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

Broad-universe fip_id IC research (Phase B)

Status: research complete enough for a platform decision on unconditional fip.
Production impact: none. Display card remains context-only.

Generated: 2026-07-18 (breadth run + diagnostics same day).

Scope

• Research only — production universe, gate, scanner, schedule unchanged.
• Price-only signal harness; no sentiment/fundamentals on the broad tier.
• Snapshot: research.sqlite — ~4,650 tickers (prod + nasdaq_all extend).
• IC mask: top 1,500 by point-in-time 63d median $vol, price ≥ $5, per week.

Caveats

• Survivorship bias — today's constituents, history backfilled (worse in small caps).
• IEX volume undercount — relative $vol rank only, not absolute floors.
• Pool skew — nasdaq_all ∪ partial SPX seed tilts tech/biotech; missing pure NYSE mid-caps.
• Do not compare full multi-signal tables across universe baselines; only compare fip_id to its 505-name fingerprint.

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Fingerprint (505-name prod snapshot)

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

Pass. Pipeline and formula are trustworthy.

Artifacts: reports/fip-breadth-20260718-211440-fingerprint.json

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First breadth harness run (pre-registered iron rule)

Unconditional fip_id on liquid top-1500 (runner run_fip_breadth_research.py):

metric	value
mean_ic	+0.0575
ic_t_stat	+5.12
ic_positive_pct	88.6%
weeks	35
avg_cross_section	1471.2
reliable	true

Iron rule as written (need negative sign): not green.
Honest call: no production change from that screen alone.

Artifact: reports/fip-breadth-20260718-211440-breadth.json

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Why “+IC on Nasdaq” is not a jumpiness-premium story

fip_id = sign(PRET) × (%neg − %pos) pools two opposite continuous populations:

Leg	Formation	Continuation intuition	IC contribution
Continuous winners	PRET>0, mostly up days (smooth climbers)	Paper: keep going up	negative
Continuous losers / bleeders	PRET<0, mostly down days (grind-down biotechs, SPACs, etc.)	Momentum: keep going down	positive

Unconditional IC is a tug-of-war weighted by universe composition:

• S&P-like book ≈ few steady bleeders → winner leg dominates → IC −0.045.
• Liquid Nasdaq pool ≈ many bleeders / junk-lottery names → loser leg can flip the aggregate sign without contradicting Da/Gurun/Warachka, whose claim was always momentum-conditional (ID modulates continuation among winners), not an unconditional sort.

First-run context rows (same breadth harness) fit that reading: strong vol_6m underperformance and high_52w effects flag a large junk segment — exactly the population that can flip unconditional fip.

Do not write “on Nasdaq, jumpy paths outperform” into the log as a collectible premium until the diagnostics below are read.

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Follow-up diagnostics (same snapshot, independent panel)

Script: scripts/run_fip_breadth_diagnostics.py
Artifact: reports/fip-breadth-diagnostics-20260718-213908.json

check	mean_ic	t	weeks	avg N	reliable
fip same-week liquid 1500 (panel)	−0.017	−1.85	35	1471	true
fip lagged membership (prior-week $vol)	−0.010	−0.93	35	1471	true
fip tier 1–800 (senior liquid)	−0.035	−2.99	35	791	true
fip tier 801–1500 (junior liquid)	+0.014	+1.25	35	700	true
fip prod-universe subset inside liquid	−0.044	−2.88	35	498	true
fip mom-conditional (top 20% mom_12_1)	−0.088	−4.58	35	294	true
vol_6m liquid 1500 (panel)	−0.047	−1.3	35	1471	true
mom_12_1 liquid 1500	+0.046	+1.91	35	1471	true
mom_12_1_resid liquid 1500	+0.029	+1.33	35	1471	true

What the checks settle

1. Lagged membership — same sign as same-week panel (mildly negative); does not recreate a large positive IC. Not a clean “liquidity explosion leak manufactures +0.06” story for the panel path. (The first harness run’s +0.0575 still does not match the independent panel’s −0.017 — treat the +0.0575 as a contested unconditional figure; do not build a premium narrative on it.)
2. Tier split — senior liquid negative and reliable; junior liquid mildly positive / weak. Bias and bleeder weight are stronger in the junior tier.
3. Prod-universe subset — IC −0.044 / t −2.88, ~498 names/week — matches the fingerprint. Sign flip is compositional, not “the whole market regime flipped.”
4. Momentum-conditional fip (the platform test) — IC −0.088 / t −4.58, reliable, ~294 winners/week. Negative sign, |IC| ≳ 0.03. This is the paper’s claim and the only version a gate could consume.

Platform verdict

Question	Answer
Unconditional fip iron rule (negative on liquid-1500)	Not green (first harness +0.06 fails sign; panel mild neg fails magnitude)
Production change now?	No
Is fip “dead forever”?	No — alive only as a momentum-conditional tilt candidate on breadth
Next real step if pursued	Book-level experiment: among qualified residual-momentum names, tilt/filter by lower fip — not an unconditional fip sort
Display card	Stays; still the right home until a book test wins

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Buried headline: vol tilt / residual mom on breadth

Even with panel vs harness magnitude differences, the direction is clear:

• High vol underperforms on this pool relative to a clean S&P-like book.
• Production rank tilts 20% toward high volatility, validated on S&P-like names where high-vol ≈ high-beta in a bull tape. On broad Nasdaq liquid, high-vol often means lottery junk.
• If the universe ever broadens in production, re-validate the 80/20 high-vol tilt first — it can flip from mildly helpful to actively harmful.
• Raw momentum > residual on breadth (panel and first harness both show this pattern) — SPY residualization is a noisier fit for small caps; a breadth book may want a different benchmark or raw mom.

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How to re-run (research branch only)

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

# macOS
python scripts/run_fip_breadth_diagnostics.py \
  --research-snapshot backtest_snapshots/research.sqlite \
  --prod-snapshot backtest_snapshots/prod.sqlite \
  --workers 6

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Bottom line

• Formal first screen: not green, no production change, fingerprint pass.
• Deeper reading: unconditional sign is a compositional tug-of-war, not a new jumpiness premium.
• The test that matters for this platform already ran: momentum-conditional fip is negative, large, and reliable on liquid breadth → fip remains a conditional research lead, not a closed door — and not a ship-ready gate input without a book experiment.