{ "schema": "canli.earnings-narrative-change-probe.v1", "preregistration": "docs/design/PREREG_EARNINGS_NARRATIVE_CHANGE.md", "hypotheses_spent": 1, "return_identity_reservation": { "schema": "canli.alphac-return-identity-reservation.v1", "status": "RETURN_IDENTITY_RESERVED", "family_trial_account": "earnings_narrative_change", "return_identity_id": "earnings_narrative_change_v1", "hypotheses_spent": 1, "preregistration_sha256": "60486da41f1e2c88e62b6e56d436d780f645420ffaeb13364540d0c4040cc3b9", "corpus_parts_sha256": "45505610e0a93bf7cb27829aa6b62acf4dbd28659783e1fb7735b56f63e59a1b", "pair_file_sha256": "31b0c4e1eac60cbcee690256ad624edef4a66db00975e9ead8f72aa76fe3d808", "trial_config": { "mechanism": "sec_10k_item1a_stability_jaccard5", "direction": "long_stable_short_changed", "controls": "filing_reaction_momentum_sic2", "cohort": "acceptance_month_second_next_open", "tails": "residual_quintiles", "hold_sessions": 63, "hedge": "individual_252d_spy_beta_clamped_pm1", "costs": { "stock_oneway": 0.0015, "spy_oneway": 0.0001, "borrow_annual": 0.03 }, "oos_start": "2016-01-01", "oos_end": "2025-12-31" }, "trial_config_hash": "ed221f310f19889c", "reserved_at": "2026-08-16T00:04:17.382468+00:00" }, "reproduction": { "command": "uv run python scripts/probe_earnings_narrative_change.py", "python": "3.12.13 (main, Jun 2 2026, 22:42:28) [Clang 22.1.3 ]", "numpy": "2.4.6", "pandas": "3.0.3", "pyproject_path": "pyproject.toml", "pyproject_sha256": "ddaf8b60999275f6d3fb93b3073f256d75d1383bfc8bab14263dc58645841006", "uv_lock_path": "uv.lock", "uv_lock_sha256": "5caca664242722a3a3112663d7a19b7b5000583e30ade3753e1b8ffdecfd6f06", "runner_path": "scripts/probe_earnings_narrative_change.py", "runner_sha256": "b64c366b95c2f9595de3f6bf292f3958db7d9f2b1b5cab38ebedd94a082e3a05" }, "pbo": { "status": "NOT_DEFINED_SINGLE_IDENTITY", "value": null, "reason": "one locked configuration has no selection surface" }, "corpus": { "schema": "canli.ingest.sec-10k-item1a-corpus.v1", "generated_at": "2026-08-15T23:56:57.349705+00:00", "stage": "corpus_ingest_no_prices_no_returns", "hypothesis_identities_spent": 0, "preregistration": "docs/design/PREREG_EARNINGS_NARRATIVE_CHANGE.md", "parser_version": "sec-filing-sections-v2", "source_manifest": { "path": "artifacts/ingest/earnings_narrative_change/filings_manifest.parquet", "sha256": "7228eef1a2493152355da5b0e84cc620a3c15707279caecc7f45041941dfa651" }, "manifest_rows": 83070, "pair_eligible_manifest_rows": 82491, "processed_rows": 82491, "successful_downloads": 82491, "download_rate": 1.0, "item1a_extracted": 73744, "item1a_extraction_rate": 0.8939641900328521, "sic_complete": 82171, "sic_missing_at_source": 320, "sic_rate": 0.9961207889345505, "current_parser_rows": 82491, "median_section_words": 6876.0, "unique_ciks": 8122, "part_count": 331, "parts_sha256": "45505610e0a93bf7cb27829aa6b62acf4dbd28659783e1fb7735b56f63e59a1b", "complete": true }, "pairs": { "schema": "canli.ingest.sec-10k-item1a-pairs.v1", "generated_at": "2026-08-16T00:02:49.972699+00:00", "stage": "narrative_pairs_no_prices_no_returns", "hypothesis_identities_spent": 0, "preregistration": "docs/design/PREREG_EARNINGS_NARRATIVE_CHANGE.md", "preregistration_sha256": "60486da41f1e2c88e62b6e56d436d780f645420ffaeb13364540d0c4040cc3b9", "parser_version": "sec-filing-sections-v2", "source_corpus_result": "artifacts/ingest/earnings_narrative_change/corpus_result.json", "source_manifest": { "path": "artifacts/ingest/earnings_narrative_change/filings_manifest.parquet", "sha256": "7228eef1a2493152355da5b0e84cc620a3c15707279caecc7f45041941dfa651", "rows": 