{"generated_utc":"2026-07-17 16:26","tiers":[{"key":"scored","label":"Scored \u2014 passed the battery & wired into a number","label_zh":"\u5df2\u8ba1\u5206 \u2014 \u901a\u8fc7\u9a8c\u8bc1\u5e76\u7eb3\u5165\u8ba1\u7b97","blurb":"Passed the validation battery AND drives an allocation, composite or score.","blurb_zh":"\u901a\u8fc7\u9a8c\u8bc1\u7535\u6c60\uff0c\u5e76\u5b9e\u9645\u9a71\u52a8\u914d\u7f6e\u3001\u7efc\u5408\u5206\u6216\u8bc4\u5206\u3002","verdict_word":"SCORED","verdict_word_zh":"\u5df2\u8ba1\u5206","rows":[{"name":"S&P / Macro Vector (macro-timed equity sleeve)","name_zh":"\u6807\u666e\uff0f\u5b8f\u89c2\u5411\u91cf\uff08\u62e9\u65f6\u80a1\u7968\u4ed3\u4f4d\uff09","market":"US macro","tier":"scored","horizon":"allocation (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.9994,"sharpe":0.92,"hit":null,"n":null,"fdr_survivor":null,"wired":"spvector.html / vector_allocation","why":"The strongest validated object in the system. Survives every gate: DSR 0.9994 at n_trials=30, leave-one-crisis-out edge in all 4 crises, split-half consistent, permutation-null skill p=0.0, and holds on genuine point-in-time (ALFRED) data (Sharpe 0.90 vs 0.92). The edge is drawdown + Sharpe, not CAGR: carry-stripped CAGR (10.56%) \u2248 buy-and-hold; MaxDD \u221233% vs \u221255%.","why_zh":"\u7cfb\u7edf\u4e2d\u9a8c\u8bc1\u6700\u624e\u5b9e\u7684\u5bf9\u8c61\u3002\u901a\u8fc7\u6240\u6709\u5173\u5361\uff1an_trials=30 \u4e0b DSR 0.9994\u3001\u56db\u6b21\u5371\u673a\u9010\u4e00\u5254\u9664\u4ecd\u6709\u8fb9\u9645\u3001\u4e24\u534a\u4e00\u81f4\u3001\u7f6e\u6362\u96f6\u5047\u8bbe\u6280\u80fd p=0.0\uff0c\u4e14\u5728\u771f\u5b9e\u65f6\u70b9\uff08ALFRED\uff09\u6570\u636e\u4e0a\u4ecd\u6210\u7acb\u3002\u8fb9\u9645\u5728\u56de\u64a4\u4e0e\u590f\u666e\uff0c\u800c\u975e CAGR\u3002","source":"spvector-phase1/2/3-audit/pit.md","extra":[["MaxDD","\u221233.2% vs \u221255.2% B&H"],["Sharpe 95% CI","[0.61, 0.93, 1.25]"],["split-half","0.83 / 1.02"],["perm-null skill p","0.0"],["PIT (ALFRED) Sharpe","0.90"]],"dsr_family":"spvector","dsr_n_trials":30,"dsr_basis":"frozen-quote","dsr_expiry":"2026-09-30","slug":"s-p-macro-vector-macro-timed-equity-sleeve","dsr_provenance":{"n_trials":30,"basis":"frozen-quote","family":"spvector","expiry":"2026-09-30","expired":false},"source_refs":[{"ref":"spvector-phase1/2/3-audit/pit.md","exists":false}]},{"name":"China reversal (3-month, within-sector)","name_zh":"\u4e2d\u56fd\u53cd\u8f6c\uff083\u4e2a\u6708\uff0c\u884c\u4e1a\u5185\uff09","market":"China A","tier":"scored","horizon":"21d / monthly","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":0.58,"hit":0.564,"n":413,"fdr_survivor":null,"wired":"china.html standout / china_axes","why":"The honest A-share edge. Deepest-decliners quintile, NO confirmation gating (turn-confirmation and quality filters both HURT it). Beats 1-month reversal (0.38) and momentum (0.03 \u2014 dead). High turnover and deep drawdowns are the cost.","why_zh":"A\u80a1\u771f\u5b9e\u7684\u8fb9\u9645\u3002\u6700\u6df1\u4e0b\u8dcc\u5206\u4f4d\uff0c\u4e0d\u52a0\u786e\u8ba4\u95e8\u69db\uff08\u786e\u8ba4\u4e0e\u8d28\u91cf\u8fc7\u6ee4\u90fd\u4f1a\u524a\u5f31\u5b83\uff09\u3002\u4f18\u4e8e 1 \u4e2a\u6708\u53cd\u8f6c\u4e0e\u52a8\u91cf\uff08\u52a8\u91cf\u5df2\u5931\u6548\uff09\u3002","source":"china-reversal-phase0.md","extra":[["monthly excess","+0.558%"],["MaxDD","\u221237.6%"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"china-reversal-3-month-within-sector","source_refs":[{"ref":"china-reversal-phase0.md","exists":true}]},{"name":"Recession-risk composite (jobless-claims folded in)","name_zh":"\u8870\u9000\u98ce\u9669\u7efc\u5408\uff08\u5df2\u5e76\u5165\u521d\u8bf7\u5931\u4e1a\u91d1\uff09","market":"US macro","tier":"scored","horizon":"multi-month","ic":0.531,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"recession_risk (MRS scoring)","why":"Jobless-claims leg validated vs NBER 1967\u20132026 (beats the Sahm leg standalone, +AUC every horizon, survives both split-halves and PIT/ALFRED) \u2192 it REPLACES Sahm as the labor leg in the scored recession composite.","why_zh":"\u521d\u8bf7\u5931\u4e1a\u91d1\u817f\u76f8\u5bf9 NBER 1967\u20132026 \u9a8c\u8bc1\uff08\u72ec\u7acb\u4f18\u4e8e Sahm\uff0c\u5404\u671f\u9650 AUC \u63d0\u5347\uff0c\u4e24\u534a\u4e0e\u65f6\u70b9\u6570\u636e\u5747\u6210\u7acb\uff09\u2192 \u53d6\u4ee3 Sahm \u6210\u4e3a\u8870\u9000\u7efc\u5408\u4e2d\u7684\u5c31\u4e1a\u817f\u3002","source":"bonds-calibration.md + validate_claims_recession*.py","extra":[["target","NBER recession"],["vs Sahm","replace > augment > Sahm-only"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"recession-risk-composite-jobless-claims-folded-in","source_refs":[{"ref":"bonds-calibration.md","exists":true}]},{"name":"Bond-health drawdown gauge","name_zh":"\u503a\u5238\u5065\u5eb7\u56de\u64a4\u91cf\u8868","market":"US macro","tier":"scored","horizon":"forward drawdown","ic":0.234,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"bonds.html health composite","why":"Beat the composite's own best single leg on forward S&P drawdown (recursive improvement). High-tercile P(\u221210% in fwd window) 0.244 vs 0.127 base (+11.7pp).","why_zh":"\u5728\u524d\u77bb\u6807\u666e\u56de\u64a4\u4e0a\u4f18\u4e8e\u7efc\u5408\u81ea\u8eab\u6700\u4f73\u5355\u817f\u3002\u9ad8\u4e09\u5206\u4f4d P(\u524d\u77bb\u221210%) 0.244 \u5bf9\u57fa\u7ebf 0.127\uff08+11.7pp\uff09\u3002","source":"bonds-calibration.md","extra":[["hi-tercile uplift","+11.7pp"],["MOVE leg IC","0.168 (confirmed)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"bond-health-drawdown-gauge","source_refs":[{"ref":"bonds-calibration.md","exists":true}]},{"name":"Cross-asset TSMOM \u2014 masterminds GTAA workhorse (W=0.45)","name_zh":"\u8de8\u8d44\u4ea7\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf \u2014 masterminds GTAA \u4e3b\u529b\u56e0\u5b50\uff08\u6743\u91cd0.45\uff09","market":"Cross-asset","tier":"scored","horizon":"GTAA allocation (weekly)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.9952,"sharpe":1.07,"hit":null,"n":null,"fdr_survivor":null,"wired":"masterminds.html GTAA \u2014 TREND factor (W=0.45)","why":"Cross-asset trend is the 0.45-weighted PRIMARY factor of the validated, served masterminds GTAA (engine/masterminds.py, cross_asset_trend.tsmom_alloc) \u2014 a live allocation that beats SPY on Sharpe (1.07 vs 0.62) and MaxDD (\u221224.1% vs \u221255.2%) over 19y with OOS-stable Sharpe in BOTH halves (0.98 / 1.15). My phase0 independently confirms the diversified-trend sleeve as a drawdown overlay: DSR 0.9952, survives purged-CV + leave-one-crisis-out, executable ETF-only cuts a 60/40 book's MaxDD \u221210pp. Honest: the Sharpe/drawdown edge is the robust OOS part; the raw-CAGR beat is era-dependent. (Standalone leverage-free trend \u2248 buy&hold \u2014 the display row below.)","why_zh":"\u8de8\u8d44\u4ea7\u8d8b\u52bf\u662f\u5df2\u9a8c\u8bc1\u3001\u5df2\u4e0a\u7ebf\u7684 masterminds GTAA \u7684 0.45 \u6743\u91cd\u4e3b\u529b\u56e0\u5b50\u2014\u2014\u8be5\u5b9e\u76d8\u914d\u7f6e19\u5e74\u95f4\u5728\u590f\u666e\uff081.07 \u5bf9 0.62\uff09\u4e0e\u6700\u5927\u56de\u64a4\uff08\u221224.1% \u5bf9 \u221255.2%\uff09\u4e0a\u8dd1\u8d62\u6807\u666e\uff0c\u4e14\u4e24\u534a\u6837\u672c\u5916\u590f\u666e\u5747\u7a33\u5065\uff080.98 / 1.15\uff09\u3002\u6211\u7684 phase0 \u72ec\u7acb\u786e\u8ba4\u591a\u5143\u8d8b\u52bf\u4f5c\u4e3a\u56de\u64a4\u53e0\u52a0\uff1aDSR 0.9952\uff0c\u901a\u8fc7\u51c0\u5316CV\u4e0e\u9010\u5371\u673a\u5254\u9664\uff0c\u7eafETF\u7248\u5c0660/40\u56de\u64a4\u524a\u51cf\u7ea610pp\u3002\u8bda\u5b9e\u8bf4\u660e\uff1a\u590f\u666e/\u56de\u64a4\u4f18\u52bf\u4e3a\u7a33\u5065\u7684\u6837\u672c\u5916\u90e8\u5206\uff0c\u539f\u59cbCAGR\u8d85\u989d\u4f9d\u8d56\u65f6\u4ee3\u3002\uff08\u65e0\u6760\u6746\u72ec\u7acb\u8d8b\u52bf\u2248\u4e70\u5165\u6301\u6709\uff0c\u89c1\u4e0b\u65b9\u4ec5\u5c55\u793a\u884c\u3002\uff09","source":"tsmom-overlay-phase0.md / masterminds.py","extra":[["GTAA Moderate","Sharpe 1.07 vs SPY 0.62 \u00b7 MaxDD \u221224.1% vs \u221255.2% \u00b7 19y"],["OOS Sharpe halves","0.98 / 1.15 (both beat SPY)"],["trend-overlay confirm","DSR 0.995 \u00b7 purged-CV + leave-one-crisis-out"],["standalone sleeve","\u2248 buy&hold (display row)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"cross-asset-tsmom-masterminds-gtaa-workhorse-w-0-45","source_refs":[{"ref":"tsmom-overlay-phase0.md","exists":true}]},{"name":"Bitcoin Vector \u2014 `optimal` momentum\u00d7risk allocation","name_zh":"\u6bd4\u7279\u5e01\u5411\u91cf \u2014 optimal \u52a8\u91cf\u00d7\u98ce\u9669\u914d\u7f6e","market":"BTC","tier":"scored","horizon":"allocation (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.9945,"sharpe":1.43,"hit":null,"n":4200,"fdr_survivor":null,"wired":"vector.html / vector_allocation \u2014 alloc_optimal (LIVE, midterm-gated); alloc_optimal_raw (pure engine)","why":"The one NEW scored win \u2014 a fully-wired live BTC allocation whose drawdown/Sharpe payoff survives every fatal-mode attack. Mechanical (momentum + on-chain risk_index) long/flat grid. PROVENANCE: pre-gate figure (DSR 0.9965, Sharpe 1.44) retired 2026-07 \u2014 it certified a strategy that baked the midterm-blackout human override into every backtest bar. Fresh dual-track as of 2026-07: RAW (pure engine, ungated) Sharpe 1.43 vs HODL 1.01, MaxDD \u221241.2% vs \u221283.8% (2.04\u00d7 cut), DSR 0.9945 (n=68 = 65 base + 3 override dof_cost), dsr_effN 0.9236 (T_eff=2523 vs T_raw=4200). GATED (live behavior, midterm blackout active through 2026) Sharpe 1.56, MaxDD \u221232.3%, DSR 0.9986, dsr_effN 0.9622. Bootstrap P(Sharpe>0)=1.0 (CI [0.95,1.57,2.17]). DD-cut holds in both split-halves and every leave-one-crisis-out. Beats brake-matched 200dma. Decomposition proves NOT a brake artifact. SCORE THE DRAWDOWN/SHARPE ONLY \u2014 direction is a coin-flip (P(7d up|long) ~0.58). Honest-N ~4 crises.","why_zh":"\u672c\u8f6e\u552f\u4e00\u65b0\u589e\u8ba1\u5206\u9879\u2014\u2014\u5df2\u4e0a\u7ebf\u7684\u6bd4\u7279\u5e01\u914d\u7f6e\uff0c\u5176\u56de\u64a4/\u590f\u666e\u6536\u76ca\u7ecf\u5168\u90e8\u81f4\u547d\u68c0\u9a8c\u4ecd\u6210\u7acb\u3002\u6eaf\u6e90\u6ce8\uff1a\u65e7\u6570\u5b57\uff08DSR 0.9965\uff0c\u590f\u666e 1.44\uff09\u4e8e2026-07\u9000\u5f79\u2014\u2014\u4e2d\u671f\u9009\u4e3e\u4eba\u5de5\u8986\u76d6\u6c61\u67d3\u4e86\u56de\u6d4b\u3002\u53cc\u8f68\u65b0\u6570\u5b57\uff082026-07\uff09\uff1a\u539f\u59cb\uff08\u7eaf\u5f15\u64ce/\u672a\u8986\u76d6\uff09\u590f\u666e 1.43 \u5bf9 HODL 1.01\uff0c\u6700\u5927\u56de\u64a4 \u221241.2% \u5bf9 \u221283.8%\uff08\u7f29\u5c0f2.04\u500d\uff09\uff0cDSR 0.9945\uff08n=68=65\u57fa\u7840+3\u8986\u76d6\u81ea\u7531\u5ea6\uff09\uff0cdsr_effN 0.9236\u3002\u5e26\u8986\u76d6\uff08\u5b9e\u76d8\uff0c\u542b\u4e2d\u671f\u9009\u4e3e\u5c01\u9501\uff09\u590f\u666e 1.56\uff0c\u56de\u64a4 \u221232.3%\uff0cDSR 0.9986\u3002\u4ec5\u8ba1\u56de\u64a4/\u590f\u666e\uff1b\u65b9\u5411\u4e3a\u63b7\u786c\u5e01\u3002","source":"btc-vector-optimal-phase0.md (scripts/btc_vector_optimal_phase0.py); engine/btc_signals.py allocation(); W1 N7 dual-track calibration 2026-07","extra":[["RAW MaxDD","\u221241.2% vs \u221283.8% (2.04\u00d7 cut)"],["GATED Sharpe / MaxDD","1.56 / \u221232.3% (midterm blackout active through 2026)"],["DSR gated / raw","0.9986 / 0.9945 (n=68, incl. override dof_cost=3)"],["dsr_effN gated / raw","0.9622 / 0.9236 (T_eff\u22482520 vs T_raw=4200)"],["bootstrap P(Sh>0)","1.0 \u00b7 CI [0.95,1.57,2.17]"],["direction","coin-flip \u2014 NOT scored"],["honest-N","~4 crash episodes"],["provenance","pre-gate figure 0.9965 retired 2026-07; dual-track as of W1 N7"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"bitcoin-vector-optimal-momentum-risk-allocation","source_refs":[{"ref":"btc-vector-optimal-phase0.md","exists":true}]}],"count":6},{"key":"confirmer","label":"Confirmer / context \u2014 passed the battery, but not a standalone sizer","label_zh":"\u786e\u8ba4/\u80cc\u666f \u2014 \u5df2\u9a8c\u8bc1\uff0c\u4f46\u975e\u72ec\u7acb\u5b9a\u91cf\u4fe1\u53f7","blurb":"A measured forward edge used as context or a tiebreaker \u2014 never sized on its own.","blurb_zh":"\u6709\u53ef\u6d4b\u7684\u524d\u77bb\u6027\u8fb9\u9645\uff0c\u7528\u4f5c\u80cc\u666f\u6216\u52a0\u5206\u9879 \u2014 \u4f46\u4e0d\u5355\u72ec\u5b9a\u4ed3\u3002","verdict_word":"CONFIRMER","verdict_word_zh":"\u786e\u8ba4\u9879","rows":[{"name":"Cross-sectional momentum / trend  (dual-panel re-validation)","name_zh":"\u6a2a\u622a\u9762\u52a8\u91cf\uff0f\u8d8b\u52bf\uff08\u53cc\u9762\u677f\u590d\u9a8c\uff09","market":"US S&P (deep)","tier":"confirmer","horizon":"63d / monthly","ic":0.033,"ic_ir":0.17,"t_hac":3.01,"q_fdr":null,"dsr":0.47,"sharpe":null,"hit":0.588,"n":767,"fdr_survivor":false,"wired":"stock_score selection (regime-scaled context weight)","why":"Independent dual-panel, sector- & market-neutral forward-IC re-measurement of the momentum/trend cohort (mom_12_1, ma200_slope, volscaled_mom). Robust on the 64y deep panel \u2014 t_HAC \u2248 3, sign-stable across 4 sub-periods AND across panels \u2014 but FAILS the Deflated-Sharpe multiple-testing gate (best DSR 0.47<0.90), so it is a CONTEXT tilt, not a standalone sizer. Reproduces the live model's calibration: stock_score weights momentum at the 0.10 context weight, regime-scaled (0.28 calm / 0.04 stress). Reversal legs flip sign (fragile / panel-artifact); the prior survivor-panel 'mean-reversion dominates' read was a survivorship artifact.","why_zh":"\u5bf9\u52a8\u91cf/\u8d8b\u52bf\u7ec4\uff08mom_12_1\u3001ma200_slope\u3001volscaled_mom\uff09\u7684\u72ec\u7acb\u53cc\u9762\u677f\u3001\u884c\u4e1a\u4e0e\u5e02\u573a\u4e2d\u6027\u524d\u77bb IC \u590d\u6d4b\u3002\u5728 64 \u5e74\u6df1\u5ea6\u9762\u677f\u7a33\u5065\uff08t_HAC\u22483\uff0c\u56db\u4e2a\u5b50\u533a\u95f4\u53ca\u8de8\u9762\u677f\u7b26\u53f7\u4e00\u81f4\uff09\uff0c\u4f46\u672a\u901a\u8fc7\u7d27\u7f29\u590f\u666e\u591a\u91cd\u68c0\u9a8c\u95e8\u69db\uff08\u6700\u4f73 DSR 0.47<0.90\uff09\u2192 \u4ec5\u4e3a\u80cc\u666f\u503e\u659c\uff0c\u975e\u72ec\u7acb\u5b9a\u4ed3\u3002\u590d\u73b0\u5b9e\u76d8\u6821\u51c6\uff1astock_score \u4ee5 0.10 \u80cc\u666f\u6743\u91cd\u6309r\u00e9gime\u7f29\u653e\uff08\u5e73\u7a33 0.28\uff0f\u627f\u538b 0.04\uff09\u3002\u53cd\u8f6c\u817f\u7b26\u53f7\u7ffb\u8f6c\uff08\u8106\u5f31/\u9762\u677f\u5047\u8c61\uff09\u3002","source":"STRATEGY_LAB_VALIDATION.md","extra":[["ma200_slope IC-IR","0.191 (t 3.29)"],["volscaled_mom IC-IR","0.165"],["crowding fwd-MAE p10","\u221223.7% top-decile vs \u221219.5% rest \u2192 drawdown risk"],["21d extension legs","live_dist_50dma t \u22125.1 (don't-chase)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"cross-sectional-momentum-trend-dual-panel-re-validation","source_refs":[{"ref":"STRATEGY_LAB_VALIDATION.md","exists":true}]},{"name":"Insider buying  net_usd_mcap | SN  (mid-cap)","name_zh":"\u5185\u90e8\u4eba\u4e70\u5165 net_usd_mcap | SN\uff08\u4e2d\u5c0f\u76d8\uff09","market":"US S&P1500","tier":"confirmer","horizon":"21d + 63d","ic":0.0289,"ic_ir":0.334,"t_hac":2.903,"q_fdr":0.0999,"dsr":0.5253,"sharpe":0.55,"hit":0.629,"n":170,"fdr_survivor":true,"wired":"factors.html + standout \ud83d\udc64 chip","why":"The ONLY cross-sectional stock factor that survives BH-FDR in the leak-free PIT panel (q=0.0999) \u2014 but in the mid-cap habitat, and DSR is borderline (0.53<0.90), and long-only beats L/S. Orthogonal to momentum/size/reversal \u2192 shipped as a conviction confirmer chip, NOT a standalone sizer.","why_zh":"\u552f\u4e00\u5728\u65e0\u6cc4\u6f0f\u65f6\u70b9\u9762\u677f\u4e2d\u901a\u8fc7 BH-FDR \u7684\u6a2a\u622a\u9762\u4e2a\u80a1\u56e0\u5b50\uff08q=0.0999\uff09\u2014 \u4f46\u4ec5\u9650\u4e2d\u5c0f\u76d8\uff0c\u4e14 DSR \u4e34\u754c\uff080.53<0.90\uff09\uff0c\u591a\u5934\u4f18\u4e8e\u591a\u7a7a\u3002\u4e0e\u52a8\u91cf/\u89c4\u6a21/\u53cd\u8f6c\u6b63\u4ea4 \u2192 \u4f5c\u4e3a\u4fe1\u5fc3\u786e\u8ba4\u6807\u7b7e\u4e0a\u7ebf\uff0c\u800c\u975e\u72ec\u7acb\u5b9a\u4ed3\u3002","source":"insider-phase0/1.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"insider-buying-net-usd-mcap-sn-mid-cap","source_refs":[{"ref":"insider-phase0/1.md","exists":false}]},{"name":"US macro regime quad (Goldilocks/Reflation/\u2026)","name_zh":"\u7f8e\u56fd\u5b8f\u89c2\u56db\u8c61\u9650","market":"US macro","tier":"confirmer","horizon":"regime state","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"macro.html / spvector input","why":"Whipsaw 6% of changes <10 days (target <15%) and transitions align with every major crisis (COVID flagged 2020-02-19). The structural backbone of the Vector de-risk glide \u2014 not a standalone return predictor.","why_zh":"6% \u7684\u5207\u6362\u5728 10 \u5929\u5185\uff08\u76ee\u6807 <15%\uff09\uff0c\u4e14\u8f6c\u53d8\u4e0e\u6bcf\u6b21\u91cd\u5927\u5371\u673a\u543b\u5408\uff08COVID \u4e8e 2020-02-19 \u6807\u8bb0\uff09\u3002\u662f\u5411\u91cf\u964d\u9669\u7684\u7ed3\u6784\u9aa8\u67b6\uff0c\u975e\u72ec\u7acb\u6536\u76ca\u9884\u6d4b\u3002","source":"validation.md","extra":[["whipsaw <10d","6% (PASS)"],["regime changes","149"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"us-macro-regime-quad-goldilocks-reflation","source_refs":[{"ref":"validation.md","exists":true}]},{"name":"China / HK regime quad + liquidity overlay","name_zh":"\u4e2d\u6e2f\u56db\u8c61\u9650 + \u6d41\u52a8\u6027\u53e0\u52a0","market":"China A / HK","tier":"confirmer","horizon":"63d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"china.html / hk.html","why":"Forward-return differentiated and split-half stable for most regimes (China Growth-scare +6.09% vs Reflation \u22122.85% fwd-63d; liquidity Expanding 1.71% vs Contracting 0.59%). HK Reflation/Stagflation signs flip across halves \u2192 flagged regime-unstable. Used as a drawdown/risk lens.","why_zh":"\u591a\u6570\u8c61\u9650\u524d\u77bb\u6536\u76ca\u6709\u533a\u5206\u4e14\u4e24\u534a\u7a33\u5b9a\uff08\u4e2d\u56fd \u589e\u957f\u6050\u614c +6.09% \u5bf9 \u518d\u901a\u80c0 \u22122.85%\uff09\u3002\u6e2f\u80a1\u90e8\u5206\u8c61\u9650\u4e24\u534a\u7b26\u53f7\u7ffb\u8f6c \u2192 \u6807\u8bb0\u4e0d\u7a33\u5b9a\u3002\u7528\u4f5c\u56de\u64a4/\u98ce\u9669\u89c6\u89d2\u3002","source":"china-calibration.md / hk-calibration.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"china-hk-regime-quad-liquidity-overlay","source_refs":[{"ref":"china-calibration.md","exists":true},{"ref":"hk-calibration.md","exists":true}]},{"name":"HK global-risk overlay (risk-on/off)","name_zh":"\u6e2f\u80a1\u5168\u7403\u98ce\u9669\u53e0\u52a0","market":"HK","tier":"confirmer","horizon":"63d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"hk.html","why":"Differentiates forward returns by global risk state and stays stable across split-halves: risk-on +1.9% (hit 58.1%) vs risk-off +0.84% fwd-63d. HK is a macro/global-beta product, not stock selection.","why_zh":"\u6309\u5168\u7403\u98ce\u9669\u72b6\u6001\u533a\u5206\u524d\u77bb\u6536\u76ca\u4e14\u4e24\u534a\u7a33\u5b9a\uff1a\u98ce\u9669\u504f\u597d +1.9%\uff08\u547d\u4e2d 58.1%\uff09\u5bf9\u98ce\u9669\u89c4\u907f +0.84%\uff0863\u65e5\uff09\u3002\u6e2f\u80a1\u662f\u5b8f\u89c2/\u5168\u7403\u8d1d\u5854\u4ea7\u54c1\u3002","source":"hk-calibration.md","extra":[["risk-on / off / neutral fwd-63d","+1.9% / +0.84% / +0.36%"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"hk-global-risk-overlay-risk-on-off","source_refs":[{"ref":"hk-calibration.md","exists":true}]},{"name":"Commodity risk index (gold/silver/copper/oil)","name_zh":"\u5927\u5b97\u5546\u54c1\u98ce\u9669\u6307\u6570","market":"Commodity","tier":"confirmer","horizon":"21d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"commodities.html risk gauge","why":"The risk_index is a CONFIRMED near-term drawdown gauge across BOTH split-halves for all four metals/energy; the gold-silver-ratio percentile band-differentiates forward returns. The ALLOCATION variants, by contrast, all fail DSR (see below).","why_zh":"risk_index \u5728\u56db\u79cd\u91d1\u5c5e/\u80fd\u6e90\u4e0a\u3001\u4e24\u534a\u5747\u786e\u8ba4\u4e3a\u8fd1\u7aef\u56de\u64a4\u91cf\u8868\uff1b\u91d1\u94f6\u6bd4\u5206\u4f4d\u5bf9\u524d\u77bb\u6536\u76ca\u6709\u533a\u5206\u3002\u4f46\u5176\u914d\u7f6e\u53d8\u4f53\u5747\u672a\u901a\u8fc7 DSR\uff08\u89c1\u4e0b\uff09\u3002","source":"commodity-calibration.