research: are the 11 CTS factors collinear? — momentum cluster refuted, trend cluster real and small

docs/experiments/trials-ledger.jsonl

@@ -70,3 +70,6 @@
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 {"decision":"diagnostic_only","kind":"ablation","params":{"arm_a":"turtle_breakout 40/20","arm_b":"turtle_breakout 80/40","assets":["BTC-USD","ETH-USD","PAXG-USD"],"finding":"PR #103 used closed-trade P&L attribution, not mark-to-market","granularity":"ONE_DAY","measurement":"harness calibration vs 2026-07-20-horizon-independence.md","reproduced_closed_convention":{"BTC-USD":"0.802 vs published 0.802","ETH-USD":"0.934 vs published 0.934"}},"per_bar_pnl":[],"per_trade_pnl":[],"prev_hash":"9e68efdd976787e92a572f9bdfee7010642334cbd8d0cbb719ffcd1123df1313","provenance":"a_priori","row_hash":"eca7915eab07b63acd3503a8dfb515f6df99ab3114bd1214e03e6aed0ccbc512","rule":"turtle_breakout","series_missing":true,"session":"between-family-independence-2026-08-08","summary":{},"timestamp":1786185747,"trial_id":"harness-calibration-crosshorizon-2026-08-08"}
 {"decision":"diagnostic_only","kind":"ablation","params":{"alignment":"common timestamps","arms":"shipped turtle 40/20 vs ITSELF on another asset, identical params","assets":["BTC-USD","ETH-USD","PAXG-USD","ADA-USD","XLM-USD"],"cross_horizon_comparator":{"jaccard":"0.510","pnl_closed":"0.508","position":"0.585"},"finding":"asset breadth is ~an order of magnitude more independent than horizon breadth; supports the minbtl allowlist-expansion case","granularity":"ONE_DAY","mean_jaccard":"0.144","mean_pnl_corr_closed":"0.011","mean_pnl_corr_mtm":"0.056","mean_position_corr":"0.175","measurement":"KB-80.16 five measurements, CROSS-ASSET","pairs":10},"per_bar_pnl":[],"per_trade_pnl":[],"prev_hash":"eca7915eab07b63acd3503a8dfb515f6df99ab3114bd1214e03e6aed0ccbc512","provenance":"a_priori","row_hash":"5e1984ea47926c00a94b4a7da578f32deea4900b7a085199b4153a6fa2fe4dce","rule":"turtle_breakout","series_missing":true,"session":"between-family-independence-2026-08-08","summary":{},"timestamp":1786188041,"trial_id":"cross-asset-shipped-turtle-2026-08-08"}
+{"decision":"diagnostic_only","kind":"ablation","params":{"arm":"1 - UNCONDITIONAL, every bar","assets":["BTC-USD","ETH-USD","PAXG-USD","ADA-USD","XLM-USD"],"factors_varying":10,"finding":"momentum cluster REFUTED (mean within phi -0.018 vs +0.025 background; the two RSI factors co-occur 0 times in 6822 bars). trend cluster CONFIRMED but small (+0.190). strongest pair in the matrix is deceleration x candlestick_pattern +0.254, not pre-declared. CTS total variance inflation 1.161 -> ~8.6 effective independent factors of 10.","granularity":"ONE_DAY","hypotheses_tested":45,"measurement":"pairwise phi/Jaccard/lift over CTS factor-presence vectors","multiple_testing":"Holm-Bonferroni, alpha=0.05, family = the 45 pairs actually tested","n_observations":6822,"no_code_change":"DEFAULT_WEIGHTS, factors, gates and thresholds all unchanged","p_values_load_bearing":false,"pre_declared_clusters":{"momentum":["rsi_extreme","rsi_divergence","deceleration"],"trend":["condition_aligned","ema_fan_aligned"]},"significant_pairs":23,"source_ratio_not_used":"QuantCrawler 3-of-4 agreement is unvalidated; used in