83070, "pair_eligible_rows": 82491, "forms": [ "10-K" ], "duplicate_filing_identities": 0, "invalid_acceptance_timestamps": 0 }, "source_identity_coverage": { "eligible_manifest_identities": 82491, "latest_corpus_identities": 82491, "missing": 0, "unexpected": 0 }, "source_corpus_parts": 331, "source_corpus_parts_sha256": "45505610e0a93bf7cb27829aa6b62acf4dbd28659783e1fb7735b56f63e59a1b", "source_processed_rows": 82491, "pair_file_sha256": "31b0c4e1eac60cbcee690256ad624edef4a66db00975e9ead8f72aa76fe3d808", "minimum_section_words": 500, "pairs": 65050, "adjacency_attrition": { "first_filing_for_issuer": 8122, "invalid_current_section": 537, "invalid_immediate_predecessor": 8522, "missing_current_filing_sic": 260 }, "adjacency_accounted_rows": 82491, "unique_ciks": 7516, "acceptance_start": "2006-02-24T19:54:50+00:00", "acceptance_end": "2025-12-29T21:31:10+00:00", "exact_duplicate_rate": 0.0005226748654880861, "jaccard": { "p05": 0.37428757048465394, "median": 0.7373191845610818, "p95": 0.9093887466936639 }, "complete": true }, "mapping": { "eligible_before_prices": 31130, "rejections": { "pre_oos": 32295, "issuer_interval_missing": 1363, "issuer_interval_ambiguous": 4, "incomplete_hold": 258 } }, "selection": { "selected_rows": 5556, "selected_cohorts": 52, "rejections": { "duplicate_issuer_month": 8, "price_unmapped": 8555, "liquidity": 7392, "control_endpoint_missing": 37, "cohort_below_20": 711, "saturated_cohort": 389, "tail_below_5": 45 }, "terminal_force_flats": [ { "ticker": "AAWW", "last_observed_open": "2023-03-17", "affected_cohorts": 1 }, { "ticker": "AEGN", "last_observed_open": "2021-05-14", "affected_cohorts": 1 }, { "ticker": "AGTI", "last_observed_open": "2024-05-06", "affected_cohorts": 1 }, { "ticker": "BEAV", "last_observed_open": "2017-04-12", "affected_cohorts": 1 }, { "ticker": "BIVV", "last_observed_open": "2018-03-08", "affected_cohorts": 1 }, { "ticker": "CARO", "last_observed_open": "2020-05-01", "affected_cohorts": 1 }, { "ticker": "CBAY", "last_observed_open": "2024-03-21", "affected_cohorts": 1 }, { "ticker": "CBI", "last_observed_open": "2018-05-10", "affected_cohorts": 1 }, { "ticker": "CKH", "last_observed_open": "2021-04-14", "affected_cohorts": 1 }, { "ticker": "CKP", "last_observed_open": "2016-05-13", "affected_cohorts": 1 }, { "ticker": "CVT", "last_observed_open": "2023-06-14", "affected_cohorts": 1 }, { "ticker": "CY", "last_observed_open": "2020-04-16", "affected_cohorts": 1 }, { "ticker": "DOOR", "last_observed_open": "2024-05-14", "affected_cohorts": 1 }, { "ticker": "DST", "last_observed_open": "2018-04-16", "affected_cohorts": 1 }, { "ticker": "ENFN", "last_observed_open": "2025-04-17", "affected_cohorts": 1 }, { "ticker": "ETP1", "last_observed_open": "2017-04-27", "affected_cohorts": 1 }, { "ticker": "EVOP", "last_observed_open": "2023-03-23", "affected_cohorts": 1 }, { "ticker": "EVRI", "last_observed_open": "2025-06-30", "affected_cohorts": 1 }, { "ticker": "FINL", "last_observed_open": "2018-06-15", "affected_cohorts": 1 }, { "ticker": "FOE", "last_observed_open": "2022-04-21", "affected_cohorts": 1 }, { "ticker": "FRTA", "last_observed_open": "2022-03-17", "affected_cohorts": 1 }, { "ticker": "GNMK", "last_observed_open": "2021-04-21", "affected_cohorts": 