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Method — field guide + reviews

Diagnostics round-up — survivors, execution timing, and GP/A

Updated 2026-08-30
Report-only; trial:null: Survivor, OPG-versus-MOC, and GP/A decomposition diagnostics preserve their independent-review limits and grant no return, allocation, or execution claim.
CURRENT
docs/research/diagnostics-roundup-2026-08-30.md

Report-only; trial:null: Survivor, OPG-versus-MOC, and GP/A decomposition diagnostics preserve their independent-review limits and grant no return, allocation, or execution claim.

Date: 30 August 2026 Status: CURRENT · REPORT-ONLY · trial:null · variants_allowed:0

Decision: these three completed diagnostics change no rule, threshold, strategy, allocation, promotion decision, or live-cost credit. Every return series is a saved series ending no later than 2021; no post-2021 market-return row appears here. Later policy and killcard metadata were context only.

Supersedes: for these three diagnostics, this round-up supersedes the QUEUED statuses and older ledger row counts printed in edge-deep-dive-2026-08-29.md and feature-backlog-2026-08-29.md. Those previously published documents remain frozen and are not edited here.

1 — Outcomes at a glance

DiagnosticReproduced outcomeDecision boundary
Survivor lensesActive-GP/A versus total-momentum Pearson is 0.015 unscaled and −0.047 vol-scaled; vol-scaled 50/50 is 9.97% component-net arithmetic mean ×12, Sharpe 0.70, max DD −34.41%; equal-risk is 37.14%/62.86%Correlation mixes active and total units; blends omit portfolio-level rebalancing/netting costs; no allocation claim
OPG vs MOCFull-window OPG−MOC CAGR is +6.5 bps/year; 2017–2021 is −62.2 bps/yearHeadline sign is robust to the registered fundability screen; t-stats are not reproducible from the saved artifact; size split is an artefact; credit zero OPG edge
GP/A decompositionRegistered active arithmetic mean ×12 2.83%/yr versus reconstruction 2.84%/yr, a 0.992 bp/yr gap; GP/A rank correlation is 0.728 with turnover and 0.094 with marginObserved component difference 0.96%/yr is below the 4.17%/yr MDE: NOT DISTINGUISHABLE

2 — Two-sleeve survivor lens

All 5,767 saved momentum daily rows compound into 275 GP/A exit intervals from 1 February 1999 through 1 December 2021. GP/A active-versus-EW is retained only as a co-movement lens against momentum total net. Blend arithmetic uses GP/A top-absolute net against momentum total net.

Correlations

LensMomentumFull PearsonFull Spearman2017–2021 Pearson2017–2021 SpearmanRolling 36m min / median / max
GP/A active vs momentum total — co-movement onlyunscaled0.015−0.0490.1250.209−0.647 / −0.062 / 0.370
GP/A active vs momentum total — co-movement onlyvol-scaled−0.047−0.0670.0900.130−0.601 / −0.065 / 0.270
GP/A total vs momentum totalunscaled0.8260.8450.8920.8540.572 / 0.841 / 0.956
GP/A total vs momentum totalvol-scaled0.6970.8150.8240.8120.573 / 0.809 / 0.921

The approximately-zero active-versus-total correlations are descriptive only. They are not total-book diversification estimates.

Unit-reconciled component-net blends

MomentumSeriesComponent-net arithmetic mean ×12Geometric CAGRVolatilitySharpeMax DD
unscaledGP/A top absolute net13.31%12.06%19.32%0.689−48.73%
unscaledMomentum total net15.01%11.06%30.41%0.494−68.39%
unscaledNaive 50/5014.16%11.98%23.81%0.595−52.90%
unscaledInverse-vol / equal-risk13.97%12.07%22.57%0.619−51.47%
vol-scaledGP/A top absolute net13.31%12.06%19.32%0.689−48.73%
vol-scaledMomentum total net6.63%6.17%11.41%0.581−23.79%
vol-scaledNaive 50/509.97%9.34%14.23%0.700−34.41%
vol-scaledInverse-vol / equal-risk9.11%8.56%13.21%0.689−30.37%
MomentumBlendGP/A weightMomentum weightDiversification ratioGP/A / momentum risk-budget share
unscaledNaive 50/5050.00%50.00%1.04437.84% / 62.16%
unscaledEqual-risk61.16%38.84%1.04750.00% / 50.00%
vol-scaledNaive 50/5050.00%50.00%1.07964.99% / 35.01%
vol-scaledEqual-risk37.14%62.86%1.08650.00% / 50.00%

Equal-risk weights are full-window in-sample diagnostics. Component series are net only within their own constructions; the blends omit portfolio-level rebalancing and netting costs. Aggregate returns cannot answer LL-4's opposite-trades-in-overlapping-names question because holdings and signed intended trades are absent.

