{ "schema": "canli.sleeve-discovery.v2", "program": "ALPHAC breadth program", "objective": { "portfolio_sharpe_target": [ 2.0, 2.5 ], "portfolio_max_drawdown_target": 0.11, "drawdown_target_kind": "approximate research objective evaluated out of sample and under stress, never a loss limit or promised result", "target_kind": "honest out-of-sample research objective, never a promised result", "portfolio_requirement": "Improve the combined book through independent economic return sources, not leverage or selection of the prettiest backtest.", "target_sleeve_count": 14, "minimum_new_sleeves": 10, "candidate_atlas_minimum": 200, "admission_rule": "A target never creates a sleeve. Fourteen is reached only if ten or more new identities independently clear every admission gate; otherwise the book remains smaller." }, "admission_gates": { "point_in_time_data": true, "net_of_costs": true, "walk_forward_only": true, "requires_capacity_curve": true, "requires_kill_criteria": true, "book_deflated_sharpe_min": 0.95, "pbo_max": 0.2, "average_pairwise_correlation_max": 0.0, "average_pairwise_correlation_upper_95_max": 0.1, "pairwise_correlation_max": 0.35, "stressed_pairwise_correlation_max": 0.5, "minimum_oos_observations": 756, "net_sharpe_min": 0.15, "capacity_usd_min": 500000 }, "credential_policy": { "storage": "environment variables or managed secret store only", "never": [ "source code", "research artifacts", "chat transcripts", "client-side bundles" ], "request_timing": "Only after a candidate passes its key-free feasibility screen." }, "feasibility_reviews": [ { "id": "stablecoin_dislocation", "queue_state": "outside-active-return-queue", "mechanism": "USDC secondary-to-primary par dislocation available only to the same eligible institutional entity that can execute direct issuer redemption", "literature_review": "docs/design/LITERATURE_STABLECOIN_DISLOCATION.md", "literature_review_public": "/research/literature-stablecoin-dislocation.md", "protocol": "docs/design/FEASIBILITY_STABLECOIN_DISLOCATION.md", "protocol_public": "/research/stablecoin-dislocation-feasibility.md", "decision": "DATA_GATED", "return_hypotheses_spent": 0, "frozen_token": "native issuer-supported USDC only", "frozen_mechanism": "executable secondary USDC/USD purchase followed by direct Circle redemption to linked-bank USD", "excluded_identities": [ "USDT substitution", "algorithmic stablecoins", "crypto-collateralized stablecoins", "wrapped or bridged USDC", "exchange-to-exchange convergence" ], "required_stress_windows": [ "2020-03", "2022-05", "2022-11", "2023-03", "issuer conversion pauses", "venue outages" ], "blocking_reasons": [ "production_entity_circle_mint_eligibility", "effective_dated_redemption_and_outage_lineage", "synchronized_historical_l2_books", "prospective_end_to_end_redemption_ledger" ], "credential_state": "INSTITUTIONAL_REDEMPTION_AND_L2_NOT_CONFIGURED", "claim_boundary": "No sign, threshold, return, Sharpe, drawdown, correlation, capacity, or admission claim exists; public candles cannot pass feasibility." }, { "id": "spin_off_dislocation", "queue_state": "outside-active-return-queue", "mechanism": "Forced selling and information gaps around completed pro-rata corporate separations, residualized from size, value, momentum and generic event risk", "literature_review": "docs/design/LITERATURE_SPIN_OFF_DISLOCATION.md", "literature_review_public": "/research/literature-spin-off-dislocation.md", "lineage_protocol": "docs/design/FEASIBILITY_SPIN_OFF_DISLOCATION.md", "lineage_result": "artifacts/feasibility/spin_off_dislocation/result.json", "document_protocol": "docs/design/FEASIBILITY_SPIN_OFF_DOCUMENT_SCHEMA.md", "document_result": "artifacts/feasibility/spin_off_dislocation/document_schema_result.json", "document_result_public": "/glassbox/spin_off_document_schema.json", "decision": "DATA_GATED", "lineage_decision": "PASS_TO_DOCUMENT_SCHEMA_AUDIT", "lineage_quarter_indexes": 40, "lineage_initial_registrations": 204, "document_sample_rows": 98, "document_successful_rows": 98, "explicit_mechanism_rate": 0.6938775510204082, "pro_rata_language_rate": 0.16326530612244897, "ratio_mentions": 8, "distribution_date_mentions": 0, "blocking_reasons": [ "initial_form10_does_not_reliably_contain_distribution_ratio", "initial_form10_does_not_reliably_contain_record_or_distribution_dates", "amendment_known_identity_would_require_new_preregistration" ], "market_data_opened": false, "return_data_opened": false, "return_hypotheses_spent": 0, "claim_boundary": "The SEC source route is complete, but initial Form 10 acceptance cannot define a tradable event. No return, Sharpe, correlation, capacity or admission claim exists." }, { "id": "natural_gas_storage_weather", "queue_state": "outside-active-return-queue", "mechanism": "First-release Lower-48 natural-gas storage residual conditioned on a forecast vintage fixed before the storage week", "family_trial_account": "commodity_inventory_weather", "prior_family_return_trials": 1, "minimum_family_trials_if_returns_open": 2, "overlap_identity": "commodity_inventory_seasonal", "literature_review": "docs/design/LITERATURE_NATURAL_GAS_STORAGE_WEATHER.md", "literature_review_public": "/research/literature-natural-gas-storage-weather.md", "protocol": "docs/design/FEASIBILITY_NATURAL_GAS_STORAGE_WEATHER.md", "protocol_public": "/research/natural-gas-storage-weather-feasibility.md", "result": "artifacts/feasibility/natural_gas_storage_weather/result.json", "result_public": "/glassbox/natural_gas_storage_weather_feasibility.json", "decision": "DATA_GATED", "expected_eia_periods": 