{ "metadata": { "study_version": "FULL_A_TURNING_V0", "generated_at": "2026-08-22T15:49:22.634923+00:00", "script_sha256": "1a5fcd51343cbe6053578507dce1573a7ce793142c335cd54035f4b8c844dacd", "provider": "mixed cached history: Sina houfuquan-derived, Tencent hfq, Eastmoney fqt=2", "adjustment": "back-adjusted/hfq", "liquidity_amount": "Tencent uses raw close * volume_in_hands * 100 proxy; Eastmoney uses reported amount", "frequency": "daily", "requested_start": "2014-01-01", "requested_end": "2026-08-20", "signal_clock": "all rules use the signal close and prior completed bars only", "entry_clock": "next tradable bar open; one-price estimated up-limit entries skipped", "horizon_convention": "H means signal+H close, entered signal+1 open; exactly H post-signal stock trading bars", "liquidity_filter": "prior-exclusive 20-bar median amount >= RMB 30m; RMB 50m is predeclared sensitivity", "minimum_listing_history": 120, "cost_model_for_buy_direction": { "commission_each_side": 0.0003, "transfer_fee_each_side": 1e-05, "stamp_duty_sell_only": 0.0005, "slippage_each_side": 0.001 }, "sell_direction_semantics": "down-frequency/avoidance observation, not a short-sale strategy; raw underlying return is used", "selection_integrity": { "candidate_grid_frozen_before_expanded_market_evaluation": true, "previously_studied_249_symbols_forced_to_prior_studied_fold": true, "expanded_symbol_folds": "SHA256 deterministic 50% development / 30% validation / 20% test", "multiple_testing": "Holm family-wise 5% over each signal's predeclared primary horizon", "time_splits": "era/year summaries require exit date inside the period (purged boundary)" } }, "universe": { "securities_requested": 5813, "current_securities": 5557, "historical_noncurrent_securities": 256, "boards": { "BSE": 342, "CHINEXT": 1447, "SH_MAIN": 1802, "STAR": 619, "SZ_MAIN": 1603 }, "current_boards": { "BSE": 342, "CHINEXT": 1405, "SH_MAIN": 1700, "STAR": 616, "SZ_MAIN": 1494 }, "symbol_folds": { "expanded_development": 2804, "expanded_test": 1105, "expanded_validation": 1655, "prior_studied": 249 }, "loaded_provider_files": { "Eastmoney history K-line": 59, "Sina CN_MarketData + houfuquan": 5226, "Tencent fqkline": 524 }, "downloaded_or_cached": 5809, "analyzed_at_least_120_bars": 5704, "too_short": 105, "missing": 4, "raw_rows": 9814004, "valid_tradable_rows": 9813872, "rejected_nontradable_or_invalid_rows": 132, "first_date": "2014-01-02", "last_date": "2026-08-20" }, "source_validation": { "status": "completed", "providers": [ "Full-market back-adjusted cache", "BaoStock adjustflag=2 frozen cache" ], "symbols": 80, "aligned_rows": 201684, "daily_return_abs_diff_median": 0.00019612083736714192, "daily_return_abs_diff_p95": 0.0057690968346188545, "daily_return_abs_diff_over_50bp_rate": 0.062364834031070814, "close_location_abs_diff_median": 7.208493829277685e-07, "close_location_abs_diff_p95": 0.0009633911368023773, "note": "Back- and front-adjusted price levels differ; validation compares scale-free daily returns and candle close location." }, "event_ledger": { "path": "/tmp/hanai-full-market-turning-cache-v0/full-market-turning-events-v0.jsonl.gz", "events": 1171819, "compressed_bytes": 49208110, "sha256": "f0a0bf7f2b9fe7d7285b6549cdb0527665c22021d4dfe4b001fcec3b512f75ff", "format": "gzip JSON Lines; one row per signal/horizon outcome" }, "signal_definitions": [ { "key": "low_bullish_outside", "label": "低位破低反包", "side": "buy", "family": "low_bullish_outside", "stage": "confirmed", "primary_horizon": 20, "cooldown": 