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research: lagged futures signals for stock exposure vs matched ETF rules (none passes, retain baseline)

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128 fixed runs (32 profiles x daily ledger / overnight-only x 2 costs) plus 12
post-hoc availability diagnostics on overnight_recovery_top10, 2006-10 to 2026-09.
Futures trend/shock/rates rules do not beat the same rules on SPY/QQQ/IEF or a
static 75% exposure; all six default schemes fail the gates.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
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Gahow Wang
2026-10-24 21:54:27 -07:00
parent 50b4cb7678
commit 3d69744068
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@@ -102,6 +102,7 @@ PYTHONPATH=. uv run python -m research.lab.union_shield # SPY>MA
PYTHONPATH=. uv run --with numba python -m research.lab.stream_portfolio # risk-budgeted book of momentum/lowrisk/TrendRider/ETF TSMOM/BTC streams, 2006-26 (preregistered; REJECT 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.hedged_momentum # momentum with its beta hedged by index futures (quick check; STOP 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.futures_trend [--no-proxy] # 24-market futures TSMOM on Yahoo =F + data checks (quick check; Sharpe 0.44, DATA 2026-10-08)
uv run python -m research.lab.futures_stock_signals --output data/research/results/futures_stock_signals_new # lagged futures vs ETF stock-exposure rules; 2026-10-17: 128 fixed runs + 12 availability diagnostics, retain baseline; report in futures_stock_signals_20261017/report.md
PYTHONPATH=. uv run python -m research.lab.managed_futures_book [--no-proxy] # three sleeves + managed futures (tsmom24 proxy -> DBMF), 2006-26 (preregistered; REJECT 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.small_cap_reversal # 5-day reversal on S&P 400/600, EW-hedged, spread costs (quick check; STOP 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.turn_of_month # turn-of-month premium 1928-2026, 3x in the window (quick check; STOP 2026-10-08)