469, "wayback_first_release_periods": 84, "wayback_first_release_coverage": 0.1791044776119403, "official_original_data_coverage": 1.0, "original_values_differing_from_current_history": 53, "noaa_endpoint_coverage": 0.997867803837953, "cme_metadata_pass": true, "blocking_reasons": [ "frozen_wayback_first_release_coverage_below_90_percent", "official_original_data_requires_new_source_preregistration", "same_family_as_killed_petroleum_inventory_trial" ], "market_data_opened": false, "return_data_opened": false, "return_hypotheses_spent": 0, "claim_boundary": "Weather and CME infrastructure pass, but the frozen EIA first-release route fails. The official original-data workbook is redesign evidence, not permission to open returns." }, { "id": "customer_supplier_propagation", "queue_state": "outside-active-return-queue", "mechanism": "Delayed supplier response to a later customer event, using only material customer relationships public in the supplier's prior 10-K", "family_trial_account": "customer_supplier_propagation", "literature_review": "docs/design/LITERATURE_CUSTOMER_SUPPLIER_PROPAGATION.md", "literature_review_public": "/research/literature-customer-supplier-propagation.md", "protocol": "docs/design/FEASIBILITY_CUSTOMER_SUPPLIER_PROPAGATION.md", "protocol_public": "/research/customer-supplier-propagation-feasibility.md", "result": "artifacts/feasibility/customer_supplier_propagation/result.json", "result_public": "/glassbox/customer_supplier_propagation_feasibility.json", "decision": "DATA_GATED", "manifest_rows_in_period": 36424, "source_documents_valid": 36243, "source_coverage": 0.9950307489567318, "concentration_candidates": 29220, "sample_rows": 300, "documents_with_machine_name_candidate": 106, "machine_name_candidate_rate": 0.35333333333333333, "blocking_reasons": [ "locked_named_customer_gate_below_50_percent", "v1_machine_candidates_include_non_entity_false_positives", "historical_public_issuer_resolution_not_audited" ], "market_data_opened": false, "return_data_opened": false, "return_hypotheses_spent": 0, "claim_boundary": "The official filing corpus is broad, but v1 cannot define an investable point-in-time relationship graph. No return, correlation, capacity, or admission claim exists." }, { "id": "bond_etf_nav_dislocation", "queue_state": "outside-active-return-queue", "mechanism": "Secondary-market correction of a bond-ETF valuation gap only after distinguishing stale underlying marks from ETF price discovery", "family_trial_account": "bond_etf_nav_dislocation", "literature_review": "docs/design/LITERATURE_BOND_ETF_NAV_DISLOCATION.md", "literature_review_public": "/research/literature-bond-etf-nav-dislocation.md", "protocol": "docs/design/FEASIBILITY_BOND_ETF_NAV_DISLOCATION.md", "protocol_public": "/research/bond-etf-nav-dislocation-feasibility.md", "result": "artifacts/feasibility/bond_etf_nav_dislocation/result.json", "result_public": "/glassbox/bond_etf_nav_dislocation_feasibility.json", "decision": "DATA_GATED", "funds": [ "HYG", "LQD" ], "expected_xnys_sessions_each": 2514, "issuer_dates_in_period_each": 249, "issuer_coverage_each": 0.09904534606205251, "historical_holdings_snapshots_each": 1, "required_historical_holdings_snapshots_each": 120, "trace_historical_agreement_required": true, "trace_historical_fees_required": true, "blocking_reasons": [ "issuer_premium_discount_coverage_below_98_percent", "historical_monthly_holdings_unavailable", "constituent_valuation_timestamps_unavailable", "synchronized_etf_and_bond_execution_data_unavailable" ], "market_data_opened": false, "market_records_opened": 0, "return_data_opened": false, "return_hypotheses_spent": 0, "claim_boundary": "Published NAV gaps cannot distinguish stale marks from ETF mispricing. No sign, return, correlation, capacity, or admission claim exists." } ], "audit": { "performed_at": "2026-08-15", "finding": "The v1 queue accidentally relisted eight previously tested families. They are preserved below as retired, not presented as fresh research.", "public_source": "glassbox/kill_log.json" }, "candidates": [ { "id": "earnings_narrative_change", "mechanism": "Point-in-time change in issuer language and disclosed operating risks, residualized against earnings surprise, momentum and sector", "asset_class": "US equities", "horizon": "one to three months", "hypothesis_budget": 2, "free_probe": "Official SEC 10-Q, 10-K and earnings-exhibit filing-time corpus feasibility with deterministic section extraction", "production_data": "Point-in-time filing text, earnings-call transcripts, speaker roles, revisions and delistings", "provider_options": [ "SEC EDGAR", "LSEG StreetEvents", "FactSet CallStreet" ], "execution": [ "Alpaca" ], "status": "return-killed", "feasibility": { "protocol": "docs/design/FEASIBILITY_EARNINGS_NARRATIVE_CHANGE.md", "result": "artifacts/feasibility/earnings_narrative_change/result.json", "decision": "PASS_TO_RETURN_PREREGISTRATION", "return_hypotheses_spent": 0, "documents_downloaded": 361, "documents_selected": 361, "parser_version": "sec-filing-sections-v2" }, "return_preregistration": "docs/design/PREREG_EARNINGS_NARRATIVE_CHANGE.md", "locked_runner": "scripts/probe_earnings_narrative_change.py", "return_barrier": "Runner refuses to load prices until the corpus is complete under current parser/SIC semantics, every immutable part is SHA-256 sealed, and the immediate-predecessor