quantmodel — Port + verify Predicting US Treasury Returns vs AS metrics

Source report: research/findings/predicting-us-treasury-returns-scale-batch.md

Objective

Port + verify Predicting US Treasury Returns vs AS metrics.

Notes: Predicting US Treasury Returns replicated 2015+: corr 0.9988 CAGRΔ +0.03%. Spec/backtest/predicting_ust.py + FRED yield spread + ^GSPC. Findings: predicting-us-treasury-returns-scale-batch.md.

Approach

Reuses existing report research/findings/predicting-us-treasury-returns-scale-batch.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.

Files / code / data changed

Associated commits (inferred from log grep t63):

66f55129 research: t63 Predicting US Treasury Returns replicated vs AS (#60)
66f55129 research: t63 Predicting US Treasury Returns replicated vs AS (#60)
Source report: research/findings/predicting-us-treasury-returns-scale-batch.md
Task-history entry: research/findings/task-history.json#t63

Results

Key table from source report (preserved):

id	monthly corr	overlap CAGRΔ	status
predicting-us-treasury-returns	0.9988	+0.03%	replicated

Conclusions and metrics are in research/findings/predicting-us-treasury-returns-scale-batch.md; see detail page for preserved tables/metrics.

Conclusions

Predicting US Treasury Returns replicated 2015+: corr 0.9988 CAGRΔ +0.03%. Spec/backtest/predicting_ust.py + FRED yield spread + ^GSPC. Findings: predicting-us-treasury-returns-scale-batch.md.

Problems / follow-ups

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