# A4 — Publication-lagged days-to-cover exclusion battery (pre-registration) **Date frozen: 2026-08-01.** Provenance: quant panel 2026-08-01, item **A4** (short-side microstructure specialist; survived adversarial review 3/3), findings 12 and 14 (`research/2026-08-01_quant_panel_suggestions.md`). The red team's binding sentence, transcribed verbatim: *"Red team: pin exact baselines and bootstrap details; earliest ship post-December (a selection change now resets the clean clock)."* Both conditions are honored below. This document is **hash-frozen**: everything above the sentinel line is pinned by SHA-256 in `tests/test_docs_consistency.py` (`test_a4_dtc_battery_memo_frozen`) — the same mechanism as the December gate memo and the micro-cap battery pre-registration. Amendments append below the sentinel, are dated, and are allowed **only until any return-bearing artifact of this battery exists**; after that the record is final. Updating the pinned hash is itself a recorded act, never a silent edit. Plain language, one clause each: **days-to-cover (DTC)** = total shares sold short ÷ average daily volume — how many days of normal trading shorts would need to buy back; **squeeze** = forced short buy-backs pushing the price up before it falls harder; **lookahead** = letting the backtest act on data before the market actually published it; **vacuous** = the screen almost never changes the book, so no return test could mean anything. ## 1. Hypothesis (exclusion, never harvest) When shorting a stock is expensive or crowded, pessimists are locked out and the price reflects optimists only (Muravyev–Pearson–Pollet class); a momentum winner with high days-to-cover is often a squeeze the long book buys late. The claim under test is **tail-avoidance, not new alpha**: excluding high-DTC names from the momentum top-50 at selection should remove a small number of structurally overpriced names. This is the exact consumer the `short_interest` capture registration in CAPTURES.md pre-named ("a days-to-cover exclusion screen … screened OUT, never harvested"); its activation criterion re-binds to this registration — this memo IS the v2 consumer registration (v1, the micro-cap battery, was KILLED 2026-07-22 on other grounds; the kill covered that sleeve's ranking signal, not this screen). ## 2. Mandatory precondition: the publication-lag fix (finding 14) The engine's `universe.dtc_screen` hook used the FINRA **settlement date as the knowledge date**. FINRA disseminates consolidated short interest **~T+7 business days after settlement** (CAPTURES.md `short_interest`), so every prior consumption of this panel carried a ~7-business-day lookahead. Fixed 2026-08-01 (this registration's companion commit): - `load_dtc_panel(dirs, publication_lag_days)` keys each panel by **knowledge date = settlement + `publication_lag_days` NYSE trading days**. Business-day shift (not calendar-day) because the dissemination schedule is business-day-denominated; a calendar shift would understate the lag across holiday clusters. - Engine + loader default: **`publication_lag_days: 7`**. An explicit `0` reproduces the legacy settlement-keyed behavior and exists **only as a negative control** (it IS the lookahead). - **Every computation under this registration runs at lag 7.** Any return-bearing run at any other lag is invalid for this registration and cannot be cited by it. - The hook is config-gated OFF in production (no `universe.dtc_screen` key in any sleeve config): the default changes nothing live. ## 3. The screen (pinned, inherited, not tuned) - **Exclude at selection any name whose most recent USABLE (post-lag) consolidated short-interest panel shows `days_to_cover > 10.0`.** - The 10.0 threshold is **inherited verbatim from the micro-cap battery pre-registration §5** (`research/2026-07-22_microcap_battery_preregistration.md`), which pinned it before any micro-cap backtest existed. It has never been fit to flagship data and is not tunable under this registration. - Names with no SI record are **INCLUDED** (missing ≠ shorted) — unchanged from §5. - **One sensitivity, REPORTED and never selected:** `days_to_cover > 7.9` — the flagship-universe DTC p90 as measured by the panel's short-side specialist on the owned stores (panel finding 12). Every artifact this registration produces (vacuity count and, if authorized, battery runs) reports the 7.9 variant **alongside** the 10.0 primary. The 7.9 variant can never be promoted, selected, or shipped; it is