Window: 2006-08-14..2026-08-12; XLK from 2020-01-01; SI from 2021-06-15 (PIT availableDate). All proxies lag-1. Targets: SPY close-to-close, EqMom BASE L126/H21 top50 net@10bps next-open.
| Proxy | Target | N | corr20 | lead1 | lead5 | lead1_early<2024 | lead1_late>=2024 | tercile_p |
|---|---|---|---|---|---|---|---|---|
| ratio_z60 | SPY | 1601 | +0.137 | +0.014 | +0.030 | +0.010 | +0.023 | 0.3575 |
| ratio_z60 | EqMom_BASE_H21 | 1601 | +0.016 | -0.013 | +0.008 | +0.001 | -0.024 | 0.6195 |
| vix | SPY | 5029 | +0.120 | +0.016 | +0.016 | +0.013 | +0.090 | 0.1930 |
| vix | EqMom_BASE_H21 | 5029 | +0.024 | +0.007 | +0.009 | +0.004 | +0.072 | 0.1690 |
| spread | SPY | 5029 | -0.040 | -0.000 | +0.001 | +0.003 | +0.044 | 0.5840 |
| spread | EqMom_BASE_H21 | 5029 | +0.066 | -0.016 | -0.015 | -0.013 | +0.035 | 0.7365 |
| curve | SPY | 5029 | +0.455 | -0.005 | -0.004 | -0.002 | +0.006 | 0.6335 |
| curve | EqMom_BASE_H21 | 5029 | +0.548 | -0.003 | -0.001 | +0.001 | +0.033 | 0.4630 |
| si_mean | SPY | 1288 | +0.356 | +0.013 | +0.030 | -0.035 | +0.044 | 0.3220 |
| si_mean | EqMom_BASE_H21 | 1288 | +0.065 | +0.030 | +0.027 | -0.050 | +0.065 | 0.1300 |
Pre-registered PROMOTE bar
Stable |lead1|>0.05 in BOTH early and late windows AND tercile p<0.05 → Phase-2 OOS hunt. Else KILL.
Verdicts (fill after run)
- ratio_z60 x SPY: KILL (early +0.010 late +0.023 p 0.3575).
- ratio_z60 x EqMom_BASE_H21: KILL (early +0.001 late -0.024 p 0.6195).
- vix x SPY: KILL (early +0.013 late +0.090 p 0.1930).
- vix x EqMom_BASE_H21: KILL (early +0.004 late +0.072 p 0.1690).
- spread x SPY: KILL (early +0.003 late +0.044 p 0.5840).
- spread x EqMom_BASE_H21: KILL (early -0.013 late +0.035 p 0.7365).
- curve x SPY: KILL (early -0.002 late +0.006 p 0.6335).
- curve x EqMom_BASE_H21: KILL (early +0.001 late +0.033 p 0.4630).
- si_mean x SPY: KILL (early -0.035 late +0.044 p 0.3220).
- si_mean x EqMom_BASE_H21: KILL (early -0.050 late +0.065 p 0.1300).
Corrtrack extension (schema, not live rows)
Add to production/correlation_tracker.py HISTORY + 20d corrs: xlk_spy_ratio, xlk_spy_z60, si_mean_daysToCover (FINRA PIT join). Live history.csv has <20 rows — backfill daily before trusting 20d corr.
ALL DONE