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Canli Capital

Research

Treasury auction concession — no-return feasibility protocol

By , Canli Capital

Scope

This stage reads only official US Treasury auction metadata. It does not load prices, calculate returns, select an entry window, or spend a return identity. The objective is to establish that the coupon-auction event clock can be reconstructed from fields knowable before each auction.

Source and immutable lineage

  • Source: Treasury Fiscal Data auctions_query API.
  • Start date: 2000-01-01.
  • Eligible security types: nominal Note and Bond only. Bills, TIPS and FRNs are excluded.
  • Raw response is canonicalized, SHA-256 hashed and atomically stored.
  • Event identity is auction_date|CUSIP; duplicates fail the gate.
  • The emitted Parquet contains announcement-safe fields only. Auction outcomes such as high yield, allocations and bid-to-cover are deliberately excluded from the event manifest.

Gates locked before execution

  1. At least 1,000 eligible coupon auctions.
  2. At least 500 auctions from 2013 onward, preserving a publication-aware falsification era.
  3. At least 99% completeness for identity, announcement, auction, issue, term, amount and reopening fields.
  4. Announcement date is never after auction date for at least 99% of rows.
  5. At least one calendar day of notice for at least 99% of rows.
  6. Event identities are unique.

Passing these gates authorizes a separate return preregistration. It does not authorize a return test by itself. The return specification must lock duration buckets, beta hedges, event windows, transaction costs, post-publication priority and overlap handling before opening prices.

Kill conditions carried forward

Kill if the effect is absent after publication, reduces to duration beta, fails one-tick-plus-fee cost stress, or exceeds 0.35 correlation with AlphaTrend. The sign and window will not be inverted or retuned after a failed locked identity.