quantmodel — Investigate and implement a turbulence-index strategy

Objective

Investigate and implement a turbulence-index strategy.

Notes: Audited the 2022 Portfolio Optimizer article and documented its defined seven-asset weekly normalized Mahalanobis statistic. Did not implement: the author explicitly withholds the history-to-exposure mapping and does not specify instruments or one estimation window, so parity cannot be validated. Added a strict lagged follow-up contract, singular/insufficient-history behavior, unblock criteria, and FEATURE_COMPLETION UI exception in research/findings/turbulence-index-t338.md.

Approach

Reuses existing report research/findings/turbulence-index-t338.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.

Files / code / data changed

No commit SHA confidently associated with t338 in sampled log [reconstructed — uncertain].
Source report: research/findings/turbulence-index-t338.md
Task-history entry: research/findings/task-history.json#t338

Results

Key table from source report (preserved):

Parameter	Article evidence	Why it blocks implementation

| Seven return series | Asset-class labels only | Tickers, ind

Conclusions and metrics are in research/findings/turbulence-index-t338.md; see detail page for preserved tables/metrics.

Conclusions

[reconstructed — uncertain] Outcome inferred from status done and task note.

Problems / follow-ups

See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.