47 lines
1.5 KiB
Markdown
47 lines
1.5 KiB
Markdown
# 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`
|