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"commodity-risk-index-gold-silver-copper-oil","source_refs":[{"ref":"commodity-calibration.md","exists":true}]},{"name":"Index dealer-gamma regime (market GEX)","name_zh":"\u6307\u6570\u505a\u5e02\u5546Gamma\u673a\u5236\uff08\u5e02\u573aGEX\uff09","market":"US options","tier":"confirmer","horizon":"intraday/days","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"macro.html market-gamma note","why":"Validated at the INDEX level: short-gamma days precede higher forward realized vol than long-gamma days \u2192 a vol-regime banner. Per-equity GEX was evaluated and DECLINED (single-name sign too noisy).","why_zh":"\u5728\u6307\u6570\u5c42\u9762\u9a8c\u8bc1\uff1a\u7a7aGamma\u65e5\u7684\u524d\u77bb\u5df2\u5b9e\u73b0\u6ce2\u52a8\u9ad8\u4e8e\u591aGamma\u65e5 \u2192 \u6ce2\u52a8\u673a\u5236\u6a2a\u5e45\u3002\u4e2a\u80a1 GEX \u7ecf\u8bc4\u4f30\u540e\u5426\u51b3\uff08\u5355\u540d\u7b26\u53f7\u8fc7\u566a\uff09\u3002","source":"gex-validation.md","extra":[["history","accruing (n small)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"index-dealer-gamma-regime-market-gex","source_refs":[{"ref":"gex-validation.md","exists":true}]},{"name":"Quad \u00d7 NFCI-direction scenario odds","name_zh":"\u5b8f\u89c2\u56db\u8c61\u9650 \u00d7 NFCI\u65b9\u5411 \u60c5\u666f\u80dc\u7387","market":"US macro","tier":"confirmer","horizon":"63d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":0.748,"n":5700,"fdr_survivor":null,"wired":"macro.html dial (NFCI rule) + signal_lab odds","why":"Conditioning forward SPY odds on the regime quad \u00d7 NFCI direction reproduces the measured split: Q1/Q2 with NFCI loosening 74.8% hit / +3.18% fwd-63d vs tightening 38.3% / \u22125.69% (HAC t on the loosening leg +7.0). A flat-when-tight overlay shows DSR 0.9991 and cuts MaxDD \u221255%\u2192\u221249% \u2014 BUT NFCI tight-and-tightening fires on ~5% of days and ZERO times post-2012, so the effective-N is ~2 pre-2012 crises. Already half-wired as the dial's NFCI rule; shipped as a scenario-odds CONFIRMER, not a high-confidence standalone.","why_zh":"\u6309\u5b8f\u89c2\u56db\u8c61\u9650\u00d7NFCI\u65b9\u5411\u6761\u4ef6\u5316\u524d\u77bb\u6807\u666e\u80dc\u7387\uff0c\u590d\u73b0\u65e2\u6d4b\u5206\u5316\uff1aQ1/Q2 \u4e14 NFCI \u5bbd\u677e\u547d\u4e2d 74.8%/63\u65e5 +3.18%\uff0c\u7d27\u7f29\u5219 38.3%/\u22125.69%\uff08\u5bbd\u677e\u817f HAC t +7.0\uff09\u3002\u4f46 NFCI \u7d27\u4e14\u6536\u7d27\u4ec5\u7ea65%\u4ea4\u6613\u65e5\u89e6\u53d1\uff0c2012\u5e74\u540e\u4ece\u672a\u89e6\u53d1 \u2192 \u6709\u6548\u6837\u672c\u4ec5\u7ea62\u6b21\u5371\u673a\u3002\u5df2\u90e8\u5206\u63a5\u5165\u4eea\u8868\u76d8 NFCI \u89c4\u5219\uff1b\u4f5c\u4e3a\u60c5\u666f\u80dc\u7387\u786e\u8ba4\u9879\u4e0a\u7ebf\uff0c\u800c\u975e\u9ad8\u7f6e\u4fe1\u72ec\u7acb\u4fe1\u53f7\u3002","source":"quad-nfci-phase0.md","extra":[["Q1/Q2 loose vs tight hit","74.8% vs 38.3%"],["HAC t (loosening)","+7.0"],["caveat","tight fires ~5% days, 0 post-2012"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"quad-nfci-direction-scenario-odds","source_refs":[{"ref":"quad-nfci-phase0.md","exists":true}]},{"name":"Repo/SOFR tail stress (p99 dispersion)","name_zh":"\u56de\u8d2d/SOFR\u5c3e\u90e8\u538b\u529b\uff08p99\u5206\u6563\u5ea6\uff09","market":"US macro","tier":"confirmer","horizon":"21d drawdown onset","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"none \u2014 risk-radar de-escalation panel candidacy pending program review","why":"p99-dispersion composite of SOFR/repo spreads predicts S&P \u22655% drawdown onset with AUC 0.61 at 21d horizon \u2014 above the 0.50 coin-flip baseline and above a VIX-matching baseline. LOO-stable across sub-periods (leave-one-out subsample consistency). Study produces a drawdown predictor, not a cross-sectional return predictor: ic/t_hac/q_fdr are not defined for this study design and are left None. No score impact; recommended for risk-radar de-escalation panel candidacy pending program review.","why_zh":"SOFR/\u56de\u8d2d\u5229\u5dee p99 \u5206\u6563\u5ea6\u7efc\u5408\u6307\u6807\u5728 21 \u65e5\u671f\u9650\u5185\u9884\u6d4b\u6807\u666e\u22655% \u56de\u64a4\uff0cAUC=0.61\uff0c\u9ad8\u4e8e\u63b7\u786c\u5e01\u57fa\u7ebf\uff080.50\uff09\u548c VIX \u5339\u914d\u57fa\u7ebf\uff0c\u4e14\u5254\u9664\u5b50\u533a\u95f4\u540e\u4fdd\u6301\u7a33\u5065\uff08LOO\u4e00\u81f4\uff09\u3002\u672c\u7814\u7a76\u4e3a\u56de\u64a4\u9884\u6d4b\u8bbe\u8ba1\uff0c\u975e\u6a2a\u622a\u9762\u6536\u76ca\u7814\u7a76\uff0c\u6545 ic/t_hac/q_fdr \u5747\u7559 None\u3002\u65e0\u8bc4\u5206\u5f71\u54cd\uff1b\u5f85\u9879\u76ee\u5ba1\u8bae\u540e\u7eb3\u5165\u98ce\u9669\u96f7\u8fbe\u964d\u7ea7\u9762\u677f\u5019\u9009\u3002","source":"reports/slf056-funding-tail-phase0.md","extra":[["AUC (21d drawdown \u22655%)","0.61"],["LOO-stable","yes"],["vs VIX baseline","beats"],["n trials in ledger","14"],["score impact","none \u2014 display-only"]],"dsr_family":"slf056_funding_tail","dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"repo-sofr-tail-stress-p99-dispersion","dsr_provenance":{"n_trials":14,"basis":"ledger","family":"slf056_funding_tail"},"source_refs":[{"ref":"reports/slf056-funding-tail-phase0.md","exists":true}]},{"name":"Mastermind GTAA (Moderate) \u2014 diversified-leverage book","name_zh":"Mastermind \u5168\u7403\u914d\u7f6e\uff08\u5747\u8861\uff09\u2014 \u591a\u5143\u6760\u6746\u7ec4\u5408","market":"Multi-asset","tier":"confirmer","horizon":"GTAA allocation (weekly)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.9999,"sharpe":1.07,"hit":null,"n":null,"fdr_survivor":null,"wired":"masterminds.html / strategy_mm_moderate (LIVE)","why":"Live levered vol-targeted cross-asset GTAA (~1.21\u00d7 lev) beats SPY on risk-adjusted terms over 19.1y: Sharpe 1.07 vs SPY 0.62 / 60-40 0.77, MaxDD \u221224.1% vs \u221255.2% / \u221231.4%, DSR 0.9999, bootstrap P(Sharpe>0)=1.0, purged-CV 5/5, leave-one-crisis-out 6/6. BUT the adversarial incrementality test caps it at confirmer: the IDENTICAL chassis (inverse-vol + 12% vol-target + 1.6\u00d7 cap) with conviction=1 (NO trend/carry/regime signal) already gives Sharpe 1.03 / MaxDD \u221227.5% \u2014 the four-factor conviction adds only +0.04 Sharpe / +3.4pp DD and loses in 2/5 folds and ex-2008. It credits the diversification+vol-target+leverage TRANSFORM, not timing alpha; raw-CAGR beat also flips OOS (H2 12.8 < SPY 15.4%).","why_zh":"\u5df2\u4e0a\u7ebf\u7684\u6760\u6746\u6ce2\u52a8\u7387\u76ee\u6807\u8de8\u8d44\u4ea7\u5168\u7403\u914d\u7f6e\uff0c19.1\u5e74\u98ce\u9669\u8c03\u6574\u540e\u8dd1\u8d62\u6807\u666e\uff08\u590f\u666e 1.07 \u5bf9 0.62\uff0c\u56de\u64a4 \u221224.1% \u5bf9 \u221255.2%\uff09\u3002\u4f46\u5bf9\u7167\u68c0\u9a8c\u5b9a\u4e3a\u786e\u8ba4\u9879\uff1a\u540c\u4e00\u5e95\u76d8\u4fe1\u53f7=1\u5df2\u5f97\u590f\u666e 1.03\uff0c\u56db\u56e0\u5b50\u4fe1\u53f7\u4ec5\u589e +0.04 \u590f\u666e\u2014\u2014\u8ba1\u5165\u7684\u662f\u5206\u6563+\u6ce2\u52a8\u7387\u76ee\u6807+\u6760\u6746\u53d8\u6362\uff0c\u975e\u62e9\u65f6\u963f\u5c14\u6cd5\u3002","source":"mastermind-moderate-phase0.md; engine/masterminds.py","extra":[["MaxDD","\u221224.1% vs SPY \u221255.2% / 60-40 \u221231.4%"],["increment over no-signal chassis","+0.04 Sharpe / +3.4pp DD (loses 2/5 folds, ex-2008)"],["OOS CAGR","flips (H2 12.8 < SPY 15.4%)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"mastermind-gtaa-moderate-diversified-leverage-book","source_refs":[{"ref":"mastermind-moderate-phase0.md","exists":true}]},{"name":"Active levered commodity (silver & copper)","name_zh":"\u4e3b\u52a8\u6760\u6746\u5546\u54c1\uff08\u767d\u94f6\u4e0e\u94dc\uff09","market":"Commodity","tier":"confirmer","horizon":"allocation (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.919,"sharpe":0.69,"hit":null,"n":null,"fdr_survivor":null,"wired":"commodity_strategies.html active cards (LIVE) \u2014 uptrend confirmer","why":"Vol-targeted leverage-capable models that beat same-asset B&H on CAGR & Sharpe in BOTH split-halves (silver 16.25 vs 10.80% CAGR / 0.69 vs 0.48 Sharpe; copper 9.66 vs 7.98 / 0.54 vs 0.42) and beat a dumb 200dma. BUT the levered DSR gate is not cleanly met: silver DSR 0.919 (marginal, dies n\u226540), copper 0.745 (fails every n + fails leave-one-crisis-out, 2008-dependent), and the active-minus-B&H Sharpe-diff 95% CI straddles zero for BOTH legs (silver [\u22120.21,+0.50] P=0.77; copper [\u22120.37,+0.39] P=0.53) \u2014 the textbook confirmer signature. The parameter-insensitive driver is a gold/silver-ratio mean-reversion leg (~0.61 Sharpe). Commodity-uptrend confirmation, not a sized signal; gold stays display.","why_zh":"\u6ce2\u52a8\u7387\u76ee\u6807\u6760\u6746\u6a21\u578b\u5728\u4e24\u534a\u6837\u672c\u5916\u5747\u8dd1\u8d62\u540c\u8d44\u4ea7\u4e70\u5165\u6301\u6709\uff08\u767d\u94f6/\u94dc CAGR \u4e0e\u590f\u666e\uff09\uff0c\u4e5f\u8dd1\u8d62200\u65e5\u5747\u7ebf\u3002\u4f46\u6760\u6746 DSR \u672a\u8fbe\u6807\uff08\u767d\u94f6 0.919 \u4e34\u754c\u3001\u94dc 0.745 \u5931\u8d25\u4e14\u4f9d\u8d562008\uff09\uff0c\u4e3b\u52a8\u51cf\u4e70\u5165\u6301\u6709\u7684\u590f\u666e\u5dee 95%\u533a\u95f4\u8de8\u96f6\u2014\u2014\u786e\u8ba4\u9879\u7279\u5f81\u3002","source":"active-commodity-lev-phase0.md; engine/active_commodity.py evaluate()","extra":[["silver / copper DSR","0.919 (marginal) / 0.745 (fail)"],["active\u2212B&H Sharpe-diff CI","straddles 0 both legs"],["driver","gold/silver-ratio reversion ~0.61"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"active-levered-commodity-silver-copper","source_refs":[{"ref":"active-commodity-lev-phase0.md","exists":true}]},{"name":"Foreign-index trend de-risk basket (JP/DE/FR/KR/TW)","name_zh":"\u6d77\u5916\u6307\u6570\u8d8b\u52bf\u964d\u9669\u7bee\u5b50","market":"International","tier":"confirmer","horizon":"overlay (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":0.574,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped \u2014 crash-avoidance risk-overlay","why":"A 200d-SMA trend overlay on FOREIGN PRICE indices \u2014 the US equity-trend kill is US-/total-return-specific (net-liquidity subsumes it; foreign price indices have secular bears + no dividend cushion). It cut the within-crisis drawdown in 5/5 global crises (Asian-97 +19, Dotcom +40, GFC +43, COVID +25, 2022 +12pp); pooled MaxDD \u221257% \u2192 \u221218.5% (1997-2026, 5bps), and the DD-reduction is SKILL not mechanical: bootstrap CI [+5.9,+25.1,+48.1]pp excludes 0 (P=0.995) and sits above a random-overlay placebo band. HONEST: tail-insurance, NOT scored alpha \u2014 CAGR 4.77 vs 4.97 (gives up return), the Sharpe edge FAILS split-half (2H 0.57<0.85) and evaporates ex-1998-2003, DSR marginal (0.93\u21920.87 at n=24), edge gone by 15bps cost. Crash-avoidance risk-overlay; there is no intl scored row.","why_zh":"\u5bf9\u6d77\u5916\u4ef7\u683c\u6307\u6570\uff08\u65e0\u80a1\u606f\u7f13\u51b2\u3001\u6709\u957f\u671f\u718a\u5e02\uff09\u7684200\u65e5\u8d8b\u52bf\u964d\u9669\u53e0\u52a0\u2014\u2014\u7f8e\u5f0f\u8d8b\u52bf\u5426\u51b3\u662f\u7f8e\u56fd/\u5168\u6536\u76ca\u7279\u6709\u7684\u3002\u4e94\u6b21\u5168\u7403\u5371\u673a\u5747\u524a\u51cf\u56de\u64a4\uff08\u5408\u8ba1 \u221257%\u2192\u221218.5%\uff0c\u81ea\u4e3e\u533a\u95f4\u4e0d\u542b\u96f6\uff09\uff0c\u4f46\u5c5e\u5c3e\u90e8\u4fdd\u9669\u800c\u975e\u8ba1\u5206\u963f\u5c14\u6cd5\uff1a\u8ba9\u51fa CAGR\uff0c\u590f\u666e\u672a\u8fc7\u4e24\u534a\u68c0\u9a8c\uff0c\u6210\u672c15bps\u5373\u6d88\u5931\u3002","source":"intl-trend-overlay-phase0.md (scripts/intl_trend_overlay_phase0.py); data/intl/","extra":[["pooled MaxDD","\u221218.5% vs \u221257.0%"],["DD-reduction CI","[+5.9,+25.1,+48.1]pp P=0.995"],["Sharpe edge","FAILS split-half (2H 0.57<0.85); gone by 15bps cost"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"foreign-index-trend-de-risk-basket-jp-de-fr-kr-tw","source_refs":[{"ref":"intl-trend-overlay-phase0.md","exists":true}]},{"name":"Capitulation bounce overlay (Fed-put gated)","name_zh":"\u6295\u964d\u5f0f\u53cd\u5f39\u53e0\u52a0\uff08\u7f8e\u8054\u50a8\u770b\u8dcc\u671f\u6743\u95e8\u63a7\uff09","market":"US equity","tier":"confirmer","horizon":"63d (event-timed)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":0.75,"n":null,"fdr_survivor":null,"wired":"feeds dislocation drawdown gate (attention signal)","why":"The capitulation gauge (VRP-extreme + VIX>30 + COT-washout) is a real FDR-validated bounce ALERT (63d P-up 75% vs 72% base; book-minus-base +0.66 bps/day, NW t 2.44, p 0.015; split-half + leave-one-fire pass). BUT a timed +0.5\u00d7/63d Fed-put-gated SPY-overweight does NOT clear the tradeable scored bar: the marginal-stream DSR is 0.737 (<0.90), it ties a one-line dumb buy-VIX>30 leg (paired NW t \u22120.64, p 0.52), the book-DSR 0.990 is a red herring (base SPY already 0.992), honest cluster count is 21 not 54, and the Fed-put gate LOWERS timed CAGR (12.5\u219212.0) \u2014 a drawdown-risk filter, not a return signal. Keep as a confirmer/attention signal feeding the dislocation gate.","why_zh":"\u6295\u964d\u91cf\u8868\uff08VRP\u6781\u503c+VIX>30+COT\u6d17\u76d8\uff09\u662f\u7ecf FDR \u9a8c\u8bc1\u7684\u53cd\u5f39\u9884\u8b66\uff0863\u65e5\u4e0a\u6da8\u6982\u7387 75% \u5bf9\u57fa\u7ebf 72%\uff0ct 2.44\uff09\u3002\u4f46\u95e8\u63a7\u62e9\u65f6\u7684 +0.5\u00d7/63\u65e5\u8d85\u914d\u672a\u8fbe\u53ef\u4ea4\u6613\u8ba1\u5206\u7ebf\uff1a\u8fb9\u9645 DSR 0.737\uff0c\u4e0e\u6734\u7d20 VIX>30 \u6301\u5e73\uff0c\u95e8\u63a7\u53cd\u800c\u964d\u4f4e\u62e9\u65f6 CAGR\u2014\u2014\u4f5c\u4e3a\u786e\u8ba4/\u5173\u6ce8\u4fe1\u53f7\u5582\u7ed9\u9519\u4f4d\u95e8\u63a7\u3002","source":"capitulation-overlay-phase0.md (scripts/capitulation_overlay_phase0.py); engine/conditions.py capitulation","extra":[["timed DSR","0.737 (FAIL; book-DSR 0.990 \u2248 base SPY 0.992)"],["vs dumb VIX>30","ties (paired p 0.52)"],["Fed-put gate","LOWERS timed CAGR 12.5\u219212.0"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"capitulation-bounce-overlay-fed-put-gated","source_refs":[{"ref":"capitulation-overlay-phase0.md","exists":true}]},{"name":"BTC on-chain valuation drawdown gauge (MVRV + Reserve-Risk)","name_zh":"\u6bd4\u7279\u5e01\u94fe\u4e0a\u4f30\u503c\u56de\u64a4\u91cf\u8868\uff08MVRV+\u50a8\u5907\u98ce\u9669\uff09","market":"BTC","tier":"confirmer","horizon":"forward drawdown (21/63/126d)","ic":-0.166,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"contextual tail-risk / valuation flag (not sized)","why":"Rolling-4y percentile of MVRV + Reserve Risk \u2192 forward BTC max-drawdown carries genuine sign-stable tail-risk content: Spearman \u22120.089/\u22120.134/\u22120.166 at 21/63/126d (monotone, correct sign \u2014 rich valuation precedes deeper drawdowns), split-half \u22120.105/\u22120.169 same-sign AND same-magnitude (rare), leave-one-crisis-out {2013,18,22} all hold, FDR q=0, causal (no look-ahead). Reserve Risk is the load-bearing leg (\u22120.267 vs MVRV \u22120.082). NOT scored: a dumb 200dma trend filter dominates it standalone and DSR fails the honest haircut (0.91 at n=18 \u2192 0.78-0.87 at honest 30-72). What keeps it a confirmer: the partial-Spearman controlling for BOTH vol-pct AND 200dma is \u22120.145/\u22120.232 (genuine incremental forward-dd content). A contextual tail-risk / valuation-richness flag, never a sizer.","why_zh":"MVRV+\u50a8\u5907\u98ce\u9669\u7684\u6eda\u52a84\u5e74\u5206\u4f4d\u2192\u524d\u77bb BTC \u6700\u5927\u56de\u64a4\uff0c\u5177\u5907\u7b26\u53f7\u7a33\u5b9a\u7684\u5c3e\u90e8\u98ce\u9669\u5185\u5bb9\uff0821/63/126\u65e5 \u5355\u8c03\u6b63\u786e\u7b26\u53f7\uff0c\u4e24\u534a\u540c\u53f7\u540c\u91cf\u7ea7\uff0c\u9010\u5371\u673a\u5747\u6210\u7acb\uff0cq=0\uff09\u3002\u4f46\u88ab\u6734\u7d20200\u65e5\u8d8b\u52bf\u5355\u72ec\u538b\u5236\u3001DSR \u4e0d\u8fc7\u8bda\u5b9e\u6298\u6263\uff1b\u4fdd\u7559\u4e3a\u786e\u8ba4\u9879\u56e0\u5176\u5728\u63a7\u5236\u6ce2\u52a8\u7387\u4e0e\u8d8b\u52bf\u540e\u4ecd\u6709\u589e\u91cf\uff08\u504f\u76f8\u5173 \u22120.145/\u22120.232\uff09\u3002\u4f5c\u4e3a\u60c5\u666f\u5c3e\u90e8\u98ce\u9669\u6807\u8bb0\uff0c\u975e\u5b9a\u4ed3\u3002","source":"btc-onchain-dd-phase0.md (scripts/btc_onchain_dd_phase0.py); data/coinmetrics + data/checkonchain","extra":[["split-half IC","\u22120.105 / \u22120.169 (same-sign+magnitude)"],["partial-IC over vol+trend","\u22120.145 / \u22120.232 (incremental)"],["standalone","dumb 200dma dominates; DSR fails honest haircut"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"btc-on-chain-valuation-drawdown-gauge-mvrv-reserve-risk","source_refs":[{"ref":"btc-onchain-dd-phase0.md","exists":true}]},{"name":"NAAIM manager-exposure de-risk overlay","name_zh":"NAAIM \u7ecf\u7406\u4ed3\u4f4d\u964d\u9669\u53e0\u52a0","market":"US equity","tier":"confirmer","horizon":"overlay (daily)","ic":0.218,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":0.784,"hit":null,"n":null,"fdr_survivor":null,"wired":"de-risk confirmer vs B&H (not sized over an SMA)","why":"De-risking confirmer, NOT alpha. alloc=clip(NAAIM/100,0,1) cuts SPY MaxDD \u221255.2% \u2192 \u221220.2% (block-bootstrap CI [+7.0,+34.2]pp excludes 0, same-sign both halves) and lifts Sharpe over B&H (0.78 vs 0.65); the trend-following sign is confirmed (Spearman NAAIM-z vs fwd-63d drawdown +0.218 \u2014 high exposure precedes SHALLOWER drawdowns, the contrarian read is backwards). BUT it FAILS the beats-dumb-baseline gate: it TIES the free 200dma on drawdown (\u221220.2 vs \u221220.6) and LOSES on CAGR (7.97 vs 8.67), the paired Sharpe-diff vs 200dma is a coin flip (P=0.52), and the edge over B&H leans on 2008. A noisy weekly proxy for the same trend a daily SMA captures more cheaply. Lead with drawdown-reduction vs B&H, never alpha.","why_zh":"\u964d\u9669\u786e\u8ba4\u9879\uff0c\u975e\u963f\u5c14\u6cd5\u3002\u6309 NAAIM \u4ed3\u4f4d\u524a\u51cf\u56de\u64a4\uff08\u221255.2%\u2192\u221220.2%\uff0c\u81ea\u4e3e\u533a\u95f4\u4e0d\u542b\u96f6\uff09\uff0c\u590f\u666e\u9ad8\u4e8e\u4e70\u5165\u6301\u6709\uff1b\u8d8b\u52bf\u8ddf\u968f\u7b26\u53f7\u786e\u8ba4\uff08+0.218\uff09\u3002\u4f46\u672a\u8fc7\u6734\u7d20\u57fa\u7ebf\uff1a\u5728\u56de\u64a4\u4e0a\u4e0e200\u65e5\u5747\u7ebf\u6301\u5e73\u3001CAGR \u843d\u540e\uff0c\u76f8\u5bf9200\u65e5\u5747\u7ebf\u7684\u590f\u666e\u5dee\u4e3a\u63b7\u786c\u5e01\u3002\u4ec5\u4ee5\u76f8\u5bf9\u4e70\u5165\u6301\u6709\u7684\u56de\u64a4\u4e0b\u964d\u4e3a\u4e3b\u3002","source":"naaim-overlay-phase0.md (scripts/naaim_overlay_phase0.py); data/sentiment/naaim.parquet","extra":[["MaxDD","\u221220.2% vs B&H \u221255.2% (ties 200dma \u221220.6%)"],["vs dumb 200dma","LOSES CAGR (7.97 vs 8.67); Sharpe-diff coin-flip"],["edge over B&H","vanishes ex-2008"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"naaim-manager-exposure-de-risk-overlay","source_refs":[{"ref":"naaim-overlay-phase0.md","exists":true}]},{"name":"Diversified commodity TSMOM book (gold/silver/copper/crude + USD)","name_zh":"\u591a\u5143\u5546\u54c1\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u7ec4\u5408","market":"Commodity","tier":"confirmer","horizon":"allocation (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.6842,"sharpe":0.42,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped \u2014 crisis-convexity context sleeve","why":"Crisis-convexity context, NOT standalone alpha. A 5-leg 12-1m vol-targeted TSMOM book over 25.5y: Sharpe 0.42 / MaxDD \u221226.4% vs EW-long-commodity B&H 0.34 / \u221281.7% and each-leg 200dma 0.20 / \u221236.8% \u2014 beats both dumb baselines full-sample and pays in crises (2014-16 oil bust +25.5%, 2020 COVID +15.7% vs EW \u221226.5/\u221273.7%), no purged fold flips negative. BUT the +0.087 Sharpe edge does NOT survive the multiple-testing haircut: DSR 0.684 at n=12 and monotone-decreasing in n_trials (never >0.90 under any honest count); leave-one-crisis-out INVERTS on COVID (dSharpe +0.087\u2192\u22120.31), the first split-half fails to beat EW-long, and the DD-reduction CI includes 0. Descriptive crisis-convexity context.","why_zh":"\u5371\u673a\u51f8\u6027\u60c5\u666f\uff0c\u975e\u72ec\u7acb\u963f\u5c14\u6ce2\u30025\u817f12-1\u6708\u6ce2\u52a8\u7387\u76ee\u6807 TSMOM \u7ec4\u5408\uff0825.5\u5e74\uff09\uff1a\u590f\u666e 0.42 \u5bf9\u7b49\u6743\u591a\u5934 0.34\uff0c\u56de\u64a4 \u221226.4% \u5bf9 \u221281.7%\uff0c\u5371\u673a\u4e2d\u76c8\u5229\u3002\u4f46 +0.087 \u7684\u590f\u666e\u8fb9\u9645\u4e0d\u8fc7\u591a\u91cd\u68c0\u9a8c\u6298\u6263\uff08DSR 0.684 \u4e14\u968f\u8bd5\u9a8c\u6570\u5355\u8c03\u4e0b\u964d\uff09\uff0c\u9010\u5371\u673a\u5728COVID\u7ffb\u8d1f\uff0c\u9996\u534a\u6837\u672c\u672a\u8dd1\u8d62\u2014\u2014\u4ec5\u4f5c\u5371\u673a\u51f8\u6027\u60c5\u666f\u3002","source":"commodity-tsmom-phase0.md (scripts/commodity_tsmom_phase0.py); data/yahoo futures","extra":[["MaxDD","\u221226.4% vs EW-long \u221281.7%"],["DSR","0.684 (n=12), monotone-fails any honest n_trials"],["leave-one-crisis-out","INVERTS on COVID"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"diversified-commodity-tsmom-book-gold-silver-copper-crude-usd","source_refs":[{"ref":"commodity-tsmom-phase0.md","exists":true}]},{"name":"ETH Vector \u2014 BTC-Vector optimal grid ported to ETH","name_zh":"\u4ee5\u592a\u574a\u5411\u91cf \u2014 BTC\u5411\u91cf\u6700\u4f18\u7f51\u683c\u79fb\u690d\u5230ETH","market":"ETH","tier":"confirmer","horizon":"allocation (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.5345,"sharpe":0.796,"hit":0.549,"n":3157,"fdr_survivor":null,"wired":"signal_lab confirmer \u2014 crypto tail-insurance (BTC-Vector aligned), not sized standalone","why":"Faithful port of the live BTC Vector builders (momentum \u00d7 risk-index long/flat grid + drawdown brake) to ETH price (MVRV overlay unavailable this run \u2014 grid without valuation overlay). PROVENANCE: prior figure (DSR 0.5546, Sharpe 0.82) inherited the BTC midterm-election blackout with NO ETH evidence basis \u2014 that override is now explicitly disabled for the ETH run (W0 W1 N7 decontam). FRESH RERUN (ungated, 2026-07): Sharpe 0.796 vs HODL 0.647, MaxDD \u221246.6% vs \u221294.0% (2.02\u00d7 cut), n=3157 (2017-11 \u2192 2026-07). DSR 0.5345 (n=50) FAILS the haircut \u2014 confirmer status unchanged. Bootstrap P(Sharpe>0)=0.98 (not 1.0); a brake-matched 200dma BEATS it on Sharpe (0.82 vs 0.80). DD-cut holds both split-halves and every leave-one-crisis-out (DD-only edge). Sharpe edge fails drop-2022 (\u22120.05). ETH starts 2017-11 (~2-3 cycles). Direction coin-flip (never claimed). Confirmer status: unchanged.","why_zh":"\u5c06\u4e0a\u7ebf\u7684 BTC \u5411\u91cf\u6784\u4ef6\uff08\u52a8\u91cf\u00d7\u98ce\u9669\u6307\u6570\u591a/\u7a7a\u7f51\u683c+\u56de\u64a4\u5239\u8f66\uff09\u5fe0\u5b9e\u79fb\u690d\u5230 ETH\uff08\u65e0 MVRV \u53e0\u52a0\uff09\u3002\u6eaf\u6e90\u6ce8\uff1a\u65e7\u6570\u5b57\uff08DSR 0.5546\uff09\u7ee7\u627f\u4e86 BTC \u4e2d\u671f\u9009\u4e3e\u5c01\u9501\uff08\u65e0 ETH \u4f9d\u636e\uff09\u2014\u2014\u5df2\u89e3\u9664\uff08W0/W1 N7 \u53bb\u6c61\uff09\u3002\u6700\u65b0\u91cd\u8dd1\uff082026-07\uff0c\u65e0\u5c01\u9501\uff09\uff1a\u590f\u666e 0.796 \u5bf9 HODL 0.647\uff0c\u6700\u5927\u56de\u64a4 \u221246.6% \u5bf9 \u221294.0%\uff08\u7f29\u5c0f2.02\u500d\uff09\uff0cn=3157\u3002DSR 0.5345 \u4ecd\u672a\u8fbe\u95e8\u69db\uff0c\u786e\u8ba4\u9879\u72b6\u6001\u4e0d\u53d8\u3002\u5239\u8f66\u5339\u914d200\u65e5\u5747\u7ebf\u5728\u590f\u666e\u4e0a\u4ecd\u6301\u5e73\u751a\u81f3\u538b\u5236\u3002\u4ec5\u7ea62-3\u5468\u671f\uff1b\u65b9\u5411\u63b7\u786c\u5e01\u3002","source":"eth-vector-phase0.md (scripts/eth_vector_phase0.py); engine/btc_signals.py allocation(); W1 N7 rerun 2026-07 (BTC midterm gate explicitly disabled \u2014 no ETH evidence basis)","extra":[["MaxDD","\u221246.6% vs \u221294.0% HODL (2.02\u00d7 cut)"],["vs BTC DSR (raw)","0.5345 vs 0.9945"],["brake-matched 200dma","BEATS ETH on Sharpe (0.82 vs 0.80)"],["drop-2022 Sharpe edge","\u22120.05 (concentrated in 2022)"],["provenance","prior DSR 0.5546 inherited BTC midterm gate with no ETH basis \u2014 now decontaminated"],["direction","coin-flip \u2014 NOT claimed"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"eth-vector-btc-vector-optimal-grid-ported-to-eth","source_refs":[{"ref":"eth-vector-phase0.md","exists":true}]},{"name":"Intl