{ "article": { "official_admission": false, "required_headings": [ "Summary", "Source", "What the source claims", "Rules actually disclosed", "What had to be inferred", "Research questions", "Data", "Baseline implementation", "What the signal looks like", "Historical events", "State-space exploration", "Parameter sensitivity", "What worked", "What did not work", "Why the failures appear to happen", "Regime behavior", "Timing and cost sensitivity", "Combinations", "Candidate frontier", "Agent assessment", "Limitations", "What to try interactively", "Suggested next research", "Promotion status", "Trial ledger", "Validation protocol", "Portfolio contribution" ], "research_tags": [ "interesting_negative_result", "useful_as_portfolio_overlay", "predictive_not_tradable", "regime_dependent", "parameter_sensitive", "data_limited", "candidate_for_confirmation", "needs_more_research" ], "sections": { "Agent assessment": [ "The evidence supports recreating GARCH accurately and backtesting its risk-state overlays. It does not support claiming that GARCH alone calls market bottoms." ], "Baseline implementation": { "code": "research/garch_bottoming.py", "diagnostics": "research/garch_bottoming_diagnostics.py", "fit": "Deterministic bounded scipy L-BFGS-B with Normal or Student-t innovations", "runner": "research/garch_bottoming_experiment.py" }, "Candidate frontier": [ "Rank 1: bounded inverse-volatility sizing \u2014 investigate only. Rank 2: GJR/EGARCH forecast/current stabilization \u2014 investigate only. Rank 3: high-decline plus drawdown \u2014 investigate only. Realized/MS-GARCH \u2014 data-limited." ], "Combinations": [ "The best exploratory combination is a risk-sizing overlay, not a buy trigger. Price confirmation reduces exposure and drawdown but does not solve the missing directional forecast problem." ], "Data": { "cash": "__IRX_TBILL_TR__ derived from ^IRX", "execution": "Signal at close t, trade next close.", "storage": "market.sqlite is close-only; Realized-GARCH and VIX-futures branches are data-limited", "target": "^GSPC close, 1927-12-30 through 2026-07-24", "tradable_sensitivity": "SPY, 1993-01-29 through 2026-07-24" }, "Historical events": [ "GARCH-normal 20%-drawdown entries had 0.765%/1.369%/5.024% mean forward 21/63/126-session returns and positive rates 63.39%/66.14%/72.44% in the gross holdout event study. These are event averages, not a guaranteed trade outcome." ], "Limitations": [ "This is exploratory research, not investment advice or a production signal. See the limitations list and retained failure/data-limited rows." ], "Parameter sensitivity": [ "Models: GARCH, GJR-GARCH, EGARCH. Innovations: Normal and Student-t. Horizons: 1/5/21 sessions. Signals: high-and-declining, forecast/current ratio, drawdown confirmation, and bounded inverse-volatility sizing." ], "Portfolio contribution": {}, "Promotion status": "Not promoted. The campaign is published as exploratory Research Library evidence only.", "Regime behavior": [ "Inverse-volatility sizing was negative in 2001-2003 and 2007-2009, then positive in later windows. Drawdown-gated entries were especially weak in the GFC window. Recent strength is not a promotion argument." ], "Research questions": [ "Can a documented GARCH-family volatility forecast identify useful S&P 500 bottom buy entries, or is it better used for exposure sizing?" ], "Rules actually disclosed": [ "GARCH(1,1): h_t = omega + alpha*epsilon_(t-1)^2 + beta*h_(t-1). GJR adds gamma*I(epsilon<0)*epsilon^2. EGARCH models log variance with signed standardized shocks." ], "Source": { "papers": [ "Engle 1982 ARCH \u2014 https://doi.org/10.2307/1912773", "Bollerslev 1986 GARCH \u2014 https://doi.org/10.1016/0304-4076(86)90063-1", "Nelson 1991 EGARCH \u2014 https://doi.org/10.2307/2938260", "Glosten/Jagannathan/Runkle 1993 GJR \u2014 https://doi.org/10.1111/j.1540-6261.1993.tb05128.x", "Fleming/Kirby/Ostdiek 2001 volatility timing \u2014 https://doi.org/10.1111/0022-1082.00327", "Fuertes/Kalotychou/Todorovic 2015 high-volatility buys \u2014 https://doi.org/10.1007/s11156-014-0436-6" ], "rule": "Only the model equations are documented source rules. Every equity entry/exit overlay is labeled inferred." }, "State-space exploration": [ "Eight rows were retained: five converged GARCH-family fits, one EGARCH Student-t optimizer failure, and two data-limited