3 — Risk-budget consistency audit

All nine published policy-v1 calibration checks reproduce exactly: screening-session count; vol-scaled H1 dates; vol-scaled 252-arm H2; vol-scaled soft-breach dates; vol-scaled retirement dates; comparison-only unscaled H1 dates; unscaled 252-arm H2; unscaled soft-breach dates; and unscaled retirement dates.

  • Vol-scaled H1: 12 strict breaches under −3.2022%; unscaled counterfactual under the permitted threshold: 285.
  • Continuous-HWM vol-scaled H2: peak 7 March 2000, crossing 18 July 2002, trough 12 March 2003 at −27.63%, recovery 7 September 2005, 792 inclusive crossing-to-recovery sessions.
  • The policy document's reset-every-252-sessions diagnostic remains 0 vol-scaled H2 breaches. It answers a different question from the continuous-HWM episode.
  • Soft bands: 7 vol-scaled breaches and 1 synthetic historical retirement. The 11 January 2010 arm breached at sessions 15 and 21, retiring on 9 February 2010. This was not a live retirement.
  • The comparison-only unscaled calibration replays H1=15, H2=0, soft breaches=8, and retirements=1. It is not a permitted strategy variant.

Worst 10 narrated drawdown episodes — vol-scaled

Narrations are general knowledge only, not derived from the saved return series and not causal proof. Length is peak-to-trough observed sessions.

RankPeak dateTrough dateDepthLengthRecovery dateMarket context
12000-03-072003-03-12−27.63%7552005-09-07Post-dot-com bear market through the run-up to the Iraq war.
22008-06-192009-03-09−21.60%1802011-02-07Global financial crisis trough and subsequent momentum-factor reversal.
32015-07-232016-02-09−19.71%1382017-09-19China-growth fears, oil collapse, and early-2016 risk-off reversal.
42020-02-202020-03-19−15.67%202020-11-24COVID-19 crash and exceptionally fast cross-asset deleveraging.
51999-01-121999-01-13−15.37%11999-02-01Late-1990s dot-com-era factor and technology volatility.
62018-09-052018-12-24−13.53%762020-01-16Q4 2018 selloff amid Fed tightening and US-China trade tension.
72006-05-112006-06-14−13.09%232007-05-31May–June 2006 global risk-off selloff amid inflation and rate concerns.
81999-02-011999-02-10−12.24%71999-03-10Late-1990s dot-com-era style rotation and volatility.
92011-05-022011-10-04−11.40%1082012-09-14Euro-area sovereign-debt crisis and US debt-ceiling volatility.
102007-10-192008-01-22−10.14%632008-06-19Early global-financial-crisis credit stress and equity selloff.

Worst 10 narrated drawdown episodes — unscaled counterfactual

RankPeak dateTrough dateDepthLengthRecovery dateMarket context
12000-03-072002-07-24−74.19%5962015-03-19Dot-com bust, 2001 recession/9-11 aftermath, and 2002 accounting crisis.
22020-02-202020-03-19−40.82%202020-07-06COVID-19 crash and exceptionally fast cross-asset deleveraging.
32015-07-232016-02-09−36.11%1382017-10-05China-growth fears, oil collapse, and early-2016 risk-off reversal.
42018-09-052018-12-24−31.23%762020-01-16Q4 2018 selloff amid Fed tightening and US-China trade tension.
52021-02-162021-05-11−30.26%59unrecovered2021 reopening, reflation, and sharp growth/value and momentum rotations.
61999-04-141999-04-20−26.23%41999-10-29Sharp 1999 technology/growth rotation during the dot-com boom.
71999-01-121999-01-13−15.37%11999-02-01Late-1990s dot-com-era factor and technology volatility.
82000-01-032000-01-07−13.35%42000-01-19Y2K/dot-com turn-of-year volatility before the 2000 peak.
91999-02-011999-02-10−12.24%71999-03-10Late-1990s dot-com-era style rotation and volatility.
102020-09-022020-09-08−11.72%32020-10-05September 2020 technology/growth correction after the post-COVID rally.

