dennisthiessen
ceaaadc49f
Add lagged/tier/prod-subset/mom-conditional checks on research.sqlite. Log: unconditional sign is a winner/bleeder tug-of-war; mom-conditional fip stays negative and reliable; warn on high-vol tilt if universe broadens.
152 lines
7.2 KiB
Markdown
152 lines
7.2 KiB
Markdown
# Broad-universe fip_id IC research (Phase B)
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**Status:** research complete enough for a platform decision on *unconditional* fip.
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**Production impact:** none. Display card remains context-only.
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Generated: 2026-07-18 (breadth run + diagnostics same day).
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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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- Snapshot: `research.sqlite` — ~4,650 tickers (prod + nasdaq_all extend).
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- IC mask: top **1,500** by point-in-time 63d median $vol, price ≥ **$5**, per week.
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## Caveats
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- **Survivorship bias** — today's constituents, history backfilled (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 ∪ partial SPX seed tilts tech/biotech; missing pure NYSE mid-caps.
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- **Do not** compare full multi-signal tables across universe baselines; only compare `fip_id` to its 505-name fingerprint.
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---
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## Fingerprint (505-name prod snapshot)
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| | Expected | Observed |
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|---|---:|---:|
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| mean IC | −0.045 | **−0.045** |
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| t-stat | −2.9 | **−2.91** |
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| weeks | ≥12 | 35 |
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| avg N | ~500 | 497.7 |
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| reliable | true | **true** |
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**Pass.** Pipeline and formula are trustworthy.
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Artifacts: `reports/fip-breadth-20260718-211440-fingerprint.json`
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---
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## First breadth harness run (pre-registered iron rule)
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Unconditional `fip_id` on liquid top-1500 (runner `run_fip_breadth_research.py`):
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| metric | value |
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|---|---:|
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| mean_ic | **+0.0575** |
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| ic_t_stat | **+5.12** |
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| ic_positive_pct | 88.6% |
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| weeks | 35 |
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| avg_cross_section | 1471.2 |
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| reliable | true |
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**Iron rule as written (need negative sign):** **not green.**
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Honest call: no production change from that screen alone.
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Artifact: `reports/fip-breadth-20260718-211440-breadth.json`
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---
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## Why “+IC on Nasdaq” is not a jumpiness-premium story
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`fip_id = sign(PRET) × (%neg − %pos)` **pools two opposite continuous populations:**
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| Leg | Formation | Continuation intuition | IC contribution |
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|---|---|---|---|
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| **Continuous winners** | PRET>0, mostly up days (smooth climbers) | Paper: keep going up | **negative** |
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| **Continuous losers / bleeders** | PRET<0, mostly down days (grind-down biotechs, SPACs, etc.) | Momentum: keep going down | **positive** |
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Unconditional IC is a **tug-of-war weighted by universe composition**:
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- **S&P-like book** ≈ few steady bleeders → winner leg dominates → IC **−0.045**.
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- **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.
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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.
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**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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---
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## Follow-up diagnostics (same snapshot, independent panel)
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Script: `scripts/run_fip_breadth_diagnostics.py`
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Artifact: `reports/fip-breadth-diagnostics-20260718-213908.json`
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| check | mean_ic | t | weeks | avg N | reliable |
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|---|---:|---:|---:|---:|---|
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| fip same-week liquid 1500 (panel) | −0.017 | −1.85 | 35 | 1471 | true |
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| fip **lagged membership** (prior-week $vol) | −0.010 | −0.93 | 35 | 1471 | true |
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| fip **tier 1–800** (senior liquid) | **−0.035** | **−2.99** | 35 | 791 | true |
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| fip **tier 801–1500** (junior liquid) | **+0.014** | +1.25 | 35 | 700 | true |
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| fip **prod-universe subset** inside liquid | **−0.044** | **−2.88** | 35 | 498 | true |
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| fip **mom-conditional** (top 20% mom_12_1) | **−0.088** | **−4.58** | 35 | 294 | true |
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| vol_6m liquid 1500 (panel) | −0.047 | −1.3 | 35 | 1471 | true |
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| mom_12_1 liquid 1500 | +0.046 | +1.91 | 35 | 1471 | true |
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| mom_12_1_resid liquid 1500 | +0.029 | +1.33 | 35 | 1471 | true |
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### What the checks settle
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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.)
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2. **Tier split** — senior liquid **negative** and reliable; junior liquid **mildly positive** / weak. Bias and bleeder weight are stronger in the junior tier.
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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.”
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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.
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### Platform verdict
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| Question | Answer |
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|---|---|
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| Unconditional fip iron rule (negative on liquid-1500) | **Not green** (first harness +0.06 fails sign; panel mild neg fails magnitude) |
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| Production change now? | **No** |
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| Is fip “dead forever”? | **No** — **alive only as a momentum-conditional tilt candidate** on breadth |
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| Next real step if pursued | Book-level experiment: among qualified residual-momentum names, tilt/filter by lower fip — **not** an unconditional fip sort |
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| Display card | Stays; still the right home until a book test wins |
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---
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## Buried headline: vol tilt / residual mom on breadth
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Even with panel vs harness magnitude differences, the **direction** is clear:
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- **High vol underperforms** on this pool relative to a clean S&P-like book.
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- 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**.
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- **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.
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- **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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---
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## How to re-run (research branch only)
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```powershell
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# Windows
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.\.venv\Scripts\python.exe scripts\run_fip_breadth_diagnostics.py `
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--research-snapshot backtest_snapshots\research.sqlite `
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--prod-snapshot backtest_snapshots\prod.sqlite `
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--workers 6
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```
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```bash
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# macOS
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python scripts/run_fip_breadth_diagnostics.py \
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--research-snapshot backtest_snapshots/research.sqlite \
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--prod-snapshot backtest_snapshots/prod.sqlite \
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--workers 6
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```
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---
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## Bottom line
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- Formal first screen: **not green**, no production change, fingerprint **pass**.
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- Deeper reading: unconditional sign is a **compositional tug-of-war**, not a new jumpiness premium.
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- **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.
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