Studies run by earlier sessions and documented in CLAUDE.md, but never
committed: FINRA short volume (SVR) and the research-only svr_momentum veto,
SEC fails-to-deliver, 13D activists and the 13D event sleeve, 13F
institutional flow, GDELT news volume, S&P 400/600 Form 4 insiders,
union_shield, shield_lab; plus the mid/small insider and Tiingo fetcher
changes and midsmall_rebuild.
overnight_midsmall: the overnight-only momentum book on S&P 400/600 earns
0.93 net Sharpe at 3 bp a side (2019-26) with corr 0.83 to the S&P 500 book
(STOP).
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Register us_momentum_qqq_trend: half overnight_recovery_top10, half a QQQ
trend sleeve (strategies/qqq_trend.py: 200-day switch times a 30% vol target,
held as TQQQ + SHY). Mixed stock+ETF, US only (extra tickers QQQ, SHY, TQQQ).
Research (research/lab/): alpha against QQQ with a 2006-16 design / 2017-26
holdout split (alpha.py, qqq_scan.py, beat_qqq.py); leverage and drawdown
frontier (levered_book.py, us_target50.py); synthetic 3x ETFs from 1990 and
TrendRider/QQQ-trend stress tests (fetch_long_history.py, letf_history.py,
vol_trend.py); short-horizon sleeves, diversifiers, industry momentum,
earnings-announcement returns; new point-in-time data sources: SEC Form 4
insider trades (fetch_insider.py, insider.py), 10-K/10-Q text similarity,
8-K earnings dates and SIC codes (fetch_lazy_prices.py, lazy_prices.py), and
an S&P 400/600 universe from iShares holdings (fetch_us_mid.py, panel_mid.py).
Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