extensions. Every row remains visible in the trial ledger." ], "Suggested next research": [ "Run source-faithful Fuertes et al. high-volatility percentile entries, point-in-time rolling refits, SPY investable sensitivity, overlap-aware event inference, and a legal realized-volatility feasibility review." ], "Summary": [ "A GARCH model estimates tomorrow's risk, not tomorrow's return. In this campaign, volatility-based buy entries had positive forward returns but did not beat simply staying invested. The useful signal was smoother exposure sizing, with a clear cost: lower CAGR." ], "Timing and cost sensitivity": [ "Increasing one-way cost from 10 to 20 bps reduced inverse-volatility Sharpe for GARCH-normal from 0.522 to 0.462; adding a second session of lag reduced its 10 bps Sharpe to 0.516." ], "Trial ledger": [ { "iteration_number": 1, "objective": "Map source rules, implement GARCH/GJR/EGARCH, run common-window state space, diagnose costs/regimes, synthesize and publish.", "status": "completed" } ], "Validation protocol": {}, "What did not work": [ "No binary bottom overlay beat buy-and-hold on common-window Sharpe/CAGR. GJR and EGARCH did not establish stable superiority. EGARCH Student-t did not converge in-budget." ], "What had to be inferred": [ "A bottom proxy, high-volatility percentile, forecast-decline rule, 20% drawdown gate, forecast/current threshold, 21-session holding period, target exposure, and next-close mapping were all declared exploratory choices." ], "What the signal looks like": [ "The interactive lab uses the real ^GSPC-derived GARCH-normal forecast-volatility and rolling current-volatility fixture. Change the forecast/current threshold and holding period to recompute the displayed trigger events and overlay grid." ], "What the source claims": [ "GARCH-family models forecast conditional variance and can support exposure timing. Asymmetric variants model the larger volatility response to negative shocks. The literature does not say that the highest forecast is the exact market bottom." ], "What to try interactively": [ "Adjust forecast/current threshold from 0.5 to 1.5.", "Change active holding window from 10 to 40 sessions.", "Compare trigger count and forward outcome table against the fixed 1.0/21 baseline." ], "What worked": [ "Inverse-volatility sizing had gross Sharpe 0.582, CAGR 5.32%, and max drawdown -26.67%, versus buy-and-hold 0.449/7.00%/-56.78%. At 10 bps the sizing profile remained 0.522/4.70%/-27.43%." ], "Why the failures appear to happen": [ "Volatility can remain high during a prolonged selloff. Sparse entries miss the equity risk premium, while ratio/no-drawdown variants remain exposed to large losses. Model differences are smaller than regime and execution effects." ] }, "title": "GARCH bottoming signals \u2014 what actually held up?" }, "campaign": { "campaign_id": "garch-bottoming", "iteration_number": 1, "research_tags": [ "interesting_negative_result", "useful_as_portfolio_overlay", "predictive_not_tradable", "regime_dependent", "parameter_sensitive", "data_limited", "candidate_for_confirmation", "needs_more_research" ], "status": "awaiting_research_feedback", "title": "GARCH bottoming signals \u2014 what actually held up?" }, "candidate_frontier": [ { "category": "best_sharpe", "exploratory": true, "note": "Best risk-adjusted exploratory profile, not a bottom detector.", "status": "investigate_only", "variant_id": "garch-normal-inverse-vol" }, { "category": "lowest_drawdown", "exploratory": true, "note": "Lower drawdown than buy-and-hold, with lower CAGR and crisis sensitivity.", "status": "investigate_only", "variant_id": "garch-normal-inverse-vol" }, { "category": "most_stable", "exploratory": true, "note": "Relative stabilization is promising but retains large drawdowns.", "status": "investigate_only", "variant_id": "garch-studentt-ratio" }, { "category": "best_source_fidelity", "exploratory": true, "note": "Requires unavailable public point-in-time inputs.", "status": "data_limited", "variant_id": "realized-or-regime-data-limited" } ], "candidate_variants": [ { "created_by": "source_expansion", "family_id": "symmetric_garch_exhaustion", "metrics": { "gross_cagr": 0.016, "gross_max_drawdown": -0.438, "gross_sharpe": 0.197 }, "parameters": { "distribution": "normal", "drawdown": 0.2, "family": "garch", "holding_period": 21, "percentile": 