descriptive output of the same single trial, not a second candidate. ## 4. Data (pinned) - **`data/short_interest_history/` only**: the frozen owned FINRA consolidated short-interest store — **205 settlement partitions, 2017-12-29 → 2026-06-30** (CAPTURES.md-registered, offsite-backed-up). It fully covers the frozen judgment window. - The live forward-capture dir (`data/short_interest/`) is **excluded** so the result cannot drift as new settlements accrue — the frozen store makes every run of this registration reproducible. - Prices/universe/config: the production momentum sleeve as frozen — `data/raw`, `config/settings.yaml`, unmodified. ## 5. Ordering (non-negotiable) and the vacuity gate FIRST **Step 0 — this memo merges to main before anything computes.** The vacuity tool ships in the same commit but is not run by its author; the first run happens post-merge, by the operator. **Step 1 — vacuity count, BEFORE any return is seen.** Tool: `thales dtc-vacuity-count` (`src/thales/backtest/dtc_vacuity.py`), returns-free by construction — it computes selections and set intersections only; no equity curve, forward return, or performance statistic of any screened variant exists anywhere until Step 2 is authorized. Pinned definitions: - **Unscreened top-50** at selection date *d*: the production momentum selection stage verbatim (filter to *d*, drop null composite signals, ascending composite sort, head 50) — the candidate set the engine hands to weighting; weighting never changes membership. - **Selection dates**: the engine's monthly first-trading-day grid over the **frozen byte-identical-guard window 2010-01-01 → 2026-03-17** (`results/baseline_metrics.json`). - **Usable panel** at *d*: the engine's as-of walk — the latest panel with knowledge date ≤ *d* (lag 7). A selection with no usable panel is **uncovered**. - **Removals at *d***: |top-50 ∩ {usable DTC > 10.0}|. - **Quarter**: calendar quarter of *d*. A quarter is **covered** iff ≥ 1 of its selections is covered. Expected coverage starts at the 2018-02 selection (first knowledge date ≈ 2018-01-10) — ~33 covered quarters; the tool reports the exact count. - **The vacuity statistic**: total removals across covered selections ÷ number of covered quarters. Uncovered quarters are EXCLUDED from the denominator — including the 2010–2017 no-data years would dilute the mean toward vacuous, a rigged gate. - **Gate**: statistic **strictly < 1.0 name-change per covered quarter → VACUOUS**: the result is recorded, the stream stays capture-only, and **the battery never runs** — the registration closes as a legitimate cheap closure (CAPTURES.md criterion re-binds to any future v3). Statistic ≥ 1.0 → Step 2 is authorized, nothing more. **Step 2 — the battery (only if authorized).** Walk-forward A/B (production baseline vs. baseline + screen) and **both CPCV modes** (standard + survivorship-free) under the **full 6-clause SHIP gate** (CLAUDE.md), as paired same-session runs: candidate and baseline on the identical harness, data snapshot, and seeds. ## 6. Baselines (pinned exactly — paths, dates, numbers) The SHIP comparison is judged against the paired same-session baseline leg; that leg must be sanity-checked against these pinned artifacts, and any discrepancy is REPORTED in the battery output (never silently adopted, never a reason to re-pick a flattering baseline): - **Walk-forward baseline eval**: `results/evaluations/eval_baseline_baseline_2026-06-09_postaudit.json` (2026-06-09, post-audit). 5 windows, per-window Sharpe W1 +0.254 / W2 +1.065 / W3 −0.220 / W4 −0.180 / W5 +0.333; aggregate mean 0.250; bootstrap Sharpe 0.4166 [−0.2193, 0.9977]. - **Standard CPCV baseline**: `results/diagnostics/cpcv_2026-06-09T21-36-25.json` (2026-06-09). PBO **75.0%**, observed Sharpe **0.787**, DSR **0.943**, IS-OOS corr **−0.696**, 15/15 OOS paths positive. - **Survivorship-free CPCV baseline**: `results/diagnostics/cpcv_2026-06-09T21-42-01.json` (2026-06-09). PBO **37.5%**, observed Sharpe **0.532**, DSR **0.698**, IS-OOS corr **−0.194**, 15/15 OOS paths positive. - Context only (not a judgment baseline): the monthly code-integrity tripwire's survfree-golden run `results/diagnostics/cpcv_2026-08-01T02-16-30.json` — PBO 50.0%, observed 0.524, DSR 0.613 (the DSR drift vs 07-21's 0.665 is the trial-ledger issue panel item C3 owns, not a strategy change). - Standing caveat carried onto every absolute Sharpe: the frozen-window headline is the **rank-1-of-8 start-day draw** (`thales