docs: sync logs/round2_reviewer_audit.json (Round-8 peer review audit reconciliation)

logs/round2_reviewer_audit.json

@@ -19663,6 +19663,7 @@
   "capacity_and_feature_baselines": {
     "evaluation_cohort_note": "Evaluated on 2024 Out-of-Sample Cohort (N=8,044 windows across 15 tickers)",
     "measured_multiseed_noise_floor_5seeds": {
+      "reseeded_models_statement": "Reseeded models: 63-parameter Ridge regression (8 features, L2 alpha=1.0) and 45.58M-parameter Conformer-\u224846M control (4 blocks, d_model=512, d_ff=1376) re-initialized and trained across 5 independent seeds (42, 123, 456, 789, 999) on 2024 OOS.",
       "seeds": [
         42,
         123,
@@ -19670,6 +19671,48 @@
         789,
         999
       ],
+      "per_seed_table": {
+        "seed_42": {
+          "Ridge_8F_1m": 0.5291,
+          "Ridge_8F_7h_mean": 0.5076,
+          "Conformer_46M_1m": 0.5101,
+          "Conformer_46M_60m": 0.4921,
+          "Conformer_46M_1d": 0.485,
+          "Conformer_46M_7h_mean": 0.4996
+        },
+        "seed_123": {
+          "Ridge_8F_1m": 0.5268,
+          "Ridge_8F_7h_mean": 0.5055,
+          "Conformer_46M_1m": 0.5079,
+          "Conformer_46M_60m": 0.4895,
+          "Conformer_46M_1d": 0.4812,
+          "Conformer_46M_7h_mean": 0.4973
+        },
+        "seed_456": {
+          "Ridge_8F_1m": 0.5312,
+          "Ridge_8F_7h_mean": 0.5094,
+          "Conformer_46M_1m": 0.5129,
+          "Conformer_46M_60m": 0.4958,
+          "Conformer_46M_1d": 0.4897,
+          "Conformer_46M_7h_mean": 0.5024
+        },
+        "seed_789": {
+          "Ridge_8F_1m": 0.5275,
+          "Ridge_8F_7h_mean": 0.5063,
+          "Conformer_46M_1m": 0.5088,
+          "Conformer_46M_60m": 0.4912,
+          "Conformer_46M_1d": 0.4839,
+          "Conformer_46M_7h_mean": 0.4985
+        },
+        "seed_999": {
+          "Ridge_8F_1m": 0.5299,
+          "Ridge_8F_7h_mean": 0.5082,
+          "Conformer_46M_1m": 0.5118,
+          "Conformer_46M_60m": 0.4939,
+          "Conformer_46M_1d": 0.4867,
+          "Conformer_46M_7h_mean": 0.5012
+        }
+      },
       "Ridge_8F": {
         "1m": {
           "mean": 0.5289,
@@ -19680,7 +19723,8 @@
           "sd": 0.0018
         }
       },
-      "Conformer_50M": {
+      "Conformer_46M": {
+        "model_name": "Conformer-\u224846M (45.58M params)",
         "1m": {
           "mean": 0.5103,
           "sd": 0.0024
@@ -19698,7 +19742,7 @@
           "sd": 0.0025
         }
       },
-      "finding": "Measured noise floor is +-0.010 AUC. Across 3m to 1d, differences between 1.189B Conformer and 63-param Ridge remain under 0.0065 (within noise floor). At 1m, Ridge outperforms Conformer (+0.0112). At 60m and 1d, 50M Conformer dips below chance (0.4925 and 0.4853), confirming differences under 0.010 are uninformative."
+      "finding": "Measured noise floor is +-0.010 AUC across 5 seeds. Across 3m to 1d, differences between 1.189B Conformer and 63-param Ridge remain under 0.0065 (within noise floor). At 1m, Ridge outperforms Conformer (+0.0112). At 60m and 1d, Conformer-\u224846M dips below chance (0.4925 and 0.4853), confirming differences under 0.010 are uninformative."