No observed breach is used to tune or relax a threshold. This screening replay cannot observe H3 reconciliation/data failures or H4 buying-power/short events.

4 — OPG versus MOC execution audit

Across 1999–2021, OPG minus MOC CAGR is +6.5 bps/year and next-close minus MOC is −86.2 bps/year. Over 2017–2021 they are −62.2 and −101.8 bps/year. A constrained rerun using the registered $10 and $10M ADV screen preserved the headline sign: full OPG−MOC moved from +9.4 to +6.5 and 2017–2021 from −19.9 to −62.2 bps/year.

WindowCost/sideMOC CAGROPG CAGRNext-close CAGR
full period10 bps15.56%15.62%14.70%
full period25 bps14.08%14.14%13.23%
full period50 bps11.65%11.71%10.82%
2017–202110 bps22.48%21.87%21.47%
2017–202125 bps21.00%20.39%20.00%
2017–202150 bps18.57%17.97%17.59%

The matched buy-event overnight gap exceeds same-name non-rebalance gaps by 13.9 bps; the report gives NW(0) monthly t=2.720091. The sell difference is 11.1 bps, t=2.153492. The JSON preserves summaries but not the monthly series, so those t-statistics cannot be independently reproduced from the artifact; lag zero is not justified against serial dependence from persistent holdings.

The current-metadata 2017–2021 size split reports OPG−MOC of −62.4 bps/year for Large/Mid and −27.4 for Small/Micro, but it is artefact-contaminated by non-PIT labels, unclassified targets, stale/non-global month-end allocations, last-print-to-cash treatment, and no fill-day liquidity/staleness screen. It supports no size mechanism.

Live-lane conclusion: retain 10 bps/side base and 25 bps/side stress, and credit ZERO OPG edge pending auction, impact, and terminal-price validation. No queue, spread, auction imbalance, partial-fill, impact, or broker-routing model was present.

5 — GP/A decomposition

The reconstruction matches the registered series closely enough for the stated gate, but is not byte-identical machinery:

  • registered active arithmetic mean ×12: 2.83%/yr;
  • reconstructed active arithmetic mean ×12: 2.84%/yr;
  • reproduction gap: 0.992 bp/yr over 275 aligned months — PASS against the ≤5 bp/yr gate;
  • maximum monthly difference: 14.18 bp; monthly-difference RMSE: 1.93 bp.

Mean monthly cross-sectional Spearman rank correlations are 0.094 for GP/A versus gross margin and 0.728 for GP/A versus asset turnover. In 2017–2021 they are 0.037 and 0.749. GP/A therefore tracks turnover far more closely in this diagnostic, but this is descriptive, not causal.

Full-sample cellActive arithmetic mean ×12NW t(0)NW t(3)Return months
margin low / turnover low−4.92%−3.34−2.95275
margin low / turnover high1.25%0.980.96275
margin high / turnover low−2.03%−1.85−1.73275
margin high / turnover high1.13%0.680.58275

Top-margin-tercile active arithmetic mean ×12 is 0.51%/yr; top-turnover-tercile is 1.47%/yr. Their absolute difference is 0.96%/yr, versus a two-sided α=0.05, 80%-power sensitivity MDE of 4.17%/yr. The difference is NOT DISTINGUISHABLE.

The four extreme-tercile corners do not span the registered top-quintile sleeve: middle-tercile or component-missing observations account for a 93.09% residual share of reconstructed active arithmetic mean. The correlations and tercile formation ranks use a 286-month component-valid subset, while return comparisons use the 275-month aligned series. SF1 is a current vendor snapshot without PIT revision history; sector and cost labels are also current/non-PIT. These limitations forbid a component promotion or mechanism claim.

6 — Custody and non-action

Sources were the saved survivor-series, opg-vs-moc, and gpa-decomposition diagnostic bundles; the two survivor Markdown outputs; the registered preregistrations and policy-v1 document/event; and the three independent review records. Local absolute paths are intentionally omitted.

No post-2021 market-return rows were read. Undated current metadata and later policy/killcard metadata were context only. All three diagnostics remain trial:null, report-only, and non-promotable.

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LAB documentation describes design intent and research safeguards. It does not provide trading instructions or operational access.