pair Parquet is cryptographically bound to that exact corpus with zero return identities spent.", "return_hypotheses_spent": 1, "return_result": { "artifact": "artifacts/probe/earnings_narrative_change/result.json", "verdict": "KILL", "net_sharpe": -0.007435344256409239, "stressed_sharpe": -0.4620841928744271, "deflated_sharpe": 0.00015049896195988574, "newey_west_t": -0.02415887517752287, "max_drawdown": -0.2847079894102502, "research_gates_passed": 12, "research_gates_total": 20, "technically_eligible": false, "claim_boundary": "One locked identity was spent and rejected. Low correlation does not rescue failed alpha, stressed-cost, tail-loss, short-leg, and capacity gates." }, "manifest": { "result": "artifacts/ingest/earnings_narrative_change/manifest_result.json", "filings": 83070, "issuers_with_filings": 8701, "pair_eligible_filings": 82491, "pair_eligible_issuers": 8122, "metadata_failures": 0, "duplicate_filing_identities": 0 }, "kill": "Kill if section lineage cannot be reconstructed point-in-time, language changes are unstable across filing formats, or residual correlation to AlphaMax exceeds 0.35." }, { "id": "analyst_revision_drift", "mechanism": "Point-in-time consensus estimate revisions after controlling for earnings surprise and momentum", "asset_class": "US equities", "horizon": "one to three months", "hypothesis_budget": 2, "free_probe": "Schema and timestamp audit only; free history is not sufficient for a defensible backtest", "production_data": "As-of analyst estimates, contributor counts, announcement timestamps and delistings", "provider_options": [ "LSEG I/B/E/S", "FactSet Estimates", "Visible Alpha" ], "execution": [ "Alpaca" ], "status": "data-gated", "kill": "Kill if revision timestamps cannot be reconstructed point-in-time or residual correlation to AlphaMax exceeds 0.35." }, { "id": "options_dispersion", "mechanism": "Index-versus-single-stock implied correlation dispersion with defined crash loss", "asset_class": "equity options", "horizon": "weekly to monthly", "hypothesis_budget": 3, "free_probe": "Accounting, surface-cleaning and tail-budget harness only", "production_data": "Historical SPX and constituent option chains, index membership, bid/ask, greeks and corporate actions", "provider_options": [ "OptionMetrics", "Cboe DataShop", "ORATS" ], "execution": [ "Interactive Brokers", "Alpaca options only if multi-leg controls qualify" ], "status": "data-gated", "literature_review": "docs/design/LITERATURE_OPTIONS_DISPERSION.md", "literature_review_public": "/research/literature-options-dispersion.md", "feasibility": { "protocol": "docs/design/FEASIBILITY_OPTIONS_DISPERSION.md", "protocol_public": "/research/options-dispersion-feasibility.md", "decision": "DATA_GATED", "return_hypotheses_spent": 0, "frozen_identity": "SPX versus point-in-time top-50 eligible S&P 500 constituents, 30-calendar-day strips", "minimum_history_years": 15, "alpaca_history_start": "2024-02", "preferred_research_source": "OptionMetrics IvyDB US plus point-in-time S&P membership", "execution_calibration_source": "Cboe DataShop one-minute NBBO and size on 250 deterministic dates", "credential_state": "INSTITUTIONAL_HISTORY_NOT_CONFIGURED", "claim_boundary": "Mechanism and accounting are source-bound; no investable return, sign, threshold or admission claim exists." }, "kill": "Kill if the edge is ordinary short index variance, crisis expected shortfall breaches budget, or constituent costs consume half the gross premium." }, { "id": "merger_arbitrage", "mechanism": "Announced cash-deal spread convergence conditioned on financing, regulatory and termination risk", "asset_class": "US equities", "horizon": "event driven", "hypothesis_budget": 2, "free_probe": "SEC 8-K and merger-agreement event-schema feasibility", "production_data": "Point-in-time deal terms, revisions, breaks, votes, close dates and borrow costs", "provider_options": [ "SEC EDGAR", "LSEG Deals", "FactSet Mergerstat" ], "execution": [ "Alpaca", "Interactive Brokers" ], "status": "data-gated", "feasibility": { "protocol": "docs/design/FEASIBILITY_MERGER_ARBITRAGE.md", "result": "artifacts/feasibility/merger_arbitrage/result.json", "decision": "DATA_GATED", "return_hypotheses_spent": 0, "target_anchors": 1965, "prior_8k_60d_rate": 0.6702290076335878, "later_outcome_540d_rate": 0.917557251908397 }, "tender_only_document_feasibility": { "protocol": "docs/design/FEASIBILITY_TENDER_OFFER_SPREAD.md", "result": "artifacts/feasibility/tender_offer_spread/result.json", "decision": "DATA_GATED", "return_hypotheses_spent": 0, "documents": 100, "item4_extraction_rate": 0.94, "unique_price_rate": 0.10638297872340426, "ambiguous_price_rate": 0.7446808510638298, "recommendation_resolution_rate": 0.22340425531914893 }, "kill": "Kill if deal terms cannot be reconstructed without hindsight or realized break losses dominate the costed spread." }, { "id": "index_reconstitution_flow", "mechanism": "Announcement-to-effective-date demand from transparent index additions and deletions", "asset_class": "global equities", "horizon": "days to weeks", "hypothesis_budget": 2, "free_probe": "Rulebook and announcement timestamp audit", "production_data": "Point-in-time announcement archive, index weights, float, ADV and closing-auction data", "provider_options": [ "S&P Global", "FTSE Russell", "MSCI" ], "execution": [ "Alpaca US subset", "Interactive Brokers global" ], "status": "data-gated", "kill": "Kill if announcement history is