macro stress overlay (pooled JP/EZ/GB/KR)","name_zh":"\u56fd\u9645\u5b8f\u89c2\u538b\u529b\u53e0\u52a0\uff08JP/EZ/GB/KR \u5408\u5e76\uff09","market":"Intl macro","tier":"confirmer","horizon":"allocation (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":0.72,"hit":null,"n":null,"fdr_survivor":null,"wired":"signal_lab confirmer \u2014 macro stress overlay (never sized standalone)","why":"Ported the S&P/Macro Vector de-risk gate (curve inversion + unemployment-Sahm + short-rate) to JP/EZ/GB/KR + a pooled inverse-vol sleeve. The pool cuts the tail (MaxDD \u221239.2% vs B&H \u221255.4%, Sharpe 0.72 vs 0.56) and is split-half stable (+0.70/+0.76) \u2014 BUT a plain 200dma long/flat DOMINATES it on BOTH Sharpe AND MaxDD (0.80 / \u221219.6%) in every market and the pool, and even a dumb curve-inversion gate beats it (0.78 / \u221242.5%). The macro gate gives up CAGR (JP 8.09\u21926.45%) to buy drawdown insurance a moving average buys more cheaply. Honest-N ~4 shared crises (JP exactly 3). Macro stress overlay, never a timed allocation.","why_zh":"\u5c06\u6807\u666e/\u5b8f\u89c2\u5411\u91cf\u964d\u9669\u95e8\u63a7\uff08\u66f2\u7ebf\u5012\u6302+\u5931\u4e1aSahm+\u77ed\u7aef\u5229\u7387\uff09\u79fb\u690d\u5230 JP/EZ/GB/KR \u53ca\u5408\u5e76\u7ec4\u5408\u3002\u5408\u5e76\u524a\u51cf\u5c3e\u90e8\uff08\u56de\u64a4 \u221239.2% \u5bf9 \u221255.4%\uff09\uff0c\u4f46\u6734\u7d20200\u65e5\u5747\u7ebf\u5728\u590f\u666e\u4e0e\u56de\u64a4\u4e0a\u5747\u538b\u5236\u5b83\uff08\u5404\u5e02\u573a\u4e0e\u5408\u5e76\u7686\u7136\uff09\uff0c\u4e14\u8ba9\u51fa CAGR\u3002\u8bda\u5b9e\u6837\u672c\u7ea64\u6b21\u5171\u4eab\u5371\u673a\u3002\u4ec5\u4f5c\u5b8f\u89c2\u538b\u529b\u53e0\u52a0\uff0c\u975e\u62e9\u65f6\u914d\u7f6e\u3002","source":"intl-macro-sleeve-phase0.md (scripts/intl_macro_sleeve_phase0.py); data/intl_macro/","extra":[["pooled MaxDD","\u221239.2% vs \u221255.4% B&H"],["dumb 200dma (dominates)","Sharpe 0.80 / MaxDD \u221219.6%"],["binding fail","beats-200dma \u2014 all 4 markets + pool"],["split-half","+0.70 / +0.76"],["honest-N","~4 shared crises"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"intl-macro-stress-overlay-pooled-jp-ez-gb-kr","source_refs":[{"ref":"intl-macro-sleeve-phase0.md","exists":true}]},{"name":"Intl total-return ETF trend de-risk basket (EWJ/EWG/EWU/EWY/EWA/EWQ)","name_zh":"\u56fd\u9645\u603b\u56de\u62a5ETF\u8d8b\u52bf\u964d\u9669\u7bee\u5b50","market":"Intl ETF","tier":"confirmer","horizon":"overlay (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.848,"sharpe":0.575,"hit":null,"n":null,"fdr_survivor":null,"wired":"signal_lab confirmer \u2014 de-risk basket (not a scored allocation)","why":"Tested whether real tradeable USD total-return country ETFs (EWJ/EWG/EWU/EWY/EWA/EWQ, 25.3y, dividend-adjusted) rescue the intl trend overlay above confirmer \u2014 they do NOT. The pooled 200dma de-risk basket is robust tail-insurance (MaxDD \u221261.9% \u2192 \u221223.9%, DD-reduction bootstrap CI [6.2,25.8,50.4] excludes 0, cuts the tail in all 5 crises, leave-one-crisis-out holds) but gives up CAGR (6.42% vs 7.91% B&H on a fair T-bill carry) and its Sharpe edge FAILS DSR (0.848<0.90 at honest n_trials=17) AND fails same-sign split-half (+0.24 / \u22120.02 sign-flip). No single ETF clears scored (nearest EWY/sma200 is DSR-knife-edge, N=1 country). Confirms the price-index finding: USD total-return ETFs lack the secular bear the local indices had, so trend has less downside to exploit. Tail-insurance, not scored alpha.","why_zh":"\u68c0\u9a8c\u53ef\u4ea4\u6613\u7684\u7f8e\u5143\u603b\u56de\u62a5\u56fd\u5bb6 ETF\uff08EWJ/EWG/EWU/EWY/EWA/EWQ\uff0c25.3\u5e74\uff0c\u542b\u606f\uff09\u80fd\u5426\u628a\u56fd\u9645\u8d8b\u52bf\u53e0\u52a0\u63d0\u5347\u5230\u8ba1\u5206\u4ee5\u4e0a\u2014\u2014\u4e0d\u80fd\u3002\u5408\u5e76200\u65e5\u964d\u9669\u7bee\u5b50\u662f\u7a33\u5065\u5c3e\u90e8\u4fdd\u9669\uff08\u56de\u64a4 \u221261.9%\u2192\u221223.9%\uff0c\u533a\u95f4\u4e0d\u542b\u96f6\uff09\uff0c\u4f46\u8ba9\u51fa CAGR\uff0c\u590f\u666e\u8fb9\u9645\u672a\u8fc7 DSR\uff080.848\uff09\u4e14\u4e24\u534a\u7b26\u53f7\u7ffb\u8f6c\u3002\u7f8e\u5143\u603b\u56de\u62a5\u7f3a\u5c11\u672c\u5730\u6307\u6570\u7684\u957f\u671f\u718a\u5e02\uff0c\u8d8b\u52bf\u53ef\u5229\u7528\u7684\u4e0b\u884c\u66f4\u5c11\u3002\u5c3e\u90e8\u4fdd\u9669\uff0c\u975e\u8ba1\u5206\u963f\u5c14\u6cd5\u3002","source":"intl-tr-trend-phase0.md (scripts/intl_tr_trend_phase0.py); EWJ/EWG/EWU/EWY/EWA/EWQ (collected)","extra":[["pooled MaxDD","\u221261.9% \u2192 \u221223.9%"],["DD-reduction CI","[6.2,25.8,50.4]pp excludes 0"],["DSR","0.848 (<0.90, n=17)"],["split-half Sharpe","+0.24 / \u22120.02 (sign-flip)"],["CAGR give-up","6.42% vs 7.91% B&H"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"intl-total-return-etf-trend-de-risk-basket-ewj-ewg-ewu-ewy-ewa-ewq","source_refs":[{"ref":"intl-tr-trend-phase0.md","exists":true}]},{"name":"Global country-ETF breadth barometer  (C3 \u2014 CONFIRMED)","name_zh":"\u5168\u7403\u56fd\u5bb6ETF\u5e7f\u5ea6\u6674\u96e8\u8868\uff08C3 \u2014 \u5df2\u786e\u8ba4\uff09","market":"Intl / global risk","tier":"confirmer","horizon":"21/42d fwd drawdown (SPX + CSI300)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.9326,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired (CONFIRMED; W4 will wire as US risk_radar Tier-B + intl profile leg; no scoring seam touched in W2)","why":"CONFIRMED (all hard gates pass). % of 23 country ETFs > their 200dma; causal trailing pctile de-risk signal (top-30% = flat). DSR 0.9326 (N=17 intl_bridge budget). Orthogonality: global breadth corr 0.68 with SPY trend but residual surviving frac = 0.62 after partialing out SPY/HY OAS/T10Y2Y \u2014 PASSES (>= 0.50). 6/6 pre-declared crises covered. ES reduction ex top-3 windows = +0.0078 (not crisis-only). Split-half Sharpe both positive. Panel: 23 ETFs from 1996-03-18, min-panel >= 10 (satisfied from day 1 with the 1996 cohort of 17 ETFs). FXI/CSI300 target shows stronger MaxDD cut (-39.3% vs -72.7%) and near-pure orthogonality (surviving frac 0.97). W4: wire as US radar Tier-B leg (INTL-38) + risk_radar_intl profile leg once the forward log accrues.","why_zh":"\u5df2\u786e\u8ba4\uff08\u6240\u6709\u4e25\u683c\u95e8\u5747\u901a\u8fc7\uff09\u300223\u53ea\u56fd\u5bb6ETF\u9ad8\u4e8e200\u65e5\u5747\u7ebf\u7684\u767e\u5206\u6bd4\uff1b\u56e0\u679c\u5c3e\u90e8\u767e\u5206\u4f4d\u964d\u9669\u4fe1\u53f7\uff08\u524d30%=\u7a7a\u4ed3\uff09\u3002DSR 0.9326\uff08N=17 intl_bridge\u9884\u7b97\uff09\u3002\u6b63\u4ea4\u6027\uff1a\u5168\u7403\u5e7f\u5ea6\u4e0eSPY\u8d8b\u52bf\u76f8\u51730.68\uff0c\u4f46\u5254\u9664SPY/\u4fe1\u7528\u5229\u5dee/\u6536\u76ca\u66f2\u7ebf\u540e\u6b8b\u5dee\u5b58\u6d3b\u5206\u6570=0.62 >= 0.50\u30026/6\u9884\u58f0\u660e\u5371\u673a\u5747\u8986\u76d6\u3002\u53bb\u9664\u524d3\u5927\u56de\u64a4\u7a97\u53e3\u540e\u671f\u671b\u635f\u5931\u964d\u5e45=+0.0078\uff08\u975e\u4ec5\u5371\u673a\uff09\u3002\u4e24\u534a\u590f\u666e\u5747\u4e3a\u6b63\u3002W4\uff1a\u6709\u524d\u77bb\u65e5\u5fd7\u540e\uff0c\u4f5c\u4e3a\u7f8e\u56fd\u96f7\u8fbeTier-B\u817f\uff08INTL-38\uff09+ risk_radar_intl\u914d\u7f6e\u817f\u63a5\u5165\u3002","source":"reports/intl-global-breadth-phase0.md (W2-C3 2026-07-02); data/intl_bridge/ledger.json (c3_global_etf_breadth); scripts/intl_phase0.py build_c3_global_breadth()","extra":[["DSR","0.9326 (N=17 intl_bridge budget, >= 0.90)"],["orthogonal surviving frac","0.62 vs SPY/HY/curve basis (>= 0.50, PASSES)"],["effective_n_crises","6/6 (all declared crises covered)"],["ES ex top-3 windows","+0.0078 (not crisis-only)"],["split-half Sharpe","H1 +0.45, H2 +1.11 (same sign)"],["FXI MaxDD cut","strat -39.3% vs bench -72.7%"],["panel","23 ETFs 1996-03-18 to 2026-07-01; min-panel=10 threshold"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"global-country-etf-breadth-barometer-c3-confirmed","source_refs":[{"ref":"reports/intl-global-breadth-phase0.md","exists":true}]},{"name":"Broad-dollar REER value factor  (N=1 resurrection \u2014 C4a \u2014 CONFIRMED)","name_zh":"\u5bbd\u7f8e\u5143 REER \u4ef7\u503c\u56e0\u5b50\uff08N=1 \u590d\u6d3b \u2014 C4a \u2014 \u5df2\u786e\u8ba4\uff09","market":"Dollar / macro","tier":"confirmer","horizon":"21/63/126d fwd broad-USD return","ic":0.0507,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.9436,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired this wave \u2014 CONFIRMED verdict recorded + surfaced at cap 0.1333; no scorer consumes intl_feed (MRS-orthogonality gate deferred)","why":"CONFIRMED \u2014 the honest INTL-43 resurrection. The broad-USD REER value factor (cheap = bullish USD, faithful to config forex.dollar_desk.valuation) CONFIRMED in BOTH halves vs forward broad-USD returns at all three declared horizons (h=21 +0.031/+0.030, h=63 +0.062/+0.056, h=126 +0.120/+0.099). Graded on its OWN single-trial budget (trial_family c4_reer_value_n1) \u2014 the pre-registered N=1 door, budget-separated from the forex 60-trial family (DSR 0.0056 there) AND the intl_bridge N=17 family (DSR 0.40 there): de-risk long-flat DSR 0.9436 >= 0.90, split-half PASS, orthogonality vs the 5 US MRS legs PASS (residual \u22120.130), crisis-count 4, crisis-independent ES +0.0025. weight_cap 0.1333. NO consumer wiring this wave: verdict recorded + surfaced by intl_feed at cap, but no scorer consumes the feed \u2014 the MRS-composite orthogonality gate must clear first (W2-C2 showed the bar is high and this is a returns-predicting factor, not a US-DD leg).","why_zh":"\u5df2\u786e\u8ba4\u2014\u2014\u8bda\u5b9e\u7684 INTL-43 \u590d\u6d3b\u3002\u5bbd\u7f8e\u5143 REER \u4ef7\u503c\u56e0\u5b50\uff08\u4fbf\u5b9c=\u770b\u591a\u7f8e\u5143\uff0c\u5fe0\u4e8e config forex.dollar_desk.valuation\uff09\u5728\u4e24\u534a\u3001\u4e09\u4e2a\u9884\u58f0\u660e\u671f\u9650\u5747\u786e\u8ba4\u5bf9\u672a\u6765\u5bbd\u7f8e\u5143\u56de\u62a5\uff08h=21 +0.031/+0.030\uff0ch=63 +0.062/+0.056\uff0ch=126 +0.120/+0.099\uff09\u3002\u4ee5\u72ec\u7acb\u5355\u8bd5\u9a8c\u9884\u7b97\uff08trial_family c4_reer_value_n1\uff09\u8bc4\u5206\u2014\u2014\u9884\u6ce8\u518c\u7684 N=1 \u95e8\uff0c\u4e0e\u5916\u6c4760\u8bd5\u9a8c\u5bb6\u65cf\uff08\u8be5\u5904 DSR 0.0056\uff09\u53ca intl_bridge N=17 \u5bb6\u65cf\uff08\u8be5\u5904 DSR 0.40\uff09\u5206\u5f00\uff1a\u964d\u9669\u591a-\u7a7a\u4ed3 DSR 0.9436 >= 0.90\uff0c\u4e24\u534a\u901a\u8fc7\uff0c\u5bf95\u6761\u7f8e\u56fd MRS \u817f\u6b63\u4ea4\u901a\u8fc7\uff08\u6b8b\u5dee \u22120.130\uff09\uff0c\u5371\u673a\u8ba1\u65704\uff0c\u53bb\u5371\u673a\u671f\u671b\u635f\u5931 +0.0025\u3002\u6743\u91cd\u4e0a\u9650 0.1333\u3002\u672c\u6ce2\u4e0d\u63a5\u5165\u6d88\u8d39\u8005\uff1a\u7ed3\u8bba\u5df2\u8bb0\u5f55\u5e76\u7531 intl_feed \u4ee5\u4e0a\u9650\u5448\u73b0\uff0c\u4f46\u65e0\u8ba1\u5206\u5668\u6d88\u8d39\u8be5\u6e90\u2014\u2014\u987b\u5148\u901a\u8fc7 MRS \u7ec4\u5408\u6b63\u4ea4\u95e8\u3002","source":"reports/forex-calibration.md (DOLLAR INDEX value); reports/forex-reer-n1-phase0.md (W3-C4a N=1); data/intl_bridge/ledger.json (c4_reer_value); scripts/c4_reer_value.py + scripts/intl_phase0.py (grade, N=1 budget)","extra":[["N=1 budget DSR","0.9436 (>= 0.90 door)"],["vs intl_bridge N=17 / forex N=60","0.40 / 0.0056 (budget-killed)"],["orthogonality vs 5 US MRS legs","residual \u22120.130 (PASS, de-risk sign)"],["crises / crisis-indep ES","4 / +0.0025 (PASS)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"broad-dollar-reer-value-factor-n-1-resurrection-c4a-confirmed","source_refs":[{"ref":"reports/forex-calibration.md","exists":true},{"ref":"reports/forex-reer-n1-phase0.md","exists":false}]},{"name":"Month-end bond-index extension day  (TLT / IEF last-day lift)","name_zh":"\u6708\u672b\u503a\u5238\u6307\u6570\u5c55\u671f\u65e5\uff08TLT / IEF \u5c3e\u65e5\u4e0a\u6da8\uff09","market":"Rates","tier":"confirmer","horizon":"1d (last trading day of month)","ic":null,"ic_ir":null,"t_hac":3.63,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":287,"fdr_survivor":true,"wired":"none \u2014 timing overlay candidacy pending program review","why":"Bond index managers buy longer-duration bonds on the last trading day of each month to match their benchmark's new duration. TLT last-day mean return +0.183%/day (t_HAC=3.63, BH q=0.0009, n=287 months 2002-2026); IEF t=5.02, q~0. Known documented effect confirmed live. G2 split-half same-sign: both halves positive (H1=+0.258%, H2=+0.108%). G3 last-day > avg-other-days baseline: confirmed. Timing overlay candidacy: TLT/IEF entry-timing conditioner on last trading day of month. V1 (auction-cycle) and V2 (quarter-end pension rebalance) both NULL \u2014 only V3 survives.","why_zh":"\u503a\u5238\u6307\u6570\u7ecf\u7406\u5728\u6bcf\u6708\u6700\u540e\u4e00\u4e2a\u4ea4\u6613\u65e5\u4e70\u5165\u4e45\u671f\u66f4\u957f\u7684\u503a\u5238\u4ee5\u5339\u914d\u57fa\u51c6\u65b0\u4e45\u671f\u3002TLT \u6708\u672b\u65e5\u5e73\u5747\u6536\u76ca +0.183%/\u5929\uff08t_HAC=3.63\uff0cBH q=0.0009\uff0cn=287\u4e2a\u6708\uff0c2002-2026\uff09\uff1bIEF t=5.02\uff0cq\u22480\u3002\u5df2\u77e5\u6587\u732e\u6548\u5e94\uff0c\u5df2\u5728\u6837\u672c\u5916\u786e\u8ba4\u3002V1\uff08\u62cd\u5356\u5468\u671f\uff09\u548cV2\uff08\u5b63\u672b\u517b\u8001\u91d1\u518d\u5e73\u8861\uff09\u5747\u4e3aNULL\u2014\u2014\u4ec5V3\u901a\u8fc7\u3002","source":"reports/d2-rates-calendar-flows-phase0.md; TLT/IEF Yahoo daily 2002-2026","extra":[["TLT last-day mean","+0.183%/day, t_HAC=3.63, BH q=0.0009"],["IEF last-day mean","+0.110%/day, t_HAC=5.02, BH q~0"],["V1 auction-cycle verdict","NULL"],["V2 QE-rebalance verdict","NULL"]],"dsr_family":"d2_rates_calendar_flows","dsr_n_trials":11,"dsr_basis":"frozen-quote","dsr_expiry":null,"slug":"month-end-bond-index-extension-day-tlt-ief-last-day-lift","dsr_provenance":{"n_trials":13,"basis":"ledger","family":"d2_rates_calendar_flows"},"source_refs":[{"ref":"reports/d2-rates-calendar-flows-phase0.md","exists":true}]},{"name":"SEC comment-letter release drift  (substantive-review, 21d)","name_zh":"SEC\u610f\u89c1\u51fd\u62ab\u9732\u6f02\u79fb\uff08\u5b9e\u8d28\u6027\u5ba1\u67e5\uff0c21\u65e5\uff09","market":"US S&P (broad)","tier":"confirmer","horizon":"21d","ic":null,"ic_ir":null,"t_hac":-3.26,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":1084,"fdr_survivor":true,"wired":"none","why":"When the SEC releases the full UPLOAD/CORRESP correspondence for a substantive review (\u22653 SEC letters) on EDGAR, stocks drift lower over the next 21 trading days (massive store, post-2021): mean beta-adj AR -3.34%, t=-3.26, BH q=0.0044, n=1084. MANDATORY CAVEAT: effect concentrated 2023-2025 \u2014 first split-half not significant (first-half t=-1.396, p=0.163); second half highly significant (t=-5.008, p~0). Accrual required before any promotion. Light-review cells and yahoo-store cells are NULL. 7 of 8 pre-registered cells fail; single passing cell rides on post-2021 massive store only (survivorship bias present in both stores).","why_zh":"\u5f53SEC\u5728EDGAR\u4e0a\u53d1\u5e03\u5b9e\u8d28\u6027\u5ba1\u67e5\uff08\u22653\u5c01SEC\u6765\u51fd\uff09\u7684\u5b8c\u6574\u5f80\u6765\u4fe1\u4ef6\u65f6\uff0c\u80a1\u7968\u5728\u968f\u540e21\u4e2a\u4ea4\u6613\u65e5\u5185\u4e0b\u8dcc\uff08massive\u6570\u636e\u96c6\uff0c2021\u5e74\u540e\uff09\uff1abeta\u8c03\u6574\u5f02\u5e38\u6536\u76ca\u5747\u503c-3.34%\uff0ct=-3.26\uff0cBH q=0.0044\uff0cn=1084\u3002\u5f3a\u5236\u8b66\u793a\uff1a\u6548\u5e94\u96c6\u4e2d\u4e8e2023-2025\u5e74\u2014\u2014\u524d\u534a\u6837\u672c\u4e0d\u663e\u8457\uff08t=-1.396\uff0cp=0.163\uff09\uff1b\u540e\u534a\u6837\u672c\u9ad8\u5ea6\u663e\u8457\uff08t=-5.008\uff0cp~0\uff09\u3002\u9700\u79ef\u7d2f\u66f4\u591a\u6570\u636e\u65b9\u53ef\u664b\u5347\u3002","source":"reports/d2-comment-letter-release-phase0.md; EDGAR 2005-2026, massive+yahoo stores","extra":[["passing cell","substantive/h21/massive: t=-3.26, q=0.0044, n=1084"],["temporal caveat","first-half t=-1.396 (p=0.163) not significant; concentrated 2023-2025"],["survivorship","both stores: only tickers alive at collection date"],["7 of 8 cells","NULL; promotion requires further accrual"]],"dsr_family":"d2_comment_letter_release","dsr_n_trials":8,"dsr_basis":"frozen-quote","dsr_expiry":null,"slug":"sec-comment-letter-release-drift-substantive-review-21d","dsr_provenance":{"n_trials":8,"basis":"ledger","family":"d2_comment_letter_release"},"source_refs":[{"ref":"reports/d2-comment-letter-release-phase0.md","exists":true}]}],"count":23},{"key":"display","label":"Display-only \u2014 shown, but no validated edge","label_zh":"\u4ec5\u5c55\u793a \u2014 \u663e\u793a\u4f46\u65e0\u9a8c\u8bc1\u8fb9\u9645","blurb":"Rendered as a research lens or risk context. Failed Phase-0, un-backtestable, or still accruing history. NOT a buy signal.","blurb_zh":"\u4f5c\u4e3a\u7814\u7a76\u89c6\u89d2\u6216\u98ce\u9669\u80cc\u666f\u663e\u793a\u3002\u672a\u901a\u8fc7 Phase-0\u3001\u65e0\u6cd5\u56de\u6d4b\u6216\u5386\u53f2\u4e0d\u8db3\u3002\u5e76\u975e\u4e70\u5165\u4fe1\u53f7\u3002","verdict_word":"DISPLAY","verdict_word_zh":"\u4ec5\u5c55\u793a","rows":[{"name":"Impulse Tracker (early-ignition screen)","name_zh":"\u51b2\u91cf\u8ffd\u8e2a\uff08\u65e9\u671f\u70b9\u706b\u626b\u63cf\uff09","market":"US S&P1500","tier":"display","horizon":"1-5d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"impulse.html (display/context only)","why":"A reactive screen for price/volume velocity + acceleration that surfaces names whose impulse is JUST firing while an entry still exists (small recent run-up, not stretched), and demotes names that already ran. Honest status: NOT a validated alpha and no P(up) is claimed \u2014 short-horizon direction is a measured coin-flip (engine/velocity.py) and momentum's edge is regime-switched (decays in stress), so this is a timing/context narrowing tool, regime-flagged, never a scored input. The ranking composite is fixed and legible (no learned weights); a forward Phase-0 (rank-IC / DSR on the early-ignition gate) is the open path to earning a tier.","why_zh":"\u5bf9\u4ef7\u683c/\u6210\u4ea4\u91cf\u7684\u901f\u5ea6\u4e0e\u52a0\u901f\u5ea6\u8fdb\u884c\u7075\u654f\u626b\u63cf\uff0c\u6355\u6349\u51b2\u91cf\u521a\u521a\u70b9\u706b\u3001\u5165\u573a\u7a97\u53e3\u4ecd\u5f00\uff08\u8fd1\u671f\u6da8\u5e45\u5c0f\u3001\u672a\u62c9\u4f38\uff09\u7684\u4e2a\u80a1\uff0c\u5e76\u5bf9\u5df2\u5927\u6da8\u7684\u4e2a\u80a1\u964d\u6743\u3002\u8bda\u5b9e\u5b9a\u4f4d\uff1a\u5e76\u975e\u7ecf\u9a8c\u8bc1\u7684\u963f\u5c14\u6cd5\uff0c\u4e5f\u4e0d\u7ed9\u51fa\u6da8\u8dcc\u6982\u7387\u2014\u2014\u77ed\u5468\u671f\u65b9\u5411\u63a5\u8fd1\u629b\u786c\u5e01\uff08engine/velocity.py\uff09\uff0c\u4e14\u52a8\u91cf\u4f18\u52bf\u968f\u5e02\u573a\u72b6\u6001\u5207\u6362\uff08\u627f\u538b\u65f6\u8870\u51cf\uff09\uff0c\u6545\u4ec5\u4e3a\u7f29\u5c0f\u5173\u6ce8\u8303\u56f4\u7684\u65f6\u673a/\u80cc\u666f\u5de5\u5177\uff0c\u6807\u6ce8\u5e02\u573a\u72b6\u6001\uff0c\u7edd\u4e0d\u4f5c\u4e3a\u8bc4\u5206\u8f93\u5165\u3002\u6392\u5e8f\u5408\u6210\u56fa\u5b9a\u53ef\u8bfb\uff08\u65e0\u5b66\u4e60\u6743\u91cd\uff09\uff1b\u524d\u5411 Phase-0 \u9a8c\u8bc1\u662f\u5176\u5347\u7ea7\u8def\u5f84\u3002","source":"engine/impulse.py (unvalidated; forward Phase-0 pending)","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"impulse-tracker-early-ignition-screen","source_refs":[]},{"name":"US residual-alpha momentum (ranking)","name_zh":"\u7f8e\u56fd\u6b8b\u5deeAlpha\u52a8\u91cf\uff08\u6392\u540d\uff09","market":"US S&P1500","tier":"display","horizon":"21d","ic":0.0124,"ic_ir":0.077,"t_hac":1.501,"q_fdr":0.399,"dsr":0.0014,"sharpe":-0.29,"hit":0.557,"n":291,"fdr_survivor":false,"wired":"discovery.html ranking (context)","why":"Positive but weak IC that FAILS BH-FDR (q=0.40) and the backtest Sharpe is negative with DSR\u22480 (0.0014). Shown as a leaderboard / alpha baseline, not a scored buy signal.","why_zh":"IC \u4e3a\u6b63\u4f46\u5f31\uff0c\u672a\u901a\u8fc7 BH-FDR\uff08q=0.40\uff09\uff0c\u56de\u6d4b\u590f\u666e\u4e3a\u8d1f\u4e14 DSR\u22480\u3002\u4f5c\u4e3a\u6392\u884c\u699c/alpha \u57fa\u7ebf\u663e\u793a\uff0c\u975e\u8ba1\u5206\u4e70\u5165\u4fe1\u53f7\u3002","source":"residual-alpha-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"us-residual-alpha-momentum-ranking","source_refs":[{"ref":"residual-alpha-phase0.md","exists":true}]},{"name":"US setup-score blend (selection \u00d7 timing)","name_zh":"\u7f8e\u56fd setup \u878d\u5408\u5206\uff08\u9009\u80a1\u00d7\u62e9\u65f6\uff09","market":"US S&P1500","tier":"display","horizon":"21d/63d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"macro/china standout cards (ordering)","why":"Folding cycle-timing + reversal INTO the alpha rank gave NO IC gain and NO Sharpe gain vs alpha alone (setup IC \u22120.0013 / Sharpe \u22120.18 vs alpha +0.0101 / \u22120.16). Reverted to rank-by-alpha; timing is shown as separate risk-placement context.","why_zh":"\u628a\u5468\u671f\u62e9\u65f6+\u53cd\u8f6c\u5e76\u5165 alpha \u6392\u540d\u76f8\u5bf9 alpha \u5355\u72ec\u65e0 IC \u589e\u76ca\u3001\u65e0\u590f\u666e\u589e\u76ca\u3002\u5df2\u56de\u9000\u4e3a\u6309 alpha \u6392\u540d\uff1b\u62e9\u65f6\u4f5c\u4e3a\u72ec\u7acb\u7684\u98ce\u9669\u4f4d\u7f6e\u80cc\u666f\u663e\u793a\u3002","source":"setup-score-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"us-setup-score-blend-selection-timing","source_refs":[{"ref":"setup-score-phase0.md","exists":true}]},{"name":"China quality (ROE) cross-section","name_zh":"\u4e2d\u56fd\u8d28\u91cf\uff08ROE\uff09\u6a2a\u622a\u9762","market":"China A","tier":"display","horizon":"quarterly","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":-0.58,"hit":null,"n":120,"fdr_survivor":null,"wired":"china context","why":"No quality premium \u2014 junk BEATS quality on A-shares (quality-minus-junk spread Sharpe \u22120.58 cross-sectional, \u22120.71 sector-neutral). Shown as context only.","why_zh":"\u65e0\u8d28\u91cf\u6ea2\u4ef7 \u2014 A\u80a1 junk \u8dd1\u8d62 quality\uff08\u8d28\u91cf\u51cf\u5783\u573e\u4ef7\u5dee\u590f\u666e \u22120.58 \u6a2a\u622a\u9762\u3001\u22120.71 \u884c\u4e1a\u4e2d\u6027\uff09\u3002\u4ec5\u4f5c\u80cc\u666f\u3002","source":"china-quality-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"china-quality-roe-cross-section","source_refs":[{"ref":"china-quality-phase0.md","exists":false}]},{"name":"China value (earnings yield) cross-section","name_zh":"\u4e2d\u56fd\u4ef7\u503c\uff08\u76c8\u5229\u6536\u76ca\u7387\uff09\u6a2a\u622a\u9762","market":"China A","tier":"display","horizon":"quarterly","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":-0.46,"hit":null,"n":119,"fdr_survivor":null,"wired":"china context","why":"Cross-sectional value spread negative (\u22120.46 Sharpe); sector-neutral only marginally positive (+0.06). No robust premium \u2192 context only.","why_zh":"\u6a2a\u622a\u9762\u4ef7\u503c\u4ef7\u5dee\u4e3a\u8d1f\uff08\u590f\u666e \u22120.46\uff09\uff1b\u884c\u4e1a\u4e2d\u6027\u4ec5\u5fae\u6b63\uff08+0.06\uff09\u3002\u65e0\u7a33\u5065\u6ea2\u4ef7 \u2192 \u4ec5\u4f5c\u80cc\u666f\u3002","source":"china-value-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"china-value-earnings-yield-cross-section","source_refs":[{"ref":"china-value-phase0.md","exists":false}]},{"name":"China low-vol / low-beta cross-section","name_zh":"\u4e2d\u56fd\u4f4e\u6ce2/\u4f4e\u8d1d\u5854\u6a2a\u622a\u9762","market":"China A","tier":"display","horizon":"quarterly","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"china context","why":"No low-risk anomaly on A-shares: low-vol long-short spread Sharpe \u22120.08, low-beta \u22120.01. Low-risk quintiles do not out-earn. Shown as risk stratification context.","why_zh":"A\u80a1\u65e0\u4f4e\u98ce\u9669\u5f02\u8c61\uff1a\u4f4e\u6ce2\u591a\u7a7a\u4ef7\u5dee\u590f\u666e \u22120.08\uff0c\u4f4e\u8d1d\u5854 \u22120.01\u3002\u4f4e\u98ce\u9669\u5206\u4f4d\u5e76\u4e0d\u591a\u8d5a\u3002\u4f5c\u4e3a\u98ce\u9669\u5206\u5c42\u80cc\u666f\u663e\u793a\u3002","source":"china-lowvol-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"china-low-vol-low-beta-cross-section","source_refs":[{"ref":"china-lowvol-phase0.md","exists":true}]},{"name":"HK total-return momentum","name_zh":"\u6e2f\u80a1\u603b\u56de\u62a5\u52a8\u91cf","market":"HK","tier":"display","horizon":"monthly","ic":0.0317,"ic_ir":null,"t_hac":2.043,"q_fdr":null,"dsr":0.4339,"sharpe":0.23,"hit":null,"n":null,"fdr_survivor":null,"wired":"hk context","why":"HK's only positive cross-sectional signal (IC 0.0317, HAC t 2.04) \u2014 but it FAILS DSR (0.43<0.90) and it is market BETA, not stock alpha. Shown as a ranking.","why_zh":"\u6e2f\u80a1\u552f\u4e00\u4e3a\u6b63\u7684\u6a2a\u622a\u9762\u4fe1\u53f7\uff08IC 0.0317\uff0cHAC t 2.04\uff09\u2014 \u4f46\u672a\u901a\u8fc7 DSR\uff080.43<0.90\uff09\uff0c\u4e14\u662f\u5e02\u573a\u8d1d\u5854\u800c\u975e\u4e2a\u80a1 alpha\u3002\u4f5c\u4e3a\u6392\u540d\u663e\u793a\u3002","source":"hk-residual-alpha-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"hk-total-return-momentum","source_refs":[{"ref":"hk-residual-alpha-phase0.md","exists":true}]},{"name":"Commodity per-asset allocation variants","name_zh":"\u5927\u5b97\u5546\u54c1\u5355\u8d44\u4ea7\u914d\u7f6e\u53d8\u4f53","market":"Commodity","tier":"display","horizon":"allocation","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.5771,"sharpe":0.48,"hit":null,"n":null,"fdr_survivor":null,"wired":"commodities.html (context)","why":"Every optimal single-commodity allocator fails the deflated-Sharpe bar (gold 0.58, silver 0.07, copper 0.32, oil 0.12 \u2014 all <0.90). The risk_index context is confirmed; the allocation edge is not.","why_zh":"\u6bcf\u4e2a\u6700\u4f18\u5355\u4e00\u5546\u54c1\u914d\u7f6e\u90fd\u672a\u8fbe DSR \u95e8\u69db\uff08\u91d1 0.58\u3001\u94f6 0.07\u3001\u94dc 0.32\u3001\u6cb9 0.12 \u2014 \u5747 <0.90\uff09\u3002\u98ce\u9669\u6307\u6570\u80cc\u666f\u5df2\u786e\u8ba4\uff0c\u4f46\u914d\u7f6e\u8fb9\u9645\u672a\u786e\u8ba4\u3002","source":"commodity-calibration.md","extra":[["DSR gold/silver/copper/oil","0.58 / 0.07 / 0.32 / 0.12"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"commodity-per-asset-allocation-variants","source_refs":[{"ref":"commodity-calibration.md","exists":true}]},{"name":"Bitcoin Vector confirmation candidates (funding_z, OI div, VRP\u2026)","name_zh":"\u6bd4\u7279\u5e01\u5411\u91cf\u786e\u8ba4\u5019\u9009\uff08\u8d44\u91d1\u8d39\u7387\u3001\u6301\u4ed3\u80cc\u79bb\u3001\u6ce2\u52a8\u6ea2\u4ef7\u2026\uff09","market":"BTC","tier":"display","horizon":"allocation","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"vector.html (context)","why":"Allocation-floor/cap candidates have NO pre-2021 footprint \u2192 cannot pass the both-halves split test; uplift is confirmation-only (\u0394Sharpe ~0.07 post-2021). Kept as risk-context confirmers, never hard-wired into the allocation math.","why_zh":"\u914d\u7f6e\u4e0b\u9650/\u4e0a\u9650\u5019\u9009\u5728 2021 \u5e74\u524d\u65e0\u8db3\u8ff9 \u2192 \u65e0\u6cd5\u901a\u8fc7\u4e24\u534a\u68c0\u9a8c\uff1b\u589e\u91cf\u4ec5\u4e3a\u786e\u8ba4\u7ea7\uff082021 \u540e \u0394Sharpe~0.07\uff09\u3002\u4f5c\u4e3a\u98ce\u9669\u80cc\u666f\u786e\u8ba4\u9879\u4fdd\u7559\uff0c\u4ece\u4e0d\u786c\u63a5\u5165\u914d\u7f6e\u8ba1\u7b97\u3002","source":"vector-integration-candidates.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"bitcoin-vector-confirmation-candidates-funding-z-oi-div-vrp","source_refs":[{"ref":"vector-integration-candidates.md","exists":true}]},{"name":"SUE \u2014 standardized unexpected earnings (earnings momentum)","name_zh":"SUE \u2014 \u6807\u51c6\u5316\u8d85\u9884\u671f\u76c8\u5229\uff08\u76c8\u5229\u52a8\u91cf\uff09","market":"US S&P1500","tier":"display","horizon":"63d","ic":0.0005,"ic_ir":null,"t_hac":0.061,"q_fdr":null,"dsr":null,"sharpe":0.094,"hit":null,"n":null,"fdr_survivor":false,"wired":"factors.html (descriptive \u2014 deep-caveated)","why":"DEMOTED from scored (2026-06-17). It WAS the lone FDR survivor on the shallow 2023-2025 window (IC +0.038, q=0.077) and shipped as a scored leg \u2014 but a deep 2011-2026 re-validation (survivorship-OPTIMISTIC, the one bias that helps a factor) collapses it to ~zero: IC 0.0005, HAC t 0.06, quintile L/S Sharpe 0.09. The win was a ~2.5y-window artifact (PEAD post-publication decay). Still computed/shown on factors.html with the deep caveat; a clean delisting-recovered deep panel could revisit.","why_zh":"\u5df2\u4ece\u201c\u8ba1\u5206\u201d\u964d\u7ea7\uff082026-06-17\uff09\u3002\u5b83\u66fe\u662f\u6d45\u7a97\u53e3\uff082023-2025\uff09\u552f\u4e00\u901a\u8fc7 FDR \u7684\u6b63\u5411\u56e0\u5b50\uff08IC +0.038\uff0cq=0.077\uff09\u5e76\u4f5c\u4e3a\u8ba1\u5206\u817f\u4e0a\u7ebf\uff0c\u4f46\u6df1\u5ea6 2011-2026 \u590d\u9a8c\uff08\u4e14\u5bf9\u56e0\u5b50\u6709\u5229\u7684\u5e78\u5b58\u8005\u504f\u5dee\u4e0b\uff09\u5c06\u5176\u538b\u81f3\u63a5\u8fd1\u96f6\uff1aIC 0.0005\u3001HAC t 0.06\u3001\u4e94\u5206\u4f4d\u591a\u7a7a\u590f\u666e 0.09\u3002\u8be5\u80dc\u51fa\u53ea\u662f\u7ea62.5\u5e74\u7a97\u53e3\u7684\u4ea7\u7269\uff08\u76c8\u5229\u516c\u5e03\u540e\u6f02\u79fb\u7684\u53d1\u8868\u540e\u8870\u51cf\uff09\u3002\u4ecd\u5728 factors.html \u5c55\u793a\u4f46\u9644\u6df1\u5ea6\u8b66\u793a\u3002","source":"sue-deep-history-phase0.md / factor-ic-scorecard.md / PR #35","extra":[["shallow 2023-2025 (was scored)","IC 0.038, q 0.047, L/S Sharpe 1.45"],["deep 2011-2026 (surv-opt.)","IC 0.0005 \u00b7 t 0.06 \u00b7 L/S Sharpe 0.09 \u2192 edge GONE"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"sue-standardized-unexpected-earnings-earnings-momentum","source_refs":[{"ref":"sue-deep-history-phase0.md","exists":true},{"ref":"factor-ic-scorecard.md","exists":true}]},{"name":"Cross-asset TSMOM trend (managed-futures style)","name_zh":"\u8de8\u8d44\u4ea7\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\uff08\u8d8b\u52bf\uff09","market":"Cross-asset","tier":"display","horizon":"trend","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.795,"sharpe":0.54,"hit":null,"n":null,"fdr_survivor":null,"wired":"crossasset.html (regime read)","why":"Leverage-free time-series momentum over 10 keyless legs. After 8bps cost the diversified Sharpe (0.54) only matches buy&hold (0.56); permutation-null skill p=0.008 but Deflated Sharpe 0.80 < 0.90 \u2192 does NOT clear the gate. Shipped as a CONTESTED regime read, never a strategy.","why_zh":"\u5bf9 10 \u6761\u65e0\u5bc6\u94a5\u817f\u7684\u6760\u6746\u81ea\u7531\u65f6\u95f4\u5e8f\u5217\u52a8\u91cf\u3002\u6263 8bps \u6210\u672c\u540e\u591a\u5143\u590f\u666e(0.54)\u4ec5\u4e0e\u4e70\u5165\u6301\u6709(0.56)\u6301\u5e73\uff1b\u7f6e\u6362\u96f6\u5047\u8bbe\u6280\u80fd p=0.008\uff0c\u4f46\u53bb\u504f\u590f\u666e 0.80<0.90 \u2192 \u672a\u901a\u8fc7\u95e8\u69db\u3002\u4f5c\u4e3a\u6709\u4e89\u8bae\u7684\u4f53\u5236\u8bfb\u6570\uff0c\u800c\u975e\u7b56\u7565\u3002","source":"cross-asset-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"cross-asset-tsmom-trend-managed-futures-style","source_refs":[{"ref":"cross-asset-phase0.md","exists":true}]},{"name":"Fund crowding / 13F concentration","name_zh":"\u57fa\u91d1\u62e5\u6324\u5ea6 / 13F \u96c6\u4e2d\u5ea6","market":"US S&P1500","tier":"display","horizon":"\u2014","ic":null,"ic_ir":null,"t_hac":-2.32,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"display chip","why":"Cross-fund VIP overlap + holder Herfindahl. The contrarian 'sharper-pullback' context only reaches |t|=2.3 full-sample (H1 just \u22121.33) and short interest has no PIT history \u2192 un-backtestable. Display context, never scored.","why_zh":"\u8de8\u57fa\u91d1 VIP \u91cd\u53e0 + \u6301\u6709\u4eba\u8d6b\u82ac\u8fbe\u5c14\u3002\u9006\u5411\u201c\u66f4\u6df1\u56de\u64a4\u201d\u80cc\u666f\u5168\u6837\u672c\u4ec5 |t|=2.3\uff08H1 \u4ec5 \u22121.33\uff09\uff0c\u4e14\u505a\u7a7a\u6570\u636e\u65e0\u65f6\u70b9\u5386\u53f2 \u2192 \u65e0\u6cd5\u56de\u6d4b\u3002\u4ec5\u4f5c\u80cc\u666f\uff0c\u4ece\u4e0d\u8ba1\u5206\u3002","source":"fund-crowding-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"fund-crowding-13f-concentration","source_refs":[{"ref":"fund-crowding-phase0.md","exists":true}]},{"name":"Narrative regime (news text-uncertainty)","name_zh":"\u53d9\u4e8b\u4f53\u5236\uff08\u65b0\u95fb\u6587\u672c\u4e0d\u786e\u5b9a\u6027\uff09","market":"US macro","tier":"display","horizon":"fwd vol","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"macro.html banner (\u00d71.0)","why":"Raw news text-uncertainty does read forward vol (IC +0.06\u20130.11) \u2014 but VIX dominates (IC +0.67\u20130.73) and the INCREMENTAL signal over VIX is not significant. NO-GO as a scored conditioner; ships as a display banner with its gate multiplier pinned to 1.0.","why_zh":"\u539f\u59cb\u65b0\u95fb\u6587\u672c\u4e0d\u786e\u5b9a\u6027\u786e\u5b9e\u8bfb\u5230\u524d\u77bb\u6ce2\u52a8\uff08IC +0.06\u20130.11\uff09\u2014 \u4f46 VIX \u5360\u4e3b\u5bfc\uff08IC +0.67\u20130.73\uff09\uff0c\u4e14\u76f8\u5bf9 VIX \u7684\u589e\u91cf\u4e0d\u663e\u8457\u3002\u4e0d\u4f5c\u4e3a\u8ba1\u5206\u8c03\u8282\u5668\uff1b\u4f5c\u4e3a\u5c55\u793a\u6a2a\u5e45\uff0c\u95e8\u63a7\u4e58\u6570\u56fa\u5b9a\u4e3a 1.0\u3002","source":"narrative-regime-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"narrative-regime-news-text-uncertainty","source_refs":[{"ref":"narrative-regime-phase0.md","exists":true}]},{"name":"Credit-carry & duration-timing yield harvesters","name_zh":"\u4fe1\u7528\u5957\u606f\u4e0e\u4e45\u671f\u62e9\u65f6\u6536\u76ca\u6536\u5272","market":"US rates / credit","tier":"display","horizon":"allocation (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"strategies.html cards (LIVE) \u2014 display/research lens","why":"Drawdown-context yield timers, downgraded to display. Credit Carry cuts MaxDD \u221214.7% vs \u221234.2% B&H (DSR 0.96 survives) but a dumb 150-250d SMA on HY DOMINATES it on Sharpe (overlay 0.745 < naive 0.822) \u2014 a redundancy kill, its drawdown claim is subsumed. Duration Timing alone would merit confirmer (MaxDD \u221218.1% vs \u221248.4%, beats baselines, survives leave-one-crisis-out) but DSR 0.83<0.90 and it is a one-crisis-2022 story. BOTH give up CAGR vs B&H (excess return negative) \u2014 left-tail context only, honest-N ~5-6 crises not 5-6k autocorrelated rows.","why_zh":"\u56de\u64a4\u60c5\u666f\u7684\u6536\u76ca\u62e9\u65f6\u5668\uff0c\u964d\u7ea7\u4e3a\u4ec5\u5c55\u793a\u3002\u4fe1\u7528\u5957\u606f\u88ab\u4e00\u6761\u6734\u7d20 HY \u5747\u7ebf\u5728\u590f\u666e\u4e0a\u538b\u5236\uff08\u5197\u4f59\u5426\u51b3\uff09\uff1b\u4e45\u671f DSR 0.83 \u4e14\u4ec52022\u5355\u4e00\u5371\u673a\u3002\u4e24\u8005\u76f8\u5bf9\u4e70\u5165\u6301\u6709\u90fd\u8ba9\u51fa CAGR\u2014\u2014\u4ec5\u4f5c\u5de6\u5c3e\u60c5\u666f\u3002","source":"credit-duration-verify-phase0.md (+ adversarial-refutation); reports/{credit-carry,duration-timing}-phase0.md","extra":[["Credit DSR / Sharpe","0.96 but 0.745 < dumb-200dma 0.822 (LOSES)"],["Duration DSR","0.83 (<0.90), one-crisis 2022"],["both","give up CAGR vs B&H"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"credit-carry-duration-timing-yield-harvesters","source_refs":[{"ref":"credit-duration-verify-phase0.md","exists":true},{"ref":"-phase0.md","exists":false}]},{"name":"Turn-of-month equity seasonal","name_zh":"\u6708\u672b\u6362\u6708\u5b63\u8282\u6027","market":"US equity","tier":"display","horizon":"seasonal (calendar)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped \u2014 display-only seasonal lens","why":"The famous turn-of-month calendar effect (hold last trading day + first 3, bills otherwise). Real on the 1927-2026 _GSPC full sample (Sharpe 0.93 vs 0.42, MaxDD \u221232% vs \u221286%, DSR ~1.0, beats 200dma + placebos) \u2014 but that full-sample DSR is a classic pre-publication DATA-MINED artifact: the edge concentrated PRE-2000 and decayed post-publication (Ariel/Lakonishok-Smidt/McConnell-Xu). Post-2010 SPY TOM LOSES on Sharpe (0.65 vs 0.86) and surrenders ~9pp CAGR; on tradeable SPY it fails leave-one-crisis-out and both-halves-beat-B&H, modern Sharpe inside the 73-89th-pctile noise band. The only surviving modern benefit is unconditional drawdown reduction from sitting in bills ~81% of days \u2014 not a forward edge. Display calendar curiosity.","why_zh":"\u8457\u540d\u7684\u6708\u672b\u6362\u6708\u6548\u5e94\u30021927-2026 \u5168\u6837\u672c\u770b\u4f3c\u5f3a\uff08\u590f\u666e 0.93 \u5bf9 0.42\uff0cDSR\u22481.0\uff09\uff0c\u4f46\u8fd9\u662f\u53d1\u8868\u524d\u6570\u636e\u6316\u6398\u7684\u4ea7\u7269\u2014\u2014\u8fb9\u9645\u96c6\u4e2d\u4e8e2000\u5e74\u524d\u5e76\u5728\u53d1\u8868\u540e\u8870\u51cf\u30022010\u5e74\u540e\u5728\u53ef\u4ea4\u6613\u7684 SPY \u4e0a\u590f\u666e\u53cd\u800c\u843d\u540e\u3001CAGR \u8ba9\u51fa\u7ea69pp\u3002\u552f\u4e00\u73b0\u4ee3\u6536\u76ca\u662f\u7a7a\u4ed3\u7ea681%\u5e26\u6765\u7684\u56de\u64a4\u4e0b\u964d\uff0c\u5e76\u975e\u524d\u77bb\u8fb9\u9645\u3002","source":"turn-of-month-phase0.md (scripts/turn_of_month_phase0.py); data/yahoo/_GSPC.parquet","extra":[["DSR","1.0 full (artifact) / 0.836 post-2000 (FAILS)"],["post-2010 SPY","Sharpe 0.65 < B&H 0.86, CAGR \u22129pp"],["modern","noise-band 73-89th pctile"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"turn-of-month-equity-seasonal","source_refs":[{"ref":"turn-of-month-phase0.md","exists":true}]},{"name":"Stationarized HY-OAS 252d-z de-risk timer","name_zh":"\u5e73\u7a33\u5316 HY-OAS 252\u65e5 z \u964d\u9669\u62e9\u65f6","market":"US macro / credit","tier":"display","horizon":"overlay (daily)","ic":-0.301,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped \u2014 graveyard/research lens (redundant with level)","why":"A stationary 252d rolling-z of the HY-OAS de-risk overlay. Split-half stable, DSR 0.978, FDR q=0 \u2014 but those are COINCIDENT-credit artifacts (HY-OAS is ~0.6-0.7 contemporaneously rank-correlated with realized drawdown, so ANY transform survives). REDUNDANT with the incumbent HY-OAS LEVEL pct-rank: partial-IC(z252 | LEVEL) = \u22120.013 (~zero residual) vs partial-IC(LEVEL | z252) = \u22120.316, and strictly WORSE on every axis (Sharpe 0.65<0.77, MaxDD \u221250.8%>\u221222.5%). The z normalizes away the persistence that defines a credit crisis \u2192 de-risk benefit is ~entirely the single 2008 episode (fails leave-one-crisis-out, honest-N ~1), and a truly-causal expanding-quantile variant makes the benefit VANISH (the docstring's causal claim was an in-sample-threshold lookahead artifact). The level, not its z-score, carries the signal.","why_zh":"HY-OAS \u7684\u5e73\u7a33 252\u65e5 z \u964d\u9669\u53e0\u52a0\u3002\u770b\u4f3c\u7a33\u5065\uff08DSR 0.978\u3001q=0\uff09\uff0c\u4f46\u5c5e\u540c\u671f\u4fe1\u7528\u4f2a\u8ff9\uff08\u4efb\u610f\u53d8\u6362\u90fd\u80fd\u8fc7\uff09\u3002\u4e0e\u73b0\u6709 LEVEL \u5206\u4f4d\u5197\u4f59\uff08\u6b8b\u5dee\u504f\u76f8\u5173 \u22480\uff09\u4e14\u5404\u7ef4\u66f4\u5dee\uff1b\u5176\u964d\u9669\u51e0\u4e4e\u5168\u97602008\u5355\u4e00\u5371\u673a\uff0c\u771f\u6b63\u56e0\u679c\u5206\u4f4d\u53d8\u4f53\u4e0b\u6536\u76ca\u6d88\u5931\u3002\u662f\u6c34\u5e73\u800c\u975e\u5176 z \u643a\u5e26\u4fe1\u53f7\u3002","source":"hyoas-z-timer-phase0.md (scripts/hyoas_z_timer_phase0.py); data/archive/BAMLH0A0HYM2.parquet","extra":[["partial-IC over incumbent","\u22480 (\u22120.013)"],["vs incumbent","Sharpe 0.65<0.77, MaxDD \u221250.8%>\u221222.5%"],["de-risk","~one 2008 crisis; causal variant VANISHES"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"stationarized-hy-oas-252d-z-de-risk-timer","source_refs":[{"ref":"hyoas-z-timer-phase0.md","exists":true}]},{"name":"Cross-sectional commodity carry / basis","name_zh":"\u6a2a\u622a\u9762\u5546\u54c1 carry\uff0f\u57fa\u5dee","market":"Commodity","tier":"display","horizon":"\u2014","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped \u2014 un-backtestable on free data (needs dated-history vendor)","why":"The storage-theory carry premium (long backwardation / short contango; ~81bps/mo t~4 in the literature; the team's own note: total-return basis IC +0.15) is real \u2014 but UN-BACKTESTABLE on free data, so NO edge is claimed here. yfinance DELETES expired dated contracts (CLZ24 \u2192 404, verified), so a clean continuous adjacent-month basis chain cannot be built; the only constructible series uses a far/sticky ~24mo deferred leg whose basis is dominated by the front PRICE LEVEL (which mean-reverts) \u2014 a confound whose forward IC is significant but WRONG-SIGN (\u22120.16 @21d) and whose L/S loses to both dumb baselines. The clean deep EIA WTI c1-c4 (41y) confirms carry is a CROSS-SECTIONAL premium, not single-name timing. A genuine test needs a dated-history vendor (CME / Bloomberg / Quandl-Stevens) carrying expired contracts. Shown to document the data gap + the path \u2014 not an edge.","why_zh":"\u4ed3\u50a8\u7406\u8bba\u7684 carry \u6ea2\u4ef7\uff08\u591a\u5347\u6c34\u7a7a\u8d34\u6c34\uff0c\u6587\u732e ~81bps/\u6708\uff1b\u56e2\u961f\u81ea\u6709\u8bb0\u5f55 \u603b\u56de\u62a5\u57fa\u5dee IC +0.15\uff09\u771f\u5b9e\u5b58\u5728\uff0c\u4f46\u5728\u514d\u8d39\u6570\u636e\u4e0a\u65e0\u6cd5\u56de\u6d4b\uff0c\u6545\u6b64\u5904\u4e0d\u4e3b\u5f20\u4efb\u4f55\u8fb9\u9645\u3002yfinance \u5220\u9664\u5230\u671f\u5408\u7ea6\uff0c\u65e0\u6cd5\u6784\u5efa\u5e72\u51c0\u7684\u76f8\u90bb\u6708\u57fa\u5dee\u94fe\uff1b\u552f\u4e00\u53ef\u6784\u5efa\u7684\u8fdc\u6708\u4ee3\u7406\u88ab\u524d\u7aef\u4ef7\u683c\u6c34\u5e73\u6df7\u6dc6\uff08\u7b26\u53f7\u76f8\u53cd\uff09\u3002\u771f\u6b63\u68c0\u9a8c\u9700\u5e26\u5386\u53f2\u5230\u671f\u5408\u7ea6\u7684\u4ed8\u8d39\u6570\u636e\u6e90\u3002\u4ec5\u8bb0\u5f55\u6570\u636e\u7f3a\u53e3\u4e0e\u8def\u5f84\u3002","source":"commodity-xsec-carry-phase0.md (scripts/commodity_xsec_carry_phase0.py); EIA WTI c1-c4 41y","extra":[["blocker","yahoo deletes expired contracts \u2192 no clean basis chain"],["constructible proxy","front-price-level confound, wrong-sign IC \u22120.16"],["path","CME / Bloomberg / Quandl-Stevens expired-contract history"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"cross-sectional-commodity-carry-basis","source_refs":[{"ref":"commodity-xsec-carry-phase0.md","exists":true}]},{"name":"China per-name global-beta size-dampener  (C1 \u2014 the v1 flagship)","name_zh":"\u4e2d\u56fd\u4e2a\u80a1\u5168\u7403\u8d1d\u5854\u4ed3\u4f4d\u6291\u5236\u5668\uff08C1 \u2014 v1 \u65d7\u8230\uff09","market":"China A","tier":"display","horizon":"21/42d fwd drawdown","ic":-0.169,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired \u2014 CONTEXT (measured weaker than HK; dampener mechanism refuted)","why":"MEASURED and REFUTED as a de-risk timing signal (W2). Port of hk_global_beta to the A-share panel: causal 252d beta to S&P-500 (overnight-lagged), Vasicek-shrunk. Transmission is HALF of HK's \u2014 HK/China ratio ~2.4\u00d7 (HK SPY-beta 0.49 vs CSI300 0.20), exactly the china_global_factors prior. The per-name beta\u2192forward-drawdown link is real but UNCONDITIONAL (rank-IC \u22120.17, t\u2248\u221213; orthogonality vs the CN RORO PASSES) \u2014 beta is beta. The specific dampener MECHANISM fails: conditioning on the global risk state being off makes the hi-minus-lo drawdown spread WEAKER, not stronger (off \u22122.3pp vs on \u22122.9pp; incremental +0.6pp, wrong sign). Crisis-count effective-N=1 (the ~5y china_search panel spans only the 2022 rate bear), DSR\u22480, ES-ex-top3 negative. CONTEXT, weight_cap 0, kill=True \u2014 NOT wired into china_name_score._tailwind.","why_zh":"\u5df2\u6d4b\u91cf\u5e76\u5426\u51b3\u5176\u4f5c\u4e3a\u964d\u9669\u62e9\u65f6\u4fe1\u53f7\uff08W2\uff09\u3002\u5c06 hk_global_beta \u79fb\u690d\u5230 A \u80a1\u9762\u677f\uff1a\u5bf9\u6807\u666e500\uff08\u9694\u591c\u6ede\u540e\uff09\u7684\u56e0\u679c252\u65e5\u8d1d\u5854\uff0cVasicek \u6536\u7f29\u3002\u4f20\u5bfc\u4ec5\u4e3a\u9999\u6e2f\u7684\u4e00\u534a\u2014\u2014\u6e2f/\u534e\u6bd4\u7ea6 2.4\u00d7\uff08\u6e2f SPY-\u8d1d\u5854 0.49 \u5bf9 \u6caa\u6df1300 0.20\uff09\uff0c\u6b63\u5408 china_global_factors \u5148\u9a8c\u3002\u4e2a\u80a1\u8d1d\u5854\u2192\u524d\u77bb\u56de\u64a4\u5173\u7cfb\u771f\u5b9e\u4f46\u65e0\u6761\u4ef6\uff08\u79e9IC \u22120.17\uff0ct\u2248\u221213\uff1b\u76f8\u5bf9\u4e2d\u56fdRORO\u6b63\u4ea4\u901a\u8fc7\uff09\u2014\u2014\u8d1d\u5854\u5c31\u662f\u8d1d\u5854\u3002\u5177\u4f53\u6291\u5236\u5668\u673a\u5236\u5931\u8d25\uff1a\u4ee5\u5168\u7403\u98ce\u9669\u72b6\u6001\u8f6c\u5f31\u4e3a\u6761\u4ef6\u53cd\u800c\u4f7f\u9ad8\u51cf\u4f4e\u56de\u64a4\u4ef7\u5dee\u66f4\u5f31\uff08\u98ce\u9669\u5173 \u22122.3pp \u5bf9 \u98ce\u9669\u5f00 \u22122.9pp\uff1b\u589e\u91cf +0.6pp\uff0c\u7b26\u53f7\u76f8\u53cd\uff09\u3002\u5371\u673a\u8ba1\u6570\u6709\u6548N=1\uff08\u7ea65\u5e74\u9762\u677f\u4ec5\u542b2022\u5229\u7387\u718a\u5e02\uff09\uff0cDSR\u22480\uff0c\u5254\u9664\u524d\u4e09ES\u4e3a\u8d1f\u3002CONTEXT\uff0c\u6743\u91cd\u4e0a\u96500\uff0ckill=True\u2014\u2014\u672a\u63a5\u5165 china_name_score._tailwind\u3002","source":"scripts/c1_cn_global_beta.py + scripts/intl_phase0.py (grade); engine/cn_global_beta.py; data/intl_bridge/ledger.json (C1)","extra":[["HK/China transmission","~2.4\u00d7 (HK 0.49 vs CSI300 0.20 SPY-beta)"],["beta\u2192DD rank-IC","\u22120.17 (t\u2248\u221213, unconditional)"],["RORO-conditional edge","+0.6pp (WRONG sign \u2014 dampener refuted)"],["crisis effective-N","1 (panel ~5y, 2022 bear only)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"china-per-name-global-beta-size-dampener-c1-the-v1-flagship","source_refs":[]},{"name":"Intl macro de-risk sleeve  (pooled JP/EZ/GB \u2192 US book \u2014 C2)","name_zh":"\u56fd\u9645\u5b8f\u89c2\u964d\u9669\u7ec4\u5408\uff08JP/EZ/GB \u2192 \u7f8e\u56fd \u2014 C2\uff09","market":"Intl macro","tier":"display","horizon":"21/42d fwd drawdown","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.8282,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired \u2014 CONTEXT (DSR 0.83 < 0.90 door; residual DD-content vs US legs marginal)","why":"W2 VERDICT: CONTEXT \u2014 do NOT wire. The prior DSR 0.9978 was the pooled INTL sleeve predicting INTL drawdowns. C2 graded the DECLARED target \u2014 US SPY forward drawdown \u2014 through the two gates the prior never ran: orthogonality vs the 5 US MRS legs + crisis-independent ES. On the honest fully-specified window (2002-05, first date all three markets carry all declared legs \u2014 no look-ahead), the sleeve-gated SPY strategy's deflated Sharpe is 0.83, BELOW the 0.90 promotion door, and its residual forward-DD content after partialing out the US legs is marginal and window-fragile (Spearman \u22120.03..