{ "experiment": { "alloc": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_as": null, "alloc_monthly_as": null, "alloc_monthly_ours": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_ours": { "labels": [ "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "series": [ { "name": "SPY", "values": [ 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6, 0.6 ] }, { "name": "CASH", "values": [ 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4, 0.4 ] } ] }, "alloc_yearly_as": null, "alloc_yearly_ours": { "labels": [ "2025" ], "series": [ { "name": "SPY", "values": [ 0.6 ] }, { "name": "CASH", "values": [ 0.4 ] } ] }, "analysis_page": null, "answer": " TL;DR Fed balance-sheet liquidity impulse (WSHOSHO 5-day ROC >4.8%) is a buy-only auxiliary overlay that forces max long SPY for a holding window. After maximal FRED ingest, weekly→daily forward-fill with publication lag L=7–10d, and daily nextclose+L causality via runbacktest, the signal is sparse (57 triggers, 0.96% of days), crisis-concentrated (GFC/COVID), and brittle to falsification", "bead_ids": [ "qm-4bx.19" ], "cost_variants": {}, "coverage": { "alloc_monthly_labels_n": 12, "alloc_yearly_labels_n": 0, "as_alloc_rows": 0, "as_history_start_year": null, "as_returns_n": 0, "as_yearly_alloc_rows": 0, "coverage_generated_at": "2026-07T00:00:00Z", "db_path": "data/market.sqlite", "db_warm": true, "gap_years": null, "limiting": { "effective_start": "1993-01-29", "id": "SPY", "kind": "ohlcv", "native_start": "1993-01-29", "proxied": false, "proxy_chain": [], "span_basis": "db" }, "macro_meta": [ { "end": "2026-08-05", "n_rows": 1234, "series_id": "WSHOSHO", "start": "2002-12-18" }, { "end": "2026-08-05", "n_rows": 1234, "series_id": "WALCL", "start": "2002-12-18" } ], "macros": [ "WSHOSHO", "WALCL" ], "monthly_labels_n": 120, "ours_alloc_rows": 120, "ours_returns_n": 120, "ticker_meta": [ { "end": "2026-07-24", "n_rows": 8428, "start": "1993-01-29", "ticker": "SPY" } ], "tickers": [ "SPY" ] }, "date": "2026-08-12", "disposition": "# Fed Balance Sheet ROC Buy Overlay — WSHOSHO ROC5 >4.8 (qm-4bx.19) **Decision:** `NO-SHIP frozen` — investigate-only; do not admit to catalog/Meta. **Commit:** `6575fa16` · **Date:** 2026-08-12 · **Payload:** `research/findings/fed-bal-roc-qm-4bx.19.json` · **Repro:** `python -m research.scripts.audit_fed_bal_roc --write` ## TL;DR Fed balance-sheet liquidity impulse (WSHOSHO 5-day ROC >4.8%) is a buy-only auxiliary overlay that forces max long SPY for a holding window. 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Try M2-ROC placebo only as explicit placebo, not as synthetic balance sheet. - If revived, pre-register a three-sleeve defensive base (e.g., published Risk-Off 200DMA) and evaluate OOS 60/36 with Deflated Sharpe. - Weekly native 1W/2W directly vs daily 5/10 with L=7 re-audited on trading calendar (currently calendar-day shift). - Do not invent pre-2002 balance sheet without cited archive.", "follow_on": [ { "status": "open", "title": "Extend vintage via ALFRED point-in-time to test revision bias (currently `latest`)." }, { "status": "open", "title": "Try M2-ROC placebo only as explicit placebo, not as synthetic balance sheet." }, { "status": "open", "title": "If revived, pre-register a three-sleeve defensive base (e.g., published Risk-Off 200DMA) and evaluate OOS 60/36 with Deflated Sharpe." }, { "status": "open", "title": "Weekly native 1W/2W directly vs daily 5/10 with L=7 re-audited on trading calendar (currently calendar-day shift)." }, { "status": "open", "title": "Do not invent pre-2002 balance sheet without cited archive." } ], "followup_command": "gh issue create --title \"Follow-up Fed Balance Sheet ROC Buy Overlay WSHOSHO ROC5 48 qm-4bx19\" --body \"Follow-up to qm-4bx.19: Decision: NO-SHIP frozen — investigate-only; do not admit to