Screened yields (DGS2/DGS10), curve slope, inflation breakevens, Fed policy,
the Fed-ECB policy differential, and monthly US unemployment and CPI - all on
ALFRED first prints, 499 permutations, against forward 5-day range.
NOT ONE macro feature clears the family-wise bar on any symbol. The only thing
that clears anywhere is the trailing-range positive control, which is what it
is there to do. Best a-priori candidate, the Fed-ECB differential on EURUSD,
came in at MI 0.00170 p=0.088 - nothing. The two features flagged INCREMENTAL
(dgs2_chg5 on SP500) have null marginal MI and are isolated conditional cells
at the expected false-positive rate, not findings.
The `distinct` column quantifies the power argument instead of asserting it:
unemployment takes 51-66 distinct values across 3,745-6,159 bars, CPI 174-277,
against 6,159 for a continuous feature. A monthly series pasted onto daily bars
carries about 1% of the resolution, and it showed - the monthly features were
among the weakest in every table.
The contrast with the implied-vol screen is the useful part: the options
market FORWARD-LOOKING view of an instrument (gvz_chg5 on gold, MI|vol 0.0197)
carries real information about its range, while the economy BACKWARD-LOOKING
state carries none. Mismatched timescales - rate levels move over months,
5-day range moves daily.
Also makes load_bars fall back to htf/{SYM}_D1_mid.npz when the tick-derived
build is absent (the 2026-08-16 disk cleanup removed bars/ but htf/ survived),
with need_ticks=True turning that fallback into a loud failure for the
order-flow screen rather than silently testing flow features on OHLC data.
No EA change: nothing survived to wire.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
VPIN-style toxicity (|imbalance|): null-to-marginal everywhere. But tick
ACTIVITY (count vs 20d mean) clears the family bar on ALL FOUR symbols for
forward range AND survives conditioning on trailing realized range
(SP500 MI|vol 0.025, XAUUSD 0.0088, USDJPY 0.0069, EURUSD 0.0049, all
p<=0.006). On EURUSD it beats the trailing-range positive control itself -
resolving the void-control anomaly: EURUSD D1 range IS predictable, just
not by its own trailing range. USDJPY spread_stress (max/mean) also
family-clean + incremental. Direction: nothing beyond the known SP500
leverage effect. Validates the EA's volume feature block for the RANGE
objective the tuner now optimizes.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