1 }, { "ticker": "HEES", "last_observed_open": "2025-05-30", "affected_cohorts": 1 }, { "ticker": "HMHC", "last_observed_open": "2022-04-06", "affected_cohorts": 1 }, { "ticker": "HNT", "last_observed_open": "2016-03-23", "affected_cohorts": 1 }, { "ticker": "HPY", "last_observed_open": "2016-04-22", "affected_cohorts": 1 }, { "ticker": "HRC", "last_observed_open": "2021-12-10", "affected_cohorts": 1 }, { "ticker": "IAA", "last_observed_open": "2023-03-20", "affected_cohorts": 1 }, { "ticker": "INST1", "last_observed_open": "2020-03-23", "affected_cohorts": 1 }, { "ticker": "IOTS", "last_observed_open": "2020-06-26", "affected_cohorts": 1 }, { "ticker": "IPHI", "last_observed_open": "2021-04-20", "affected_cohorts": 1 }, { "ticker": "ISBC", "last_observed_open": "2022-04-06", "affected_cohorts": 1 }, { "ticker": "JNS", "last_observed_open": "2017-05-26", "affected_cohorts": 1 }, { "ticker": "KAMN", "last_observed_open": "2024-04-18", "affected_cohorts": 1 }, { "ticker": "KEM1", "last_observed_open": "2020-06-12", "affected_cohorts": 1 }, { "ticker": "LQ2", "last_observed_open": "2018-05-30", "affected_cohorts": 1 }, { "ticker": "MGI", "last_observed_open": "2023-05-31", "affected_cohorts": 1 }, { "ticker": "MTSC", "last_observed_open": "2021-04-06", "affected_cohorts": 1 }, { "ticker": "OCDX", "last_observed_open": "2022-05-26", "affected_cohorts": 1 }, { "ticker": "POLY", "last_observed_open": "2022-08-26", "affected_cohorts": 1 }, { "ticker": "PRVB", "last_observed_open": "2023-04-27", "affected_cohorts": 1 }, { "ticker": "PXD", "last_observed_open": "2024-05-02", "affected_cohorts": 1 }, { "ticker": "RARX", "last_observed_open": "2020-04-02", "affected_cohorts": 1 }, { "ticker": "REGI", "last_observed_open": "2022-06-10", "affected_cohorts": 1 }, { "ticker": "RKUS", "last_observed_open": "2016-05-26", "affected_cohorts": 1 }, { "ticker": "RTN", "last_observed_open": "2020-04-02", "affected_cohorts": 1 }, { "ticker": "SCAI", "last_observed_open": "2017-03-23", "affected_cohorts": 1 }, { "ticker": "SGFY", "last_observed_open": "2023-03-28", "affected_cohorts": 1 }, { "ticker": "SGY", "last_observed_open": "2018-05-09", "affected_cohorts": 1 }, { "ticker": "SNDK1", "last_observed_open": "2016-05-11", "affected_cohorts": 1 }, { "ticker": "SRRA", "last_observed_open": "2022-06-30", "affected_cohorts": 1 }, { "ticker": "TCP", "last_observed_open": "2021-03-02", "affected_cohorts": 1 }, { "ticker": "TGI", "last_observed_open": "2025-07-24", "affected_cohorts": 1 }, { "ticker": "ULTI1", "last_observed_open": "2019-05-02", "affected_cohorts": 1 }, { "ticker": "UPLMQ", "last_observed_open": "2017-04-11", "affected_cohorts": 1 }, { "ticker": "USG1", "last_observed_open": "2019-04-23", "affected_cohorts": 1 }, { "ticker": "WAGE", "last_observed_open": "2019-08-29", "affected_cohorts": 1 }, { "ticker": "ZLTQ", "last_observed_open": "2017-04-27", "affected_cohorts": 1 } ], "deferred_target_changes_during_missing_opens": {} }, "metrics": { "net_sharpe": -0.0074355006698948066, "newey_west_t": -0.024159385592414994, "dsr": 1.135167655547433e-05, "psr": 0.49063363567839996, "n_trials_union_including_candidate": 228, "sr_trial_variance": 0.0008957471162984615, "max_drawdown": -0.2847080682530856, "skew": 0.05157137520091304, "realized_spy_beta": 0.0032566977631836255, "turnover_ann": 3.953845431455051, "net_sharpe_at_2x_costs": -0.462084363844257, "long_leg_gross_contribution": 