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>
MI|vol column = I(X; target | trailing-range tercile), same circular-shift
null. Range target 499 perms: SP500 vix_chg5 survives conditioning at 0.031
(3x trailing range's own within-tercile residual); VIX LEVEL emerges
conditionally (variance-risk-premium structure); USDJPY COT family survives.
Direction target: SP500 vol/VIX-chg clear marginally (equity leverage
effect) but drop to p~0.05-0.06 conditional = redundant with price vol;
USDJPY/XAUUSD/EURUSD direction null across all alt features.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
- fred.py: ALFRED output_type=4 first prints, chunked realtime windows
(2000-vintage cap), unrevised-series fallback (published=observed+1d);
NFCI excluded from features (revised, no vintage archive)
- eia.py: 4 weekly petroleum series on disk (1982->now)
- screen.py: as-of joined alt features vs forward 5-bar range/ATR on D1,
3x3 MI, circular-shift null, family-wise max bar, +/- controls
First readings (199 perms): SP500 vix_chg5 MI 0.047 (1.5x the positive
control) + usd_chg5 clear family bar; USDJPY 4 COT positioning features
clear family bar BEATING the positive control; XAUUSD vix_chg5 tops control
but sub-family-bar; EURUSD positive control FAILS -> table void per the
excursion-target rule, needs investigation.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