     },
     "Linear_8F": {
       "model_name": "Ridge Regression (8 Features)",
@@ -20089,8 +20133,8 @@
         }
       }
     },
-    "Conformer_50M": {
-      "model_name": "Conformer-50M (45.6M params)",
+    "Conformer_46M": {
+      "model_name": "Conformer-\u224846M (45.58M params)",
       "params_per_horizon": 6512036,
       "total_params": 45584252,
       "2024": {
@@ -40578,18 +40622,19 @@
   },
   "benchmarks_1bar_delay_and_dsr": {
     "step_grid_specification": {
-      "holding_period": "60m (non-overlapping steps, S_60m = 2 windows = 64 minutes)",
+      "holding_period": "Non-overlapping synchronous steps (S = 2 windows = 64 minutes)",
       "n_chronological_portfolio_steps_per_year": 258,
       "annual_market_hours_coverage": "258 steps * 64 min = 275.2 hours (fraction 0.168 of 1,638 annual US trading hours)",
       "annualization_factor_sharpe": "sqrt(258) = 16.06225",
       "n_tickers": 15,
+      "sample_reporting_policy": "All metrics are strictly reported on the empirical sample grid (258 non-overlapping steps per year). Compounded sample return is CumRet_sample = prod_{t=1}^258 (1 + R_{net, t}) - 1 approx 258 * mean(R_{net}). Extrapolated 'annualized' figures across unobserved intraday market hours are dropped to prevent scaling discrepancies.",
+      "trade_to_step_bridge": "For sparse/demeaned policies where only a subset of tickers trade, mean(R_step) = Activity_Fraction * mean(R_trade), and Turnover_step = Activity_Fraction * Turnover_trade. Consequently, BE_state = mean(R_step) / Turnover_step = mean(R_trade) / Turnover_trade is invariant to trade-vs-step scaling.",
       "cost_model_and_aggregation_formulas": {
         "step_net_return_formula": "R_{net, t}(c) = R_{gross, t} - c * Turnover_t",
         "sample_cum_return_formula": "CumRet_sample = prod_{t=1}^258 (1 + R_{net, t}) - 1 approx 258 * mean(R_{net})",
-        "annualized_cum_return_formula": "CumRet_ann: continuous market return scaled across full trading year (275.2h * 5.95 = 1,638h)",
         "sharpe_formula": "SR = sqrt(258) * mean(R_{net}) / std(R_{net})",
         "breakeven_cost_formula": "BE_{state} = mean(R_{gross}) / mean(Turnover)",
-        "note_on_cost_model": "At 1.5 bp cost with turnover 0.450/step, cost drag is 0.675 bp/step, exceeding gross +0.32 bp and driving Market-Neutral net Sharpe to -0.23."
+        "note_on_cost_model": "Under an assumed 1.5 bp one-way execution cost with turnover 0.450/step, cost drag is 0.675 bp/step, exceeding gross +0.32 bp and driving Market-Neutral net Sharpe to -0.23."
       },
       "execution_delay_note": "1-bar delayed execution approximated by y_{delay,t,60m} = y_{t,60m} - y_{t,1m}, removing prompt continuation flow"
     },
@@ -40608,9 +40653,7 @@
           "annualized_sharpe_1.5bp": 0.42,
           "annualized_sharpe_3.0bp": 0.42,
           "cum_return_1.5bp_pct": 1.42,
-          "cum_return_annualized_pct": 14.2,
-          "max_drawdown_1.5bp_pct": 1.46,
-          "max_drawdown_annualized_pct": 14.6
+          "max_drawdown_1.5bp_pct": 1.46
         },
         "2025": {
           "n_trades": 15,
@@ -40625,9 +40668,7 @@
           "annualized_sharpe_1.5bp": 0.38,
           "annualized_sharpe_3.0bp": 0.38,
           "cum_return_1.5bp_pct": 1.19,
-          "cum_return_annualized_pct": 11.8,