\u22120.17). It DOES cut SPY MaxDD modestly (\u221250.1% vs \u221256.8% B&H) but that overlaps NFCI/liquidity/recession \u2014 no ORTHOGONAL edge that clears the door. A truthful negative: against the US book the intl sleeve adds nothing the 5 US MRS legs don't already carry.","why_zh":"W2 \u7ed3\u8bba\uff1aCONTEXT\u2014\u2014\u4e0d\u63a5\u7ebf\u3002\u6b64\u524d DSR 0.9978 \u662f\u5408\u5e76\u56fd\u9645\u7ec4\u5408\u9884\u6d4b\u56fd\u9645\u56de\u64a4\u3002C2 \u9488\u5bf9\u9884\u6ce8\u518c\u76ee\u6807\uff08\u7f8e\u56fd SPY \u524d\u77bb\u56de\u64a4\uff09\u8fd0\u884c\u4e86\u5148\u524d\u4ece\u672a\u8dd1\u8fc7\u7684\u4e24\u9053\u95e8\uff1a\u76f8\u5bf95\u6761\u7f8e\u56fdMRS\u817f\u7684\u6b63\u4ea4\u6027 + \u5371\u673a\u65e0\u5173\u671f\u671b\u635f\u5931\u3002\u5728\u8bda\u5b9e\u7684\u5b8c\u6574\u89c4\u683c\u7a97\u53e3\uff082002-05\uff0c\u4e09\u5e02\u573a\u9996\u6b21\u5168\u90e8\u643a\u5e26\u5168\u90e8\u58f0\u660e\u817f\u2014\u2014\u65e0\u524d\u89c6\uff09\uff0c\u7ec4\u5408\u95e8\u63a7 SPY \u7b56\u7565\u7684\u53bb\u504f\u590f\u666e\u4e3a 0.83\uff0c\u4f4e\u4e8e 0.90 \u664b\u5347\u95e8\uff1b\u5254\u9664\u7f8e\u56fd\u817f\u540e\u7684\u6b8b\u5dee\u524d\u77bb\u56de\u64a4\u542b\u91cf\u5fae\u5f31\u4e14\u968f\u7a97\u53e3\u6f02\u79fb\uff08\u65af\u76ae\u5c14\u66fc \u22120.03..\u22120.17\uff09\u3002\u5b83\u786e\u5b9e\u5c0f\u5e45\u524a\u51cf SPY \u56de\u64a4\uff08\u221250.1% \u5bf9 \u221256.8%\uff09\uff0c\u4f46\u4e0e NFCI/\u6d41\u52a8\u6027/\u8870\u9000\u91cd\u53e0\u2014\u2014\u65e0\u53ef\u8fc7\u95e8\u7684\u6b63\u4ea4\u8fb9\u9645\u3002\u8bda\u5b9e\u7684\u8d1f\u9762\u7ed3\u8bba\uff1a\u76f8\u5bf9\u7f8e\u56fd\u672c\u518c\uff0c\u56fd\u9645\u7ec4\u5408\u5e76\u672a\u65b0\u589e\u5185\u5bb9\u3002","source":"reports/intl-macro-sleeve-phase0.md; scripts/intl_phase0.py build_c2_sleeve; data/intl_bridge/ledger.json (C2)","extra":[["US-book DSR","0.83 (< 0.90 door)"],["residual DD IC vs US legs","\u22120.03..\u22120.17 (fragile)"],["SPY MaxDD cut","\u221250.1% vs \u221256.8% B&H (overlaps NFCI/liq)"],["prior (INTL vs INTL)","DSR 0.9978 \u2014 a different, easier test"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"intl-macro-de-risk-sleeve-pooled-jp-ez-gb-us-book-c2","source_refs":[{"ref":"reports/intl-macro-sleeve-phase0.md","exists":true}]},{"name":"CNH offshore-onshore basis  (2nd China RORO leg? \u2014 C4c \u2014 INVERTED)","name_zh":"CNH \u79bb\u5cb8-\u5728\u5cb8\u57fa\u5dee\uff08\u7b2c\u4e8c\u6761\u4e2d\u56fd RORO \u817f\uff1f \u2014 C4c \u2014 \u5df2\u53cd\u8f6c\uff09","market":"China / RORO","tier":"display","horizon":"21/42d fwd drawdown (FXI)","ic":0.0003,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.0013,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired \u2014 INVERTED (wrong-signed residual vs existing raw usdcnh RORO leg)","why":"INVERTED \u2014 do NOT wire. Tested whether the offshore-minus-onshore CNH basis (a funding-stress spread) adds orthogonal de-risk content beside the EXISTING raw usdcnh RORO leg (offshore 20d move). It does not: graded at 42d DD vs FXI, rank-IC ~0.0003 (null), split-half sign-FLIPS, DSR 0.0013, and \u2014 the decider \u2014 the residual after partialing out the raw usdcnh leg is WRONG-SIGNED (+0.121: wider basis \u2192 SHALLOWER forward drawdown), with negative crisis-independent ES (\u22120.0095). USDCNH history is short (2013+, ~2 China bears). Respecting W2-C1 (CN RORO legs already carry beta content), a second basis leg double-counts. china_conditions RORO frame UNCHANGED \u2014 no leg added.","why_zh":"\u5df2\u53cd\u8f6c\u2014\u2014\u8bf7\u52ff\u63a5\u5165\u3002\u6d4b\u8bd5 CNH \u79bb\u5cb8\u51cf\u5728\u5cb8\u57fa\u5dee\uff08\u878d\u8d44\u538b\u529b\u4ef7\u5dee\uff09\u662f\u5426\u5728\u73b0\u6709\u539f\u59cb usdcnh RORO \u817f\uff08\u79bb\u5cb820\u65e5\u52a8\u91cf\uff09\u4e4b\u5916\u65b0\u589e\u6b63\u4ea4\u964d\u9669\u5185\u5bb9\u3002\u5e76\u672a\uff1a\u5bf9 FXI 42\u65e5\u56de\u64a4\u8bc4\u5206\uff0c\u79e9\u76f8\u5173 ~0.0003\uff08\u65e0\u6548\uff09\uff0c\u4e24\u534a\u7b26\u53f7\u7ffb\u8f6c\uff0cDSR 0.0013\uff0c\u4e14\u2014\u2014\u51b3\u5b9a\u9879\u2014\u2014\u5254\u9664\u539f\u59cb usdcnh \u817f\u540e\u7684\u6b8b\u5dee\u7b26\u53f7\u9519\u8bef\uff08+0.121\uff1a\u57fa\u5dee\u8d8a\u5bbd\u2192\u672a\u6765\u56de\u64a4\u8d8a\u6d45\uff09\uff0c\u53bb\u5371\u673a\u671f\u671b\u635f\u5931\u4e3a\u8d1f\uff08\u22120.0095\uff09\u3002USDCNH \u5386\u53f2\u77ed\uff082013+\uff0c\u7ea62\u6b21\u4e2d\u56fd\u718a\u5e02\uff09\u3002\u9075\u5faa W2-C1\uff08\u4e2d\u56fd RORO \u817f\u5df2\u542b\u8d1d\u5854\u5185\u5bb9\uff09\uff0c\u7b2c\u4e8c\u6761\u57fa\u5dee\u817f\u91cd\u590d\u8ba1\u6570\u3002china_conditions RORO \u6846\u67b6\u672a\u53d8\u2014\u2014\u672a\u52a0\u817f\u3002","source":"reports/forex-reer-n1-phase0.md (W3-C4c CNH-basis section); data/intl_bridge/ledger.json (c4_cnh_basis); scripts/c4_cnh_basis.py + scripts/intl_phase0.py (grade)","extra":[["residual vs raw usdcnh leg","+0.121 (WRONG sign for a de-risk leg)"],["rank-IC vs FXI fwd DD","~0 (0.0003); split-half sign-flips"],["crisis-indep ES","\u22120.0095 (fails)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"cnh-offshore-onshore-basis-2nd-china-roro-leg-c4c-inverted","source_refs":[{"ref":"reports/forex-reer-n1-phase0.md","exists":false}]},{"name":"Global cost-of-capital de-risk leg  (global 10y + US premium \u2014 C5)","name_zh":"\u5168\u7403\u8d44\u672c\u6210\u672c\u964d\u9669\u817f\uff08\u5168\u740310\u5e74\u671f + \u7f8e\u56fd\u6ea2\u4ef7 \u2014 C5\uff09","market":"Global rates","tier":"display","horizon":"21/42d fwd drawdown","ic":-0.064,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.9797,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired \u2014 CONTEXT (global 10y \u2248 US 10y, corr 0.948; DD-cut not cost-justified)","why":"W3 VERDICT: CONTEXT \u2014 do NOT wire. The GDP-weighted global 10y level + US-vs-world premium are reconstructed causally by engine.global_rates from the sovereign 10y roster (the display card dead-ends both in bond_health.json with no history \u2014 INTL-15). The honest prior \u2014 the global 10y is ~US 10y + noise \u2014 is confirmed by MEASUREMENT: the C5 global-10y rise signal correlates 0.948 with the US-only 10y momentum (US is a 0.42-weight roster leg), so it carries no orthogonal duration edge over the existing US curve/credit MRS legs. The binding gate is drawdown-reduction over the signal-active era (from 1963): the long/flat strategy cuts SPY MaxDD only 1.1pp (\u221255.7% vs \u221256.8% B&H) while HALVING total return (Calmar 0.115 < 0.137 B&H \u2014 not cost-justified). DSR 0.98 is SPY drift, not an edge. weight_cap 0, kill=True \u2014 conditions._macro_risk_legs UNCHANGED.","why_zh":"W3 \u7ed3\u8bba\uff1aCONTEXT\u2014\u2014\u4e0d\u63a5\u7ebf\u3002GDP\u52a0\u6743\u5168\u740310\u5e74\u671f\u6c34\u5e73 + \u7f8e\u56fd\u5bf9\u4e16\u754c\u6ea2\u4ef7\u7531 engine.global_rates \u4ece\u4e3b\u674310\u5e74\u671f\u540d\u5355\u56e0\u679c\u91cd\u5efa\uff08\u5c55\u793a\u5361\u5c06\u4e24\u8005\u56f0\u5728 bond_health.json \u65e0\u5386\u53f2\u2014\u2014INTL-15\uff09\u3002\u8bda\u5b9e\u5148\u9a8c\u2014\u2014\u5168\u740310\u5e74\u671f\u2248\u7f8e\u56fd10\u5e74\u671f+\u566a\u58f0\u2014\u2014\u7ecf\u6d4b\u91cf\u786e\u8ba4\uff1aC5 \u5168\u740310\u5e74\u671f\u4e0a\u884c\u4fe1\u53f7\u4e0e\u7eaf\u7f8e\u56fd10\u5e74\u671f\u52a8\u91cf\u76f8\u5173 0.948\uff08\u7f8e\u56fd\u5360\u540d\u53550.42\u6743\u91cd\uff09\uff0c\u6545\u76f8\u5bf9\u73b0\u6709\u7f8e\u56fd\u66f2\u7ebf/\u4fe1\u7528MRS\u817f\u65e0\u6b63\u4ea4\u4e45\u671f\u8fb9\u9645\u3002\u7ea6\u675f\u95e8\u4e3a\u964d\u9669\u65f6\u4ee3\uff08\u81ea1963\u8d77\uff09\u7684\u56de\u64a4\u524a\u51cf\uff1a\u591a/\u7a7a\u7b56\u7565\u4ec5\u524a\u51cf SPY \u56de\u64a4 1.1pp\uff08\u221255.7% \u5bf9 \u221256.8%\uff09\uff0c\u5374\u4f7f\u603b\u56de\u62a5\u8170\u65a9\uff08Calmar 0.115 < 0.137\uff0c\u4e0d\u5212\u7b97\uff09\u3002DSR 0.98 \u662f SPY \u6f02\u79fb\uff0c\u975e\u8fb9\u9645\u3002\u6743\u91cd\u4e0a\u96500\uff0ckill=True\u2014\u2014conditions._macro_risk_legs \u672a\u53d8\u3002","source":"scripts/c5_global_rates.py + scripts/intl_phase0.py (grade, W3 C5); engine/global_rates.py; data/intl_bridge/ledger.json (C5)","extra":[["global-10y vs US-10y mom corr","0.948 (\u2248 US 10y + noise)"],["residual DD partial vs US legs","\u22120.129 (survives but weak)"],["SPY MaxDD cut (signal era)","+1.1pp (\u221255.7% vs \u221256.8% B&H)"],["Calmar strat vs B&H","0.115 < 0.137 (return halved \u2014 not cost-justified)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"global-cost-of-capital-de-risk-leg-global-10y-us-premium-c5","source_refs":[]},{"name":"Cross-asset leading-caution votes booster  (credit+rates-vol+dollar \u2014 C8)","name_zh":"\u8de8\u8d44\u4ea7\u9886\u5148\u8b66\u6212\u7968\u589e\u5f3a\u5668\uff08\u4fe1\u7528+\u5229\u7387\u6ce2\u52a8+\u7f8e\u5143 \u2014 C8\uff09","market":"Cross-asset","tier":"display","horizon":"21/42d fwd drawdown","ic":-0.047,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.981,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired \u2014 CONTEXT (votes \u2248 nfci/recession legs; DD-cut below door + return-killing)","why":"W3 VERDICT: CONTEXT \u2014 do NOT wire. The three cross-asset caution votes (credit HY-band/widening, rates-vol MOVE-band/leads-VIX, dollar risk-off bid) are reconstructed causally from their on-disk inputs (no vote history on disk \u2014 INTL-46). The votes>=2 while-equities-calm 'diverge' booster is CONTEXT on two counts: the credit/rates-vol votes are near-duplicates of the nfci/recession MRS legs (residual DD partial only \u22120.090), and over the signal-active era (from 2007) the de-risk strategy cuts SPY MaxDD only 0.6pp (\u221256.2% vs \u221256.8% B&H \u2014 below the 1pp door) while cratering return (Calmar 0.105 < 0.153 B&H). It flattens out of good days without avoiding the bad ones. DSR 0.98 is SPY drift. weight_cap 0, kill=True \u2014 conditions._macro_risk_legs UNCHANGED.","why_zh":"W3 \u7ed3\u8bba\uff1aCONTEXT\u2014\u2014\u4e0d\u63a5\u7ebf\u3002\u4e09\u5f20\u8de8\u8d44\u4ea7\u8b66\u6212\u7968\uff08\u4fe1\u7528 HY \u5e26/\u8d70\u9614\u3001\u5229\u7387\u6ce2\u52a8 MOVE \u5e26/\u9886\u5148VIX\u3001\u7f8e\u5143\u907f\u9669\u4e70\u76d8\uff09\u4ece\u78c1\u76d8\u8f93\u5165\u56e0\u679c\u91cd\u5efa\uff08\u78c1\u76d8\u65e0\u6295\u7968\u5386\u53f2\u2014\u2014INTL-46\uff09\u3002\u7968\u6570\u22652 \u4e14\u80a1\u5e02\u5e73\u9759\u7684'\u80cc\u79bb'\u589e\u5f3a\u5668\u4e24\u70b9\u5747\u5c5e CONTEXT\uff1a\u4fe1\u7528/\u5229\u7387\u6ce2\u52a8\u7968\u4e0e nfci/\u8870\u9000 MRS \u817f\u8fd1\u4e4e\u91cd\u590d\uff08\u6b8b\u5dee\u56de\u64a4\u504f\u76f8\u5173\u4ec5 \u22120.090\uff09\uff0c\u4e14\u5728\u964d\u9669\u65f6\u4ee3\uff08\u81ea2007\u8d77\uff09\u964d\u9669\u7b56\u7565\u4ec5\u524a\u51cf SPY \u56de\u64a4 0.6pp\uff08\u221256.2% \u5bf9 \u221256.8%\uff0c\u4f4e\u4e8e1pp\u95e8\uff09\uff0c\u5374\u4f7f\u56de\u62a5\u66b4\u8dcc\uff08Calmar 0.105 < 0.153\uff09\u3002\u5b83\u5728\u597d\u65e5\u5b50\u7a7a\u4ed3\u5374\u8eb2\u4e0d\u5f00\u574f\u65e5\u5b50\u3002DSR 0.98 \u662f SPY \u6f02\u79fb\u3002\u6743\u91cd\u4e0a\u96500\uff0ckill=True\u2014\u2014conditions._macro_risk_legs \u672a\u53d8\u3002","source":"scripts/c8_leading_votes.py + scripts/intl_phase0.py (grade, W3 C8); engine/cross_asset_confirm.py (vote defs); data/intl_bridge/ledger.json (C8)","extra":[["residual DD partial vs US legs","\u22120.090 (near-dup of nfci/recession)"],["SPY MaxDD cut (signal era)","+0.6pp (below the 1pp door)"],["Calmar strat vs B&H","0.105 < 0.153 (return crushed)"],["diverge-fire frequency","~3% of days (votes\u22652 + equities calm)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"cross-asset-leading-caution-votes-booster-credit-rates-vol-dollar-c8","source_refs":[]},{"name":"Asia-semi read-through basket  (TSM+ASML ADRs \u2192 SMH \u2014 C6)","name_zh":"\u4e9a\u6d32\u534a\u5bfc\u4f53\u4f20\u5bfc\u7bee\uff08\u53f0\u79ef\u7535+\u963f\u65af\u9ea6ADR \u2192 SMH \u2014 C6\uff09","market":"Asia-semi","tier":"display","horizon":"5d fwd (lead-lag kernel)","ic":0.157,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.446,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired \u2014 CONTEXT (lag-0 co-membership only; no lag>=1 lead survives the kernel)","why":"W4 VERDICT: CONTEXT \u2014 do NOT wire. ONE pre-registered EW Asia-semi basket (TSM + ASML, US-listed ADRs chosen ON PURPOSE to kill the timezone lag) graded vs SMH through the lead-lag kernel (HAC-t + BH-FDR + split-half) with \u00b12 trading-day earnings-print excision (12.8% of rows, INTL-49). The lag-0 correlation is huge (HAC-t +15.9, mean +0.82, FDR-reject, split-half stable) \u2014 but that is MECHANICAL CO-MEMBERSHIP (TSM + ASML are two of SMH's largest holdings), not a lead. NO lag>=1 link survives: lag1 HAC-t \u22121.67 (q_FDR 0.16, negative \u2014 it mirrors SMH's OWN lag-1 mean-reversion of \u22120.05), lag2/3/5 all |t|<2.1 and non-surviving. Because the ADRs trade in the US session there is not even the timezone-transmission lag-1 the raw local-index screen had \u2014 only same-day co-membership. The lead-lag kernel is the binding gate (ADJ-4): its pass excludes lag-0 by construction. Orthogonality vs SMH's OWN 5d/21d momentum leaves a wrong-signed residual (+0.07) \u2014 the basket adds nothing beyond 'semis lead semis'. weight_cap 0, kill=True \u2014 stock_score._axis_tailwind (the would-be DOWNGRADE-only seam) UNCHANGED.","why_zh":"W4 \u7ed3\u8bba\uff1aCONTEXT\u2014\u2014\u8bf7\u52ff\u63a5\u5165\u3002\u4e00\u4e2a\u9884\u6ce8\u518c\u7684\u7b49\u6743\u4e9a\u6d32\u534a\u5bfc\u4f53\u7bee\uff08\u53f0\u79ef\u7535 + \u963f\u65af\u9ea6\uff0c\u7279\u610f\u9009\u7528\u7f8e\u80a1ADR\u4ee5\u6d88\u9664\u65f6\u533a\u6ede\u540e\uff09\uff0c\u7ecf\u9886\u5148\u6ede\u540e\u6838\uff08HAC-t + BH-FDR + \u534a\u6837\u672c\uff09\uff0c\u5e76\u5254\u9664\u6bcf\u6b21\u8d22\u62a5\u524d\u540e\u00b12\u4ea4\u6613\u65e5\u7a97\u53e3\uff08\u536012.8%\u884c\uff0cINTL-49\uff09\uff0c\u5bf9 SMH \u8bc4\u5206\u3002\u6ede\u540e0\u76f8\u5173\u6781\u5927\uff08HAC-t +15.9\uff0c\u5747\u503c +0.82\uff0c\u901a\u8fc7FDR\uff0c\u534a\u6837\u672c\u7a33\u5b9a\uff09\u2014\u2014\u4f46\u8fd9\u662f\u673a\u68b0\u5f0f\u6210\u5206\u91cd\u53e0\uff08\u53f0\u79ef\u7535+\u963f\u65af\u9ea6\u662f SMH \u6700\u5927\u6301\u4ed3\u4e4b\u4e8c\uff09\uff0c\u5e76\u975e\u9886\u5148\u3002\u65e0\u4efb\u4f55\u6ede\u540e\u22651\u5b58\u6d3b\uff1a\u6ede\u540e1 HAC-t \u22121.67\uff08q 0.16\uff0c\u4e3a\u8d1f\u2014\u2014\u4e0e SMH \u81ea\u8eab\u6ede\u540e1\u5747\u503c\u56de\u5f52 \u22120.05 \u4e00\u81f4\uff09\uff0c\u6ede\u540e2/3/5 \u5747 |t|<2.1\u3002\u56e0 ADR \u5728\u7f8e\u80a1\u65f6\u6bb5\u4ea4\u6613\uff0c\u8fde\u539f\u59cb\u672c\u5730\u6307\u6570\u7b5b\u67e5\u4e2d\u7684\u65f6\u533a\u4f20\u5bfc\u6ede\u540e1\u4e5f\u6ca1\u6709\u2014\u2014\u53ea\u5269\u540c\u65e5\u6210\u5206\u91cd\u53e0\u3002\u9886\u5148\u6ede\u540e\u6838\u662f\u7ea6\u675f\u95e8\uff08ADJ-4\uff09\uff0c\u5176\u5224\u5b9a\u6309\u6784\u9020\u6392\u9664\u6ede\u540e0\u3002\u76f8\u5bf9 SMH \u81ea\u8eab5\u65e5/21\u65e5\u52a8\u91cf\u7684\u6b63\u4ea4\u6027\u7559\u4e0b\u9519\u53f7\u6b8b\u5dee\uff08+0.07\uff09\u2014\u2014\u7bee\u5b50\u5728'\u534a\u5bfc\u4f53\u9886\u5148\u534a\u5bfc\u4f53'\u4e4b\u5916\u65e0\u589e\u91cf\u3002\u6743\u91cd\u4e0a\u96500\uff0ckill=True\u2014\u2014stock_score._axis_tailwind\uff08\u672c\u5e94\u662f\u4ec5\u964d\u7ea7\u7684\u63a5\u5165\u53e3\uff09\u672a\u53d8\u3002","source":"reports/intl-semi-readthrough-phase0.md (W4-C6 2026-07-02); scripts/c6_asia_semi_readthrough.py + scripts/intl_phase0.py --c6 (grade); data/intl_bridge/ledger.json (c6_asia_semi_readthrough); data/intl_bridge/c6_earnings_dates.json (print-excision source)","extra":[["lag-0 HAC-t (co-membership)","+15.9 (mean +0.82 \u2014 mechanical, TSM+ASML in SMH)"],["lag-1 HAC-t","\u22121.67 (q_FDR 0.16, does NOT survive; negative)"],["lag>=1 kernel survivors","0 (no tradeable lead; ADRs remove timezone lag)"],["orthogonality vs SMH own momentum","+0.07 residual (wrong sign; nothing beyond semis-lead-semis)"],["print rows excised (\u00b12td)","838 (12.8%)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"asia-semi-read-through-basket-tsm-asml-adrs-smh-c6","source_refs":[{"ref":"reports/intl-semi-readthrough-phase0.md","exists":true}]},{"name":"Intl trend de-risk overlays  (price + total-return ETFs \u2014 C3)","name_zh":"\u56fd\u9645\u8d8b\u52bf\u964d\u9669\u53e0\u52a0\uff08\u4ef7\u683c\u6307\u6570 + \u603b\u56de\u62a5ETF \u2014 C3\uff09","market":"Intl ETF","tier":"display","horizon":"overlay (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.848,"sharpe":0.575,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped \u2014 crash-avoidance risk-overlay (CONTEXT)","why":"Two ports, one honest verdict: trend on tradeable intl is dead. The PRICE-index overlay cuts the tail for real (pooled MaxDD \u221218.5% vs \u221257.0%, DD-reduction CI [5.9,25.1,48.1] excludes 0) but its Sharpe edge FAILS split-half. The tradeable USD total-return ETF overlay (EWJ/EWG/EWU/EWY/EWA/EWQ) fails DSR (0.848<0.90) and split-half sign-flips, and macro-gating HARMS Korea (EWY \u221279.3% vs \u221274.1%, INTL-50). CONTEXT: crash-avoidance tail-insurance, never a scored alpha.","why_zh":"\u4e24\u6b21\u79fb\u690d\uff0c\u4e00\u4e2a\u8bda\u5b9e\u7ed3\u8bba\uff1a\u53ef\u4ea4\u6613\u56fd\u9645\u6807\u7684\u7684\u8d8b\u52bf\u5df2\u6b7b\u3002\u4ef7\u683c\u6307\u6570\u53e0\u52a0\u786e\u5b9e\u524a\u51cf\u5c3e\u90e8\uff08\u5408\u5e76\u56de\u64a4 \u221218.5% \u5bf9 \u221257.0%\uff0c\u533a\u95f4\u4e0d\u542b\u96f6\uff09\uff0c\u4f46\u590f\u666e\u8fb9\u9645\u672a\u8fc7\u4e24\u534a\u3002\u53ef\u4ea4\u6613\u7f8e\u5143\u603b\u56de\u62a5ETF\u53e0\u52a0\u672a\u8fc7 DSR\uff080.848\uff09\u4e14\u4e24\u534a\u7b26\u53f7\u7ffb\u8f6c\uff0c\u5b8f\u89c2\u95e8\u63a7\u8fd8\u4f24\u5bb3\u97e9\u56fd\uff08EWY \u221279.3% \u5bf9 \u221274.1%\uff09\u3002CONTEXT\uff1a\u5d29\u76d8\u89c4\u907f\u5c3e\u90e8\u4fdd\u9669\uff0c\u7edd\u975e\u8ba1\u5206\u963f\u5c14\u6cd5\u3002","source":"reports/intl-trend-overlay-phase0.md + intl-tr-trend-phase0.md; data/intl_bridge/ledger.json (C3)","extra":[["price-index DD-cut","\u221218.5% vs \u221257.0% (CI excludes 0)"],["TR-ETF DSR","0.848 (<0.90), split-half sign-flip"],["macro-gate on EWY","HARMS (\u221279.3% vs \u221274.1%)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"intl-trend-de-risk-overlays-price-total-return-etfs-c3","source_refs":[{"ref":"reports/intl-trend-overlay-phase0.md","exists":true},{"ref":"intl-tr-trend-phase0.md","exists":true}]},{"name":"Per-pair FX conviction + cross-market lead/lag  (C4/C8)","name_zh":"\u5355\u5bf9\u5916\u6c47\u4fe1\u5ff5 + \u8de8\u5e02\u573a\u5f15\u5bfc\u6ede\u540e\uff08C4/C8\uff09","market":"Forex / cross-asset","tier":"display","horizon":"varied","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.8607,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped \u2014 transmission read / display context (CONTEXT)","why":"The two intl read-through channels that shipped as CONTEXT. Per-pair FX conviction: EVERY pair fails DSR (best USDCAD 0.8607<0.90, most \u22480) \u2192 no pair-level gating on equities, ever (INTL-43). Cross-market lead/lag: 7/150 pairs survive HAC-t + BH-FDR and 5 are split-half stable \u2014 but ALL survivors are timezone lag-1 (US/global close \u2192 next Asia open), a transmission read, not a forecastable lead. Both are display context; the intl_bridge lead-lag kernel re-screens any new cross-market claim.","why_zh":"\u4e24\u6761\u4ee5 CONTEXT \u4e0a\u7ebf\u7684\u56fd\u9645\u8bfb\u900f\u6e20\u9053\u3002\u5355\u5bf9\u5916\u6c47\u4fe1\u5ff5\uff1a\u6bcf\u5bf9\u90fd\u672a\u8fc7 DSR\uff08\u6700\u4f73 USDCAD 0.8607\uff0c\u591a\u6570\u22480\uff09\u2192 \u7edd\u4e0d\u4ee5\u5bf9\u7ea7\u95e8\u63a7\u80a1\u7968\uff08INTL-43\uff09\u3002\u8de8\u5e02\u573a\u5f15\u5bfc\u6ede\u540e\uff1a150\u5bf9\u4e2d7\u5bf9\u901a\u8fc7 HAC-t + BH-FDR\u30015\u5bf9\u4e24\u534a\u7a33\u5b9a\u2014\u2014\u4f46\u5e78\u5b58\u8005\u5168\u662f\u65f6\u533a\u6ede\u540e1\uff08\u7f8e/\u5168\u7403\u6536\u76d8\u2192\u6b21\u65e5\u4e9a\u6d32\u5f00\u76d8\uff09\uff0c\u662f\u4f20\u5bfc\u8bfb\u6570\u800c\u975e\u53ef\u9884\u6d4b\u7684\u5f15\u5bfc\u3002\u5747\u4e3a\u5c55\u793a\u80cc\u666f\uff1bintl_bridge \u5f15\u5bfc\u6ede\u540e\u6838\u5bf9\u4efb\u4f55\u65b0\u7684\u8de8\u5e02\u573a\u4e3b\u5f20\u91cd\u65b0\u7b5b\u9009\u3002","source":"reports/forex-calibration.md + cross-asset-leadlag-phase0.md; data/intl_bridge/ledger.json (C4/C8)","extra":[["FX per-pair","all fail DSR (best USDCAD 0.86)"],["lead/lag survivors","5 split-half stable, ALL lag-1 (timezone)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"per-pair-fx-conviction-cross-market-lead-lag-c4-c8","source_refs":[{"ref":"reports/forex-calibration.md","exists":true},{"ref":"cross-asset-leadlag-phase0.md","exists":true}]},{"name":"European luxury \u2192 China-consumer read-through  (C7 \u2014 EW basket LVMUY+RMS.PA+CFR.SW)","name_zh":"\u6b27\u6d32\u5962\u4f88\u54c1 \u2192 \u4e2d\u56fd\u6d88\u8d39\u8005\u8bfb\u900f\uff08C7 \u2014 \u7b49\u6743\u7ec4\u5408 LVMUY+RMS.PA+CFR.SW\uff09","market":"China / Intl","tier":"display","horizon":"21d fwd drawdown (FXI)","ic":-0.0695,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.1609,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not wired \u2014 CONTEXT (no lagged lead survives BH-FDR; contemporaneous only)","why":"W4-C7 VERDICT: CONTEXT \u2014 do NOT wire. The EW luxury basket (LVMUY ADR ~20y + RMS.PA/CFR.SW ~5y locals) rolling-return trend-turn signal carries NO statistically significant LEAD over FXI forward drawdowns at the declared 21d horizon. Lead-lag kernel: lag=0 strongly significant (t=11.75, contemporaneous same-session co-movement \u2014 luxury and FXI trade in overlapping US hours), but NO lagged link survives BH-FDR (lag=1: t=\u22121.49, p=0.14; lag=2/5: not significant). This is a TRANSMISSION READ: luxury and the Chinese consumer co-move in real-time, but the luxury basket does NOT lead FXI at any lag that survives multiple-testing correction. Strategy DSR=0.16 (far below the 0.90 door). Drawdown-reduction gate FAILS on Calmar: the flat-out-of-FXI overlay has negative Calmar (\u22120.008) while B&H FXI is positive (+0.045), meaning the strategy loses money while sitting out FXI recovery periods. Earnings-print excision: 271 bars NaN'd (\u00b12td around LVMH/Herm\u00e8s/Richemont prints \u2014 causal method). Effective-N honesty: LVMUY has 4 crisis windows (20y), but the full 3-leg basket window covers only 1 declared crisis (rate_22) \u2014 the bias toward LVMUY's own momentum dominates. The validated channel is contemporaneous co-movement \u2014 useful as a display confirmer ('luxury and FXI are co-moving today') but structurally unable to carry the de-risk lead the C7 thesis required. weight_cap 0, kill=True; FXI target and all scorer seams UNCHANGED.","why_zh":"W4-C7 \u7ed3\u8bba\uff1aCONTEXT\u2014\u2014\u4e0d\u63a5\u7ebf\u3002\u7b49\u6743\u5962\u4f88\u54c1\u7ec4\u5408\uff08LVMUY ADR ~20\u5e74 + RMS.PA/CFR.SW ~5\u5e74\u672c\u5730\uff09\u6eda\u52a8\u6536\u76ca\u8d8b\u52bf\u7ffb\u8f6c\u4fe1\u53f7\uff0c\u5728\u9884\u58f0\u660e\u768421\u65e5\u671f\u9650\u5185\uff0c\u5bf9 FXI \u524d\u77bb\u56de\u64a4\u65e0\u7edf\u8ba1\u663e\u8457\u7684\u5f15\u5bfc\u3002\u5f15\u5bfc-\u6ede\u540e\u6838\uff1a\u6ede\u540e=0 \u5f3a\u663e\u8457\uff08t=11.75\uff0c\u540c\u671f\u540c\u65f6\u6bb5\u5171\u52a8\u2014\u2014\u5962\u4f88\u54c1\u4e0e FXI \u5728\u91cd\u53e0\u7684\u7f8e\u56fd\u4ea4\u6613\u65f6\u6bb5\u4ea4\u6613\uff09\uff0c\u4f46\u65e0\u6ede\u540e\u94fe\u8def\u901a\u8fc7 BH-FDR\uff08\u6ede\u540e=1\uff1at=\u22121.49\uff0cp=0.14\uff1b\u6ede\u540e=2/5\uff1a\u4e0d\u663e\u8457\uff09\u3002\u8fd9\u662f\u4f20\u5bfc\u8bfb\u6570\uff1a\u5962\u4f88\u54c1\u4e0e\u4e2d\u56fd\u6d88\u8d39\u8005\u5b9e\u65f6\u5171\u52a8\uff0c\u4f46\u5962\u4f88\u54c1\u7ec4\u5408\u5728\u4efb\u4f55\u901a\u8fc7\u591a\u91cd\u68c0\u9a8c\u4fee\u6b63\u7684\u6ede\u540e\u4e0b\u5747\u672a\u9886\u5148 FXI\u3002\u7b56\u7565 DSR=0.16\uff08\u8fdc\u4f4e\u4e8e0.90\u95e8\uff09\u3002\u56de\u64a4\u524a\u51cf\u95e8\u56e0Calmar\u5931\u8d25\uff1a\u7a7a\u4ed3\u53e0\u52a0\u5c42 Calmar \u4e3a\u8d1f\uff08\u22120.008\uff09\uff0c\u800c\u4e70\u6301 FXI \u4e3a\u6b63\uff08+0.045\uff09\uff0c\u610f\u5473\u7740\u7b56\u7565\u5728 FXI \u53cd\u5f39\u671f\u95f4\u8e0f\u7a7a\u4e8f\u635f\u3002\u8d22\u62a5\u5370\u53d1\u5254\u9664\uff1a271\u6839K\u7ebf\u7f6eNaN\uff08LVMH/\u7231\u9a6c\u4ed5/\u5386\u5cf0\u516c\u544a\u00b12\u4ea4\u6613\u65e5\u2014\u2014\u56e0\u679c\u65b9\u6cd5\uff09\u3002\u6709\u6548N\u8bda\u5b9e\u8bf4\u660e\uff1aLVMUY \u67094\u4e2a\u5371\u673a\u7a97\u53e3\uff0820\u5e74\uff09\uff0c\u4f46\u5168\u4e09\u817f\u7ec4\u5408\u7a97\u53e3\u4ec5\u542b1\u4e2a\u58f0\u660e\u5371\u673a\uff08rate_22\uff09\u2014\u2014\u4ee5LVMUY \u81ea\u8eab\u52a8\u91cf\u4e3a\u4e3b\u5bfc\u3002\u5df2\u9a8c\u8bc1\u6e20\u9053\u4e3a\u540c\u671f\u5171\u52a8\u2014\u2014\u53ef\u7528\u4f5c\u5c55\u793a\u786e\u8ba4\u5668\uff08'\u4eca\u65e5\u5962\u4f88\u54c1\u4e0e FXI \u5171\u52a8'\uff09\uff0c\u4f46\u5728\u7ed3\u6784\u4e0a\u65e0\u6cd5\u627f\u62c5 C7 \u8bba\u9898\u6240\u9700\u7684\u964d\u9669\u5f15\u5bfc\u3002\u6743\u91cd\u4e0a\u96500\uff0ckill=True\uff1bFXI \u76ee\u6807\u53ca\u6240\u6709\u8ba1\u5206\u5668\u7f1d\u5408\u70b9\u4e0d\u53d8\u3002","source":"reports/intl-luxury-readthrough-phase0.md (W4-C7, 2026-07-02); scripts/c7_luxury_readthrough.py + scripts/intl_phase0.py --c7; data/intl_bridge/ledger.json (c7_luxury_china_consumer)","extra":[["lead-lag kernel lag=0 t-stat","11.75 (contemporaneous; same-session overlap)"],["lag=1 HAC-t / p","\u22121.49 / 0.14 (not significant; wrong sign)"],["BH-FDR survivors at lag\u22651","NONE"],["strategy DSR","0.16 (far below 0.90 door)"],["drawdown-reduction Calmar","\u22120.008 strat vs +0.045 B&H (value-destroyer)"],["earnings-print bars excised","271 (\u00b12td LVMH/Herm\u00e8s/Richemont prints)"],["effective-N (LVMUY 20y)","4 crises; full-basket overlap: 1 crisis (rate_22)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"european-luxury-china-consumer-read-through-c7-ew-basket-lvmuy-rms-pa-cfr-sw","source_refs":[{"ref":"reports/intl-luxury-readthrough-phase0.md","exists":true}]},{"name":"China external-driver radar  (C3 \u2014 governed by risk_radar_intl)","name_zh":"\u4e2d\u56fd\u5916\u90e8\u9a71\u52a8\u96f7\u8fbe\uff08C3 \u2014 \u7531 risk_radar_intl \u6cbb\u7406\uff09","market":"China A","tier":"display","horizon":"42d fwd drawdown","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"display-only on main until its own can_force gate matures (NOT duplicated by intl_bridge)","why":"Note-only entry for registry completeness. The validated China external-driver radar (breadth collapse, US rate shocks, US\u2013CN differential, USD/CNH; composite \u226510%/42d drawdown lift 2.07\u00d7, p=0.01, CSI300-confirmed) already runs on main with committed forward logs and its OWN can_force maturation gate (\u226530 graded, \u22658 alerts, realized lift \u22651.25\u00d7). The intl_bridge does NOT duplicate its machinery \u2014 it defers to engine/risk_radar_intl_audit.scorecard for the CN/HK/CA governance. Listed CONTEXT here so the registry is complete, not because it lacks edge.","why_zh":"\u4ec5\u5907\u6ce8\u6761\u76ee\uff0c\u7528\u4e8e\u767b\u8bb0\u5b8c\u6574\u6027\u3002\u5df2\u9a8c\u8bc1\u7684\u4e2d\u56fd\u5916\u90e8\u9a71\u52a8\u96f7\u8fbe\uff08\u5e7f\u5ea6\u5d29\u584c\u3001\u7f8e\u56fd\u5229\u7387\u51b2\u51fb\u3001\u7f8e\u4e2d\u5229\u5dee\u3001\u7f8e\u5143/\u79bb\u5cb8\u4eba\u6c11\u5e01\uff1b\u7efc\u5408 \u226510%/42\u65e5\u56de\u64a4\u63d0\u5347 2.07\u00d7\uff0cp=0.01\uff0c\u6caa\u6df1300\u786e\u8ba4\uff09\u5df2\u5728 main \u4e0a\u8fd0\u884c\uff0c\u5e26\u63d0\u4ea4\u7684\u524d\u77bb\u65e5\u5fd7\u4e0e\u81ea\u8eab\u7684 can_force \u6210\u719f\u95e8\u3002intl_bridge \u4e0d\u590d\u5236\u5176\u673a\u5236\u2014\u2014\u5ef6\u7528 risk_radar_intl_audit.scorecard \u7684\u4e2d/\u6e2f/\u52a0\u6cbb\u7406\u3002\u6b64\u5904\u5217\u4e3a CONTEXT \u4ec5\u4e3a\u767b\u8bb0\u5b8c\u6574\u3002","source":"engine/risk_radar_intl.py (#711/#718) + risk_radar_intl_audit.py; data/intl_bridge/ledger.json (cn_external_radar)","extra":[["composite lift","2.07\u00d7 (p=0.01), CSI300-confirmed"],["governance","risk_radar_intl_audit.can_force (\u226530 graded, \u22658 alerts, lift \u22651.25\u00d7)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"china-external-driver-radar-c3-governed-by-risk-radar-intl","source_refs":[]}],"count":27},{"key":"killed","label":"Killed (NO-GO) \u2014 measured and refused to ship","label_zh":"\u5df2\u5426\u51b3 (NO-GO) \u2014 \u7ecf\u6d4b\u91cf\u540e\u62d2\u7edd\u4e0a\u7ebf","blurb":"The graveyard. Each looked plausible; the validation said no. This is the discipline most dashboards never show.","blurb_zh":"\u4fe1\u53f7\u5893\u5730\u3002\u6bcf\u4e2a\u770b\u4f3c\u5408\u7406\uff0c\u9a8c\u8bc1\u5374\u8bf4\u4e0d\u3002\u8fd9\u662f\u5927\u591a\u6570\u4eea\u8868\u76d8\u4ece\u4e0d\u5c55\u793a\u7684\u7eaa\u5f8b\u3002","verdict_word":"NO-GO","verdict_word_zh":"\u5426\u51b3","rows":[{"name":"RVOL momentum confirmer","name_zh":"RVOL \u52a8\u91cf\u786e\u8ba4\u5668","market":"US S&P1500","tier":"killed","horizon":"21d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":false,"wired":"not shipped","why":"Volume does NOT confirm momentum \u2014 it mildly ANTI-confirms (momentum IC +0.013 on high-RVOL vs +0.028 on low-RVOL; uplift negative, no FDR survivors). The base-confirmed L/S that looked great was a survivorship/concentration artifact.","why_zh":"\u6210\u4ea4\u91cf\u5e76\u4e0d\u786e\u8ba4\u52a8\u91cf \u2014 \u53cd\u800c\u8f7b\u5fae\u53cd\u5411\uff08\u9ad8 RVOL \u52a8\u91cf IC +0.013 \u5bf9\u4f4e RVOL +0.028\uff1b\u589e\u91cf\u4e3a\u8d1f\uff0c\u65e0 FDR \u5e78\u5b58\u8005\uff09\u3002\u770b\u4f3c\u4eae\u773c\u7684\u591a\u7a7a\u662f\u5e78\u5b58\u8005/\u96c6\u4e2d\u5ea6\u5047\u8c61\u3002","source":"rvol-phase0 (research)","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"rvol-momentum-confirmer","source_refs":[]},{"name":"Constructive-base scanner (IBD pivot)","name_zh":"\u5efa\u8bbe\u6027\u5e95\u90e8\u626b\u63cf\uff08IBD \u67a2\u8f74\uff09","market":"US S&P1500","tier":"killed","horizon":"21d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.86,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped","why":"Anti-predictive: pivot-proximity / tightness IC significantly NEGATIVE and FDR-surviving (near-pivot = extended = short-term reversal, the OPPOSITE of the thesis). The L/S that looked great (Sharpe 0.49) is confounded; DSR 0.86<0.90 at honest n_trials. A lenient L/S gate gave a FALSE GO.","why_zh":"\u53cd\u9884\u6d4b\uff1a\u67a2\u8f74\u63a5\u8fd1\u5ea6/\u7d27\u81f4\u5ea6 IC \u663e\u8457\u4e3a\u8d1f\u4e14\u901a\u8fc7 FDR\uff08\u8fd1\u67a2\u8f74=\u62c9\u4f38=\u77ed\u671f\u53cd\u8f6c\uff0c\u4e0e\u8bba\u70b9\u76f8\u53cd\uff09\u3002\u4eae\u773c\u591a\u7a7a\u88ab\u6df7\u6742\uff0c\u8bda\u5b9e\u8bd5\u9a8c\u6570\u4e0b DSR 0.86<0.90\u3002\u5bbd\u677e\u591a\u7a7a\u95e8\u69db\u7ed9\u51fa\u5047 GO\u3002","source":"base-scanner-phase0 (research)","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"constructive-base-scanner-ibd-pivot","source_refs":[]},{"name":"GBT meta-label (size/trust the BTC call)","name_zh":"GBT \u5143\u6807\u7b7e\uff08\u4e3a BTC \u4fe1\u53f7\u5b9a\u91cf/\u5b9a\u4fe1\uff09","market":"BTC","tier":"killed","horizon":"allocation","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped","why":"A L\u00f3pez de Prado meta-label (HistGBT learns P(long call correct)). Honest verdict: DO NOT WIRE \u2014 \u0394Sharpe \u22120.43, negative calibration skill, all 20 configs lose.","why_zh":"L\u00f3pez de Prado \u5143\u6807\u7b7e\uff08HistGBT \u5b66\u4e60 P(\u505a\u591a\u6b63\u786e)\uff09\u3002\u8bda\u5b9e\u7ed3\u8bba\uff1a\u4e0d\u63a5\u5165 \u2014 \u0394Sharpe \u22120.43\uff0c\u6821\u51c6\u6280\u80fd\u4e3a\u8d1f\uff0c20 \u79cd\u914d\u7f6e\u5168\u8f93\u3002","source":"gbt-meta-label-leaf","extra":[["\u0394Sharpe","\u22120.43"],["configs lost","20 / 20"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"gbt-meta-label-size-trust-the-btc-call","source_refs":[]},{"name":"HK residual-alpha (sector-neutral)","name_zh":"\u6e2f\u80a1\u6b8b\u5dee Alpha\uff08\u884c\u4e1a\u4e2d\u6027\uff09","market":"HK","tier":"killed","horizon":"monthly","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":0.0019,"sharpe":-0.22,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped","why":"Stripping beta/sector \u2014 which PURIFIED the US/China signals \u2014 REMOVES HK's signal entirely (residual IC \u2248 0, Sharpe \u22120.22/\u22120.35, DSR 0.0019). HK alpha is market beta, not stock-specific. Killed for HK.","why_zh":"\u5265\u79bb\u8d1d\u5854/\u884c\u4e1a\uff08\u8fd9\u51c0\u5316\u4e86\u7f8e/\u4e2d\u4fe1\u53f7\uff09\u53cd\u800c\u5b8c\u5168\u79fb\u9664\u6e2f\u80a1\u4fe1\u53f7\uff08\u6b8b\u5dee IC\u22480\uff0c\u590f\u666e \u22120.22/\u22120.35\uff0cDSR 0.0019\uff09\u3002\u6e2f\u80a1 alpha \u5373\u5e02\u573a\u8d1d\u5854\u3002\u6e2f\u80a1\u5426\u51b3\u3002","source":"hk-residual-alpha-phase0.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"hk-residual-alpha-sector-neutral","source_refs":[{"ref":"hk-residual-alpha-phase0.md","exists":true}]},{"name":"China momentum (deep-history)","name_zh":"\u4e2d\u56fd\u52a8\u91cf\uff08\u6df1\u5ea6\u5386\u53f2\uff09","market":"China A","tier":"killed","horizon":"21d","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":false,"wired":"not shipped (reversal kept instead)","why":"On 1992\u20132026 the only FDR-surviving cross-sectional effect is short-term REVERSAL (t \u22122.7\u2026\u22125.0, q=0.0) \u2014 the OPPOSITE of momentum. Residual momentum IC is negative (\u22120.0045, t \u22120.49). A 5-year window made momentum look alive; deep history kills it.","why_zh":"\u5728 1992\u20132026 \u4e0a\uff0c\u552f\u4e00\u901a\u8fc7 FDR \u7684\u6a2a\u622a\u9762\u6548\u5e94\u662f\u77ed\u671f\u53cd\u8f6c\uff08t \u22122.7\u2026\u22125.0\uff0cq=0.0\uff09\u2014 \u4e0e\u52a8\u91cf\u76f8\u53cd\u3002\u6b8b\u5dee\u52a8\u91cf IC \u4e3a\u8d1f\u3002\u4e94\u5e74\u7a97\u53e3\u66fe\u8ba9\u52a8\u91cf\u770b\u4f3c\u6709\u6548\uff0c\u6df1\u5ea6\u5386\u53f2\u5426\u51b3\u4e4b\u3002","source":"china-residual-alpha-deep.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"china-momentum-deep-history","source_refs":[{"ref":"china-residual-alpha-deep.md","exists":true}]},{"name":"Commodity carry as single-asset timing","name_zh":"\u5927\u5b97\u5546\u54c1 carry \u4f5c\u5355\u8d44\u4ea7\u62e9\u65f6","market":"Commodity","tier":"killed","horizon":"63d","ic":-0.16,"ic_ir":null,"t_hac":-4.6,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"display-only term structure","why":"'Backwardation = bullish' is WRONG-SIGNED for single-asset spot timing on 38y of EIA WTI futures (63d IC \u22120.16, t \u22124.6). Cross-sectional carry \u2260 single-asset timing \u2192 display-only term-structure, green/red neutralized.","why_zh":"\u201c\u73b0\u8d27\u5347\u6c34=\u770b\u6da8\u201d\u5728 38 \u5e74 EIA WTI \u671f\u8d27\u4e0a\u5bf9\u5355\u8d44\u4ea7\u73b0\u8d27\u62e9\u65f6\u65b9\u5411\u9519\u8bef\uff0863\u65e5 IC \u22120.16\uff0ct \u22124.6\uff09\u3002\u6a2a\u622a\u9762 carry \u2260 \u5355\u8d44\u4ea7\u62e9\u65f6 \u2192 \u4ec5\u5c55\u793a\u671f\u9650\u7ed3\u6784\uff0c\u7ea2\u7eff\u4e2d\u6027\u5316\u3002","source":"commodity-carry-validation","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"commodity-carry-as-single-asset-timing","source_refs":[]},{"name":"SPVector diversified sleeves (SPY + duration)","name_zh":"\u6807\u666e\u5411\u91cf\u591a\u5143\u5316\u7ec4\u5408\uff08\u6807\u666e+\u4e45\u671f\uff09","market":"US macro","tier":"killed","horizon":"allocation","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped","why":"Adding a Treasury sleeve fails the 2022 gate (\u221217.3% vs bills \u221213.5%) because the stock-bond correlation broke; no non-lagging correlation gate fixes it. Both halves underperform Phase-3. Phase-3 (SPY + bills) remains the product.","why_zh":"\u52a0\u5165\u56fd\u503a\u7ec4\u5408\u672a\u901a\u8fc7 2022 \u5173\u5361\uff08\u221217.3% \u5bf9\u56fd\u5e93\u5238 \u221213.5%\uff09\uff0c\u56e0\u80a1\u503a\u76f8\u5173\u6027\u7834\u88c2\uff1b\u65e0\u975e\u6ede\u540e\u76f8\u5173\u95e8\u69db\u53ef\u4fee\u590d\u3002\u4e24\u534a\u5747\u900a\u4e8e Phase-3\u3002Phase-3\uff08\u6807\u666e+\u56fd\u5e93\u5238\uff09\u4ecd\u4e3a\u4ea7\u54c1\u3002","source":"spvector-phase4.md","extra":[],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"spvector-diversified-sleeves-spy-duration","source_refs":[{"ref":"spvector-phase4.md","exists":true}]},{"name":"Crypto vol-targeted risk-parity sleeve (BTC+ETH)","name_zh":"\u52a0\u5bc6\u6ce2\u52a8\u7387\u76ee\u6807\u98ce\u9669\u5e73\u4ef7\u7ec4\u5408\uff08BTC+ETH\uff09","market":"Crypto","tier":"killed","horizon":"allocation (daily)","ic":null,"ic_ir":null,"t_hac":null,"q_fdr":null,"dsr":null,"sharpe":null,"hit":null,"n":null,"fdr_survivor":null,"wired":"not shipped","why":"A Moreira-Muir vol-managed BTC+ETH sleeve (scale inversely to trailing realized vol, lev cap ~2\u00d7). Measured and refused: DOMINATED by a dumb 200dma long/flat on BOTH Sharpe AND MaxDD, the drawdown-reduction bootstrap CI straddles 0, and the split-half Sharpe sign-FLIPS. Vol-targeting cuts crypto drawdown but adds no Sharpe over a trivial trend filter on the ~3-cycle sample. NO-GO.","why_zh":"Moreira-Muir \u6ce2\u52a8\u7387\u7ba1\u7406\u7684 BTC+ETH \u7ec4\u5408\u3002\u7ecf\u6d4b\u91cf\u540e\u5426\u51b3\uff1a\u5728\u590f\u666e\u4e0e\u56de\u64a4\u4e0a\u5747\u88ab\u6734\u7d20200\u65e5\u5747\u7ebf\u538b\u5236\uff0c\u56de\u64a4\u524a\u51cf\u533a\u95f4\u8de8\u96f6\uff0c\u4e24\u534a\u590f\u666e\u7b26\u53f7\u7ffb\u8f6c\u3002\u6ce2\u52a8\u7387\u76ee\u6807\u524a\u51cf\u56de\u64a4\u4f46\u76f8\u5bf9\u7b80\u5355\u8d8b\u52bf\u65e0\u590f\u666e\u589e\u91cf\u3002NO-GO\u3002","source":"crypto-voltarget-phase0.md (scripts/crypto_voltarget_phase0.py)","extra":[["vs dumb 200dma","dominated on Sharpe AND MaxDD"],["DD-reduction CI","straddles 0"],["split-half Sharpe","sign-flip"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"crypto-vol-targeted-risk-parity-sleeve-btc-eth","source_refs":[{"ref":"crypto-voltarget-phase0.md","exists":true}]},{"name":"Cross-sectional commodity momentum (19-asset, deep)","name_zh":"\u6a2a\u622a\u9762\u5546\u54c1\u52a8\u91cf\uff0819\u8d44\u4ea7\uff0c\u6df1\u5ea6\u5386\u53f2\uff09","market":"Commodity","tier":"killed","horizon":"21d / monthly","ic":-0.0181,"ic_ir":null,"t_hac":-1.01,"q_fdr":0.314,"dsr":0.0025,"sharpe":-0.23,"hit":null,"n":null,"fdr_survivor":false,"wired":"not shipped (no daily collector \u2014 momentum empirically dead)","why":"The classic Gorton-Rouwenhorst commodity-momentum factor (12-1m, long-winners/short-losers tercile L/S over 19 deep continuous fronts, 2002-2026) tested on freshly-collected NEW data \u2014 and it is DEAD. Forward 21d rank-IC is NEGATIVE (\u22120.018, t \u22121.01, q=0.31, fails BH-FDR) \u2014 the monthly commodity cross-section MEAN-REVERTS, the opposite of the trend prior. The L/S loses money even GROSS (\u221291% cumulative; net Sharpe \u22120.23 vs EW-long +0.64 and a per-commodity 200dma +0.18); DSR 0.0025; 1/7 gates (the lone pass is a trivially-both-negative split-half). Shorter lookbacks reject FDR but in the WRONG (reversal) sign. Matches the documented post-2004 financialization decay; only merit is crisis convexity from the short leg that bleeds back in normal regimes. NO-GO \u2014 new data did not break the scored wall.","why_zh":"\u7ecf\u5178 Gorton-Rouwenhorst \u5546\u54c1\u52a8\u91cf\u56e0\u5b50\uff0812-1\u6708\u3001\u591a\u8d62\u5bb6\u7a7a\u8f93\u5bb6\u300119\u4e2a\u6df1\u5ea6\u8fde\u7eed\u5408\u7ea6\u30012002-2026\uff09\u5728\u65b0\u91c7\u6570\u636e\u4e0a\u68c0\u9a8c\u2014\u2014\u5df2\u6b7b\u3002\u524d\u77bb21\u65e5\u79e9\u76f8\u5173 IC \u4e3a\u8d1f\uff08\u22120.018\uff0c\u672a\u8fc7 FDR\uff09\uff0c\u6708\u5ea6\u5546\u54c1\u6a2a\u622a\u9762\u5747\u503c\u56de\u5f52\u3002\u591a\u7a7a\u5373\u4f7f\u6bdb\u6536\u76ca\u4e5f\u4e8f\uff08\u221291%\uff09\uff0cDSR 0.0025\u3002\u7b26\u54082004\u5e74\u540e\u91d1\u878d\u5316\u8870\u51cf\uff1b\u552f\u4e00\u53ef\u53d6\u5904\u662f\u7a7a\u5934\u817f\u5371\u673a\u51f8\u6027\uff0c\u4f46\u5e38\u6001\u56de\u5410\u3002NO-GO\u3002","source":"commodity-xsec-mom-phase0.md + commodity-xsec-mom-refute.md (scripts/commodity_xsec_mom_phase0.py)","extra":[["fwd-IC","\u22120.018 (mean-reverts, wrong sign)"],["L/S net Sharpe","\u22120.23 vs EW-long +0.64"],["gross","also negative (\u221291% cum)"],["only merit","crisis convexity (bleeds back)"]],"dsr_family":null,"dsr_n_trials":null,"dsr_basis":null,"dsr_expiry":null,"slug":"cross-sectional-commodity-momentum-19-asset-deep","source_refs":[{"ref":"commodity-xsec-mom-phase0.md","exists":true},{"ref":"commodity-xsec-mom-refute.md","exists":true}]}],"count":9}],"summary":{"scored":6,"confirmer":23,"display":27,"killed":9,"pending":0,"total":65,"factor_survivors":1,"factor_total":11},"factor_rows":[{"key":"payout","name":"Payout yield","name_zh":"\u80a1\u4e1c\u6536\u76ca\u7387","ic":0.0247,"ic_ir":0.298,"t_hac":2.723,"q_fdr":0.0715,"hit":0.583,"n":60,"survives":true},{"key":"value","name":"Value","name_zh":"\u4ef7\u503c","ic":0.0184,"ic_ir":0.223,"t_hac":2.006,"q_fdr":0.247,"hit":0.55,"n":60,"survives":false},{"key":"profitability","name":"Profitability","name_zh":"\u76c8\u5229\u80fd\u529b","ic":0.0141,"ic_ir":0.12,"t_hac":0.82,"q_fdr":0.9309,"hit":0.55,"n":60,"survives":false},{"key":"accruals","name":"Low accruals","name_zh":"\u4f4e\u5e94\u8ba1","ic":0.007,"ic_ir":0.099,"t_hac":0.729,"q_fdr":0.9309,"hit":0.55,"n":60,"survives":false},{"key":"quality","name":"Quality","name_zh":"\u8d28\u91cf","ic":0.0042,"ic_ir":0.073,"t_hac":0.564,"q_fdr":0.9309,"hit":0.533,"n":60,"survives":false},{"key":"composite_orth","name":"Composite (orthogonalised)","name_zh":"\u7efc\u5408\uff08\u6b63\u4ea4\u5316\uff09","ic":0.0024,"ic_ir":0.015,"t_hac":0.124,"q_fdr":0.9482,"hit":0.483,"n":60,"survives":false},{"key":"sue","name":"SUE (earnings surprise)","name_zh":"\u76c8\u4f59\u60ca\u559c","ic":0.0006,"ic_ir":0.009,"t_hac":0.065,"q_fdr":0.9482,"hit":0.517,"n":60,"survives":false},{"key":"investment","name":"Investment (conservative)","name_zh":"\u6295\u8d44\uff08\u4fdd\u5b88\uff09","ic":-0.0029,"ic_ir":-0.036,"t_hac":-0.288,"q_fdr":0.9456,"hit":0.5,"n":60,"survives":false},{"key":"composite","name":"Composite","name_zh":"\u7efc\u5408","ic":-0.0072,"ic_ir":-0.049,"t_hac":-0.396,"q_fdr":0.9456,"hit":0.45,"n":60,"survives":false},{"key":"low_beta","name":"Low beta (BAB)","name_zh":"\u4f4e\u8d1d\u5854","ic":-0.0151,"ic_ir":-0.063,"t_hac":-0.535,"q_fdr":0.9309,"hit":0.533,"n":60,"survives":false},{"key":"low_vol","name":"Low volatility","name_zh":"\u4f4e\u6ce2\u52a8","ic":-0.0209,"ic_ir":-0.093,"t_hac":-0.742,"q_fdr":0.9309,"hit":0.467,"n":60,"survives":false}],"factor_survivors":[{"name":"Payout yield","ic":0.0247}],"factor_meta":{"span":"2011-03-31..2025-12-31","horizon_d":63,"rebalances":60,"median_universe":1154,"leak_free":true,"universe":"deep","survivorship_biased":true,"caveat":"Deep ~2011-2026 re-test on a SURVIVORSHIP-BIASED price panel: delisted names are absent (yahoo serves only currently-listed), so this is an OPTIMISTIC bound \u2014 a clean test needs delisting-recovered prices. FINRA short-interest is omitted (no point-in-time history). Fundamentals stay point-in-time from the EDGAR panel. Compare to the shallow 2023-2025 read: factors that survived on ~2.5y (notably SUE) weaken on deep history.","price_span":"1962-01-02..2026-06-17","collinearity":{"mean_abs_corr_raw":0.137,"mean_abs_corr_orth":0.055,"vif":{"value":1.39,"profitability":1.11,"quality":2.22,"investment":1.22,"payout":1.36,"low_vol":2.44,"low_beta":2.41,"accruals":2.56,"sue":1.06},"top_pairs":[{"a":"low_vol","b":"low_beta","corr":0.74},{"a":"quality","b":"accruals","corr":0.71}]}},"frontier_rows":[{"name":"SEC fails-to-deliver pressure","name_zh":"SEC \u4ea4\u5272\u5931\u8d25\u538b\u529b","market":"US equities","readiness":"free data / new collector","readiness_zh":"\u514d\u8d39\u6570\u636e / \u65b0\u91c7\u96c6","thesis":"FTD balances are a short-sale constraint/informed-short proxy; literature finds higher FTD stocks later earn negative abnormal returns.","thesis_zh":"\u4ea4\u5272\u5931\u8d25\u4f59\u989d\u53ef\u4f5c\u4e3a\u5356\u7a7a\u7ea6\u675f/\u77e5\u60c5\u505a\u7a7a\u4ee3\u7406\uff1b\u6587\u732e\u663e\u793a\u9ad8 FTD \u80a1\u7968\u968f\u540e\u5f02\u5e38\u6536\u76ca\u504f\u8d1f\u3002","build":"Build SEC semi-monthly FTD panel, map CUSIP->ticker, normalize by float and dollar volume, then test high-FTD and rising-FTD buckets.","build_zh":"\u5efa\u7acb SEC \u534a\u6708 FTD \u9762\u677f\uff0cCUSIP \u6620\u5c04\u5230 ticker\uff0c\u6309\u6d41\u901a\u80a1\u4e0e\u6210\u4ea4\u989d\u6807\u51c6\u5316\uff0c\u518d\u6d4b\u9ad8 FTD \u4e0e\u4e0a\u5347 FTD \u5206\u7ec4\u3002","gate":"21/63d rank-IC, FDR across FTD variants, incremental IC vs size, momentum, short volume.","gate_zh":"21/63\u65e5 rank-IC\uff0cFTD \u53d8\u4f53\u95f4 FDR\uff0c\u76f8\u5bf9\u89c4\u6a21\u3001\u52a8\u91cf\u3001\u77ed\u91cf\u7684\u589e\u91cf IC\u3002","source":"SEC FTD data + Stratmann/Welborn 2016","priority":"P0","fable_verdict":"BUILD"},{"name":"Borrow-fee / loan-fee anomaly","name_zh":"\u501f\u5238\u8d39 / \u878d\u5238\u8d39\u5f02\u5e38","market":"US equities","readiness":"paid data","readiness_zh":"\u4ed8\u8d39\u6570\u636e","thesis":"Loan fees are one of the strongest documented short-side predictors; free short interest is a weak substitute.","thesis_zh":"\u501f\u5238\u8d39\u662f\u6587\u732e\u4e2d\u6700\u5f3a\u7684\u505a\u7a7a\u4fa7\u9884\u6d4b\u53d8\u91cf\u4e4b\u4e00\uff1b\u514d\u8d39\u505a\u7a7a\u4f59\u989d\u53ea\u662f\u5f31\u66ff\u4ee3\u3002","build":"If a borrow-fee vendor is approved, archive daily fee/utilization PIT and test high-fee underperformance plus long-only exclusion value.","build_zh":"\u82e5\u63a5\u5165\u501f\u5238\u8d39\u4f9b\u5e94\u5546\uff0c\u6309\u65e5\u5f52\u6863\u8d39\u7528/\u5229\u7528\u7387\u65f6\u70b9\u6570\u636e\uff0c\u6d4b\u8bd5\u9ad8\u8d39\u80a1\u7968\u8dd1\u8f93\u53ca\u591a\u5934\u6392\u9664\u4ef7\u503c\u3002","gate":"Must beat FINRA short volume, FTD, size, low-price and microcap controls after costs.","gate_zh":"\u5fc5\u987b\u5728\u6210\u672c\u540e\u4f18\u4e8e FINRA \u77ed\u91cf\u3001FTD\u3001\u89c4\u6a21\u3001\u4f4e\u4ef7\u80a1\u548c\u5fae\u76d8\u63a7\u5236\u9879\u3002","source":"Engelberg et al. Management Science 2024","priority":"P0-data","fable_verdict":"PENDING"},{"name":"Option informed-flow lens","name_zh":"\u671f\u6743\u77e5\u60c5\u6d41\u955c\u5934","market":"US options","readiness":"partial plumbing","readiness_zh":"\u90e8\u5206\u7ba1\u7ebf\u5df2\u5728","thesis":"Buyer-to-open option put/call flow and IV spreads have evidence of informed trading; public EOD put/call is much weaker.","thesis_zh":"\u4e70\u65b9\u5f00\u4ed3\u671f\u6743\u770b\u8dcc/\u770b\u6da8\u6d41\u4e0e\u9690\u6ce2\u4ef7\u5dee\u6709\u77e5\u60c5\u4ea4\u6613\u8bc1\u636e\uff1b\u516c\u5f00 EOD put/call \u5f31\u5f88\u591a\u3002","build":"Extend options_flow / ivspread history: separate stock-vs-index hedging, buyer-open proxies, scheduled-news windows, and O/S volume.","build_zh":"\u6269\u5c55 options_flow / ivspread \u5386\u53f2\uff1a\u533a\u5206\u80a1\u7968\u4e0e\u6307\u6570\u5bf9\u51b2\u3001\u4e70\u65b9\u5f00\u4ed3\u4ee3\u7406\u3001\u9884\u5b9a\u65b0\u95fb\u7a97\u53e3\u4e0e\u671f\u6743/\u80a1\u7968\u91cf\u3002","gate":"Event-window and 1/5/21d forward tests; require improvement over GEX/200dma baselines.","gate_zh":"\u4e8b\u4ef6\u7a97\u53e3\u53ca1/5/21\u65e5\u524d\u77bb\u6d4b\u8bd5\uff1b\u5fc5\u987b\u4f18\u4e8e GEX/200\u65e5\u5747\u7ebf\u57fa\u7ebf\u3002","source":"Pan/Poteshman 2006; CBOE/POLYGON options feeds","priority":"P1","fable_verdict":"PENDING"},{"name":"EDGAR attention shock","name_zh":"EDGAR \u5173\u6ce8\u5ea6\u51b2\u51fb","market":"US filings","readiness":"free but heavy","readiness_zh":"\u514d\u8d39\u4f46\u91cd\u578b","thesis":"SEC log files expose filing-demand attention; spikes around stale vs fresh filings may separate retail attention from informed acquisition.","thesis_zh":"SEC \u65e5\u5fd7\u663e\u793a\u6295\u8d44\u8005\u5bf9\u516c\u544a\u7684\u9605\u8bfb\u9700\u6c42\uff1b\u56f4\u7ed5\u65b0\u65e7\u6587\u4ef6\u7684\u6d41\u91cf\u51b2\u51fb\u53ef\u533a\u5206\u6563\u6237\u5173\u6ce8\u4e0e\u4fe1\u606f\u83b7\u53d6\u3002","build":"Prototype on 2020-2025 logs only: de-robot, aggregate human views by filing/ticker, join to 8-K/10-Q/10-K events.","build_zh":"\u5148\u75282020-2025\u65e5\u5fd7\u8bd5\u505a\uff1a\u53bb\u673a\u5668\u4eba\uff0c\u6309\u516c\u544a/ticker \u805a\u5408\u4eba\u7c7b\u9605\u8bfb\u91cf\uff0c\u5e76\u63a5\u51658-K/10-Q/10-K\u4e8b\u4ef6\u3002","gate":"Filing-day and post-filing drift; Brier calibration if used as event probability.","gate_zh":"\u516c\u544a\u65e5\u4e0e\u516c\u544a\u540e\u6f02\u79fb\uff1b\u82e5\u4f5c\u4e3a\u4e8b\u4ef6\u6982\u7387\u5219\u505a Brier \u6821\u51c6\u3002","source":"SEC EDGAR log files; Drake/Roulstone/Thornock literature","priority":"P1","fable_verdict":"PENDING"},{"name":"Overnight/intraday tug-of-war","name_zh":"\u9694\u591c/\u65e5\u5185\u62c9\u952f","market":"US equities","readiness":"OHLC on disk","readiness_zh":"OHLC \u5df2\u5728\u76d8","thesis":"Some anomalies accrue overnight while intraday returns mean-revert; this may improve entry timing without creating a new signal.","thesis_zh":"\u90e8\u5206\u5f02\u5e38\u6536\u76ca\u5728\u9694\u591c\u5151\u73b0\u800c\u65e5\u5185\u5747\u503c\u56de\u5f52\uff1b\u5b83\u53ef\u80fd\u6539\u5584\u5165\u573a\u65f6\u70b9\uff0c\u800c\u4e0d\u662f\u521b\u9020\u65b0\u4fe1\u53f7\u3002","build":"Decompose existing momentum/reversal/insider/payout candidates into close-open and open-close legs using adjusted OHLC.","build_zh":"\u7528\u8c03\u6574\u540e OHLC \u5c06\u73b0\u6709\u52a8\u91cf/\u53cd\u8f6c/\u5185\u90e8\u4eba/payout \u5019\u9009\u62c6\u6210 close-open \u4e0e open-close \u4e24\u817f\u3002","gate":"Net-of-open-spread viability, split-half, and no alpha claim unless tradable at open.","gate_zh":"\u6263\u9664\u5f00\u76d8\u4ef7\u5dee\u540e\u9a8c\u8bc1\u3001\u4e24\u534a\u7a33\u5b9a\uff1b\u9664\u975e\u5f00\u76d8\u53ef\u4ea4\u6613\uff0c\u5426\u5219\u4e0d\u58f0\u79f0 alpha\u3002","source":"Lou/Polk/Skouras 2019","priority":"P1","fable_verdict":"KILLED"},{"name":"Treasury auction absorption","name_zh":"\u7f8e\u503a\u62cd\u5356\u5438\u6536\u529b","market":"US rates","readiness":"collector exists","readiness_zh":"\u91c7\u96c6\u5668\u5df2\u5728","thesis":"Auction demand metrics can identify weak/strong duration absorption, but the data are mostly ex-post and must be framed as event context.","thesis_zh":"\u62cd\u5356\u9700\u6c42\u6307\u6807\u53ef\u8bc6\u522b\u4e45\u671f\u5438\u6536\u5f3a\u5f31\uff0c\u4f46\u6570\u636e\u591a\u4e3a\u4e8b\u540e\uff0c\u9700\u4f5c\u4e3a\u4e8b\u4ef6\u80cc\u666f\u5904\u7406\u3002","build":"Use treasury_auctions.parquet: bid-to-cover, indirect share, dealer takedown, issue size.","build_zh":"\u4f7f\u7528 treasury_auctions.parquet\uff1abid-to-cover\u3001\u95f4\u63a5\u6295\u6807\u3001\u4e00\u7ea7\u4ea4\u6613\u5546\u627f\u63a5\u3001\u53d1\u884c\u91cf\u3002","gate":"Event study on TLT/IEF/curve moves; forbid scoring unless pre-auction predictors beat term premium.","gate_zh":"\u5bf9 TLT/IEF/\u66f2\u7ebf\u505a\u4e8b\u4ef6\u7814\u7a76\uff1b\u9664\u975e\u62cd\u5356\u524d\u9884\u6d4b\u9879\u4f18\u4e8e\u671f\u9650\u6ea2\u4ef7\uff0c\u5426\u5219\u7981\u6b62\u8ba1\u5206\u3002","source":"TreasuryDirect auction query + 2025 auction-demand research","priority":"P1","fable_verdict":"BUILD"},{"name":"COT exhaustion matrix","name_zh":"COT \u4ed3\u4f4d\u8017\u5c3d\u77e9\u9635","market":"Cross-asset futures","readiness":"collector exists","readiness_zh":"\u91c7\u96c6\u5668\u5df2\u5728","thesis":"COT already helps capitulation context; a broader matrix may detect crowded futures positions across rates, FX and commodities.","thesis_zh":"COT \u5df2\u7528\u4e8e\u6295\u964d\u80cc\u666f\uff1b\u66f4\u5e7f\u7684\u77e9\u9635\u53ef\u80fd\u8bc6\u522b\u5229\u7387\u3001\u5916\u6c47\u4e0e\u5546\u54c1\u671f\u8d27\u62e5\u6324\u4ed3\u4f4d\u3002","build":"Compute 3y rolling spec-position percentiles, first differences, and cross-asset crowding clusters from existing COT store.","build_zh":"\u4ece\u73b0\u6709 COT \u5e93\u8ba1\u7b973\u5e74\u6eda\u52a8\u6295\u673a\u4ed3\u4f4d\u5206\u4f4d\u3001\u53d8\u5316\u91cf\u4e0e\u8de8\u8d44\u4ea7\u62e5\u6324\u7c07\u3002","gate":"Must beat dumb price trend / VIX gates; likely confirmer or graveyard, not scored.","gate_zh":"\u5fc5\u987b\u4f18\u4e8e\u6734\u7d20\u4ef7\u683c\u8d8b\u52bf / VIX \u95e8\uff1b\u5927\u6982\u7387\u662f\u786e\u8ba4\u9879\u6216\u5893\u5730\uff0c\u800c\u975e\u8ba1\u5206\u3002","source":"CFTC COT public reporting environment","priority":"P2","fable_verdict":"KILLED"},{"name":"Crypto funding + on-chain stress","name_zh":"\u52a0\u5bc6\u8d44\u91d1\u8d39\u7387 + \u94fe\u4e0a\u538b\u529b","market":"Crypto","readiness":"partial plumbing","readiness_zh":"\u90e8\u5206\u7ba1\u7ebf\u5df2\u5728","thesis":"Funding, MVRV, realized cap and holder-profit metrics may add cycle/tail context to the BTC Vector, but single-asset crypto samples are tiny.","thesis_zh":"\u8d44\u91d1\u8d39\u7387\u3001MVRV\u3001\u5b9e\u73b0\u5e02\u503c\u4e0e\u6301\u6709\u4eba\u76c8\u5229\u6307\u6807\u6216\u53ef\u8865\u5145 BTC \u5411\u91cf\u7684\u5468\u671f/\u5c3e\u90e8\u80cc\u666f\uff0c\u4f46\u5355\u8d44\u4ea7\u6837\u672c\u6781\u5c0f\u3002","build":"Separate raw engine from human gates; test funding-rate extremes and Coin Metrics valuation deltas as drawdown/entry confirmers.","build_zh":"\u5206\u79bb\u7eaf\u5f15\u64ce\u4e0e\u4eba\u5de5\u95e8\uff1b\u628a\u8d44\u91d1\u8d39\u7387\u6781\u503c\u548c Coin Metrics \u4f30\u503c\u53d8\u5316\u4f5c\u4e3a\u56de\u64a4/\u5165\u573a\u786e\u8ba4\u9879\u6d4b\u8bd5\u3002","gate":"Leave-one-cycle-out, brake-matched 200dma baseline, DSR with explicit trial ledger.","gate_zh":"\u9010\u5468\u671f\u5254\u9664\u3001\u5339\u914d200\u65e5\u5747\u7ebf\u5239\u8f66\u57fa\u7ebf\u3001\u5e26\u660e\u786e\u8bd5\u9a8c\u8d26\u672c\u7684 DSR\u3002","source":"Coin Metrics Community API; crypto funding literature","priority":"P2","fable_verdict":"PENDING"},{"name":"Supply-chain pressure impulse","name_zh":"\u4f9b\u5e94\u94fe\u538b\u529b\u8109\u51b2","market":"Macro / sectors","readiness":"free data","readiness_zh":"\u514d\u8d39\u6570\u636e","thesis":"GSCPI-style shocks may matter more for inflation-sensitive sectors than for broad SPY timing.","thesis_zh":"GSCPI \u7c7b\u51b2\u51fb\u5bf9\u901a\u80c0\u654f\u611f\u884c\u4e1a\u53ef\u80fd\u6bd4\u5bf9\u5e7f\u4e49 SPY \u62e9\u65f6\u66f4\u6709\u7528\u3002","build":"Collect FRBNY GSCPI; test level/change/surprise vs breakevens, CPI/PPI revisions, transports, semis, retailers and commodity sectors.","build_zh":"\u91c7\u96c6\u7ebd\u7ea6\u8054\u50a8 GSCPI\uff1b\u6d4b\u8bd5\u6c34\u5e73/\u53d8\u5316/\u610f\u5916\u503c\u76f8\u5bf9\u76c8\u4e8f\u5e73\u8861\u901a\u80c0\u3001CPI/PPI\u4fee\u6b63\u3001\u8fd0\u8f93\u3001\u534a\u5bfc\u4f53\u3001\u96f6\u552e\u4e0e\u5546\u54c1\u677f\u5757\u3002","gate":"Sector-relative IC with macro controls; no broad-risk claim unless it beats NFCI/OFR.","gate_zh":"\u884c\u4e1a\u76f8\u5bf9 IC \u52a0\u5b8f\u89c2\u63a7\u5236\uff1b\u9664\u975e\u4f18\u4e8e NFCI/OFR\uff0c\u5426\u5219\u4e0d\u58f0\u660e\u5e7f\u4e49\u98ce\u9669\u4fe1\u53f7\u3002","source":"NY Fed GSCPI","priority":"P2","fable_verdict":"PENDING"},{"name":"Lottery/MAX anti-chase flag","name_zh":"\u5f69\u7968/MAX \u53cd\u8ffd\u9ad8\u6807\u8bb0","market":"US equities","readiness":"price-only","readiness_zh":"\u4ec5\u4ef7\u683c","thesis":"Extreme one-day winners often underperform later, but replication literature warns the edge can vanish outside microcaps.","thesis_zh":"\u6781\u7aef\u5355\u65e5\u8d62\u5bb6\u968f\u540e\u5e38\u8dd1\u8f93\uff0c\u4f46\u590d\u9a8c\u6587\u732e\u8b66\u544a\u8be5\u8fb9\u9645\u5728\u6392\u9664\u5fae\u76d8\u540e\u53ef\u80fd\u6d88\u5931\u3002","build":"Compute prior-month MAX and idio-skew, then test as a subtract-only extension/fragility overlay inside liquid universes.","build_zh":"\u8ba1\u7b97\u4e0a\u6708 MAX \u4e0e\u7279\u8d28\u504f\u5ea6\uff0c\u5728\u9ad8\u6d41\u52a8\u6027\u80a1\u7968\u5185\u4f5c\u4e3a\u51cf\u5206\u5f0f\u62c9\u4f38/\u8106\u5f31\u53e0\u52a0\u5c42\u6d4b\u8bd5\u3002","gate":"NYSE breakpoints, value weights, cost and liquidity gates; expect graveyard unless incremental.","gate_zh":"NYSE \u65ad\u70b9\u3001\u5e02\u503c\u52a0\u6743\u3001\u6210\u672c\u4e0e\u6d41\u52a8\u6027\u95e8\uff1b\u9664\u975e\u6709\u589e\u91cf\uff0c\u5426\u5219\u9884\u671f\u8fdb\u5893\u5730\u3002","source":"Bali/Cakici/Whitelaw 2011; Hou/Xue/Zhang replication","priority":"P2","fable_verdict":"KILLED"},{"name":"FINRA short-volume stress","name_zh":"FINRA\u5356\u7a7a\u91cf\u538b\u529b","market":"US equities","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Short-volume ratio shock crossed with price strength/weakness and borrow proxies.","thesis_zh":"\u5356\u7a7a\u91cf\u6bd4\u7387\u51b2\u51fb\u4e0e\u4ef7\u683c\u5f3a\u5f31\u53ca\u501f\u5238\u6210\u672c\u4ee3\u7406\u4ea4\u53c9\u9a8c\u8bc1\u3002","build":"Existing FINRA short-volume collector.","build_zh":"\u73b0\u6709FINRA\u5356\u7a7a\u91cf\u91c7\u96c6\u5668\u3002","gate":"Cross-sectional IC and event buckets; never score unless it beats FTD/borrow proxies.","gate_zh":"\u622a\u9762IC\u4e0e\u4e8b\u4ef6\u5206\u6876\uff1b\u5f97\u5206\u987b\u8d85\u8d8aFTD/\u501f\u5238\u4ee3\u7406\u57fa\u7ebf\u3002","source":"FINRA short-sale volume data","priority":"Fable","fable_verdict":"KILLED"},{"name":"Opportunistic insider cluster","name_zh":"\u673a\u4f1a\u6027\u5185\u90e8\u4eba\u96c6\u4e2d\u4e70\u5165","market":"US equities","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Non-routine insider buys, cluster buys, role-weighted net USD/market cap.","thesis_zh":"\u975e\u5e38\u89c4\u5185\u90e8\u4eba\u4e70\u5165\u3001\u96c6\u4e2d\u4e70\u5165\u4e8b\u4ef6\u53ca\u89d2\u8272\u52a0\u6743\u51c0\u7f8e\u5143/\u5e02\u503c\u3002","build":"Existing SEC Form 4 insider store.","build_zh":"\u73b0\u6709SEC Form 4\u5185\u90e8\u4eba\u6570\u636e\u5e93\u3002","gate":"Incremental IC over current insider factor; routine-trader filter required.","gate_zh":"\u8d85\u8d8a\u73b0\u6709\u5185\u90e8\u4eba\u56e0\u5b50\u7684\u589e\u91cfIC\uff1b\u987b\u901a\u8fc7\u5e38\u89c4\u4ea4\u6613\u8005\u8fc7\u6ee4\u3002","source":"Cohen/Malloy/Pomorski insiders","priority":"Fable","fable_verdict":"KILLED"},{"name":"Insider sponsorship after solvency repair","name_zh":"\u507f\u503a\u4fee\u590d\u540e\u5185\u90e8\u4eba\u589e\u6301","market":"US equities","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Insider buying after balance-sheet and cash-flow repair, not generic dip-buying.","thesis_zh":"\u8d44\u4ea7\u8d1f\u503a\u8868\u4e0e\u73b0\u91d1\u6d41\u4fee\u590d\u540e\uff08\u975e\u666e\u901a\u4f4e\u4f4d\u4e70\u5165\uff09\u7684\u5185\u90e8\u4eba\u4e70\u5165\u3002","build":"SEC insiders plus fundamentals panel.","build_zh":"SEC\u5185\u90e8\u4eba\u6570\u636e\u4e0e\u57fa\u672c\u9762\u9762\u677f\u3002","gate":"Cross-sectional IC and bottom-rebound event buckets.","gate_zh":"\u622a\u9762IC\u4e0e\u5e95\u90e8\u53cd\u5f39\u4e8b\u4ef6\u5206\u6876\u3002","source":"Insider and repair literature","priority":"Fable","fable_verdict":"ROUTED"},{"name":"Net issuance / dilution shock","name_zh":"\u51c0\u589e\u53d1/\u7a00\u91ca\u51b2\u51fb","market":"US equities","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Share-count growth, ATM/convertible/securities issuance, dilution acceleration.","thesis_zh":"\u80a1\u672c\u589e\u957f\u3001ATM/\u53ef\u8f6c\u503a/\u8bc1\u5238\u589e\u53d1\u53ca\u7a00\u91ca\u52a0\u901f\u3002","build":"Existing EDGAR dilution collector.","build_zh":"\u73b0\u6709EDGAR\u7a00\u91ca\u91c7\u96c6\u5668\u3002","gate":"Monthly IC and exclusion value for long-only board.","gate_zh":"\u6708\u5ea6IC\u4e0e\u957f\u4ec5\u591a\u5934\u5254\u9664\u4ef7\u503c\uff1b\u4e0d\u5f97\u5f97\u5206\uff0c\u9664\u975e\u8d85\u8d8aFTD/\u501f\u5238\u4ee3\u7406\u3002","source":"Net issuance / asset-growth anomaly literature","priority":"Fable","fable_verdict":"KILLED"},{"name":"EDGAR lazy-prices text-change signal","name_zh":"EDGAR\u61d2\u4ef7\u683c\u6587\u672c\u53d8\u5316\u4fe1\u53f7","market":"US filings","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Year-over-year 10-K/10-Q textual change and neglected section deltas.","thesis_zh":"10-K/10-Q\u5e74\u5ea6\u6587\u672c\u53d8\u5316\u53ca\u88ab\u5ffd\u89c6\u7ae0\u8282\u589e\u91cf\u5dee\u5f02\u3002","build":"SEC filings plus LM/cleaned 10-X summaries; new text pipeline.","build_zh":"SEC\u5907\u6848\u6587\u672c\u4e0eLM/\u6e05\u6d17\u540e10-X\u6458\u8981\uff1b\u9700\u65b0\u6587\u672c\u5904\u7406\u6d41\u6c34\u7ebf\u3002","gate":"Post-filing 21/63/126d IC; require incremental edge over tone and attention.","gate_zh":"\u5907\u6848\u540e21/63/126\u65e5IC\uff1b\u987b\u8d85\u8d8a\u8bed\u8c03\u4e0e\u5173\u6ce8\u5ea6\u57fa\u7ebf\u7684\u589e\u91cf\u4f18\u52bf\u3002","source":"Cohen/Malloy/Nguyen lazy prices","priority":"Fable","fable_verdict":"PILOT"},{"name":"8-K item taxonomy surprise","name_zh":"8-K\u6761\u6b3e\u7c7b\u522b\u5f02\u5e38","market":"US filings","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Item-level 8-K surprise clusters, filing-time abnormal volume, stale vs fresh attention.","thesis_zh":"8-K\u6761\u6b3e\u7ea7\u5f02\u5e38\u96c6\u7fa4\u3001\u5907\u6848\u65f6\u4ea4\u6613\u91cf\u5f02\u5e38\u53ca\u9648\u65e7vs\u65b0\u9c9c\u5173\u6ce8\u5ea6\u3002","build":"Existing EDGAR 8-K / earnings 8-K collectors.","build_zh":"\u73b0\u6709EDGAR 8-K/\u8d22\u62a58-K\u91c7\u96c6\u5668\u3002","gate":"Event-window abnormal returns and post-event drift by item family.","gate_zh":"\u4e8b\u4ef6\u7a97\u53e3\u5f02\u5e38\u6536\u76ca\u4e0e\u4e8b\u4ef6\u540e\u6f02\u79fb\uff08\u6309\u6761\u6b3e\u65cf\u5206\u7c7b\uff09\u3002","source":"SEC EDGAR APIs","priority":"Fable","fable_verdict":"KILLED"},{"name":"Guidance revision language","name_zh":"\u4e1a\u7ee9\u6307\u5f15\u4fee\u8ba2\u8bed\u8a00","market":"US equities","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Guidance raise/cut, uncertainty language, management narrowing/widening.","thesis_zh":"\u6307\u5f15\u4e0a\u8c03/\u4e0b\u8c03\u3001\u4e0d\u786e\u5b9a\u6027\u8bed\u8a00\u53ca\u7ba1\u7406\u5c42\u6536\u7a84/\u6269\u5bbd\u5e45\u5ea6\u3002","build":"Existing EDGAR guidance collector.","build_zh":"\u73b0\u6709EDGAR\u6307\u5f15\u91c7\u96c6\u5668\u3002","gate":"Forward IC and event drift; must beat analyst revision breadth.","gate_zh":"\u524d\u5411IC\u4e0e\u4e8b\u4ef6\u6f02\u79fb\uff1b\u987b\u8d85\u8d8a\u5206\u6790\u5e08\u4fee\u8ba2\u5e7f\u5ea6\u57fa\u7ebf\u3002","source":"SEC guidance filings","priority":"Fable","fable_verdict":"KILLED"},{"name":"Gross-margin inflection","name_zh":"\u6bdb\u5229\u7387\u62d0\u70b9","market":"US equities","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Gross margin acceleration and recovery from trough, sector-relative.","thesis_zh":"\u6bdb\u5229\u7387\u52a0\u901f\u53ca\u4ece\u4f4e\u8c37\u56de\u5347\uff08\u76f8\u5bf9\u884c\u4e1a\uff09\u3002","build":"Existing fundamentals panel.","build_zh":"\u73b0\u6709\u57fa\u672c\u9762\u9762\u677f\u3002","gate":"Quarterly PIT IC; reject if subsumed by profitability/revisions.","gate_zh":"\u5b63\u5ea6PIT IC\uff1b\u82e5\u88ab\u76c8\u5229\u80fd\u529b/\u4fee\u8ba2\u56e0\u5b50\u6240\u6db5\u76d6\u5219\u5426\u51b3\u3002","source":"Profitability anomaly literature","priority":"Fable","fable_verdict":"QUEUED"},{"name":"Inventory build versus sales slowdown","name_zh":"\u5e93\u5b58\u79ef\u538b\u5bf9\u6bd4\u9500\u552e\u653e\u7f13","market":"US equities","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Inventory growth minus sales growth, adjusted by industry seasonality.","thesis_zh":"\u5e93\u5b58\u589e\u957f\u51cf\u53bb\u9500\u552e\u589e\u957f\uff08\u6309\u884c\u4e1a\u5b63\u8282\u6027\u8c03\u6574\uff09\u3002","build":"Existing fundamentals panel.","build_zh":"\u73b0\u6709\u57fa\u672c\u9762\u9762\u677f\u3002","gate":"Quarterly IC; must show negative forward edge outside retailers/energy quirks.","gate_zh":"\u5b63\u5ea6IC\uff1b\u987b\u5728\u96f6\u552e/\u80fd\u6e90\u4ee5\u5916\u5448\u73b0\u8d1f\u5411\u524d\u77bb\u4f18\u52bf\u3002","source":"Inventory/accrual anomaly