PEAD universe broadening

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 2026-06-29 (operator-greenlit) → DATA-LIMITED / INCONCLUSIVE — NOT a clean disconfirmation. The frozen 60d-ADV selection input (`dataInputsLocked.bars` = bar-cache) carries IEX-PARTIAL volume (~2-3% of consolidated tape, a defect documented in /api/capacity 2026-06-22, AFTER the 5/28 lock) → understates ADV ~30-50× → the $20M floor wrongly excluded ~hundreds of liquid mid-caps (screener shows 1236/1545 ≥$20M; bar-ADV passed 29) → only 25 names selected (vs 70), biased to high-retail-IEX-share names (miners/quantum/AI). On that biased n=341 sample: added-mid net IC 0.076 [CI −0.042,0.193] straddles 0, combined Sharpe 1.18<existing 1.88, Herfindahl −27%, every-regime+ → mechanically NO_SHIP but the test is not faithful. Forward path (operator-gated): re-run with a CONSOLIDATED-ADV source (FMP avgVolume / curated /api/capacity ADV) — a documented data-access amendment vs a new pre-reg. Memo project_pead_broadening_2026_06_29.md. → SUPERSEDED-BY-CORRECTION by [[pead-midcap-broadening]] (LOCKED 2026-06-30): per the pre-lock adversarial red-team the forward path was done as a FRESH pre-reg (point-in-time universe + AV-LISTING_STATUS survivorship + PIT seasonal-random-walk SUE + 3-gate verdict), NOT the data-access amendment originally noted.

Superseded by a later version or failed a robustness check. Kept for the record.