Tests momentum_20d, grav_pull_20_50, range_pos_52w, obv_slope_20 on V46's
284-trade set (400d). All signals collapse vs V24 base: best G2=0.118R
(momentum_20d) vs 0.291R on V24 and pre-committed gate of 0.30R.
Composite gate (2+ features ≥ 0.20R) also fails. Axis permanently closed.
V46's PEAD event catalyst selection fundamentally changes the ticker/entry
universe vs V24's pure momentum base — momentum signals non-transferable.
V47 requires new data sources (options flow, 13F institutional ownership).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- 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>
Was using non-existent gap_pct key in enrichment dict; now computes from
today_open and prev_close fields. V30 results: hurst INVERTED+G2 FAIL,
ou_theta G1 FAIL (near-zero Pearson). gap_vs_market re-running as V30b.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
5 1-min microstructure features tested on V24 200d trade set (n=101).
range_coil_orb shows directional signal (Pearson=-0.128, WR gap +9.9pp)
but fails G1 (n=101 < 120) and G2 (avg_R gap 0.195R < 0.30R threshold).
p-value ~0.10 — insufficient for promotion. V24 remains champion.
Script fetches 1-min bars from Oracle and caches to data/cache/intraday_1min/.
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