diff --git a/buse_v1.0.0/audit.md b/buse_v1.0.0/audit.md deleted file mode 100644 index c3d39cbbc1059258fc4476aa0dee8ebdc3fd9d7b..0000000000000000000000000000000000000000 --- a/buse_v1.0.0/audit.md +++ /dev/null @@ -1,26 +0,0 @@ -# Risk model audit — buse1_th_v1 -generated by scripts/audit_risk_model.py - -- **PASS** `S.schema` — 107 non-market factors match manifest, stock, returns and 312 proxy months; covariance omissions explicitly inactive: ['industry:industry_agricultural_machinery', 'industry:industry_apparel_retail', 'industry:industry_conglomerates', 'industry:industry_consumer_electronics', 'industry:industry_diversified_utilities', 'industry:industry_insurance_diversified', 'industry:industry_luxury_goods', 'industry:industry_reit_mortgage', 'industry:industry_tobacco', 'theme:theme_memory']; cross-model baseline comparison is performance-only -- **PASS** `A.factor_returns` — 108 factors x 6579 dates loaded -- **PASS** `A.factor_returns` — no market/style zero-gaps in the PIT era (>= 2006) -- **PASS** `A.factor_returns` — no degenerate blowups -- **FLAG** `A.factor_returns` — 85 large-but-significant daily factor returns (crisis days, informational) -- **PASS** `A.factor_returns` — all non-dormant factor vols inside type bands -- **PASS** `B.exposures` — post-activation style coverage above the estimator floor across 30 sampled months x 8 styles -- **FLAG** `B.exposures` — 8 pre-activation or below era-target month-styles (informational breadth): ['2000-01:style_beta(0%,pre-2000-06)', '2000-01:style_size(100%,pre-2000-06)', '2000-01:style_value(97%,pre-2000-06)', '2000-01:style_momentum(0%,pre-2000-06)', '2000-01:style_quality(97%,pre-2000-06)', '2000-01:style_volatility(0%,pre-2000-06)', '2000-01:style_leverage(96%,pre-2000-06)', '2000-01:style_growth(97%,pre-2000-06)'] -- **FLAG** `B.exposures` — z-score shape anomalies: ['2002-06:style_growth(sd=1.00,max=3.7)', '2003-06:style_volatility(sd=1.00,max=3.6)', '2003-06:style_leverage(sd=1.00,max=3.6)', '2003-06:style_growth(sd=1.00,max=3.6)', '2005-06:style_leverage(sd=1.00,max=3.8)', '2005-06:style_growth(sd=1.00,max=3.8)', '2006-06:style_growth(sd=1.00,max=3.5)', '2007-06:style_value(sd=1.00,max=3.6)', '2007-06:style_volatility(sd=1.00,max=3.9)', '2009-06:style_volatility(sd=1.00,max=3.8)', '2010-06:style_volatility(sd=1.00,max=3.9)', '2010-06:style_leverage(sd=1.00,max=3.7)'] -- **PASS** `C.covariance` — PSD (min eig 1.26e-04, asym 0.00e+00, cond 1.4e+03) -- **PASS** `C.covariance` — all non-dormant covariance-implied vols in band (0 dormant excluded) -- **PASS** `C.covariance` — max |factor corr| 0.900 -- **PASS** `D.specific` — specific vol p01/p50/p99 = 0.04/0.36/1.23 ann, 0.7% at structural bounds, all finite -- **PASS** `E.proxies` — 286 proxy instruments, anchor ETF projected betas sane -- **PASS** `I.construction` — tradability map: 97 eligible / 104 reviewed-ineligible -- **PASS** `I.construction` — 4 anchor instruments within 0.5 of realized beta -- **PASS** `I.construction` — carrier-method provenance complete across 312 months -- **PASS** `F.pit` — 135 component partitions across 27 sampled months re-hash to the manifest -- **PASS** `F.pit` — no partition dates beyond their asof -- **PASS** `G.realized` — 8 era checks @20d — 2008-09[R]: pred=48.8% real=87.8% ratio=0.56; 2011-08[R]: pred=30.4% real=29.1% ratio=1.04; 2014-06[O]: pred=8.7% real=8.4% ratio=1.04; 2017-12[O]: pred=6.2% real=8.7% ratio=0.72; 2020-03[R]: pred=63.3% real=43.5% ratio=1.46; 2022-06[R]: pred=24.8% real=17.4% ratio=1.42; 2024-04[O]: pred=12.0% real=9.9% ratio=1.21; 2026-06[O]: pred=12.1% real=8.5% ratio=1.43 | gating on 3 reaction era(s): mean|log ratio| 0.258 vs baseline 0.252; onset eras informational -- **PASS** `H.delta` — largest factor-vol moves vs baseline: ['industry:industry_gold: 27.7%->17.7%', 'industry:industry_aerospace_defense: 18.8%->9.4%', 'industry:industry_software_infrastructure: 17.5%->8.3%', 'industry:industry_biotechnology: 15.4%->7.4%', 'industry:industry_airlines_airports_air_services: 17.0%->10.2%', 'industry:industry_software_application: 