survivorship-biased or auction slippage consumes the forecast edge." }, { "id": "electricity_load_weather_spread", "mechanism": "Forecast errors in weather-driven regional electricity load relative to marginal fuel and power prices, neutralized to commodity trend", "asset_class": "power and natural-gas futures", "horizon": "day-ahead to weekly", "hypothesis_budget": 2, "free_probe": "Official EIA balancing-authority demand and NOAA forecast-vintage timestamp feasibility for a fixed set of liquid regions", "production_data": "Point-in-time weather forecasts, ISO load forecasts and revisions, nodal or hub power prices, fuel prices, listed contract rolls and executable bid/ask", "provider_options": [ "EIA", "NOAA", "PJM", "ERCOT", "CME DataMine", "ICE Data Services" ], "execution": [ "Interactive Brokers where contracts are supported", "CME or ICE clearing broker" ], "status": "data-gated", "literature_review": "docs/design/LITERATURE_ELECTRICITY_LOAD_WEATHER.md", "literature_review_public": "/research/literature-electricity-load-weather.md", "feasibility": { "protocol": "docs/design/FEASIBILITY_ELECTRICITY_LOAD_WEATHER.md", "protocol_public": "/research/electricity-load-weather-feasibility.md", "result": "artifacts/feasibility/electricity_load_weather/result.json", "result_public": "/glassbox/electricity_load_weather_feasibility.json", "decision": "DATA_GATED", "source_collection_complete": false, "collection_error_type": "RuntimeError", "locked_respondents": [ "PJM", "ERCO", "MISO", "ISNE" ], "locked_series_types": [ "D", "DF" ], "blocking_reasons": [ "official_eia_collection_rate_limited_or_unavailable", "explicit_forecast_issue_or_vintage_timestamp", "delivery_period_timezone_and_dst_fold_explicit", "full_historical_missingness_and_revision_audit", "noaa_operational_forecast_vintage_corpus" ], "return_hypotheses_spent": 0 }, "kill": "Kill if forecast vintages cannot be reconstructed, listed liquidity is insufficient, or returns reduce to natural-gas trend or generic seasonality." }, { "id": "securities_lending_supply", "mechanism": "Point-in-time borrow-fee and utilization changes as a constrained-supply return source", "asset_class": "US equities", "horizon": "days to weeks", "hypothesis_budget": 2, "free_probe": "Broker snapshot schema and forward capture; no historical claim from current snapshots", "production_data": "Historical borrow fees, utilization, recalls and availability by security", "provider_options": [ "S&P Global Securities Finance", "DataLend", "Orbisa" ], "execution": [ "Interactive Brokers", "Alpaca where borrow metadata is sufficient" ], "status": "data-gated", "kill": "Kill if locate and recall costs erase the signal or historical availability cannot be established point-in-time." }, { "id": "credit_equity_relative_value", "mechanism": "Issuer-level equity-versus-credit dislocation after neutralizing market, sector, duration and quality", "asset_class": "corporate credit and equities", "horizon": "weeks to months", "hypothesis_budget": 3, "free_probe": "ETF-level harness and issuer-mapping audit only", "production_data": "Point-in-time bond prices, reference data, TRACE liquidity and equity corporate actions", "provider_options": [ "FINRA TRACE", "LSEG", "Bloomberg" ], "execution": [ "Interactive Brokers" ], "status": "data-gated", "kill": "Kill if issuer mapping is hindsight-contaminated, liquidity makes fills implausible, or the result is merely quality or momentum." }, { "id": "active_ownership_escalation", "mechanism": "New Schedule 13D control-intent ownership followed by specific governance, board, capital-allocation or strategic action", "asset_class": "US equities", "horizon": "one to six months", "hypothesis_budget": 2, "free_probe": "Global SEC quarterly-index, immutable header and Item 4 document feasibility with contemporaneous subject-CIK mapping", "production_data": "Point-in-time Schedule 13D/13D-A state, reporting groups, Item 4 intent changes, ownership percentages, exits, delistings and borrow", "provider_options": [ "SEC EDGAR", "LSEG Ownership", "FactSet Ownership" ], "execution": [ "Alpaca" ], "status": "data-gated", "metadata_feasibility_v1": { "protocol": "docs/design/FEASIBILITY_ACTIVE_OWNERSHIP_13D.md", "result": "artifacts/feasibility/active_ownership_13d/result.json", "decision": "DATA_GATED", "return_hypotheses_spent": 0 }, "metadata_feasibility_v2": { "protocol": "docs/design/FEASIBILITY_ACTIVE_OWNERSHIP_13D_SCHEMA_V2.md", "result": "artifacts/feasibility/active_ownership_13d_schema_v2/result.json", "decision": "PASS_TO_DOCUMENT_FEASIBILITY", "return_hypotheses_spent": 0, "unique_initial_accessions": 22353, "headers": 800, "header_lineage_rate": 1.0, "unique_ticker_mapping_rate": 0.4725, "unique_ticker_wilson_95_lower": 0.43811877942165883 }, "document_feasibility_v1": { "protocol": "docs/design/FEASIBILITY_ACTIVE_OWNERSHIP_13D_ITEM4.md", "result": "artifacts/feasibility/active_ownership_13d_item4/result.json", "decision": "DATA_GATED", "return_hypotheses_spent": 0, "documents": 160, "item4_extraction_rate": 0.78125 }, "document_feasibility_v2": { "protocol": "docs/design/FEASIBILITY_ACTIVE_OWNERSHIP_13D_ITEM4_V2.md", "result": "artifacts/feasibility/active_ownership_13d_item4_v2/result.json", "decision": "DATA_GATED", "return_hypotheses_spent": 0, "documents": 160, "successful_submissions": 159, "item4_extracted": 139, "item4_extraction_rate": 0.86875, "specific_active_intent_rate": 0.17985611510791366 }, "kill": "Kill if specific