PEAD mid-cap broadening (point-in-time sub-sleeve)

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 2026-07-19 (attended) → NOISE / DISCONFIRMED (clean — dead coverage 306 ≥ 20). All 3 gates FAIL on the survivorship-clean corpus (19,979 cohort events / 1,809 names / 306 dead contributing, 2021-05→2026-05, binding tier $125k): gateA net IC +0.0283 [0.0235,0.0307] but DSR 0.099 ≪ 0.95 (real-but-tiny, un-tradeable); gateB corr 0.28 orthogonal BUT DILUTIVE (combined OOS Sharpe 0.193 < existing-80 0.269, 2/5 folds) → fails the strictly-incremental bar; gateC alpha share 30.8% (mostly MKT/SIZE beta, R² 0.212) → not factor-pure; jackknife holds. Mid-cap broadening adds NO tradeable alpha → the 80-name mega-cap universe is CONFIRMED correct + the AMD-44% concentration is a small-live-sample artifact, NOT a breadth defect (the concentration-fix hope is closed). Corrected survivorship-clean re-test of the 6/29 IEX-partial DATA-LIMITED run (both agree). Run note: first attempt crashed at gateC on a transient socket close (~26MB in) → methodology-neutral fmpGet retry added (pre-reg SHA d31f5865 UNTOUCHED, re-verified), clean re-run. `data/backfill/pead_midcap_broadening_2026-07-20.json`; memo project_pead_midcap_broadening_backfill_2026_07_19.md. Rule #10: no iterate (a different band/construct = NEW pre-reg). — LOCKED 2026-06-30 (operator '.1% quant make it 9.5+ → lock and complete'). The #1 reconstruction from the 6/30 alpha-research-pillar audit — the ONLY graveyard reconstruction touching TRADEABLE PEAD alpha. Supersedes-by-correction the DATA-LIMITED [[pead-universe]] (0de250b0): corrects the IEX-partial-volume selection defect with point-in-time CONSOLIDATED volume + historical market cap (FMP, empirically confirmed) and a fully-PIT seasonal-random-walk SUE (Foster-Olsen-Shevlin — no analyst-estimate vintage leak). Survivorship dead-name ENUMERATION (the load-bearing residual) FILLED by Alpha Vantage LISTING_STATUS (9318 delisted US names w/ delistingDate; &date= point-in-time verified; ALPHAVANTAGE_API_KEY in .env.local) → complete survivorship-free PIT membership; EDGAR Frames cross-check. 3-gate conjunction A∧B∧C (alpha DSR≥0.95 / incremental corr≤0.6 + same-run combined-Sharpe / factor-purity on the 12-factor basis); TRIAL_BUDGET_N frozen; real Almgren-Chriss cost across an AUM grid. On a clean PASS w/ adequate per-name dead coverage → authorizes ONLY a 0.10 MONITOR `pead_midcap` sub-sleeve (beta+sector-neutral, own live-n gate, gated behind core PEAD n=60, never auto-ramp, operator-authored deployment PR) — NEVER a universe replacement; the backfill itself cannot create a sleeve (engine whitelist + closed DEFAULT_MODIFIER). Vetted by a pre-lock 4-lens adversarial red-team + empirical FMP/AV/EDGAR probe (draft-1 BLOCKED 5+8 → all resolved in draft-3). Honest prior STRATEGY_GRADE_CANDIDATE-leaning-INFO (~35-45% clears all 3 gates); the vendor fix raised verdict TRUSTWORTHINESS (survivorship-clean), not the edge odds. backfillEligibleOn 2026-07-07 (7d cooling — hypothesis seen in-sample). Next: ≥7/07 build scripts/backfill-pead-midcap-broadening.ts on the backfill-kit (verify SHA d31f5865, 5 BLOCKING --validate-data HALT probes, refuse before 7/07), run ONCE attended. Memo project_pead_midcap_broadening_prereg_2026_06_30.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.