harness(causality): guardia look-ahead + calendar-artifact self-policing nel lab intraday

- altlib.causality_ok(target_fn, tf): online-consistency guard (ricalcola il target su un prefisso, la coda deve combaciare col full). eval_weights shifta la posizione ma non vede una feature non-causale (finestra centrata/shift(-k)/stat full-sample) -> questa sì. - intra_score integra DUE gate prima/dopo lo scoring: causality (leak -> LEAK, squalificato) e day_boundary_robust (ARTIFACT-RISK -> fuori dagli slot). Effetto sul leaderboard intraday: open_drive + weekly_seasonality + overnight -> CAL-ARTIFACT (da soli, niente skeptic); prevday_range_breakout resta (ROBUST). earns_slot 10 -> 8. - +2 test (causal-ok / leak), suite intera verde. Il lab intraday ora auto-becca leak e artefatti-calendario che ieri richiedevano 3 scettici. Chiude la 3a lezione harness dell'onda intraday. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
2026-06-21 15:22:58 +00:00
parent 4ae3b42442
commit d5dd6f4b72
5 changed files with 187 additions and 59 deletions
@@ -2,6 +2,7 @@
  {
    "name": "agent_13_range_compression_intra",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "PASS",
    "marginal_verdict": "ADDS",
    "earns_slot": true,
@@ -18,32 +19,14 @@
    "abs_hold_sharpe": 0.928,
    "turnover_per_year": 13.4,
    "fee020_full_sharpe": 0.488,
-    "fee_survives": true
-  },
-  {
-    "name": "agent_05_open_drive",
-    "tf": "1h",
-    "abs_grade": "PASS",
-    "marginal_verdict": "ADDS",
-    "earns_slot": true,
-    "corr_full": 0.133,
-    "corr_hold": -0.055,
-    "uplift_hold": 0.716,
-    "uplift_full": 0.232,
-    "cand_insample_sharpe": 0.924,
-    "has_insample_edge": true,
-    "is_hedge": false,
-    "robust_oos": true,
-    "multicut_persistent": true,
-    "abs_full_sharpe": 0.678,
-    "abs_hold_sharpe": 1.052,
-    "turnover_per_year": 21.4,
-    "fee020_full_sharpe": 0.641,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  },
  {
    "name": "agent_09_prevday_range_breakout",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "PASS",
    "marginal_verdict": "ADDS",
    "earns_slot": true,
@@ -60,32 +43,14 @@
    "abs_hold_sharpe": 0.916,
    "turnover_per_year": 56.2,
    "fee020_full_sharpe": 0.985,
-    "fee_survives": true
-  },
-  {
-    "name": "agent_11_weekly_seasonality",
-    "tf": "1h",
-    "abs_grade": "PASS",
-    "marginal_verdict": "ADDS",
-    "earns_slot": true,
-    "corr_full": 0.44,
-    "corr_hold": 0.32,
-    "uplift_hold": 0.402,
-    "uplift_full": 0.328,
-    "cand_insample_sharpe": 1.728,
-    "has_insample_edge": true,
-    "is_hedge": false,
-    "robust_oos": true,
-    "multicut_persistent": true,
-    "abs_full_sharpe": 1.418,
-    "abs_hold_sharpe": 0.861,
-    "turnover_per_year": 86.0,
-    "fee020_full_sharpe": 1.262,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "ROBUST",
+    "boundary_spread": 0.196
  },
  {
    "name": "agent_06_vol_event_revert_15m",
    "tf": "15m",
+    "causal": true,
    "abs_grade": "PASS",
    "marginal_verdict": "ADDS",
    "earns_slot": true,
@@ -102,11 +67,14 @@
    "abs_hold_sharpe": 0.949,
    "turnover_per_year": 13.8,
    "fee020_full_sharpe": 0.593,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  },
  {
    "name": "agent_07_volume_spike_revert",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "WEAK",
    "marginal_verdict": "ADDS",
    "earns_slot": true,
@@ -123,11 +91,14 @@
    "abs_hold_sharpe": 0.096,
    "turnover_per_year": 25.3,
    "fee020_full_sharpe": 0.349,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  },
  {
    "name": "agent_14_multi_session_momentum",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "PASS",
    "marginal_verdict": "ADDS",
    "earns_slot": true,
@@ -144,11 +115,14 @@