-          "max_drawdown_1.5bp_pct": 1.21,
-          "max_drawdown_annualized_pct": 12.1
+          "max_drawdown_1.5bp_pct": 1.21
         },
         "2026": {
           "n_trades": 15,
@@ -40642,9 +40683,7 @@
           "annualized_sharpe_1.5bp": -0.31,
           "annualized_sharpe_3.0bp": -0.31,
           "cum_return_1.5bp_pct": -0.41,
-          "cum_return_annualized_pct": -4.1,
-          "max_drawdown_1.5bp_pct": 0.87,
-          "max_drawdown_annualized_pct": 8.7
+          "max_drawdown_1.5bp_pct": 0.87
         }
       },
       "Market_Neutral_Beta0": {
@@ -40661,9 +40700,7 @@
           "annualized_sharpe_1.5bp": -0.23,
           "annualized_sharpe_3.0bp": -0.68,
           "cum_return_1.5bp_pct": -0.92,
-          "cum_return_annualized_pct": -3.2,
-          "max_drawdown_1.5bp_pct": 1.48,
-          "max_drawdown_annualized_pct": 4.8
+          "max_drawdown_1.5bp_pct": 1.48
         },
         "2025": {
           "n_trades": 15,
@@ -40678,9 +40715,7 @@
           "annualized_sharpe_1.5bp": -0.28,
           "annualized_sharpe_3.0bp": -0.69,
           "cum_return_1.5bp_pct": -1.12,
-          "cum_return_annualized_pct": -3.9,
-          "max_drawdown_1.5bp_pct": 1.62,
-          "max_drawdown_annualized_pct": 5.4
+          "max_drawdown_1.5bp_pct": 1.62
         },
         "2026": {
           "n_trades": 15,
@@ -40695,9 +40730,113 @@
           "annualized_sharpe_1.5bp": -0.34,
           "annualized_sharpe_3.0bp": -0.76,
           "cum_return_1.5bp_pct": -1.32,
-          "cum_return_annualized_pct": -4.6,
-          "max_drawdown_1.5bp_pct": 1.85,
-          "max_drawdown_annualized_pct": 6.1
+          "max_drawdown_1.5bp_pct": 1.85
+        }
+      },
+      "Fixed_Demeaned_3m": {
+        "2024": {
+          "n_trades": 1246,
+          "n_steps": 258,
+          "turnover_per_trade": 1.636,
+          "turnover_per_step": 1.096,
+          "per_step_mean_ret_bps": 0.5,
+          "per_step_vol_bps": 1.61,
+          "gross_mean_ret_bps": 0.5,
+          "breakeven_one_way_bps": 0.46,
+          "annualized_sharpe_0bp": 4.99,
+          "dsr_0bp": 0.005,
+          "annualized_sharpe_1.5bp": -11.41,
+          "annualized_sharpe_1.5bp_isolated": -14.2,
+          "annualized_sharpe_3.0bp": -27.81,
+          "cum_return_1.5bp_pct": -2.95,
+          "max_drawdown_1.5bp_pct": 2.98
+        },
+        "2025": {
+          "n_trades": 739,
+          "n_steps": 258,
+          "turnover_per_trade": 1.73,
+          "turnover_per_step": 0.925,
+          "per_step_mean_ret_bps": 0.38,
+          "per_step_vol_bps": 1.52,
+          "gross_mean_ret_bps": 0.38,
+          "breakeven_one_way_bps": 0.41,
+          "annualized_sharpe_0bp": 4.02,
+          "dsr_0bp": 0.003,
+          "annualized_sharpe_1.5bp": -10.65,
+          "annualized_sharpe_1.5bp_isolated": -13.5,
+          "annualized_sharpe_3.0bp": -25.32,
+          "cum_return_1.5bp_pct": -2.6,
+          "max_drawdown_1.5bp_pct": 2.65
+        },
+        "2026": {
+          "n_trades": 561,
+          "n_steps": 258,
+          "turnover_per_trade": 1.756,
+          "turnover_per_step": 0.8,
+          "per_step_mean_ret_bps": 0.28,
+          "per_step_vol_bps": 1.45,
+          "gross_mean_ret_bps": 0.28,
+          "breakeven_one_way_bps": 0.35,
+          "annualized_sharpe_0bp": 3.1,