0.7616211960073791, "short_leg_gross_contribution": -0.4637276418442936, "capacity": { "p05_usd_at_1bp_adv": 7398.2888639352395, "median_usd_at_1bp_adv": 14072.434169549422, "p05_usd_at_5bp_adv": 36991.4443196762, "median_usd_at_5bp_adv": 70362.17084774711, "p05_usd_at_10bp_adv": 73982.8886393524, "median_usd_at_10bp_adv": 140724.34169549422, "p05_usd_at_1pct_adv": 739828.8863935239, "median_usd_at_1pct_adv": 1407243.416954942 } }, "annual_oos": { "2016": { "observations": 252, "total_return": 0.03494985683595919, "sharpe": 0.5749449712774232 }, "2017": { "observations": 251, "total_return": 0.005490770092097641, "sharpe": 0.1426347334820586 }, "2018": { "observations": 251, "total_return": 0.047762552949535575, "sharpe": 0.8286124068605658 }, "2019": { "observations": 252, "total_return": 0.02841484619547474, "sharpe": 0.5412976714478429 }, "2020": { "observations": 253, "total_return": -0.0891662778674106, "sharpe": -1.431932854293939 }, "2021": { "observations": 252, "total_return": 0.010169564122935792, "sharpe": 0.17979943490721068 }, "2022": { "observations": 251, "total_return": -0.15288798386305946, "sharpe": -2.3027519553211353 }, "2023": { "observations": 250, "total_return": -0.038062439777412416, "sharpe": -0.5982897200354295 }, "2024": { "observations": 252, "total_return": 0.0830768902362422, "sharpe": 1.0498119653340108 }, "2025": { "observations": 250, "total_return": 0.07134038679523513, "sharpe": 1.1866342550431854 } }, "correlation": { "ordinary_by_sleeve": { "AlphaForge": 0.02736331272331045, "AlphaMax": -0.0031903582044590455, "AlphaTrend": 0.09206852554163532, "AlphaVintage": -0.022273431628806413 }, "average": 0.023492012107920075, "max_pair": 0.09206852554163532, "ordinary_upper_95_by_sleeve": { "AlphaForge": 0.0899152987409554, "AlphaMax": 0.07751919167070313, "AlphaTrend": 0.15567657252495046, "AlphaVintage": 0.06044752856769722 }, "max_pair_upper_95": 0.15567657252495046, "stressed_by_sleeve": { "AlphaForge": 0.09622151604148202, "AlphaMax": -0.02346603761072069, "AlphaTrend": -0.06225414872288813, "AlphaVintage": -0.21459086187881107 }, "max_stressed": 0.09622151604148202, "stressed_upper_95_by_sleeve": { "AlphaForge": 0.28850484727559783, "AlphaMax": 0.19150690489006872, "AlphaTrend": 0.07400190823483108, "AlphaVintage": -0.07980984657540517 }, "max_stressed_upper_95": 0.28850484727559783, "observations": 625, "stressed_observations": 63, "candidate_mean_on_book_es_days": 0.001639115635386668, "stressed_joint_loss_rate": 0.42857142857142855, "artifact": "artifacts/probe/earnings_narrative_change/diversification.json", "artifact_sha256": "db1ae528574297b72916720ce8f048231800a6ad4834bfc8b05a4ed65f058c8e", "content_hash": "sha256:d1d98cdc792ba52fce6efa5ec13ed9f46870e25cc2cb5b59c5c15de73ebd1e4e" }, "book": { "common_start": "2023-07-07", "common_end": "2025-12-31", "common_days": 625, "base_sharpe": 0.9563039455217212, "candidate_10pct_sharpe": 1.0643866940055202, "delta_sharpe": 0.10808274848379906, "mean_zero_delta_sharpe": -0.02312704243262531, "leave_one_year_out_delta": { "2023": 0.18677688351353372, "2024": 0.06253912684435192, "2025": 0.043468158389669886 }, "all_leave_one_year_out_positive": true, "max_drawdown_delta": 0.008491690405378005, "expected_shortfall_delta": 0.00050298898479041 }, "lineage": { "preregistration_sha256": "60486da41f1e2c88e62b6e56d436d780f645420ffaeb13364540d0c4040cc3b9", "data_manifest_sha256": "3f69cc02bd0038d9fc3ad4c8f61b832e884127cbef93e862194e22b06f25e006", "data_manifest_path": "artifacts/probe/earnings_narrative_change/input_data_manifest.json", "filing_manifest_sha256": "7228eef1a2493152355da5b0e84cc620a3c15707279caecc7f45041941dfa651", "ticker_history_sha256": "eb40fa6f1a6ba1e37336efd75392c5149123a825bfee209a84a83d0b7458e4cf", "corpus_parts_sha256": "45505610e0a93bf7cb27829aa6b62acf4dbd28659783e1fb7735b56f63e59a1b", "corpus_result_sha256": "0c4fc9a4ae8955a160120c5bee8904edb4f66dd7ef17767a95b7ddf950b827dc", "pair_file_sha256": "31b0c4e1eac60cbcee690256ad624edef4a66db00975e9ead8f72aa76fe3d808", "pair_result_sha256": "77e63f666c0ff2625757b6cef6636361c65ca6094e3874b1b9008c5e79c82b42", "runner_sha256": "b64c366b95c2f9595de3f6bf292f3958db7d9f2b1b5cab38ebedd94a082e3a05", "diversification_report_sha256": "db1ae528574297b72916720ce8f048231800a6ad4834bfc8b05a4ed65f058c8e", "admission_contract_sha256": "5f628a44ae73ed9c412b225ac9dc56c4e59c1bc0645e2ebde251501e938b9932", "return_identity_reservation_sha256": "1cca246e42c70803830ce69e9efda1ee6978b92ba88b6adee7830d479eabae79" }, "gates": { "net_sharpe_at_least_0_40": false, "dsr_at_least_0_95": false, "newey_west_t_at_least_2": false, "stressed_sharpe_at_least_0_40": false, "absolute_beta_at_most_0_10": true, "average_correlation_at_most_0_15": true, "max_pair_correlation_at_most_0_35": true, "max_stressed_correlation_at_most_0_50": true, "max_pair_correlation_upper_95_at_most_0_35": true, "max_stressed_correlation_upper_95_at_most_0_50": true, "correlation_observations_at_least_252": true, "stressed_observations_at_least_63": true, "book_delta_positive": true, "mean_zero_book_delta_positive": false, "all_leave_one_year_out_positive": true, "book_max_drawdown_delta_at_most_0_01": true, "book_expected_shortfall_delta_nonpositive": false, "long_leg_positive": true, "short_leg_positive": false, "capacity_at_least_5m": false }, "admission_review": { "contract_schema": "canli.alphac-sleeve-admission-contract.v6", "contract_path": "config/sleeve_admission_contract.json", "contract_sha256": "5f628a44ae73ed9c412b225ac9dc56c4e59c1bc0645e2ebde251501e938b9932", "checks_required_for_technical_eligibility": 85, "research_subset_checks": 20, "research_subset_passed": 12, "canonical_diversification_report_sha256": "db1ae528574297b72916720ce8f048231800a6ad4834bfc8b05a4ed65f058c8e", "status": "RESEARCH_SUBSET_FAILED", "technically_eligible": false, "unresolved_evidence": [ "point-in-time historical locate and borrow availability", "full execution-dimension scenario bundle and replay hashes", "capacity-curve reconciliation across stressed capital levels", "complete required lineage and robustness bundle" ], "claim_boundary": "Passing this contract makes a result technically eligible for an explicit admission decision. It does not guarantee a sleeve, future performance, the target Sharpe, or the target drawdown. Point estimates cannot override confidence-bound, crisis-conditional, tail-loss, execution-evidence, or capacity-reconciliation failures. v6 additionally refuses to load if its own significance floors cannot all be satisfied at once, gates the average pairwise correlation on its upper confidence bound as well as its point estimate, and publishes the arithmetic relating the correlation gate to the portfolio objective -- including the distance the gate does not close." }, "verdict": "KILL", "data_escalation": null }