signal-platform/docs/research/history-depth-extension.md

History-depth extension (Tier-1 alpha research)

Status: PRE-REGISTERED — run on MacBook (heavy I/O + full harness).
Branch: research/history-depth-extension (create from latest research stack).
Production impact: none. Do not retune any production knob on deep history.

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Pre-registration (locked before rebuild)

Motivation

All current conclusions rest on ~35 non-overlapping weekly windows in essentially one post-2021 regime. Extending history toward max Alpaca daily-bar depth adds the 2018 vol shock and full 2020 crash (where the feed allows).

Protocol

1. Empirical coverage first — bars per calendar year per symbol; document where the feed thins out. Do not assume a uniform start date.
2. Rebuild the research snapshot completely from prod source + max history per symbol (Adjustment.SPLIT, ~200 req/min pacing via existing extender).
3. Race guard (rule 6) — refuse analysis until completion manifest is complete=true and live counts match.
4. Re-run full signal harness (all existing signals incl. sector residual / SUE if present) on the extended window.
5. Report per signal: mean IC, t, window count, and era split (pre-/post-2021) — diagnostic only, not a tuning input.
6. Log prominently: survivorship bias grows with depth (today’s constituents backfilled). Absolute Sharpe/CAGR on deep history is optimistic; payload is relative signal comparisons and IC stability, not levels.
7. Do not retune production knobs. If a knob’s confirmation looks overturned on deep history → report only; human decides.

Success / interpretation (not promotion of a new signal)

outcome	meaning
Sector residual still ≥ market residual on deep IC + stable sign	strengthens Task 1 PROMOTE case
Sector residual collapses pre-2021	PARK Task 1 wire-in
SUE remains weak after full earnings + depth	DEAD SUE for this stack
Any production knob looks worse deep	report; no auto-retune

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MacBook runbook

Prefer the bundled script (one entry point):

git fetch origin && git checkout research/earnings-gap-and-sue
# .env: ALPACA_* required; FMP_* if resuming earnings
# copy backtest_snapshots/prod.sqlite if not already local

chmod +x scripts/run_tier1_macbook.sh

# Default: coverage → deep rebuild → harness (+ era split)
./scripts/run_tier1_macbook.sh

# Optional variants
./scripts/run_tier1_macbook.sh --all            # + earnings resume first
./scripts/run_tier1_macbook.sh --earnings-only  # multi-day FMP + 2a/2b only
./scripts/run_tier1_macbook.sh --harness-only   # skip rebuild
./scripts/run_tier1_macbook.sh --coverage-only

# Tunables
WORKERS=12 HISTORY_DAYS=5000 ./scripts/run_tier1_macbook.sh
./scripts/run_tier1_macbook.sh --workers 12 --fmp-limit 250

Then commit reports/ + updated research docs, or copy them back to Windows.

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Data provenance

(filled at run time)

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Results

Generated: 2026-07-19T10:33:15.322673

SURVIVORSHIP BIAS: today's constituents backfilled historically. Absolute Sharpe/CAGR levels on deep history are optimistic. Use RELATIVE signal IC comparisons and era stability only — not levels.

Coverage

{}

Race guard

{
  "manifest": {
    "schema_version": 1,
    "snapshot": "research.sqlite",
    "snapshot_resolved": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite",
    "complete": true,
    "finished_at": "2026-07-19T08:19:02.992206+00:00",
    "ticker_count": 4655,
    "ohlcv_row_count": 6609926,
    "rank_only_count": 4149,
    "sources": {
      "nasdaq_all": "nasdaq_trader",
      "sp500": "wikipedia_sp500"
    },
    "history_days": 5000,
    "min_bars": 260,
    "fetch_ok": 4152,
    "fetch_fail": 0,
    "limit": null,
    "extra": {
      "prod_symbols_at_start": 506,
      "pool_size": 4648,
      "to_fetch": 4152
    },
    "live_counts": {
      "ticker_count": 4655,
      "ohlcv_row_count": 6609926,
      "rank_only_count": 4149
    }
  },
  "ok": true
}

Signal IC (full extended window)

signal	mean_ic	ic_t_stat	weeks	avg_N	reliable
high_52w	0.1111	6.41	84	2280.3	True
mom_12_1	0.0663	5.11	83	2277.5	True
mom_12_1_sector_resid	0.0578	2.34	35	497.7	True
trend_200	0.0546	4.3	85	2308.1	True
mom_6_1	0.0493	4.91	88	2375.7	True
mom_3_1	0.0363	3.58	90	2425.6	True
mom_12_1_sector_demeaned	0.034	1.32	35	496.7	True
fip_id	0.0267	3.25	83	2277.5	True
mom_12_1_resid	0.0256	2.21	83	2277.5	True
reversal_1m	0.003	0.31	91	2443.2	True
vol_6m	-0.1226	-6.34	88	2375.7	True

Era split (diagnostic only)

full

signal	mean_ic	t	weeks	N
fip_id	0.0267	3.25	83	2277.5
high_52w	0.1111	6.41	84	2280.3
mom_12_1	0.0663	5.11	83	2277.5
mom_12_1_resid	0.0256	2.21	83	2277.5
mom_12_1_sector_demeaned	0.034	1.32	35	496.7
mom_12_1_sector_resid	0.0578	2.34	35	497.7
mom_3_1	0.0363	3.58	90	2425.6
mom_6_1	0.0493	4.91	88	2375.7
reversal_1m	0.003	0.31	91	2443.2
trend_200	0.0546	4.3	85	2308.1
vol_6m	-0.1226	-6.34	88	2375.7

pre_2021

signal	mean_ic	t	weeks	N
fip_id	0.0116	1.35	36	1424.8
high_52w	0.0494	2.0	36	1422.2
mom_12_1	0.0413	2.94	36	1424.8
mom_12_1_resid	0.0226	1.68	36	1424.8
mom_3_1	0.0217	1.84	42	1480.0
mom_6_1	0.0205	1.63	40	1461.2
reversal_1m	0.0019	0.15	44	1501.4
trend_200	0.0322	2.23	38	1440.9
vol_6m	-0.056	-2.16	40	1461.2

post_2021

signal	mean_ic	t	weeks	N
fip_id	0.0366	2.91	48	2913.0
high_52w	0.1375	4.34	48	2914.5
mom_12_1	0.0791	3.64	48	2913.0
mom_12_1_resid	0.0265	1.37	48	2913.0
mom_12_1_sector_demeaned	0.034	1.32	35	496.7
mom_12_1_sector_resid	0.0578	2.34	35	497.7
mom_3_1	0.0291	1.54	48	3234.2
mom_6_1	0.0779	4.36	48	3122.6
reversal_1m	-0.0126	-0.72	48	3315.8
trend_200	0.0585	2.68	48	3001.5
vol_6m	-0.1623	-4.94	48	3122.6

Verdict

PENDING_HUMAN

Harness complete — human interprets relative IC / era stability. No production retune from this artifact.

What a human must decide next

• Compare sector residual vs market residual across eras.
• If pre-2021 IC collapses, park Task 1 wire-in.
• Do not retune production knobs on deep history levels.

Artifacts: reports/history-depth-20260719-103315.json