active intent cannot be separated from boilerplate point-in-time, target/reporting-person lineage is unstable, or residual correlation to existing equity sleeves exceeds 0.35." }, { "id": "treasury_auction_concession", "mechanism": "Temporary duration concession before repeated US Treasury coupon auctions followed by post-auction normalization, conditioned on issue size and dealer-balance-sheet pressure", "asset_class": "US Treasury futures and liquid duration ETFs", "horizon": "one to three sessions", "hypothesis_budget": 1, "free_probe": "Official Fiscal Data auction API lineage, publication-timing audit and a no-return event manifest before one publication-aware return identity", "production_data": "Auction announcements and results, reopening status, issue size, when-issued or futures prices, contract rolls, bid/ask and primary-dealer positioning", "provider_options": [ "US Treasury Fiscal Data", "Federal Reserve Bank of New York", "CME DataMine" ], "execution": [ "Interactive Brokers", "Alpaca ETF proxy only for shadow validation" ], "status": "identity-redesign-required", "literature_review": "docs/design/LITERATURE_FRONTIER_2026_08_16.md", "literature_review_public": "/research/literature-frontier-2026-08-16.md", "feasibility": { "protocol": "docs/design/FEASIBILITY_TREASURY_AUCTION_CONCESSION.md", "protocol_public": "/research/treasury-auction-concession-feasibility.md", "result": "artifacts/feasibility/treasury_auction_concession/result.json", "result_public": "/glassbox/treasury_auction_concession_feasibility.json", "decision": "PASS_TO_RETURN_PREREGISTRATION", "return_hypotheses_spent": 0, "source_rows": 7831, "coupon_auction_events": 2037, "post_2013_events": 1377, "core_field_completeness_min": 1.0, "at_least_one_day_notice_rate": 0.9955817378497791, "unique_event_identity_rate": 1.0, "floating_rate_field_completeness": 1.0, "floating_rate_notes": 153, "raw_sha256": "05ce5ca4016bd2c372d62e6cd149d37e06c858b82adcc19301491350f83eeceb", "manifest_sha256": "594cd1df7acbb6b91c3a778cfea0abd7bdec290d418b073c954ead858b22c285" }, "identity_timing": { "protocol": "docs/design/FEASIBILITY_TREASURY_AUCTION_IDENTITY_TIMING.md", "protocol_public": "/research/treasury-auction-identity-timing.md", "result": "artifacts/feasibility/treasury_auction_concession/identity_timing.json", "result_public": "/glassbox/treasury_auction_identity_timing.json", "decision": "CALENDAR_LINEAGE_REQUIRED", "return_hypotheses_spent": 0, "published_pre_auction_sessions": 10, "two_year_note_auctions": 319, "median_announcement_lead_calendar_days": 5.0, "formal_announcements_with_at_least_ten_calendar_days": 0, "source_manifest_sha256": "594cd1df7acbb6b91c3a778cfea0abd7bdec290d418b073c954ead858b22c285" }, "tentative_schedule_archive": { "protocol": "docs/design/FEASIBILITY_TREASURY_AUCTION_IDENTITY_TIMING.md", "protocol_public": "/research/treasury-auction-identity-timing.md", "result": "artifacts/feasibility/treasury_auction_concession/tentative_schedule_audit.json", "result_public": "/glassbox/treasury_tentative_schedule_audit.json", "decision": "CALENDAR_LINEAGE_REQUIRED", "return_hypotheses_spent": 0, "target_years": [ 2013, 2025 ], "expected_quarters": 52, "available_schedule_quarters": 23, "missing_schedule_quarters": 29, "target_fixed_rate_two_year_auctions": 156, "official_xml_schedule_bound_auctions": 68, "wayback_ten_session_schedule_bound_auctions": 47, "wayback_pdf_ten_session_schedule_bound_auctions": 73, "wayback_archive_union_bound_auctions": 77, "combined_schedule_bound_auctions": 145, "combined_schedule_coverage_rate": 0.9294871794871795, "combined_missing_auction_dates": 11, "minimum_prior_sessions_matched": 13, "ambiguous_manifest_auction_dates": [], "source_manifest_sha256": "594cd1df7acbb6b91c3a778cfea0abd7bdec290d418b073c954ead858b22c285", "content_hash": "sha256:88343f16ca630259c5f3eadc21b740b7497b5fdbba26ebf47675bfd3c9c99b8e" }, "wayback_schedule_archive": { "result": "artifacts/feasibility/treasury_auction_concession/wayback_schedule_audit.json", "result_public": "/glassbox/treasury_wayback_schedule_audit.json", "decision": "CALENDAR_LINEAGE_REQUIRED", "archive_captures": 16, "target_historical_auctions": 88, "ten_session_schedule_bound_auctions": 47, "ten_session_schedule_coverage_rate": 0.5340909090909091, "minimum_prior_sessions_bound": 10, "cdx_sha256": "de2968f5dcffab2ffb4f72ac2d132c13a9537463448087087842a9e15a6c0800", "events_sha256": "b6e84b0583c6861ad2131d08ba2e70ba1a952796c6de1b7b3ad7a0f8267dcbb7", "return_hypotheses_spent": 0 }, "wayback_pdf_schedule_archive": { "result": "artifacts/feasibility/treasury_auction_concession/wayback_pdf_schedule_audit.json", "result_public": "/glassbox/treasury_wayback_pdf_schedule_audit.json", "decision": "CALENDAR_LINEAGE_REQUIRED", "archive_captures": 26, "target_historical_auctions": 88, "ten_session_schedule_bound_auctions": 73, "ten_session_schedule_coverage_rate": 0.8295454545454546, "excluded_unmatched_tentative_dates": 6, "minimum_prior_sessions_bound": 10, "cdx_sha256": "33e43b9a5e30f53a0c498bb8574bfdc129825de2da9591b7767679166878a1f2", "events_sha256": "6e8a053d5b6af706d24669aa903bcbcc56b0c707f5b2a1cc9dd34913fb62f716", "return_hypotheses_spent": 0 }, "calendar_revision_audit": { "result": "artifacts/feasibility/treasury_auction_concession/calendar_revision_audit.json", "result_public": "/glassbox/treasury_calendar_revision_audit.json", "decision": "IDENTITY_NOT_OBSERVABLE_AS_PREREGISTERED", "unresolved_auction_dates": 