Late-cycle commodity-rollover regime tilt

The question

Do forward-macro nowcasts — the rate-of-change of growth nowcasts, recession probability, and inflation expectations — time the broad market's risk-on/off regime, orthogonally to the cross-asset stress family?

How it was tested

The hypothesis, its exact trigger, the outcome it predicts, and the pass/fail bar were written down and cryptographically hash-locked before any data was tested, then held through a mandatory cooling-off period. The backfill ran exactly once against those frozen parameters — no re-tuning, no curve-fitting — using adversarial statistics (stationary-bootstrap confidence intervals, multiple-testing correction, purged cross-validation with an embargo, and walk-forward out-of-sample splits). The specific trigger thresholds are proprietary and omitted here.

The outcome

RAN 2026-07-08 (attended, ONCE) → NOISE / DISCONFIRMED. 7 episodes, window 2009-08→2026. P1 continuous OOS IC 0.2021 [0.0155,0.2533] p=0.002 PASSES, but the co-primary P2 in-regime lift 0.01893 [0.00021,0.02738] FAILS Holm-Sidak (family-corrected), and the LOAD-BEARING no-subsumption battery fails C1 (vs disconfirmed oil), C2, E1 (vs futures_carry short), and the D kill-wire; DSR 0.9311<0.95 (INFO-hint). The late-cycle flag does NOT predict the forward short-{DBC,GLD,SLV} basket incremental to the existing exposures — the honest-prior INFO-ceiling/NOISE outcome. Joins the macro graveyard (oil-precursor/macro-nowcast/net-fed-liquidity/yield-curve/vol-term). Pure info-layer, ZERO trade-path touched. data/backfill/late_cycle_commodity_regime_2026-07-08.json; memo project_late_cycle_commodity_regime_backfill_2026_07_08.md. Rule #10: no iterate (a different composite/expression = NEW pre-reg). LOCKED 2026-07-01 (operator 'lock it in'). SHA-256 37dc93263f0c8bf2edff80f4e70c60170bb44f9299e4fd39e61c758584b490d3. Systematizes the operator's discretionary late-cycle 'topping/slowdown/de-risk' read that the fund's EMERGENT net-short book accidentally expressed for ~+26% SPY outperformance in ~2 months (the paying leg = the commodity-complex SHORT, per /api/factor-attribution: +18% alpha + a long-momentum-factor tilt, NOT the net-short-market which DRAGGED). Rule#10-CLEAN vs the disconfirmed macro graveyard (oil-precursor/macro-nowcast/net-fed-liquidity/yield-curve/vol-term were all CRASH-TIMING gates vs an SPX drawdown; this is a COMMODITY-basket forward return outcome + a short-commodity expression — different outcome + different expression). Fresh macro-regime member. Co-primary: continuous IC (P1) + in-regime conditional lift (P2), both with a +0.03 / +0.5%-mo magnitude floor. LOAD-BEARING no-subsumption battery: B (vs canonical MOP TSMOM), B' (macro-only R = rates+curve+credit, drops the commodity-price legs — the collinearity killer), C1/C2 (vs the disconfirmed oil/curve inputs R ingests), D (beta-neutral), E1 (vs the futures_carry unconditional short DBC/GLD/SLV), F (vs the roll-yield carry factor — Erb-Harvey/Gorton-Rouwenhorst). nTrials=35 FROZEN LITERAL (macro-regime was uncounted in STRATEGY_FAMILIES → the honest count is 30+4+1; companion PR adds the family). DSR on the kit's continuous signalWeightedReturns, non-overlapping 21-td, ppy=12, sharpeVariance frozen to program dispersion. USO EXCLUDED (HTB/non-shortable). HARDENED by a 15-agent adversarial evaluate-and-lift + 3 confirmation re-scores (final DESIGN score 9.60/10; two code-verified criticals closed — the trial-budget grounding + a self-introduced harness/DSR-series contradiction; the composite is INFO-ceiling-capped by ~6-10 episodes on one commodity cycle, NOT a flaw). Honest ceiling INFO-grade (crowded macro trade); STRATEGY_GRADE likely power-unreachable → realistic verdict space {INFO, DATA-LIMITED, NOISE}. Pure info-layer, ZERO trade-path; ≥INFO → scored forecast-ledger source (weight EARNED); a trade-path tilt is a SEPARATE pre-reg. backfillEligibleOn 2026-07-08 (7d cooling — hypothesis seen in-sample from the live book). Next: ≥7/08 build scripts/backfill-late-cycle-commodity-regime.ts on the backfill-kit (verify SHA 37dc9326, --validate-data + pre-lock power probe, refuse before 7/08), run ONCE attended. Memo project_late_cycle_commodity_rollover_regime_draft_2026_07_01.md.

The backfill ran and the hypothesis failed its pre-registered bar. It is recorded and retired — not re-tested without a fresh, separately-registered hypothesis.