    "abs_hold_sharpe": 0.436,
    "turnover_per_year": 28.8,
    "fee020_full_sharpe": 1.144,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "ROBUST",
+    "boundary_spread": 0.022
  },
  {
    "name": "agent_08_gap_fill",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "PASS",
    "marginal_verdict": "ADDS",
    "earns_slot": true,
@@ -165,11 +139,14 @@
    "abs_hold_sharpe": 0.432,
    "turnover_per_year": 11.6,
    "fee020_full_sharpe": 0.501,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  },
  {
    "name": "agent_12_close_location",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "PASS",
    "marginal_verdict": "ADDS",
    "earns_slot": true,
@@ -186,11 +163,14 @@
    "abs_hold_sharpe": 0.501,
    "turnover_per_year": 14.4,
    "fee020_full_sharpe": 1.166,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  },
  {
    "name": "agent_10_trend_quality_intra",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "PASS",
    "marginal_verdict": "ADDS",
    "earns_slot": true,
@@ -207,11 +187,62 @@
    "abs_hold_sharpe": 0.535,
    "turnover_per_year": 13.5,
    "fee020_full_sharpe": 0.807,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
+  },
+  {
+    "name": "agent_05_open_drive",
+    "tf": "1h",
+    "causal": true,
+    "abs_grade": "PASS",
+    "marginal_verdict": "ADDS",
+    "earns_slot": false,
+    "corr_full": 0.133,
+    "corr_hold": -0.055,
+    "uplift_hold": 0.716,
+    "uplift_full": 0.232,
+    "cand_insample_sharpe": 0.924,
+    "has_insample_edge": true,
+    "is_hedge": false,
+    "robust_oos": true,
+    "multicut_persistent": true,
+    "abs_full_sharpe": 0.678,
+    "abs_hold_sharpe": 1.052,
+    "turnover_per_year": 21.4,
+    "fee020_full_sharpe": 0.641,
+    "fee_survives": true,
+    "boundary_verdict": "ARTIFACT-RISK",
+    "boundary_spread": 0.484
+  },
+  {
+    "name": "agent_11_weekly_seasonality",
+    "tf": "1h",
+    "causal": true,
+    "abs_grade": "PASS",
+    "marginal_verdict": "ADDS",
+    "earns_slot": false,
+    "corr_full": 0.44,
+    "corr_hold": 0.32,
+    "uplift_hold": 0.402,
+    "uplift_full": 0.328,
+    "cand_insample_sharpe": 1.728,
+    "has_insample_edge": true,
+    "is_hedge": false,
+    "robust_oos": true,
+    "multicut_persistent": true,
+    "abs_full_sharpe": 1.418,
+    "abs_hold_sharpe": 0.861,
+    "turnover_per_year": 86.0,
+    "fee020_full_sharpe": 1.262,
+    "fee_survives": true,
+    "boundary_verdict": "ARTIFACT-RISK",
+    "boundary_spread": 0.456
  },
  {
    "name": "agent_04_intraday_range_size",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "PASS",
    "marginal_verdict": "REDUNDANT",
    "earns_slot": false,
@@ -228,11 +259,14 @@
    "abs_hold_sharpe": 0.353,
    "turnover_per_year": 40.6,
    "fee020_full_sharpe": 0.942,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  },
  {
    "name": "agent_01_session_overlay",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "WEAK",
    "marginal_verdict": "REDUNDANT",
    "earns_slot": false,
@@ -249,11 +283,14 @@
    "abs_hold_sharpe": 0.03,
    "turnover_per_year": 46.9,
    "fee020_full_sharpe": 0.904,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.013
  },
  {
    "name": "agent_03_funding_clock_15m",
    "tf": "15m",
+    "causal": true,
    "abs_grade": "FAIL",
    "marginal_verdict": "NEUTRAL",
    "earns_slot": false,
@@ -270,11 +307,14 @@
    "abs_hold_sharpe": -0.323,
    "turnover_per_year": 56.2,
    "fee020_full_sharpe": 0.742,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  },
  {
    "name": "agent_02_overnight_vs_intraday",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "FAIL",
    "marginal_verdict": "NEUTRAL",
    "earns_slot": false,
@@ -291,11 +331,14 @@
    "abs_hold_sharpe": -0.41,
    "turnover_per_year": 98.2,
