- scripts/backfill_finra_short_volume_cdn.py: bulk backfill FINRA short
sale CDN files (400d) into short_sale_daily table (382K rows inserted)
- apps/intraday_bt/scripts/diag_orb_short_volume_v46.py: Phase 1 diagnostic
on V46 400d trade set (180 trades, 99% coverage)
- scripts/audit_short_volume_coverage.py: fix asyncpg date param types
Result: all three short-ratio features fail G2 (max +0.168R vs gate 0.30R).
Direction is INVERTED from Boehmer (short squeeze dominates over informed-bear
signal in gap-up ORB). V25 axis permanently closed. V46 terminal.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Phase 1 diagnostic (diag_orb_short_volume.py) tests 3 short-ratio features
(prior-day, 20d avg, 20d z-score) on V24 200d trade set via FINRA CDN data.
All features fail all gates (|Pearson| ≤ 0.062, avg_R gap < 0.30R, WR gap < 5pp).
Direction inverts Boehmer 2020 hypothesis: high short ratio correlates positively
with ORB r_multiple (short-squeeze dynamics dominate at intraday ORB timescale).
V25 short-volume overlay not wired. V24 remains live champion.
Also adds scripts/audit_short_volume_coverage.py (Phase 0 DB coverage audit).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
I Luk Kim