11, "tentative_date_changed": 5, "exact_date_only_late_capture": 2, "exact_date_only_post_event_capture": 3, "no_captured_month_schedule": 1, "formal_announcement_lead_sessions_range": [ 2, 4 ], "archive_evidence_rows": 251, "archive_corpus_sha256": "53de6a6cee2d77da54b2564e904b38ad08c64cecd5ea70fddb2b84d166e9a3bc", "return_hypotheses_spent": 0, "required_redesign": "Register a point-in-time schedule-revision state machine with explicit cancel, roll, late-announcement, and missing-update behavior before opening returns." }, "return_hypotheses_spent": 0, "kill": "Kill if the effect is absent after the 2013 publication date, reduces to unhedged duration beta, cannot survive one-tick-plus-fee costs, or correlates above 0.35 with AlphaTrend." }, { "id": "cftc_hedging_pressure", "mechanism": "Cross-sectional commodity risk transfer from commercial hedging pressure using only CFTC reports available after their Friday release, neutralized to trend and curve carry", "asset_class": "commodity futures", "horizon": "weekly to monthly", "hypothesis_budget": 1, "free_probe": "Official CFTC historical compressed-report schema, release-lag audit and fixed mapping from report markets to the existing liquid futures or ETF universe", "production_data": "Point-in-time COT disaggregated positions, release timestamps, futures settlements, rolls, limits, bid/ask and contract multipliers", "provider_options": [ "CFTC", "CME DataMine", "ICE Data Services" ], "execution": [ "Interactive Brokers", "CME or ICE clearing broker" ], "status": "data-gated", "literature_review": "docs/design/LITERATURE_FRONTIER_2026_08_16.md", "literature_review_public": "/research/literature-frontier-2026-08-16.md", "feasibility": { "protocol": "docs/design/FEASIBILITY_CFTC_HEDGING_PRESSURE.md", "protocol_public": "/research/cftc-hedging-pressure-feasibility.md", "result": "artifacts/feasibility/cftc_hedging_pressure/result.json", "result_public": "/glassbox/cftc_hedging_pressure_feasibility.json", "decision": "DATA_GATED", "return_hypotheses_spent": 0, "metadata_rows": 183676, "history_years": 21, "contract_markets": 650, "core_field_completeness_min": 1.0, "unique_event_identity_rate": 1.0, "tuesday_report_date_rate": 0.9890459287005379, "exact_release_timestamp_lineage_rate": 0.0, "stable_market_code_name_rate": 0.9938461538461538, "blocking_reasons": [ "exact_historical_release_lineage", "fixed_tradable_contract_mapping" ], "raw_sha256": "61ddb56a6eb7ce58cbac841ecc2b149eb65d516dd3337e8edf01f1c01012a607", "manifest_sha256": "8dcc786360279c0448c9600f4d7e7bf4f120a64fa3bbcd4b525ab6d44b7843a8" }, "return_hypotheses_spent": 0, "kill": "Kill if release-lagged positions do not add beyond trend and curve carry, the tradable map is unstable, crisis liquidity breaks the cost model, or correlation to AlphaTrend exceeds 0.35." }, { "id": "pre_fomc_announcement_drift", "mechanism": "A publication-aware replication of the equity premium reported in the hours before scheduled FOMC announcements, isolated from overnight and ordinary market beta", "asset_class": "US equity-index futures or SPY", "horizon": "intraday event window", "hypothesis_budget": 1, "free_probe": "Official Federal Reserve calendar lineage and intraday-bar coverage audit, with the post-2015 publication window designated as the primary falsification sample", "production_data": "Point-in-time FOMC schedule changes, intraday index futures or SPY quotes, spreads, holidays and announcement timestamps", "provider_options": [ "Federal Reserve", "Polygon", "CME DataMine" ], "execution": [ "Interactive Brokers", "Alpaca SPY proxy for shadow validation" ], "status": "data-gated", "literature_review": "docs/design/LITERATURE_FRONTIER_2026_08_16.md", "literature_review_public": "/research/literature-frontier-2026-08-16.md", "feasibility": { "protocol": "docs/design/FEASIBILITY_PRE_FOMC_ANNOUNCEMENT_DRIFT.md", "protocol_public": "/research/pre-fomc-announcement-drift-feasibility.md", "result": "artifacts/feasibility/pre_fomc_announcement_drift/result.json", "result_public": "/glassbox/pre_fomc_announcement_drift_feasibility.json", "decision": "CALENDAR_LINEAGE_REQUIRED", "scheduled_events": 79, "period_start": "2016-01-27", "period_end": "2025-12-10", "years_with_eight_regular_decisions": 9, "documented_2020_regular_decisions": 7, "release_time_coverage_rate": 1.0, "release_at_2pm_et_rate": 1.0, "point_in_time_schedule_revision_lineage_rate": 0.0, "blocking_reasons": [ "point_in_time_schedule_revision_lineage" ], "source_manifest_sha256": "a1a5196803cc7dea80a59f20120522b6057fabca0a3bdd13ce12f99aa011945c", "events_sha256": "049b20e54e32376ade4e2366a83dc5cb83e3ceca134779009da066bd2bdb77f5" }, "schedule_lineage": { "protocol": "docs/design/FEASIBILITY_PRE_FOMC_ANNOUNCEMENT_DRIFT.md", "protocol_public": "/research/pre-fomc-announcement-drift-feasibility.md", "result": "artifacts/feasibility/pre_fomc_announcement_drift/annual_schedule_lineage.json", "result_public": "/glassbox/pre_fomc_schedule_lineage.json", "decision": "PASS_TO_RETURN_PREREGISTRATION", "annual_schedule_sources": 10, "scheduled_slots": 80, "completed_regular_decisions": 79, "explicit_cancellations": 1, "minimum_initial_publication_lead_sessions": 117, "events_sha256": "1a3cb2fa355311936be32679b227fe4bfbaed27bc15864247548734c4e176be2", "return_hypotheses_spent": 0 }, "return_preregistration": { "document": "docs/design/PREREG_PRE_FOMC_ANNOUNCEMENT_DRIFT.md", "document_public": "/research/prereg-pre-fomc-announcement-drift.md", "identity": "pre_fomc_announcement_drift_v1", "direction": "long", "scheduled_slots": 