21.6%->15.0%', 'industry:industry_steel: 18.0%->24.2%', 'industry:industry_oil_gas_equipment_services: 12.9%->6.9%'] - -**Summary: 0 FAIL / 3 FLAG / 18 PASS** \ No newline at end of file diff --git a/buse_v1.0.0/calibration_report.json b/buse_v1.0.0/calibration_report.json deleted file mode 100644 index b759ec138a8d3dfe4bee9fd5bdef4b608b38a1e9..0000000000000000000000000000000000000000 --- a/buse_v1.0.0/calibration_report.json +++ /dev/null @@ -1,9166 +0,0 @@ -{ - "horizons": { - "21": { - "all_windows": { - "mean_absolute_log_error": 0.28259078116883, - "mean_relative_qlike": 0.2898590953566429, - "median_predicted_realized": 1.110447167369377, - "windows": 306 - }, - "baseline_comparison": { - "all_windows": { - "baseline": { - "mean_absolute_log_error": 0.31323031740147245, - "mean_relative_qlike": 0.4264263875270214, - "median_predicted_realized": 1.0582371485123434, - 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224 - } - }, - "shared_months": 306 - }, - "horizon_bias_non_overlapping": { - "bias_b": 0.9093457891626407, - "count": 224, - "mean_z": 0.20397289244576955, - "normal_band_high": 1.1336306209562121, - "normal_band_low": 0.8663693790437879 - }, - "horizon_bias_rolling12_overlapping_indicative": { - "p5": 0.5710135568275779, - "p50": 0.8754196621947697, - "p95": 1.1903356401224916, - "windows": 295 - }, - "market_factor_bias_non_overlapping": { - "bias_b": 0.9023086844193585, - "count": 227, - "mean_z": 0.16438890796841357, - "normal_band_high": 1.1327446623199944, - "normal_band_low": 0.8672553376800056 - }, - "non_overlapping": { - "mean_absolute_log_error": 0.28514792224667546, - "mean_relative_qlike": 0.27536569026380714, - "median_predicted_realized": 1.1195362735653505, - "windows": 224 - }, - "portfolio_rank_dollar_neutral": { - "median": 0.36865286528652863, - "median_since_2021_06": 0.4422262226222622, - "months": 306, - "share_positive": 0.9934640522875817 - }, - 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a/buse_v1.0.0/scale_diagnostics_by_month/2002-06.json b/buse_v1.0.0/scale_diagnostics_by_month/2002-06.json deleted file mode 100644 index 261c77c935df28df669385ba69cd787b4ad2d2a5..0000000000000000000000000000000000000000 --- a/buse_v1.0.0/scale_diagnostics_by_month/2002-06.json +++ /dev/null @@ -1,26 +0,0 @@ -{ - "anchor_inputs": { - "active": true, - "anchor_volatility": 0.18929986502347665, - "median_volatility": 0.18056494279850763, - "pre_reversion_volatility": 0.20798999296498288, - "reversion_kappa": 0.7089197218304122, - "target_variance": 0.040002840743918765, - "target_volatility": 0.20000710173371036, - "vix_variance_ratio": 1.2072140238283724, - "vol_half_life": 20.0 - }, - "asof_date": "2002-06-28", - "correlation_recent_weight": 0.0, - "factor_vra_applied": false, - "market_volatility_anchor": "none", - "market_volatility_anchor_scale": 1.2613247929322822, - "market_volatility_forecast": "causal-vix-anchored-oudecay", - "market_volatility_propagation": 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a/buse_v1.0.0/scale_diagnostics_by_month/2007-05.json b/buse_v1.0.0/scale_diagnostics_by_month/2007-05.json deleted file mode 100644 index 529074e5a46adee8e5fb6f4fd29b73d3601ddd1a..0000000000000000000000000000000000000000 --- a/buse_v1.0.0/scale_diagnostics_by_month/2007-05.json +++ /dev/null @@ -1,26 +0,0 @@ -{ - "anchor_inputs": { - "active": true, - "anchor_volatility": 0.10666774931481429, - "median_volatility": 0.1120245238636334, - "pre_reversion_volatility": 0.10503057807143963, - "reversion_kappa": 0.7089197218304122, - "target_variance": 0.011463209246247538, - "target_volatility": 0.1070663777581344, - "vix_variance_ratio": 0.9695389218211433, - "vol_half_life": 20.0 - }, - "asof_date": "2007-05-31", - "correlation_recent_weight": 0.0, - "factor_vra_applied": false, - "market_volatility_anchor": "none", - "market_volatility_anchor_scale": 1.1530847971412985, - "market_volatility_forecast": "causal-vix-anchored-oudecay", - "market_volatility_propagation": 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