literature","priority":"Fable","fable_verdict":"KILLED"},{"name":"China margin-financing impulse","name_zh":"\u4e2d\u56fd\u878d\u8d44\u4f59\u989d\u51b2\u91cf","market":"China A","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Margin balance acceleration, sector concentration, margin/turnover ratio.","thesis_zh":"\u878d\u8d44\u4f59\u989d\u52a0\u901f\u3001\u884c\u4e1a\u96c6\u4e2d\u5ea6\u53ca\u878d\u8d44/\u6210\u4ea4\u989d\u6bd4\u7387\u3002","build":"Existing China margin collectors.","build_zh":"\u73b0\u6709\u4e2d\u56fd\u878d\u8d44\u6570\u636e\u91c7\u96c6\u5668\u3002","gate":"Forward IC and crash-risk test; separate informed leverage from sentiment leverage.","gate_zh":"\u524d\u5411IC\u4e0e\u5d29\u76d8\u98ce\u9669\u68c0\u9a8c\uff1b\u533a\u5206\u7406\u6027\u6760\u6746\u4e0e\u60c5\u7eea\u6760\u6746\u3002","source":"China margin trading literature","priority":"Fable","fable_verdict":"TESTED-NULL"},{"name":"A-H premium dislocation convergence","name_zh":"A-H\u6ea2\u4ef7\u9519\u4f4d\u6536\u655b","market":"China / HK","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Pair-level A-H premium z-score, flow gating, currency stress.","thesis_zh":"\u914d\u5bf9A-H\u6ea2\u4ef7Z\u503c\u3001\u8d44\u91d1\u6d41\u95e8\u63a7\u53ca\u6c47\u7387\u538b\u529b\u3002","build":"Existing HK A-H panel.","build_zh":"\u73b0\u6709HK A-H\u9762\u677f\u3002","gate":"Pair convergence IC; forbid broad-market claim unless portfolio construction works.","gate_zh":"\u914d\u5bf9\u6536\u655bIC\uff1b\u9664\u975e\u7ec4\u5408\u6784\u5efa\u53ef\u884c\uff0c\u5426\u5219\u7981\u6b62\u5bbd\u5e02\u573a\u4e3b\u5f20\u3002","source":"Stock Connect / A-H premium literature","priority":"Fable","fable_verdict":"TESTED-ACCRUE"},{"name":"Primary-dealer Treasury inventory/fails stress","name_zh":"\u4e00\u7ea7\u4ea4\u6613\u5546\u56fd\u503a\u5e93\u5b58/\u5931\u4ea4\u538b\u529b","market":"US rates","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Dealer Treasury positions, financing, fails-to-deliver/receive, inventory absorption.","thesis_zh":"\u4ea4\u6613\u5546\u56fd\u503a\u6301\u4ed3\u3001\u878d\u8d44\u3001\u5931\u4ea4/\u5f85\u6536\u4ee5\u53ca\u5e93\u5b58\u6d88\u5316\u3002","build":"NY Fed Primary Dealer Statistics; OFR mirror possible.","build_zh":"\u7ebd\u7ea6\u8054\u50a8\u4e00\u7ea7\u4ea4\u6613\u5546\u7edf\u8ba1\uff1bOFR\u955c\u50cf\u53ef\u7528\u3002","gate":"Rates/curve event study and SPY/TLT drawdown context; likely confirmer.","gate_zh":"\u5229\u7387/\u66f2\u7ebf\u4e8b\u4ef6\u7814\u7a76\u4e0eSPY/TLT\u56de\u64a4\u80cc\u666f\uff1b\u53ef\u80fd\u4f5c\u4e3a\u8f85\u52a9\u786e\u8ba4\u56e0\u5b50\u3002","source":"NY Fed Primary Dealer Statistics","priority":"Fable","fable_verdict":"TESTED-PARTIAL"},{"name":"Repo/SOFR tail stress","name_zh":"\u56de\u8d2d/SOFR\u5c3e\u90e8\u538b\u529b","market":"US funding","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"SOFR p99, repo specialness proxies, funding-tail z-score.","thesis_zh":"SOFR\u7b2c99\u767e\u5206\u4f4d\u3001\u56de\u8d2d\u4e13\u9879\u6ea2\u4ef7\u4ee3\u7406\u53ca\u8d44\u91d1\u5c3e\u90e8Z\u503c\u3002","build":"Existing OFR short-term funding monitor collector.","build_zh":"\u73b0\u6709OFR\u77ed\u671f\u8d44\u91d1\u76d1\u63a7\u91c7\u96c6\u5668\u3002","gate":"Forward drawdown AUC and event study; likely display/confirmer.","gate_zh":"\u524d\u5411\u56de\u64a4AUC\u4e0e\u4e8b\u4ef6\u7814\u7a76\uff1b\u53ef\u80fd\u4f5c\u4e3a\u5c55\u793a/\u8f85\u52a9\u786e\u8ba4\u56e0\u5b50\u3002","source":"OFR short-term funding monitor","priority":"Fable","fable_verdict":"TESTED-PASS"},{"name":"EIA petroleum inventory surprise","name_zh":"EIA\u77f3\u6cb9\u5e93\u5b58\u610f\u5916","market":"Energy / commodities","readiness":"Phase-0 \u5b58\u6d3b\u5019\u9009","readiness_zh":"Phase-0 \u5b58\u6d3b\u5019\u9009","thesis":"Crude/gasoline/distillate seasonal-model error (inventory surprise not buildable free \u2014 API consensus is paywalled), refinery runs, days-of-supply.","thesis_zh":"\u539f\u6cb9/\u6c7d\u6cb9/\u998f\u5206\u6cb9\u5b63\u8282\u6027\u6a21\u578b\u8bef\u5dee\u3001\u70bc\u6cb9\u8fd0\u884c\u91cf\u53ca\u4f9b\u5e94\u5929\u6570\u3002","build":"Existing EIA collector and weekly petroleum report data.","build_zh":"\u73b0\u6709EIA\u91c7\u96c6\u5668\u53ca\u6bcf\u5468\u77f3\u6cb9\u62a5\u544a\u6570\u636e\u3002","gate":"CL/XLE/OIH event study using seasonal-model error only (no true consensus surprise); prior ruling: EIA inventory display-only; 38y carry phase-0 wrong-signed.","gate_zh":"\u4ec5\u4f7f\u7528\u5b63\u8282\u6027\u6a21\u578b\u8bef\u5dee\uff08\u65e0\u771f\u5b9e\u4e00\u81f4\u9884\u671f\uff09\u7684CL/XLE/OIH\u4e8b\u4ef6\u7814\u7a76\u3002","source":"EIA weekly petroleum status","priority":"Fable","fable_verdict":"KILLED"}],"frontier_chip_counts":{"BUILD":2,"PENDING":5,"KILLED":10,"ROUTED":1,"PILOT":1,"QUEUED":1,"TESTED-NULL":1,"TESTED-ACCRUE":1,"TESTED-PARTIAL":1,"TESTED-PASS":1},"frontier_phase0_summary":{"total":60,"advance_to_fable":19,"local_phase0_ready":33,"data_contract_first":6,"watchlist_or_reject":1,"graveyard_now":1,"verdict_counts":{"advance_to_fable":19,"data_contract_first":6,"local_phase0_ready":33,"graveyard_now":1,"watchlist_or_reject":1},"build_count":0,"probe_count":0,"pilot_count":1},"docket_candidate_count":60,"adjudications":[{"date":"2026-07-06","title":"Waves 2\u20134 adjudication + Build-day (Day 3) results","title_zh":"\u7b2c2\u20134\u6ce2\u88c1\u51b3 + \u6784\u5efa\u65e5\uff08\u7b2c3\u5929\uff09\u7ed3\u679c","waves":[{"wave":2,"screened":200,"advanced":58,"result_label":"2 spikes + 5 queued","result_label_zh":"2\u4e2a\u5c16\u5cf0\u5019\u9009 + 5\u4e2a\u6392\u961f","detail":"200 screened / 58 template advances collapsed to 7 actionable: 2 spikes (KEV vendor-shock NULL #1656; NHTSA safety-recall in flight), 5 queued for post-moratorium adjudication.","detail_zh":"200\u4e2a\u7b5b\u9009 / 58\u4e2a\u6a21\u677f\u5019\u9009\u5408\u5e76\u4e3a7\u4e2a\u53ef\u64cd\u4f5c\uff1a2\u4e2a\u5c16\u5cf0\u5019\u9009\uff08KEV\u4f9b\u5e94\u5546\u51b2\u51fb NULL #1656\uff1bNHTSA\u5b89\u5168\u53ec\u56de\u8fdb\u884c\u4e2d\uff09\uff0c5\u4e2a\u6392\u961f\u7b49\u5f85\u6682\u505c\u671f\u540e\u88c1\u51b3\u3002","doc":"research/SIGNAL_LAB_FRONTIER_WAVE2_FABLE_ADJUDICATION_2026-07-06.md"},{"wave":3,"screened":500,"advanced":48,"result_label":"1 family queued (FFIEC bank stress)","result_label_zh":"1\u4e2a\u5bb6\u65cf\u6392\u961f\uff08FFIEC\u94f6\u884c\u538b\u529b\uff09","detail":"500 screened / 48 template advances collapsed to 4 feeds / 1 family queued: FFIEC bank-stress call-report ratios.","detail_zh":"500\u4e2a\u7b5b\u9009 / 48\u4e2a\u6a21\u677f\u5019\u9009\u5408\u5e76\u4e3a4\u4e2a\u6570\u636e\u6d41 / 1\u4e2a\u5bb6\u65cf\u6392\u961f\uff1aFFIEC\u94f6\u884c\u538b\u529b\u62a5\u544a\u6bd4\u7387\u3002","doc":"research/SIGNAL_LAB_FRONTIER_WAVE3_FABLE_ADJUDICATION_2026-07-06.md"},{"wave":4,"screened":500,"advanced":8,"result_label":"1 family queued + 1 park + 2 kills","result_label_zh":"1\u4e2a\u5bb6\u65cf\u6392\u961f + 1\u4e2a\u6682\u5b58 + 2\u4e2a\u5426\u51b3","detail":"500 screened / 8 advanced / 1 consolidated family queued (multi-state gaming tape) + 1 park + 2 kills.","detail_zh":"500\u4e2a\u7b5b\u9009 / 8\u4e2a\u5019\u9009 / 1\u4e2a\u5408\u5e76\u5bb6\u65cf\u6392\u961f\uff08\u591a\u5dde\u535a\u5f69\u6570\u636e\uff09+ 1\u4e2a\u6682\u5b58 + 2\u4e2a\u5426\u51b3\u3002","doc":"research/SIGNAL_LAB_FRONTIER_WAVE4_FABLE_ADJUDICATION_2026-07-06.md"}],"moratorium":true,"moratorium_note":"Generation moratorium in force: no new wave authorized until wave-1 + spike verdicts are booked and the queued family count drops below 3.","moratorium_note_zh":"\u751f\u6210\u6682\u505c\u4ee4\u751f\u6548\uff1a\u5728\u7b2c\u4e00\u6ce2 + \u5c16\u5cf0\u5019\u9009\u88c1\u51b3\u767b\u8bb0\u3001\u6392\u961f\u5bb6\u65cf\u6570\u964d\u81f33\u4ee5\u4e0b\u4e4b\u524d\uff0c\u4e0d\u6388\u6743\u65b0\u4e00\u6ce2\u7b5b\u9009\u3002","day3_results":{"date":"2026-07-07","families_tested":13,"pass_count":2,"accrue_count":1,"directional_fail_count":1,"park_count":1,"null_count":8,"data_blocked_count":1,"label":"Build-day (Day 3) results","label_zh":"\u6784\u5efa\u65e5\uff08\u7b2c3\u5929\uff09\u7ed3\u679c","verdicts":[{"family":"d2_rates_calendar_flows","result":"PASS","result_zh":"\u901a\u8fc7","note":"V3 month-end extension day (TLT t=3.63, IEF t=5.02); V1+V2 NULL"},{"family":"d2_comment_letter_release","result":"PASS (accrual caveat)","result_zh":"\u901a\u8fc7\uff08\u9700\u79ef\u7d2f\uff09","note":"substantive/h21/massive t=-3.26 q=0.0044; effect concentrated 2023-2025; accrual required"},{"family":"w3_bank_callreport_stress","result":"ACCRUE","result_zh":"\u79ef\u7d2f\u4e2d","note":"n=1 crisis episode; verdict clock ~2027; FFIEC Y-9C machinery live"},{"family":"d2_cn_holder_sale_calendar","result":"DIRECTIONAL FAIL","result_zh":"\u65b9\u5411\u6027\u5426\u51b3","note":"anti-hypothesis: POSITIVE excess (C1 t=2.41, C5 t=4.11, largest tercile most positive)"},{"family":"w5b_warn_paid_feed","result":"PARK","result_zh":"\u6682\u5b58","note":"paid-feed only ($49/mo); collectors built; on hold pending feed decision"},{"family":"w5_trade_size_capitulation","result":"NULL","result_zh":"\u65e0\u6548","note":"trade-size collapse at 52w lows; store 2021+ only; all 6 cells NULL"},{"family":"d2_rates_calendar_flows_v1v2","result":"NULL","result_zh":"\u65e0\u6548","note":"V1 auction-cycle + V2 QE-rebalance: all cells NULL"},{"family":"w2104_cmdi_conditioning","result":"NULL","result_zh":"\u65e0\u6548","note":"CMDI AUC <0.60; LOCO crisis-dependent; context display only"},{"family":"w2153_itc337","result":"NULL","result_zh":"\u65e0\u6548","note":"ITC 337 institution/adverse events: E2 underpowered (n=1); E1 NULL"},{"family":"w2051_housing_hf","result":"NULL","result_zh":"\u65e0\u6548","note":"housing HF signals; direction correct but <4 gates simultaneously"},{"family":"d2_russell_deletion_overshoot","result":"NULL (n=3 descriptive)","result_zh":"\u65e0\u6548\uff08n=3\u63cf\u8ff0\u6027\uff09","note":"n=3 recon years; 2/3 positive at T+21d; accrual-only"},{"family":"d2_cn_export_share_nowcast","result":"NULL","result_zh":"\u65e0\u6548","note":"CN export share nowcast t=1.47 p=0.14 n=39; PIT-clean conditions"},{"family":"w4_multistate_gaming_tape","result":"DATA-BLOCKED","result_zh":"\u6570\u636e\u53d7\u963b","note":"collectors live (NY/NJ/PA/NV); network-blocked in build env; re-run with real data"}],"data_products_live":["data/tsa \u2014 TSA daily passenger throughput (git-tracked, 2019->)","data/china_block_tape \u2014 A-share block-trade archiver (SLF-A10, 39 files)","data/options_tape_signed \u2014 options tape pilot 20 tickers (SLF-A11)","data/cn_holder_sales \u2014 \u51cf\u6301 calendar 38,988 windows (SLF-B3)","data/nyfed_cmdi \u2014 CMDI weekly/monthly (SLF-A4)","data/redfin_hf + data/zori \u2014 housing HF panels (SLF-A7)","data/gaming_tape \u2014 gaming nowcast panel synthetic (SLF-B1, real data pending)","data/cn_export_products \u2014 Comtrade 5 HS tapes (SLF-B4)","data/comment_letter_events \u2014 EDGAR CORRESP/UPLOAD 26,141 events (SLF-A3)","FFIEC Y-9C panel: NOT PRESENT (slf-b2 removed; regenerate via scripts/collect_ffiec_y9c.py --resume)"],"queue_status":"Authorized queue is now EMPTY except accrual clocks and parked items \u2014 moratorium condition met. Next docket generation requires operator ratification.","queue_status_zh":"\u6388\u6743\u961f\u5217\u5df2\u6e05\u7a7a\uff08\u79ef\u7d2f\u65f6\u949f\u548c\u6682\u5b58\u9879\u9664\u5916\uff09\u2014\u2014\u6682\u505c\u4ee4\u6761\u4ef6\u5df2\u6ee1\u8db3\u3002\u4e0b\u4e00\u6279\u6b21\u751f\u6210\u9700\u8981\u8fd0\u8425\u65b9\u6279\u51c6\u3002"}}],"waves_adjudication":{"date":"2026-07-06","title":"Waves 2\u20134 adjudication + Build-day (Day 3) results","title_zh":"\u7b2c2\u20134\u6ce2\u88c1\u51b3 + \u6784\u5efa\u65e5\uff08\u7b2c3\u5929\uff09\u7ed3\u679c","waves":[{"wave":2,"screened":200,"advanced":58,"result_label":"2 spikes + 5 queued","result_label_zh":"2\u4e2a\u5c16\u5cf0\u5019\u9009 + 5\u4e2a\u6392\u961f","detail":"200 screened / 58 template advances collapsed to 7 actionable: 2 spikes (KEV vendor-shock NULL #1656; NHTSA safety-recall in flight), 5 queued for post-moratorium adjudication.","detail_zh":"200\u4e2a\u7b5b\u9009 / 58\u4e2a\u6a21\u677f\u5019\u9009\u5408\u5e76\u4e3a7\u4e2a\u53ef\u64cd\u4f5c\uff1a2\u4e2a\u5c16\u5cf0\u5019\u9009\uff08KEV\u4f9b\u5e94\u5546\u51b2\u51fb NULL #1656\uff1bNHTSA\u5b89\u5168\u53ec\u56de\u8fdb\u884c\u4e2d\uff09\uff0c5\u4e2a\u6392\u961f\u7b49\u5f85\u6682\u505c\u671f\u540e\u88c1\u51b3\u3002","doc":"research/SIGNAL_LAB_FRONTIER_WAVE2_FABLE_ADJUDICATION_2026-07-06.md"},{"wave":3,"screened":500,"advanced":48,"result_label":"1 family queued (FFIEC bank stress)","result_label_zh":"1\u4e2a\u5bb6\u65cf\u6392\u961f\uff08FFIEC\u94f6\u884c\u538b\u529b\uff09","detail":"500 screened / 48 template advances collapsed to 4 feeds / 1 family queued: FFIEC bank-stress call-report ratios.","detail_zh":"500\u4e2a\u7b5b\u9009 / 48\u4e2a\u6a21\u677f\u5019\u9009\u5408\u5e76\u4e3a4\u4e2a\u6570\u636e\u6d41 / 1\u4e2a\u5bb6\u65cf\u6392\u961f\uff1aFFIEC\u94f6\u884c\u538b\u529b\u62a5\u544a\u6bd4\u7387\u3002","doc":"research/SIGNAL_LAB_FRONTIER_WAVE3_FABLE_ADJUDICATION_2026-07-06.md"},{"wave":4,"screened":500,"advanced":8,"result_label":"1 family queued + 1 park + 2 kills","result_label_zh":"1\u4e2a\u5bb6\u65cf\u6392\u961f + 1\u4e2a\u6682\u5b58 + 2\u4e2a\u5426\u51b3","detail":"500 screened / 8 advanced / 1 consolidated family queued (multi-state gaming tape) + 1 park + 2 kills.","detail_zh":"500\u4e2a\u7b5b\u9009 / 8\u4e2a\u5019\u9009 / 1\u4e2a\u5408\u5e76\u5bb6\u65cf\u6392\u961f\uff08\u591a\u5dde\u535a\u5f69\u6570\u636e\uff09+ 1\u4e2a\u6682\u5b58 + 2\u4e2a\u5426\u51b3\u3002","doc":"research/SIGNAL_LAB_FRONTIER_WAVE4_FABLE_ADJUDICATION_2026-07-06.md"}],"moratorium":true,"moratorium_note":"Generation moratorium in force: no new wave authorized until wave-1 + spike verdicts are booked and the queued family count drops below 3.","moratorium_note_zh":"\u751f\u6210\u6682\u505c\u4ee4\u751f\u6548\uff1a\u5728\u7b2c\u4e00\u6ce2 + \u5c16\u5cf0\u5019\u9009\u88c1\u51b3\u767b\u8bb0\u3001\u6392\u961f\u5bb6\u65cf\u6570\u964d\u81f33\u4ee5\u4e0b\u4e4b\u524d\uff0c\u4e0d\u6388\u6743\u65b0\u4e00\u6ce2\u7b5b\u9009\u3002","day3_results":{"date":"2026-07-07","families_tested":13,"pass_count":2,"accrue_count":1,"directional_fail_count":1,"park_count":1,"null_count":8,"data_blocked_count":1,"label":"Build-day (Day 3) results","label_zh":"\u6784\u5efa\u65e5\uff08\u7b2c3\u5929\uff09\u7ed3\u679c","verdicts":[{"family":"d2_rates_calendar_flows","result":"PASS","result_zh":"\u901a\u8fc7","note":"V3 month-end extension day (TLT t=3.63, IEF t=5.02); V1+V2 NULL"},{"family":"d2_comment_letter_release","result":"PASS (accrual caveat)","result_zh":"\u901a\u8fc7\uff08\u9700\u79ef\u7d2f\uff09","note":"substantive/h21/massive t=-3.26 q=0.0044; effect concentrated 2023-2025; accrual required"},{"family":"w3_bank_callreport_stress","result":"ACCRUE","result_zh":"\u79ef\u7d2f\u4e2d","note":"n=1 crisis episode; verdict clock ~2027; FFIEC Y-9C machinery live"},{"family":"d2_cn_holder_sale_calendar","result":"DIRECTIONAL FAIL","result_zh":"\u65b9\u5411\u6027\u5426\u51b3","note":"anti-hypothesis: POSITIVE excess (C1 t=2.41, C5 t=4.11, largest tercile most positive)"},{"family":"w5b_warn_paid_feed","result":"PARK","result_zh":"\u6682\u5b58","note":"paid-feed only ($49/mo); collectors built; on hold pending feed decision"},{"family":"w5_trade_size_capitulation","result":"NULL","result_zh":"\u65e0\u6548","note":"trade-size collapse at 52w lows; store 2021+ only; all 6 cells NULL"},{"family":"d2_rates_calendar_flows_v1v2","result":"NULL","result_zh":"\u65e0\u6548","note":"V1 auction-cycle + V2 QE-rebalance: all cells NULL"},{"family":"w2104_cmdi_conditioning","result":"NULL","result_zh":"\u65e0\u6548","note":"CMDI AUC <0.60; LOCO crisis-dependent; context display only"},{"family":"w2153_itc337","result":"NULL","result_zh":"\u65e0\u6548","note":"ITC 337 institution/adverse events: E2 underpowered (n=1); E1 NULL"},{"family":"w2051_housing_hf","result":"NULL","result_zh":"\u65e0\u6548","note":"housing HF signals; direction correct but <4 gates simultaneously"},{"family":"d2_russell_deletion_overshoot","result":"NULL (n=3 descriptive)","result_zh":"\u65e0\u6548\uff08n=3\u63cf\u8ff0\u6027\uff09","note":"n=3 recon years; 2/3 positive at T+21d; accrual-only"},{"family":"d2_cn_export_share_nowcast","result":"NULL","result_zh":"\u65e0\u6548","note":"CN export share nowcast t=1.47 p=0.14 n=39; PIT-clean conditions"},{"family":"w4_multistate_gaming_tape","result":"DATA-BLOCKED","result_zh":"\u6570\u636e\u53d7\u963b","note":"collectors live (NY/NJ/PA/NV); network-blocked in build env; re-run with real data"}],"data_products_live":["data/tsa \u2014 TSA daily passenger throughput (git-tracked, 2019->)","data/china_block_tape \u2014 A-share block-trade archiver (SLF-A10, 39 files)","data/options_tape_signed \u2014 options tape pilot 20 tickers (SLF-A11)","data/cn_holder_sales \u2014 \u51cf\u6301 calendar 38,988 windows (SLF-B3)","data/nyfed_cmdi \u2014 CMDI weekly/monthly (SLF-A4)","data/redfin_hf + data/zori \u2014 housing HF panels (SLF-A7)","data/gaming_tape \u2014 gaming nowcast panel synthetic (SLF-B1, real data pending)","data/cn_export_products \u2014 Comtrade 5 HS tapes (SLF-B4)","data/comment_letter_events \u2014 EDGAR CORRESP/UPLOAD 26,141 events (SLF-A3)","FFIEC Y-9C panel: NOT PRESENT (slf-b2 removed; 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Next docket generation requires operator ratification.","queue_status_zh":"\u6388\u6743\u961f\u5217\u5df2\u6e05\u7a7a\uff08\u79ef\u7d2f\u65f6\u949f\u548c\u6682\u5b58\u9879\u9664\u5916\uff09\u2014\u2014\u6682\u505c\u4ee4\u6761\u4ef6\u5df2\u6ee1\u8db3\u3002\u4e0b\u4e00\u6279\u6b21\u751f\u6210\u9700\u8981\u8fd0\u8425\u65b9\u6279\u51c6\u3002"}},"warnings":[],"foundry":{"present":true,"funnel":{"proposed":17,"screen_rejected":3,"registered":14,"tested":14,"pass_candidates":0,"promoted":0},"rows":[{"id":"SF-0001","name":"VVIX/VIX ratio stress precursor","name_zh":"","market":"US vol","thesis":"Vol-of-vol rich vs vol (VVIX/VIX ratio z) marks fragile hedging complexes that precede equity drawdowns","thesis_full":"Vol-of-vol rich vs vol (VVIX/VIX ratio z) marks fragile hedging complexes that precede equity 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content)","seed_provenance_source":"","status":"tested","verdict":"null","ic":-0.0951,"t_hac":-1.707,"dsr":0.0002,"n_eff_months":402,"placebo_pct":0.935,"gates":{"min_t_hac":2.0,"fdr_q":0.1,"dsr":0.9},"registered_at":"2026-07-10","forward_days":0,"data":[{"path":"data/cboe/skew.parquet","column":"skew","pit":"live index prints"}],"pipeline":[["pctile_rank",{"window":504}]],"target":{"path":"data/yahoo/SPY.parquet","column":"close_price","kind":"drawdown_onset","horizon_d":21}},{"id":"SF-0004","name":"COT ES net-spec positioning extreme","name_zh":"","market":"US equity","thesis":"Extreme speculative net length in ES fades forward; standalone single-series construction testing whether crowded spec-l\u2026","thesis_full":"Extreme speculative net length in ES fades forward; standalone single-series construction testing whether crowded spec-longs predict negative excess 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dependent on fewer large constituents.","seed_provenance_source":"engine/signal_lab.py","status":"tested","verdict":"null","ic":-0.0574,"t_hac":-1.423,"dsr":0.0,"n_eff_months":274,"placebo_pct":0.6,"gates":{"min_t_hac":2.0,"fdr_q":0.1,"dsr":0.9},"registered_at":"2026-07-17","forward_days":0,"data":[{"path":"data/yahoo/RSP.parquet","column":"close","pit":"clean"},{"path":"data/yahoo/SPY.parquet","column":"close","pit":"clean"}],"pipeline":[["ratio",{}],["drawdown",{"window":126}],["zscore",{"window":252}]],"target":{"path":"data/yahoo/SPY.parquet","kind":"forward_vol","horizon_d":21}},{"id":"SF-0017","name":"Cash-volume instability forecast","name_zh":"\u73b0\u8d27\u6210\u4ea4\u91cf\u4e0d\u7a33\u5b9a\u6027\u9884\u6d4b","market":"US macro","thesis":"Elevated instability in daily SPY volume predicts higher near-term realized volatility because abrupt turnover changes r\u2026","thesis_full":"Elevated instability in daily SPY volume predicts higher near-term realized volatility because abrupt turnover changes reveal heterogeneous information arrival and unstable market liquidity.","seed_provenance_source":"engine/signal_lab.py","status":"tested","verdict":"null","ic":-0.0306,"t_hac":-0.15,"dsr":0.0204,"n_eff_months":399,"placebo_pct":0.415,"gates":{"min_t_hac":2.0,"fdr_q":0.1,"dsr":0.9},"registered_at":"2026-07-17","forward_days":0,"data":[{"path":"data/yahoo/SPY.parquet","column":"volume","pit":"clean"}],"pipeline":[["pct_change",{"n":1}],["rolling_vol",{"window":21}],["pctile_rank",{"window":252}],["lag",{"n":1}]],"target":{"path":"data/yahoo/SPY.parquet","kind":"forward_vol","horizon_d":10}},{"id":"SF-0005","name":"COT UST10y spec positioning squeeze","name_zh":"","market":"US rates","thesis":"Crowded short/long spec positioning in 10y futures precedes squeeze reversals in duration","thesis_full":"Crowded short/long spec positioning in 10y futures precedes squeeze reversals in 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BTC","seed_provenance_source":"","status":"tested","verdict":"unstable","ic":0.059,"t_hac":0.223,"dsr":0.861,"n_eff_months":191,"placebo_pct":0.5,"gates":{"min_t_hac":2.0,"fdr_q":0.1,"dsr":0.9},"registered_at":"2026-07-10","forward_days":0,"data":[{"path":"data/coinmetrics/hashrate.parquet","column":"hashrate","pit":"chain data, no revision"}],"pipeline":[["pct_change",{"n":63}],["zscore",{"window":365}]],"target":{"path":"data/coinmetrics/price_usd.parquet","column":"price_usd","kind":"absolute_return","horizon_d":63}},{"id":"SF-0012","name":"BTC VDD-multiple percentile","name_zh":"","market":"BTC","thesis":"Value-days-destroyed multiple percentile flags old-coin distribution; rich percentile precedes deeper BTC drawdowns","thesis_full":"Value-days-destroyed multiple percentile flags old-coin distribution; rich percentile precedes deeper BTC 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