dennisthiessen
fa25b6ee68
Tier-1 alpha research (local only, no production deploy): Sector residual momentum: two-factor SPY+sector residual and sector demean signals, IC harness + A/B. Sector resid clears pre-registered bars narrowly (PROMOTE for human wire design only). Sector demean fails t vs market resid. Earnings: earnings_events backfill (FMP bulk paid; FMP/AV per-symbol), 2a gap diagnostic report-only, 2b SUE IC (PARK; incomplete 48/506 coverage). History-depth: pre-registered doc + runner for MacBook deep rebuild/harness. Do not ship production residual or filters from this branch.
413 lines
10 KiB
JSON
413 lines
10 KiB
JSON
{
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"generated_at": "2026-07-19T08:33:56.651229",
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"snapshot_guard": {
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"snapshot": "C:\\Workspace\\signal-platform\\backtest_snapshots\\prod.sqlite",
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"manifest": null,
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"manifest_ok": null,
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"note": "No completion manifest (prod.sqlite is expected without one). Bar-count sanity still applied.",
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"ticker_count": 506,
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"ohlcv_row_count": 629263,
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"bars_min_avg_max": {
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"min": 14,
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"avg": 1246.1,
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"max": 1261
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},
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"ohlcv_date_range": {
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"min": "2021-06-24",
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"max": "2026-07-02"
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},
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"benchmark_prices": [
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{
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"symbol": "SPY",
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"n": 1516,
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"min": "2020-07-06",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLB",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLC",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLE",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLF",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLI",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLK",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLP",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLRE",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLU",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLV",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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},
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{
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"symbol": "XLY",
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"n": 1512,
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"min": "2020-07-10",
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"max": "2026-07-17"
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}
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],
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"missing_sector_etfs": []
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},
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"sector_coverage": {
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"universe": 506,
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"mapped": 505,
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"mapped_pct": 99.8,
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"with_etf": 505,
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"missing": [
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"RHM"
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],
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"by_sector": {
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"Industrials": 81,
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"Financials": 75,
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"Information Technology": 72,
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"Health Care": 58,
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"Consumer Discretionary": 47,
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"Consumer Staples": 34,
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"Real Estate": 31,
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"Utilities": 31,
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"Materials": 26,
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"Communication Services": 23,
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"Energy": 22,
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"Consumer Defensive": 2,
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"Technology": 2,
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"Financial Services": 1
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}
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},
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"sector_map_path": "C:\\Workspace\\signal-platform\\data\\research\\ticker_sector_map.json",
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"signal_eval": [
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{
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"signal": "vol_6m",
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"weeks": 39,
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"avg_cross_section": 498.2,
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"mean_ic": 0.0609,
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"ic_t_stat": 1.48,
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"ic_positive_pct": 64.1,
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"mean_quintile_spread": 0.0337,
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"reliable": true
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},
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{
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"signal": "mom_12_1_sector_resid",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0578,
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"ic_t_stat": 2.34,
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"ic_positive_pct": 65.7,
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"mean_quintile_spread": 0.0245,
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"reliable": true
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},
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{
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"signal": "mom_12_1_resid",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0552,
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"ic_t_stat": 1.98,
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"ic_positive_pct": 60.0,
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"mean_quintile_spread": 0.0207,
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"reliable": true
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},
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{
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"signal": "mom_12_1",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0531,
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"ic_t_stat": 1.61,
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"ic_positive_pct": 65.7,
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"mean_quintile_spread": 0.0206,
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"reliable": true
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},
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{
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"signal": "mom_12_1_sector_demeaned",
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"weeks": 35,
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"avg_cross_section": 496.7,
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"mean_ic": 0.034,
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"ic_t_stat": 1.32,
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"ic_positive_pct": 62.9,
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"mean_quintile_spread": 0.0154,
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"reliable": true
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},
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{
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"signal": "trend_200",
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"weeks": 37,
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"avg_cross_section": 497.9,
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"mean_ic": 0.0161,
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"ic_t_stat": 0.44,
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"ic_positive_pct": 59.5,
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"mean_quintile_spread": 0.006,
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"reliable": true
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},
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{
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"signal": "reversal_1m",
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"weeks": 43,
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"avg_cross_section": 498.7,
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"mean_ic": 0.0059,
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"ic_t_stat": 0.22,
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"ic_positive_pct": 53.5,
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"mean_quintile_spread": 0.0053,
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"reliable": true
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},
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{
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"signal": "mom_6_1",
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"weeks": 39,
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"avg_cross_section": 498.2,
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"mean_ic": 0.0051,
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"ic_t_stat": 0.21,
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"ic_positive_pct": 56.4,
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"mean_quintile_spread": 0.0087,
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"reliable": true
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},
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{
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"signal": "mom_3_1",
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"weeks": 42,
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"avg_cross_section": 498.5,
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"mean_ic": -0.0064,
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"ic_t_stat": -0.25,
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"ic_positive_pct": 50.0,
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"mean_quintile_spread": 0.0046,
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"reliable": true
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},
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{
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"signal": "high_52w",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": -0.0086,
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"ic_t_stat": -0.26,
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"ic_positive_pct": 54.3,
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"mean_quintile_spread": -0.0088,
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"reliable": true
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},
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{
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"signal": "fip_id",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": -0.045,
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"ic_t_stat": -2.91,
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"ic_positive_pct": 25.7,
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"mean_quintile_spread": -0.0168,
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"reliable": true
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}
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],
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"ic_grades": {
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"mom_12_1_sector_resid": {
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"promote_to_ab": true,
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"checks": {
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"sign_ok": true,
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"abs_mean_ic_ge_0_03": true,