80, "completed_events": 79, "cancelled_slot": "2020-03-18", "return_data_opened": false, "return_hypotheses_spent": 0 }, "market_data_readiness": { "result": "artifacts/feasibility/pre_fomc_announcement_drift/market_data_readiness.json", "result_public": "/glassbox/pre_fomc_market_data_readiness.json", "decision": "DATA_GATED", "required_control_windows": 312, "minimum_controls_per_completed_event": 3, "required_unique_session_files": 782, "missing_session_files": 0, "full_day_flatfile_compressed_gib": 3005.294, "maximum_bounded_flatfile_route_gib": 50.0, "credential_state": "NO_USABLE_QUOTE_DOWNLOAD_ROUTE", "blocking_reasons": [ "polygon_flatfile_get_object_forbidden", "polygon_rest_historical_quotes_not_authorized", "full_market_flatfile_route_exceeds_bounded_ingest_ceiling", "databento_consolidated_history_starts_in_2023" ], "quote_records_opened": false, "return_data_opened": false, "return_hypotheses_spent": 0 }, "return_hypotheses_spent": 0, "kill": "Kill if the post-publication sample is non-positive net of costs, the result is ordinary overnight beta, schedule revisions cannot be reconstructed, or left-tail behavior violates the event-risk budget." }, { "id": "repurchase_issuance_flow", "mechanism": "Filing-known completed corporate equity demand: completed repurchases versus contamination-resolved completed issuance, never authorization headlines", "asset_class": "US equities", "horizon": "one quarter to one year", "hypothesis_budget": 1, "family_trial_account": "corporate_equity_supply", "prior_family_return_configurations": 3, "minimum_family_trials_if_returns_open": 4, "counts_toward_ten_new_independent_sleeves": false, "identity_overlap": { "artifact": "artifacts/feasibility/repurchase_issuance_flow/identity_overlap_audit.json", "classification": "SAME_ECONOMIC_FAMILY_DISTINCT_MEASUREMENT", "decision": "CONTINUE_DATA_FEASIBILITY_SAME_FAMILY", "fresh_standalone_trial_budget": false }, "free_probe": "Official SEC Company Facts, Submissions and accession-bound Item 703 schema coverage with amendments replayed point-in-time and no prices", "production_data": "PIT XBRL facts, accession-bound Item 703 tables, shares and corporate actions, issuance contamination flags, delistings, borrow, spreads and market impact", "provider_options": [ "SEC EDGAR", "LSEG Fundamentals", "FactSet Fundamentals" ], "execution": [ "Alpaca" ], "status": "manual-blind-label-gate", "literature_review": "docs/design/LITERATURE_REPURCHASE_ISSUANCE_FLOW.md", "literature_review_public": "/research/literature-repurchase-issuance-flow.md", "feasibility": { "protocol": "docs/design/FEASIBILITY_REPURCHASE_ISSUANCE_FLOW.md", "protocol_public": "/research/repurchase-issuance-flow-feasibility.md", "decision": "BLIND_ITEM703_LABELING_REQUIRED", "return_hypotheses_spent": 0, "deterministic_cik_sample": 600, "deterministic_item703_sample": 240, "hand_label_sample": 60, "pipeline_status": "SEC_COLLECTION_AND_SEMANTICS_COMPLETE_AWAITING_BLIND_LABELS", "pipeline_tests": 48, "empirical_results": { "manifest_ciks": 600, "companyfacts_payloads": 520, "companyfacts_terminal_404s": 80, "companyfacts_collection_errors": 0, "periodic_filings": 15009, "relevant_fact_rows": 150570, "accession_join_rate": 0.9999269442784087, "context_complete_rate": 0.99488609948861, "direct_repurchase_issuer_year_coverage": 0.46451447604406865, "direct_issuance_issuer_year_coverage": 0.4335126825518832, "amendment_fact_rows_replayed": 2407, "amendment_slice_invariant": true, "quarterized_facts": 35792, "quarterization_fail_closed_facts": 19087, "item703_documents_collected": 240, "item703_labels_required": 60, "documents_parsed": 0, "labels_opened": false, "return_data_opened": false, "return_hypotheses_spent": 0, "companyfacts_audit_sha256": "fc50a7bf79a17607b2bfd9a270303d432a57b36b3ac40f8eb96c6ad18fda707e", "semantics_audit_sha256": "46315240eb72b40f47be470c9260c446bdda7b06a5b6b7974fd2b3b6352476a3", "item703_documents_result_sha256": "25bd0ba43ba192c3cde7be4fa48bfb187d229ac633ce8643d7a0ce28d5ee5cc3" }, "implemented_commands": [ "uv run python scripts/build_repurchase_issuance_manifest.py", "uv run python scripts/collect_repurchase_issuance_companyfacts.py", "uv run python scripts/collect_repurchase_issuance_submissions.py", "uv run python scripts/audit_repurchase_issuance_companyfacts.py", "uv run python scripts/audit_repurchase_issuance_semantics.py", "uv run python scripts/build_repurchase_item703_manifest.py", "uv run python scripts/collect_repurchase_item703_documents.py", "uv run python scripts/seal_repurchase_item703_labels.py", "uv run python scripts/parse_repurchase_item703_documents.py", "uv run python scripts/audit_repurchase_item703_extraction.py", "uv run python scripts/audit_repurchase_issuance_feasibility.py" ], "manual_gate": "Complete artifacts/feasibility/repurchase_issuance_flow/item703/labels.csv for the frozen 60 documents without viewing parser output, then seal it before parsing.", "fail_closed_state": "Every stage binds exact manifest identities, immutable part hashes and zero return access, and exits nonzero when its required seal or gate is absent. Blind labels must be sealed against the parser source before parser output exists. Company Facts or Item 703 extraction alone can never pass full feasibility; combined coverage, amendment replay, quarterization and contamination gates remain mandatory." }, "return_hypotheses_spent": 