PEAD CGO/AVWAP conditioners (C1-C4)

The question

Is the post-earnings-announcement-drift edge durable and broad-based across the population, or driven by a handful of outlier names? The core go-live question for the equities sleeve.

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 2026-07-06 (attended) → INFO_GRADE. n=949/80 tickers, coverage C1-C4 949/949, no-double-dip dropped NONE, C3/C4 rho 0.596 → separate. NO conditioner clears all bars: C3 abnormal-volume is the only positive spread (+1.23%, t=1.71, ex-AMD+every-regime pass) but HS-adj p=0.305 and SIGN FLIPS OOS (IS +2.37%/OOS -0.91%); C1/C2/C4 negative spreads. PEAD drift does NOT usefully condition on price-volume structure in this corpus — the conditional entry-strength SIZING follow-on is NOT triggered (the Q3 conditional lock slot falls to buybacks per the plan). Survivorship upper-bound caveat stands. data/backfill/pead_cgo_avwap_conditioner_2026-07-06.json. Rule #10: no iterate.

The backfill ran and concluded — the hypothesis did not fail, but the result is informational rather than a clean strategy-grade pass. See the outcome below.