Signal-orthogonality meta-analysis

The question

Do cross-asset stress patterns — volatility-of-volatility, credit spreads, the yield curve, commodities, funding plumbing, and crypto — lead broad equity drawdowns? A family of independent early-warning hypotheses.

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 2026-06-12 → INFO_GRADE (the honest prior). Common-9 window 2010-12..2026-06 (3891d; IS 1769/OOS 2059). REDUNDANCY CONFIRMED: N_eff 6.5/9 raw (6.53 LW-shrunk) → ~6 effective signals, 2 multi-member clusters {fractal-v5, options-skew-gate} + {liquidity-valuation, absorption-gate, yield-curve-gate} (top |ρ| liq~absorption 0.64). BUT the de-collinearized score does NOT beat the naive triggered-count predictively: OOS Spearman vs fwd-63d-maxDD naive 0.058 → clusterPruned 0.078, Δ +0.020 [-0.044,0.098] straddles 0 (corrW Δ +0.018 [-0.034,0.066]) — small DD-episode count caps power, exactly the prereg's honest prior. ACTION: publish the map; operator should DISCOUNT the naive triggered-count (it ~over-books ~2.4 redundant signals). Observability only — never auto-trades/modulates; only the dashboard/brief convergence READ may change. fractal-v5 = daily-feature-subset PROXY (NN tail-prob has no daily series); drawdown-precursor = non-crypto variant (BTC+PANTERA omitted → spans 2011+, binary trigger sparse but continuous score enters the map). data/backfill/signal_orthogonality_2026-06-12.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.