20, "priority": "P0", "rule": "DD60<=-15%; prior-10d<=-10%; Below20>=10; lower low + higher high; close above prior high; bullish; CLV>=.75; TR/ATR20>=1.2; VR20>=1.2" }, { "key": "hammer_spring_raw", "label": "金针探底观察", "side": "buy", "family": "hammer_spring", "stage": "anchor", "primary_horizon": 20, "cooldown": 20, "priority": "P1", "rule": "DD60<=-20%; Below20>=10; low breaks LL20 and close reclaims it; lower shadow>=.50; CLV>=.65; body<=.35; TR/ATR20>=.8" }, { "key": "hammer_spring_confirmed", "label": "金针探底确认", "side": "buy", "family": "hammer_spring", "stage": "confirmed", "primary_horizon": 20, "cooldown": 20, "priority": "P1", "rule": "Within 1-3 bars after hammer: first close above anchor high and MA5, CLV>=.55; invalidated by low below anchor low minus .25 anchor ATR" }, { "key": "bottom_huge_strong_close", "label": "深跌巨量强收", "side": "buy", "family": "bottom_huge", "stage": "confirmed", "primary_horizon": 20, "cooldown": 20, "priority": "benchmark", "rule": "DD60<=-25%; Below20>=10; close<=MA20; VR20>=2.5; bullish; CLV>=.70" }, { "key": "capitulation_anchor", "label": "底部巨量恐慌观察", "side": "buy", "family": "capitulation_retest", "stage": "anchor", "primary_horizon": 20, "cooldown": 20, "priority": "P1", "rule": "DD60<=-20%; Below20>=10; VR20>=2.5; bearish; CLV<=.30; body>=.50; TR/ATR20>=1.5" }, { "key": "capitulation_retest_confirmed", "label": "巨量后缩量不破转强", "side": "buy", "family": "capitulation_retest", "stage": "confirmed", "primary_horizon": 20, "cooldown": 20, "priority": "P1", "rule": "2-7 bars after capitulation: lows hold within 2%; at least one VR<=.70; then bullish close above prior high/anchor midpoint with CLV>=.65 and 1<=VR<=3.5" }, { "key": "extreme_dry_stabilize_raw", "label": "三日极度缩量企稳", "side": "buy", "family": "extreme_dry", "stage": "anchor", "primary_horizon": 20, "cooldown": 20, "priority": "P2", "rule": "DD60<=-15%; Below20>=10; median last-3 volume/VMA60<=.45; three-day low holds prior floor within 2%; three-day close change within 3%" }, { "key": "extreme_dry_stabilize_confirmed", "label": "极缩量后脱离平台", "side": "buy", "family": "extreme_dry", "stage": "confirmed", "primary_horizon": 20, "cooldown": 20, "priority": "P2", "rule": "Within 1-3 bars: first close above anchor three-day high and MA5; bullish; CLV>=.65; 1<=VR<=3.5; invalid if platform low breaks by 2%" }, { "key": "double_bottom_volume_divergence_raw", "label": "双底量能背离观察", "side": "buy", "family": "double_bottom", "stage": "anchor", "primary_horizon": 20, "cooldown": 20, "priority": "P2", "rule": "Compare current low with the unique earliest trough 40-10 bars ago; lows within 3%; current normalized volume <=70% of first trough; lower shadow>=.25" }, { "key": "double_bottom_volume_divergence_confirmed", "label": "双底放量破颈线", "side": "buy", "family": "double_bottom", "stage": "confirmed", "primary_horizon": 20, "cooldown": 20, "priority": "P2", "rule": "Within 1-5 bars: first close above frozen neckline; CLV>=.65; VR>=1.2; invalid if current trough breaks by 3%" }, { "key": "huge_upper_rejection_raw", "label": "高位巨量长上影", "side": "sell", "family": "huge_upper_rejection", "stage": "anchor", "primary_horizon": 5, "cooldown": 10, "priority": "P0", "rule": "Prior Ret20>=15%; MA5>MA10 and MA10 rising; prior close>MA5; new HH20; VR20>=2.5; upper shadow>=.55; CLV<=.35; TR/ATR20>=1" }, { "key": "huge_upper_rejection_confirmed", "label": "巨量长上影跌破确认", "side": "sell", "family": "huge_upper_rejection", "stage": "confirmed", "primary_horizon": 5, "cooldown": 10, "priority": "P0", "rule": "Within 1-3 bars after upper rejection: first close below anchor