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"reliable": true,
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"t_ge_resid": true,
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"mean_ic": 0.0578,
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"ic_t_stat": 2.34,
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"resid_ic_t_stat": 1.98,
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"weeks": 35
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},
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"reason": "clears iron rule and t \u2265 mom_12_1_resid \u2014 authorized for A/B only",
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"row": {
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"signal": "mom_12_1_sector_resid",
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"weeks": 35,
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"avg_cross_section": 497.7,
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"mean_ic": 0.0578,
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"ic_t_stat": 2.34,
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"ic_positive_pct": 65.7,
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"mean_quintile_spread": 0.0245,
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"reliable": true
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}
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},
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"mom_12_1_sector_demeaned": {
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"promote_to_ab": false,
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"checks": {
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"sign_ok": true,
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"abs_mean_ic_ge_0_03": true,
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"reliable": true,
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"t_ge_resid": false,
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"mean_ic": 0.034,
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"ic_t_stat": 1.32,
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"resid_ic_t_stat": 1.98,
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"weeks": 35
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},
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"reason": "does not clear pre-registered IC promotion bar",
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"row": {
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"signal": "mom_12_1_sector_demeaned",
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"weeks": 35,
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"avg_cross_section": 496.7,
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"mean_ic": 0.034,
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"ic_t_stat": 1.32,
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"ic_positive_pct": 62.9,
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"mean_quintile_spread": 0.0154,
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"reliable": true
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}
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}
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},
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"portfolio_ab": {
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"signal": "mom_12_1_sector_resid",
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"ranking_key": "residual_high_vol_blend_80_20_score",
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"fill_mode": "close",
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"validation_split": "2024-07-01",
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"control": {
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"label": "control_mom_12_1_resid",
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"n_qualified_longs": 1086,
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"windows": {
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"train": {
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"sharpe": 1.3,
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"sharpe_se": 0.685,
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"cagr_pct": 29.2,
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"max_drawdown_pct": 21.4,
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"total_return_pct": 70.9,
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"trades": 176,
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"win_rate_pct": null,
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"avg_r": null,
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"n_returns": 525,
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"return_skew": 0.3722,
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"return_kurtosis": 4.6208,
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"psr": 0.971
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},
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"validation": {
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"sharpe": 2.92,
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"sharpe_se": 0.709,
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"cagr_pct": 76.3,
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"max_drawdown_pct": 11.7,
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"total_return_pct": 210.7,
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"trades": 150,
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"win_rate_pct": null,
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"avg_r": null,
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"n_returns": 501,
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"return_skew": 0.1734,
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"return_kurtosis": 4.4625,
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"psr": 1.0
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},
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"full": {
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"sharpe": 2.09,
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"sharpe_se": 0.497,
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"cagr_pct": 51.6,
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"max_drawdown_pct": 21.4,
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"total_return_pct": 424.6,
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"trades": 322,
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"win_rate_pct": null,
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"avg_r": null,
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"n_returns": 1000,
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"return_skew": 0.2686,
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"return_kurtosis": 4.5653,
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"psr": 1.0
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}
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}
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},
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"treatment": {
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"label": "treatment_mom_12_1_sector_resid",
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"n_qualified_longs": 1210,
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"windows": {
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"train": {
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"sharpe": 1.57,
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"sharpe_se": 0.677,
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"cagr_pct": 35.5,
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"max_drawdown_pct": 19.8,
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"total_return_pct": 90.0,
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"trades": 176,
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"win_rate_pct": null,
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"avg_r": null,
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"n_returns": 530,
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"return_skew": 0.466,
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"return_kurtosis": 4.4413,
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"psr": 0.99
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},
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"validation": {
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"sharpe": 2.57,
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"sharpe_se": 0.701,
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"cagr_pct": 66.3,
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"max_drawdown_pct": 14.8,
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"total_return_pct": 176.4,
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"trades": 163,
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"win_rate_pct": null,
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"avg_r": null,
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"n_returns": 501,
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"return_skew": 0.3003,
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"return_kurtosis": 4.4305,
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"psr": 0.9999
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},
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"full": {
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"sharpe": 2.09,
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"sharpe_se": 0.491,
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"cagr_pct": 51.0,
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"max_drawdown_pct": 19.8,
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"total_return_pct": 421.3,
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"trades": 337,
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"win_rate_pct": null,
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"avg_r": null,
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"n_returns": 1005,
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"return_skew": 0.4066,
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"return_kurtosis": 4.3627,
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"psr": 1.0
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}
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}
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},
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"promotion": {
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"promote": true,
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"checks": {
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"validation_sharpe_ge_control_minus_half_se": true,
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"full_sharpe_not_worse": true,
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"full_maxdd_not_worse": true,
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"control_validation_sharpe": 2.92,
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"treatment_validation_sharpe": 2.57,
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"se_used": 0.701,
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"control_full_sharpe": 2.09,
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"treatment_full_sharpe": 2.09,
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"control_full_maxdd": 21.4,
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"treatment_full_maxdd": 19.8
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},
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"reason": "clears pre-registered A/B bar \u2014 human decides wire-in"
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}
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},
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"verdict": "PROMOTE",
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"verdict_detail": "mom_12_1_sector_resid cleared IC + A/B bars. Human must design wire-in; do not ship from this branch.",
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"human_next": "- Approve or reject production residual swap vs dual-signal design.\n- If sector-cap arm ran, review tail-trim diagnostics before any cap.",
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"report_path": "reports/sector-residual-20260719-083356.json",
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"pre_registration": {
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"iron_ic_bar": 0.03,
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"validation_split": "2024-07-01",
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"fill_mode": "close",
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"cost_per_side": 0.001,
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"ab_rule": "val Sharpe >= control - 0.5*SE; full Sharpe & maxDD not worse"
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}
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}
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