0.8 }, "reason_tested": "sparse panic-exhaustion entry", "status": "exploratory", "variant_id": "garch-normal-highdecline-dd20" }, { "created_by": "source_expansion", "family_id": "forecast_current_stabilization", "metrics": { "gross_cagr": 0.066, "gross_max_drawdown": -0.552, "gross_sharpe": 0.451 }, "parameters": { "distribution": "student_t", "family": "garch", "holding_period": 21, "ratio_threshold": 1.0 }, "reason_tested": "relative stabilization entry", "status": "exploratory", "variant_id": "garch-studentt-ratio" }, { "created_by": "source_expansion", "family_id": "forecast_current_stabilization", "metrics": { "gross_cagr": 0.057, "gross_max_drawdown": -0.548, "gross_sharpe": 0.404 }, "parameters": { "distribution": "student_t", "family": "gjr", "holding_period": 21, "ratio_threshold": 1.0 }, "reason_tested": "negative-shock asymmetry sensitivity", "status": "exploratory", "variant_id": "gjr-studentt-ratio" }, { "created_by": "source_expansion", "family_id": "gjr_egarch_asymmetry", "metrics": { "gross_cagr": 0.062, "gross_max_drawdown": -0.544, "gross_sharpe": 0.432 }, "parameters": { "distribution": "normal", "family": "egarch", "holding_period": 21, "ratio_threshold": 1.0 }, "reason_tested": "log-variance asymmetry sensitivity", "status": "exploratory", "variant_id": "egarch-normal-ratio" }, { "created_by": "source_expansion", "family_id": "inverse_forecast_volatility", "metrics": { "gross_cagr": 0.053, "gross_max_drawdown": -0.267, "gross_sharpe": 0.582, "net10bps_cagr": 0.047, "net10bps_max_drawdown": -0.274, "net10bps_sharpe": 0.522 }, "parameters": { "distribution": "normal", "family": "garch", "max_weight": 1.0, "min_weight": 0.0, "target_volatility": 0.1 }, "reason_tested": "risk-control overlay", "status": "exploratory", "variant_id": "garch-normal-inverse-vol" } ], "event_tables": [], "evidence": {}, "execution_assumptions": {}, "interactive_specs": [ { "default": 1.0, "description": "Forecast/current volatility threshold; lower means wait for stronger stabilization.", "max": 1.5, "min": 0.5, "name": "threshold", "step": 0.05, "type": "float" }, { "default": 21, "description": "Active sessions after a trigger in the interactive event overlay.", "max": 40, "min": 10, "name": "holding_period", "step": 10, "type": "integer" } ], "limitations": [ "GARCH forecasts conditional variance, not expected return direction or exact trough date.", "Binary bottom thresholds, 20% drawdown, 21-session holding, and ratio threshold are inferred exploratory choices.", "State-space uses ^GSPC and a single 2000 calibration cutoff; diagnostics do not constitute a full walk-forward refit matrix.", "Close-only repository storage prevents faithful intraday Realized-GARCH and VIX-futures replication.", "EGARCH Student-t did not converge in the declared optimizer budget and remains a retained failure.", "SPY investable sensitivity and source-faithful open-entry high-volatility rule remain follow-up questions.", "No indicator or strategy is promoted from this campaign." ], "parameter_grids": [], "provenance": { "data_source": "data/market.sqlite via backtest.datastore.read_ohlcv", "inputs": [ "^GSPC", "SPY", "^VIX", "__IRX_TBILL_TR__" ], "publication_boundary": "Public exploratory article and lab; no private data, credentials, or production catalog admission.", "snapshot": "^GSPC/SPY end 2026-07-24; ^VIX end 2026-08-04", "source_map": "Eight primary/authoritative papers and DOI URLs are recorded in pipeline source-map evidence and garch-bottoming spec." }, "regime_tables": [], "schema_version": "research-publication/v1", "series": { "asset": [ 1283.27001953, 1347.56005859, 1333.33996582, 1298.34997559, 1295.85998535, 1300.80004883, 1313.27001953, 1326.81994629, 1318.55004883, 1326.65002441, 1329.4699707, 1347.9699707, 1342.54003906, 1342.90002441, 1360.40002441, 1364.30004883, 1357.51000977, 1354.94995117, 1364.17004395, 1373.72998047, 1366.01000977, 1373.4699707, 1349.4699707, 1354.31005859, 1352.26000977, 1340.89001465, 1332.5300293, 1314.76000977, 1330.31005859, 1318.80004883, 1315.92004395, 1326.60998535, 1301.5300293, 1278.93994141, 1255.27001953, 1252.81994629, 1245.85998535, 1267.65002441, 1257.93994141, 1239.93994141, 1241.22998047, 1234.18005371, 1241.41003418, 1253.80004883, 1261.89001465, 1264.73999023, 1233.42004395, 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