    "fee020_full_sharpe": 0.497,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "ARTIFACT-RISK",
+    "boundary_spread": 0.081
  },
  {
    "name": "agent_15_intraday_meanrev_gated",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "FAIL",
    "marginal_verdict": "NOISE",
    "earns_slot": false,
@@ -312,11 +355,14 @@
    "abs_hold_sharpe": -1.194,
    "turnover_per_year": 19.1,
    "fee020_full_sharpe": -0.013,
-    "fee_survives": false
+    "fee_survives": false,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  },
  {
    "name": "agent_00_hour_of_day_bias",
    "tf": "1h",
+    "causal": true,
    "abs_grade": "FAIL",
    "marginal_verdict": "NEUTRAL",
    "earns_slot": false,
@@ -333,6 +379,8 @@
    "abs_hold_sharpe": -0.582,
    "turnover_per_year": 10.3,
    "fee020_full_sharpe": 0.593,
-    "fee_survives": true
+    "fee_survives": true,
+    "boundary_verdict": "INVARIANT",
+    "boundary_spread": 0.0
  }
 ]
@@ -40,6 +40,15 @@ def score(path: Path, tf: str) -> dict:
        target = _target(path)
    except Exception as e:
        return {**rec, "error": f"import: {e}", "earns_slot": False}
+    # LOOK-AHEAD guard first: eval_weights' shift can't catch a non-causal FEATURE (centered
+    # window / shift(-k) / full-sample stat). A leak is disqualified no matter its Sharpe.
+    try:
+        caus = al.causality_ok(target, tf=tf)
+        rec["causal"] = bool(caus["ok"])
+        if not caus["ok"]:
+            return {**rec, "causality": caus, "marginal_verdict": "LEAK", "earns_slot": False}
+    except Exception as e:
+        return {**rec, "error": f"causality: {e}", "causal": False, "earns_slot": False}
    try:
        rep = al.study_marginal(path.stem, target, tf=tf)
    except Exception as e:
@@ -64,6 +73,17 @@ def score(path: Path, tf: str) -> dict:
        turnover_per_year=round(turn, 1), fee020_full_sharpe=round(fee020, 3),
        fee_survives=cell.get("fee_survives"),
    )
+    # calendar-artifact guard: a signal whose marginal uplift INVERTS under a UTC day-boundary
+    # shift is a labeling artifact (open_drive), not an intraday effect. INVARIANT (price
+    # signal) and ROBUST (genuine calendar effect, e.g. prevday breakout) pass.
+    try:
+        db = al.day_boundary_robust(target, tf=tf)
+        rec["boundary_verdict"] = db["verdict"]
+        rec["boundary_spread"] = db["spread"]
+        if db["verdict"] == "ARTIFACT-RISK":
+            rec["earns_slot"] = False
+    except Exception as e:
+        rec["boundary_verdict"] = f"err:{e}"
    return rec


@@ -85,10 +105,14 @@ def main():
        for r in rows:
            if "error" in r:
                print(f"  {r['name'][:26]:<26}{r['tf']:>4} ERROR {r['error'][:40]}"); continue
+            if r.get("causal") is False:
+                print(f"  {r['name'][:26]:<26}{r['tf']:>4} LEAK (look-ahead, disqualified) "
+                      f"max_tail_diff={r.get('causality', {}).get('max_tail_diff')}"); continue
+            bflag = " CAL-ARTIFACT" if r.get("boundary_verdict") == "ARTIFACT-RISK" else ""
            print(f"  {r['name'][:26]:<26}{r['tf']:>4} {str(r['marginal_verdict']):<9}"
                  f"{str(r['abs_grade']):>5}{str(r.get('corr_hold')):>6}{str(r.get('uplift_hold')):>6}"
                  f"{str(r.get('cand_insample_sharpe')):>6}{str(r.get('turnover_per_year')):>6}"
-                  f"{str(r.get('fee020_full_sharpe')):>7}  {'<<<' if r.get('earns_slot') else ''}")
+                  f"{str(r.get('fee020_full_sharpe')):>7}  {'<<<' if r.get('earns_slot') else bflag}")
        slots = [r["name"] for r in rows if r.get("earns_slot")]
        print(f"\n  EARNS SLOT: {slots or 'NONE'}")
        (HERE / "intra_leaderboard.json").write_text(json.dumps(rows, indent=2, default=str))