quantmodel — Improve Link GGC Enhanced Mid-Month corr vs AS

Objective

Improve Link GGC Enhanced Mid-Month corr vs AS.

Notes: Mid-month 12-period momentum (not ME-ffill): corr 0.891→0.908 CAGRΔ +0.84%. Findings: link-ggc-enhanced-mid-month-corr.md

Approach

Reuses existing report research/findings/link-ggc-enhanced-mid-month-corr.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 t66):

b8071868 research: t66 GGC Enhanced Mid-Month corr 0.891→0.908 (#64)
b8071868 research: t66 GGC Enhanced Mid-Month corr 0.891→0.908 (#64)
Source report: research/findings/link-ggc-enhanced-mid-month-corr.md
Task-history entry: research/findings/task-history.json#t66

Results

Key table from source report (preserved):

variant	corr	CAGRΔ	notes
ME-ffill asof (baseline)	0.892	+1.32%	t42
mid-month 12-period asof	0.908	+0.84%	shipped
same-day 252d asof	0.906	+0.47%	close second
same-day calendar-12m asof	0.904	+0.57%
asof lag-1 DI	≤0.883	—	worse
revised OECD DI	~0.81	—	rejected
inclusive DI (≥0.5) + mid12	0.913	+1.20%	better corr, contradicts Enhanced `>`

Conclusions and metrics are in research/findings/link-ggc-enhanced-mid-month-corr.md; see detail page for preserved tables/metrics.

Conclusions

Mid-month 12-period momentum (not ME-ffill): corr 0.891→0.908 CAGRΔ +0.84%. Findings: link-ggc-enhanced-mid-month-corr.md

Problems / follow-ups

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