no computation","window":"expanding from first cached bar (reproduces the live path exactly)"},"per_bar_pnl":[],"per_trade_pnl":[],"prev_hash":"5e1984ea47926c00a94b4a7da578f32deea4900b7a085199b4153a6fa2fe4dce","provenance":"a_priori","row_hash":"6d9f3f9ee286b45270f4b3527b6a54f7981f8e3915cb81d5f080619412fe5b8a","rule":"n/a (factor-level, not rule-level)","series_missing":true,"session":"cts-factor-collinearity-2026-08-09","summary":{"max_abs_phi_any_pair":"0.254","mean_cts_total":"5.14","mean_other_phi":"0.025","mean_within_phi_momentum":"-0.018","mean_within_phi_trend":"0.190","variance_ratio":"1.161"},"timestamp":1786446356,"trial_id":"cts-factor-collinearity-unconditional-daily-2026-08-09"}
+{"decision":"diagnostic_only","kind":"ablation","params":{"arm":"2 - UNCONDITIONAL, every bar","assets":["BTC-USD","ETH-USD","PAXG-USD","ADA-USD","XLM-USD"],"factors_varying":9,"finding":"reproduces arm 1: momentum -0.004, trend +0.201, strongest pair still deceleration x candlestick_pattern +0.257. sr_touches is CONSTANT (0.000) under a 500-bar hourly window and was dropped from the family.","granularity":"ONE_HOUR","hypotheses_tested":36,"measurement":"replication of arm 1 at 27x the sample","multiple_testing":"Holm-Bonferroni, alpha=0.05; at this N significance is uninformative","n_observations":186725,"window":"rolling 500 bars (expanding is O(n^2) over 44k bars)"},"per_bar_pnl":[],"per_trade_pnl":[],"prev_hash":"6d9f3f9ee286b45270f4b3527b6a54f7981f8e3915cb81d5f080619412fe5b8a","provenance":"a_priori","row_hash":"40756b17a5dbc00630dfb5fa815ee03e8d5532acaa2ab09f97c9595e6a1783e4","rule":"n/a (factor-level, not rule-level)","series_missing":true,"session":"cts-factor-collinearity-2026-08-09","summary":{"mean_other_phi":"0.009","mean_within_phi_momentum":"-0.004","mean_within_phi_trend":"0.201","variance_ratio":"1.089"},"timestamp":1786446356,"trial_id":"cts-factor-collinearity-unconditional-hourly-2026-08-09"}
+{"decision":"diagnostic_only","kind":"ablation","params":{"arm":"4 - CONDITIONAL (collider; reported for contrast, never as the headline)","assets":["BTC-USD","ETH-USD","PAXG-USD","ADA-USD","XLM-USD"],"finding":"demonstrates the selection effect it was run to demonstrate: P(condition_aligned) 0.275 -> 0.818, P(ema_fan_aligned) 0.301 -> 0.909, and the variance ratio falls BELOW 1 (0.663) because conditioning truncates rather than decorrelates.","granularity":"ONE_DAY","hypotheses_tested":45,"measurement":"the SAME matrix conditioned on a fired, gate-cleared signal","n_observations":77,"rule":"turtle_breakout 40/20 ATR(20) 2N rr6 ADX(14)>25 (shipped, keel-live rules 1-5)","significant_pairs":3,"underpowered":"N=77 estimates nothing on its own","window":"expanding"},"per_bar_pnl":[],"per_trade_pnl":[],"prev_hash":"40756b17a5dbc00630dfb5fa815ee03e8d5532acaa2ab09f97c9595e6a1783e4","provenance":"a_priori","row_hash":"4b196d5369087d0e8e689d9138e6a9a9d186daf1369e29158ac1a215d1221e2b","rule":"n/a (factor-level, not rule-level)","series_missing":true,"session":"cts-factor-collinearity-2026-08-09","summary":{"mean_within_phi_momentum":"-0.047","mean_within_phi_trend":"0.202","variance_ratio":"0.663"},"timestamp":1786446356,"trial_id":"cts-factor-collinearity-conditional-fired-2026-08-09"}