catalog/Meta. Commi\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "gh_command": "gh issue create --title \"Follow-up Fed Balance Sheet ROC Buy Overlay WSHOSHO ROC5 48 qm-4bx19\" --body \"Follow-up to qm-4bx.19: Decision: NO-SHIP frozen — investigate-only; do not admit to catalog/Meta. Commi\" --label \"priority:p2\" --label \"pipeline:research\" --label \"agent:ready\"", "id": "qm-4bx.19", "issue_ids": [ "qm-4bx.19" ], "monthly": { "as": [ null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null, null ], "labels": [ "2016-08", "2016-09", "2016-10", "2016-11", "2016-12", "2017-01", "2017-02", "2017-03", "2017-04", "2017-05", "2017-06", "2017-07", "2017-08", "2017-09", "2017-10", "2017-11", "2017-12", "2018-01", "2018-02", "2018-03", "2018-04", "2018-05", "2018-06", "2018-07", "2018-08", "2018-09", "2018-10", "2018-11", "2018-12", "2019-01", "2019-02", "2019-03", "2019-04", "2019-05", "2019-06", "2019-07", "2019-08", "2019-09", "2019-10", "2019-11", "2019-12", "2020-01", "2020-02", "2020-03", "2020-04", "2020-05", "2020-06", "2020-07", "2020-08", "2020-09", "2020-10", "2020-11", "2020-12", "2021-01", "2021-02", "2021-03", "2021-04", "2021-05", "2021-06", "2021-07", "2021-08", "2021-09", "2021-10", "2021-11", "2021-12", "2022-01", "2022-02", "2022-03", "2022-04", "2022-05", "2022-06", "2022-07", "2022-08", "2022-09", "2022-10", "2022-11", "2022-12", "2023-01", "2023-02", "2023-03", "2023-04", "2023-05", "2023-06", "2023-07", "2023-08", "2023-09", "2023-10", "2023-11", "2023-12", "2024-01", "2024-02", "2024-03", "2024-04", "2024-05", "2024-06", "2024-07", "2024-08", "2024-09", "2024-10", "2024-11", "2024-12", "2025-01", "2025-02", "2025-03", "2025-04", "2025-05", "2025-06", "2025-07", "2025-08", "2025-09", "2025-10", "2025-11", "2025-12", "2026-01", "2026-02", "2026-03", "2026-04", "2026-05", "2026-06", "2026-07" ], "ours": [ 0.0, -0.0093, -0.024225, 0.039516, 0.039805, 0.023734, -0.058708, -0.002979, -0.017731, 0.063381, -0.029754, 0.041871, -0.035472, 0.004401, -0.004966, 0.008319, 0.042512, -0.069547, 0.004403, 0.130006, 0.050516, -0.059248, 0.066012, -0.062343, 0.014815, -0.017061, -0.01172, -0.018106, 0.061866, 0.046279, -0.040747, -0.012371, -0.032936, 0.030344, -0.007736, -0.018517, 0.032948, -0.052696, -0.047694, -0.003197, 0.019534, -0.007816, -0.046594, -0.040911, -0.070603, 0.028148, -0.041781, 0.039472, -0.040733, 0.013464, 0.06211, 0.080714, 0.089128, -0.021798, -0.04169, -0.045054, 0.073559, -0.043002, -0.043354, 0.030866, 0.021831, -0.056252, 0.040291, 0.012977, 0.013697, -0.014193, 0.062321, 0.014295, -0.008877, -0.023638, -0.018441, 0.135659, -0.036905, -0.001409, 0.025406, -0.0548, -0.015018, -0.127888, -0.019919, 0.051351, 0.038972, 0.064925, 0.004926, 0.042634, -0.05659, 0.070045, 0.049732, -0.011635, -0.043784, -0.003277, -0.015994, -0.076937, -0.007728, -0.02938, 0.064297, 0.020137, 0.061091, 0.039147, -0.030799, -0.047973, 0.008552, -0.035011, -0.018896, 0.063463, 0.055239, -0.016906, 0.05927, -0.018377, 0.045081, -0.007711, 0.006962, -0.029584, -0.04515, 0.070449, -0.004458, 0.050883, -0.030601, -0.007592, -0.004429, 0.014883 ] }, "page": "experiments/qm-4bx-19-fed-balance-sheet-roc-buy-overlay-wsho.html", "performance": { "cagr": 0.04678, "max_drawdown": -0.18411, "max_drawdown_fallback_rule": "Use daily backtest equity when available; otherwise compound published monthly returns and label the result monthly.", "max_drawdown_observation_frequency": "monthly", "sharpe": 0.63356, "sortino": 0.92534, "volatility": null }, "provenance": { "artifact": "research/findings/fed-bal-roc-qm-4bx.19.json", "code": "research/findings", "finding": "research/findings/fed-bal-roc-qm-4bx.19.md", "site_data": "site-data/experiments/qm-4bx.19.json", "tearsheet": null }, "question": "Decision: NO-SHIP frozen — investigate-only; do not admit to catalog/Meta. 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