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.
109 lines
3.8 KiB
Markdown
109 lines
3.8 KiB
Markdown
# History-depth extension (Tier-1 alpha research)
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**Status:** PRE-REGISTERED — run on MacBook (heavy I/O + full harness).
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**Branch:** `research/history-depth-extension` (create from latest research stack).
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**Production impact:** none. **Do not retune any production knob on deep history.**
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---
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## Pre-registration (locked before rebuild)
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### Motivation
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All current conclusions rest on ~35 non-overlapping weekly windows in essentially
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one post-2021 regime. Extending history toward max Alpaca daily-bar depth adds
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the 2018 vol shock and full 2020 crash (where the feed allows).
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### Protocol
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1. **Empirical coverage first** — bars per calendar year per symbol; document
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where the feed thins out. Do **not** assume a uniform start date.
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2. **Rebuild the research snapshot completely** from prod source + max history
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per symbol (`Adjustment.SPLIT`, ~200 req/min pacing via existing extender).
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3. **Race guard (rule 6)** — refuse analysis until completion manifest is
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`complete=true` and live counts match.
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4. **Re-run full signal harness** (all existing signals incl. sector residual /
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SUE if present) on the extended window.
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5. **Report per signal:** mean IC, t, window count, and **era split**
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(pre-/post-2021) — diagnostic only, **not a tuning input**.
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6. **Log prominently:** survivorship bias grows with depth (today’s constituents
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backfilled). Absolute Sharpe/CAGR on deep history is optimistic; payload is
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**relative** signal comparisons and IC stability, not levels.
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7. **Do not retune** production knobs. If a knob’s confirmation looks
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overturned on deep history → report only; human decides.
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### Success / interpretation (not promotion of a new signal)
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| outcome | meaning |
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|---|---|
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| Sector residual still ≥ market residual on deep IC + stable sign | strengthens Task 1 PROMOTE case |
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| Sector residual collapses pre-2021 | **PARK** Task 1 wire-in |
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| SUE remains weak after full earnings + depth | **DEAD** SUE for this stack |
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| Any production knob looks worse deep | report; no auto-retune |
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---
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## MacBook runbook
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```bash
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# 0. Repo + env
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git fetch origin
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git checkout research/earnings-gap-and-sue # or history-depth branch once pushed
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# ensure .env has ALPACA_* (and FMP if resuming earnings)
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# 1. (Optional) finish earnings backfill first — multi-day free tier
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python scripts/backfill_earnings_events.py \
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--snapshot backtest_snapshots/prod.sqlite \
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--provider fmp --force-symbol --limit 250 --sleep 0.35
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# 2. Coverage probe (before long rebuild)
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python scripts/run_history_depth_research.py --phase coverage \
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--snapshot backtest_snapshots/prod.sqlite
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# 3. Full deep rebuild of research.sqlite (LONG — Alpaca per symbol)
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# Clears prior completion manifest; writes complete=true only at end.
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python scripts/extend_snapshot_universe.py \
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--source backtest_snapshots/prod.sqlite \
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--output backtest_snapshots/research.sqlite \
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--force-copy \
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--history-days 5000 \
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--min-bars 260 \
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--sleep 0.15
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# 4. Also refresh SPY + sector ETFs to the same depth on BOTH snapshots
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python scripts/fetch_sector_etfs_to_snapshot.py \
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--snapshot backtest_snapshots/research.sqlite --history-days 5000
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python scripts/fetch_sector_etfs_to_snapshot.py \
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--snapshot backtest_snapshots/prod.sqlite --history-days 5000
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# 5. Harness + era split (after race guard passes)
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python scripts/run_history_depth_research.py --phase harness \
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--snapshot backtest_snapshots/research.sqlite \
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--workers 8 --allow-spawn
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# 6. Copy reports/ + docs/research/history-depth-extension.md results back
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```
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---
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## Data provenance
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*(filled at run time)*
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---
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## Results
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*(filled at run time)*
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---
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## Verdict
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**Pending MacBook run.**
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## What a human must decide next
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- Do not retune production from deep history without explicit review.
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- Use relative IC stability to accept/reject Task 1 sector residual wire-in.
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