0, "kill": "Kill if completed repurchases and issuance cannot be separated point-in-time from authorizations, amendments, stock compensation, splits, acquisitions and custom tags, or if a later residual is subsumed by existing equity sleeves." } ], "retired_candidates": [ { "id": "futures_curve_carry", "public_result": "futcarry_xs and xasset_carry", "verdict": "KILLED" }, { "id": "options_variance_premium", "public_result": "equity_vrp and crypto_vrp", "verdict": "KILLED" }, { "id": "post_earnings_drift", "public_result": "equity_pead", "verdict": "KILLED" }, { "id": "crypto_basis_curve", "public_result": "crypto_dated_basis and funding_termstructure", "verdict": "KILLED" }, { "id": "rates_curve_relative_value", "public_result": "rates_curve_carry", "verdict": "KILLED" }, { "id": "short_horizon_reversal", "public_result": "PRE_REGISTRATION Sleeve E and reversal IC campaign", "verdict": "KILLED" }, { "id": "fx_value_carry", "public_result": "fx_carry_ratediff, fx_carry_trend_overlay and xasset_value", "verdict": "KILLED" }, { "id": "cross_asset_defensive", "public_result": "quality, BAB and tail_overlay campaigns", "verdict": "KILLED" }, { "id": "insider_purchase_clusters", "public_result": "artifacts/probe/insider_purchase_clusters/result.json", "verdict": "KILLED", "net_sharpe": -0.2432300499265856, "dsr": 1.6439916961131833e-06, "newey_west_t": -0.785510407497244, "average_correlation": -0.06427676454613164, "max_pair_correlation": 0.057033921939489814, "capacity_p05_usd_at_1pct_adv": 5167351.429733131, "reason": "The sleeve was genuinely diversifying and capacity-feasible, but had negative OOS returns, DSR effectively zero, and reduced the fixed-weight ALPHAC book in three of four leave-one-year-out recomputations. The sign is not inverted and the parameters are not retuned." }, { "id": "commodity_inventory_seasonal", "public_result": "artifacts/probe/eia_petroleum_inventory/result.json", "verdict": "KILLED", "net_sharpe": -0.5892034349114502, "dsr": 1.3954242209881757e-09, "newey_west_t": -1.844976942634086, "average_correlation": 0.00015772886947386117, "max_pair_correlation": 0.03207381723130501, "capacity_p05_usd_at_1pct_adv": 14919.439128870974, "reason": "The one-shot petroleum proxy was exceptionally orthogonal but had strongly negative OOS returns, failed both standalone product checks, failed mean-zero and leave-one-year-out book stability, and was severely capacity-constrained by UGA. The sign is not inverted and the parameters are not retuned." } ], "retired_admission_gates": { "deflated_sharpe_min": "Retired as a per-sleeve GATE in contract v6 and replaced by book_deflated_sharpe_min at the same 0.95 against the complete union of hypothesis identities. A 0.95 per-sleeve floor required an annualized Sharpe of 1.184 even at the least deflation the formula permits, about eight times the declared net Sharpe floor, and no sleeve in this book clears it. The per-sleeve figure is still measured and published for every candidate; evidence that omits it fails closed." }, "admission_contract_schema": "canli.alphac-sleeve-admission-contract.v6", "admission_contract_public_path": "/glassbox/sleeve_admission_contract.json", "frontier_arithmetic": { "claim_boundary": "Derived from the governing identity alone. Reads no data, runs no backtest, spends no hypothesis, and claims no candidate's correlation, sign or return.", "identity": "S_book = s_bar * sqrt(N / (1 + (N - 1) * rho_bar))", "target_sleeve_count": 14, "psd_floor_at_target_n": -0.07692307692307693, "psd_floor_note": "Average pairwise correlation cannot fall below -1/(N-1) for any real correlation matrix. At fourteen sleeves that floor is far from binding, which is why a negative average is arithmetically available here and is not at 250 sleeves.", "correlation_gate_in_force": 0.0, "book_sharpe_ceiling_at_the_gate": { "s_bar_traded_basis": 1.979336757603415, "s_bar_four_curve_basis": 1.736129027463109 }, "gate_permits_objective_floor": false, "gate_permits_objective_ceiling": false, "quality_precondition_at_the_gate": { "note": "What the tightened correlation gate alone does NOT buy. At the gate exactly, reaching each end of the objective band requires at least this average standalone Sharpe across fourteen sleeves.", "s_bar_required_for_2.25": 0.6013377943029549, "s_bar_required_for_3.0": 0.8017837257372732, "s_bar_measured_traded_basis": 0.529, "s_bar_measured_four_curve_basis": 0.464 }, "correlation_required_at_measured_quality": { "note": "The other route to the same place: hold quality where it is measured today and read off the average pairwise correlation each end of the band demands.", "traded_basis": { "rho_bar_required_for_2.25": -0.017393747388414055, "rho_bar_required_for_3.0": -0.04343782905982906 }, "four_curve_basis": { "rho_bar_required_for_2.25": -0.031124117758784424, "rho_bar_required_for_3.0": -0.05116116239316239 } }, "honest_reading": "Tightening the correlation ceiling from 0.15 to 0.00 removes a ceiling that sat BELOW the objective at every plausible quality, which is why the v4 gate could not have produced the objective at any sleeve count. It does not on its own deliver the objective. At the gate exactly, fourteen sleeves of today's measured quality reach the figure recorded above, and the remaining distance has to be bought with per-sleeve quality, genuinely negative correlation, or both. Publishing this is the point: a target sitting beside a gate that forbids it is not a stretch goal." } }