start-day-sweep`); quote WITH the spread. ## 7. Bootstrap and harness details (pinned) Transcribed from the harness this registration will run (`src/thales/backtest/evaluate.py` as of this freeze) — pinned so the battery cannot quietly run under different inference settings: - Walk-forward: `n_windows = 5`, `initial_train_pct = 0.60`. - Bootstrap: Politis–Romano **stationary block bootstrap** on daily returns, expected block length **10** trading days, wrap-around; `n_bootstrap = 1000`; `seed = 42`; **95% CI** at the 2.5/97.5 percentiles. - A/B deltas: **paired** stationary-block bootstrap — identical block indices for baseline and candidate in each resample. - Primary metric: `sharpe_ratio`. Walk-forward verdict **BETTER** iff the paired delta CI excludes 0 in the favorable direction (SHIP gate clause 1); INCONCLUSIVE does not ship. - CPCV: `n_groups = 6`, `k_test = 2`, `purge_days = 252`, `embargo_days = 5` (production `cpcv:` block); survivorship-free mode is the mandatory confirmation (clause 3); if any margin is borderline, IS-OOS corr must be robust at `n_groups = 8` too (clause 4). ## 8. Kill criteria (pinned) Judged on the paired same-session runs, primary screen (DTC > 10.0, lag 7) only: - **The overfitting score worsens** — PBO above its own-session baseline leg in EITHER CPCV mode (any increase; PBO moves in 12.5-point quanta, so any movement is one full path) → **KILL**. - **Any single walk-forward window regresses ≥ 0.05 Sharpe** vs. the baseline leg → **KILL**. - Anything short of the full 6-clause SHIP gate → **NOT SHIPPED** (and the verdict recorded; no partial adoption, no "keep it as a soft filter"). - A kill or a vacuous verdict is final for this hypothesis version; relitigation requires a new hash-frozen registration. ## 9. Ship timing and mechanics (pinned) - **Earliest ship: post-December** — after the 2026-12-01 go-live gate decision. A selection change resets the forward paper track's clean clock (`oos_monitor.since` re-pin), and the December gate needs the incumbent's clock intact; even a full SHIP-gate pass parks the change until then. This is the red team's second binding condition. - Shipping (if ever) = enabling `universe.dtc_screen` (with `max_days_to_cover: 10.0`, `publication_lag_days: 7`, the frozen dirs) in `config/settings.yaml`, keystone-pinning those keys in `utils/config_guard.py` in the same commit, re-baselining the byte-identical guard (selection changes move it by design), and re-pinning `oos_monitor.since` — its own reviewed PR, never a silent edit. ## 10. Trial accounting and cross-registrations - This registration is **one (+1) trial** on the multiple-testing ledger at freeze (context at freeze, per panel finding 9: 274 eval files, 113 axis-sets, ledger reform owned by item C3). The 7.9 sensitivity is descriptive output of the same trial — it can never be selected, so it is not a second candidate. - **B3 (SEC fails-to-deliver)**, if its own memo freezes before the battery runs, enters the battery output **REPORTED-ONLY**, counted as its own (N+1) trial per its registration; an FTD pass with a DTC fail ships **NOTHING** — FTD can never substitute for the primary. - **B2 (option-implied borrow-fee wedge)** enters this battery's scope only once its own memo is actually frozen; until then it does not exist for this registration. ## 11. Expected modal outcome (recorded at freeze) **Vacuous-or-inconclusive.** The proposing specialist's own prior: the flagship universe is liquid large-caps where DTC > 10 is rare (universe median 4.3, p90 7.9 per panel finding 12), so the screen plausibly moves ~0–1 names per quarter. Recording this now makes the cheap closure legitimate: if the vacuity gate fires, the honest reading is "measured, immaterial on this universe, closed," not "failed." ## 12. Observed at registration (auditable no-peek disclosure) What the author had seen when this text froze: the DTC store's coverage metadata (205 partitions, 2017-12-29 → 2026-06-30 — directory listing, no values); the flagship-universe DTC quantiles (median 4.3, p90 7.9) as measured and published in the panel report (finding 12); the panel report. **No vacuity count had been computed; no screened flagship selection or backtest had ever been run; no return of any screened variant existed.** The only DTC-screen backtest exposure in the shop's history is the micro-cap battery (different universe, KILLED 2026-07-22) — which is precisely why its untuned 10.0 threshold is the inherited pin.