine.)
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| metric | value |
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|---|---|
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| mean_ic | _pending_ |
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| ic_t_stat | _pending_ |
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| weeks | _pending_ |
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| avg_cross_section | _pending_ |
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| reliable | _pending_ |
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## Verdict (iron rule)
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- **Fingerprint:** green (IC −0.045 / t −2.91 / reliable / 35 weeks).
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- **Breadth iron rule:** **pending** until research.sqlite run completes.
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- Green breadth would authorize a **follow-up proposal** only (two-tier universe /
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gate revalidation) — **not** production wire-in.
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## Artifacts
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- Fingerprint report: `reports/fip-breadth-20260718-194828-fingerprint.json`
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(and summary `reports/fip-breadth-20260718-194828.json`)
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- Breadth report: _pending_
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