1.5 KiB
1.5 KiB
Broad-universe fip_id IC research (Phase B)
Generated: 2026-07-18T21:14:40.170961
Scope
- Research only — production universe, gate, scanner, schedule unchanged.
- Price-only signal harness; no sentiment/fundamentals on the broad tier.
- Point-in-time liquidity mask: top 1500 by 63d median $vol, price ≥ $5.0 at as-of.
Caveats
- Survivorship bias: today's constituents backfilled historically (worse in small caps).
- IEX volume undercount: relative $vol rank only, not absolute floors.
- Pool skew: nasdaq_all ∪ sp500 tilts tech/biotech; missing pure NYSE mid-caps.
Fingerprint (505-name prod snapshot)
- Expected: IC ≈ -0.045, t ≈ -2.9
- Observed: IC = -0.045, t = -2.91, weeks = 35, reliable = True
- Pass: True
Liquid-breadth signal_eval (fip_id)
| 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 |
| mean_quintile_spread | 0.0199 |
Verdict (iron rule)
- Green: False
- iron rule not met on liquid-breadth cross-section
- Checks:
{"mean_ic": 0.0575, "abs_mean_ic_ge_0_03": true, "sign_negative": false, "ic_t_stat": 5.12, "reliable": true, "weeks": 35, "avg_cross_section": 1471.2}
A green verdict authorizes a follow-up proposal only (two-tier universe / gate revalidation) — not production wire-in.
Artifacts
- Fingerprint report:
reports/fip-breadth-20260718-211440-fingerprint.json - Breadth report:
reports/fip-breadth-20260718-211440-breadth.json