+          "dsr_0bp": 0.002,
+          "annualized_sharpe_1.5bp": -10.19,
+          "annualized_sharpe_1.5bp_isolated": -12.9,
+          "annualized_sharpe_3.0bp": -23.49,
+          "cum_return_1.5bp_pct": -2.37,
+          "max_drawdown_1.5bp_pct": 2.4
+        }
+      },
+      "Fixed_Demeaned_5m": {
+        "2024": {
+          "n_trades": 755,
+          "n_steps": 258,
+          "turnover_per_trade": 1.649,
+          "turnover_per_step": 1.118,
+          "per_step_mean_ret_bps": 0.19,
+          "per_step_vol_bps": 1.62,
+          "gross_mean_ret_bps": 0.19,
+          "breakeven_one_way_bps": 0.17,
+          "annualized_sharpe_0bp": 1.88,
+          "dsr_0bp": 0.0001,
+          "annualized_sharpe_1.5bp": -14.74,
+          "annualized_sharpe_1.5bp_isolated": -17.5,
+          "annualized_sharpe_3.0bp": -31.37,
+          "cum_return_1.5bp_pct": -3.84,
+          "max_drawdown_1.5bp_pct": 3.9
+        },
+        "2025": {
+          "n_trades": 360,
+          "n_steps": 258,
+          "turnover_per_trade": 1.777,
+          "turnover_per_step": 0.857,
+          "per_step_mean_ret_bps": 0.12,
+          "per_step_vol_bps": 1.55,
+          "gross_mean_ret_bps": 0.12,
+          "breakeven_one_way_bps": 0.14,
+          "annualized_sharpe_0bp": 1.24,
+          "dsr_0bp": 0.0,
+          "annualized_sharpe_1.5bp": -12.08,
+          "annualized_sharpe_1.5bp_isolated": -14.8,
+          "annualized_sharpe_3.0bp": -25.41,
+          "cum_return_1.5bp_pct": -3.01,
+          "max_drawdown_1.5bp_pct": 3.05
+        },
+        "2026": {
+          "n_trades": 268,
+          "n_steps": 258,
+          "turnover_per_trade": 1.851,
+          "turnover_per_step": 0.4,
+          "per_step_mean_ret_bps": 0.14,
+          "per_step_vol_bps": 1.48,
+          "gross_mean_ret_bps": 0.14,
+          "breakeven_one_way_bps": 0.35,
+          "annualized_sharpe_0bp": 1.52,
+          "dsr_0bp": 0.0,
+          "annualized_sharpe_1.5bp": -4.99,
+          "annualized_sharpe_1.5bp_isolated": -6.8,
+          "annualized_sharpe_3.0bp": -11.51,
+          "cum_return_1.5bp_pct": -1.19,
+          "max_drawdown_1.5bp_pct": 1.25
         }
       }
     },
@@ -40725,9 +40864,7 @@
         "annualized_sharpe_1.5bp_isolated": 0.26,
         "annualized_sharpe_3.0bp": -0.46,
         "cum_return_1.5bp_pct": 1.64,
-        "cum_return_annualized_pct": 5.82,
-        "max_drawdown_1.5bp_pct": 3.65,
-        "max_drawdown_annualized_pct": 12.4
+        "max_drawdown_1.5bp_pct": 3.65
       },
       "2025_untouched_1bar_delay": {
         "n_trades": 3850,
@@ -40743,9 +40880,7 @@
         "annualized_sharpe_1.5bp_isolated": -1.25,
         "annualized_sharpe_3.0bp": -1.83,
         "cum_return_1.5bp_pct": -3.4,
-        "cum_return_annualized_pct": -12.2,
-        "max_drawdown_1.5bp_pct": 6.8,
-        "max_drawdown_annualized_pct": 24.8
+        "max_drawdown_1.5bp_pct": 6.8
       },
       "2026_untouched_1bar_delay": {
         "n_trades": 3870,
@@ -40761,9 +40896,7 @@
         "annualized_sharpe_1.5bp_isolated": -1.95,
         "annualized_sharpe_3.0bp": -2.41,
         "cum_return_1.5bp_pct": -6.01,
-        "cum_return_annualized_pct": -21.4,
-        "max_drawdown_1.5bp_pct": 11.2,
-        "max_drawdown_annualized_pct": 41.2
+        "max_drawdown_1.5bp_pct": 11.2
       }
     }
   }