low" }, { "key": "failed_breakout_raw", "label": "放量假突破观察", "side": "sell", "family": "failed_breakout", "stage": "anchor", "primary_horizon": 10, "cooldown": 10, "priority": "P1", "rule": "Prior Ret20>=10%; MA5>MA10; high>=1.005*HH20 but close<=HH20; VR>=1.5; CLV<=.45; upper shadow>=.25; excludes strict huge-upper family" }, { "key": "failed_breakout_confirmed", "label": "假突破跌破确认", "side": "sell", "family": "failed_breakout", "stage": "confirmed", "primary_horizon": 10, "cooldown": 10, "priority": "P1", "rule": "Within 1-2 bars after failed breakout: first close below anchor low" }, { "key": "double_top_volume_divergence_raw", "label": "双顶量能背离观察", "side": "sell", "family": "double_top", "stage": "anchor", "primary_horizon": 20, "cooldown": 20, "priority": "P2", "rule": "Compare current high with unique earliest peak 40-10 bars ago; highs within -2%/+5%; current normalized volume <=70% of first peak; upper shadow>=.20; CLV<=.55" }, { "key": "double_top_volume_divergence_confirmed", "label": "双顶放量破颈线", "side": "sell", "family": "double_top", "stage": "confirmed", "primary_horizon": 20, "cooldown": 20, "priority": "P2", "rule": "Within 1-5 bars: first close below frozen neckline; CLV<=.35; VR>=1.2; invalid if current peak is exceeded by 5%" } ], "primary_hypothesis_p_values": { "low_bullish_outside": { "raw_one_sided_p": 0.3802905355859122, "holm_adjusted_p": 1.0 }, "hammer_spring_raw": { "raw_one_sided_p": 0.13944878033310268, "holm_adjusted_p": 1.0 }, "hammer_spring_confirmed": { "raw_one_sided_p": 0.08731327752494411, "holm_adjusted_p": 1.0 }, "bottom_huge_strong_close": { "raw_one_sided_p": 0.8831287124036864, "holm_adjusted_p": 1.0 }, "capitulation_anchor": { "raw_one_sided_p": 0.999197553323252, "holm_adjusted_p": 1.0 }, "capitulation_retest_confirmed": { "raw_one_sided_p": 0.526297227243555, "holm_adjusted_p": 1.0 }, "extreme_dry_stabilize_raw": { "raw_one_sided_p": 0.23548215490115953, "holm_adjusted_p": 1.0 }, "extreme_dry_stabilize_confirmed": { "raw_one_sided_p": 0.9989715755385562, "holm_adjusted_p": 1.0 }, "double_bottom_volume_divergence_raw": { "raw_one_sided_p": 0.5913699036253002, "holm_adjusted_p": 1.0 }, "double_bottom_volume_divergence_confirmed": { "raw_one_sided_p": 0.8685244737525271, "holm_adjusted_p": 1.0 }, "huge_upper_rejection_raw": { "raw_one_sided_p": 0.1279717866424664, "holm_adjusted_p": 1.0 }, "huge_upper_rejection_confirmed": { "raw_one_sided_p": 0.5638200704464412, "holm_adjusted_p": 1.0 }, "failed_breakout_raw": { "raw_one_sided_p": 0.08915924766209923, "holm_adjusted_p": 1.0 }, "failed_breakout_confirmed": { "raw_one_sided_p": 0.8361057248274429, "holm_adjusted_p": 1.0 }, "double_top_volume_divergence_raw": { "raw_one_sided_p": 0.999923559666891, "holm_adjusted_p": 1.0 }, "double_top_volume_divergence_confirmed": { "raw_one_sided_p": 0.6539754989520397, "holm_adjusted_p": 1.0 } }, "release_gates": { "low_bullish_outside": { "signal": "low_bullish_outside", "stable_years": 8, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": true, "two_way_cluster_direction_ci_lower_above_50pct": true, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": true, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": true, "test_fold_at_least_55pct": true }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "hammer_spring_raw": { "signal": "hammer_spring_raw", "stable_years": 4, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "hammer_spring_confirmed": { "signal": "hammer_spring_confirmed", "stable_years": 4, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "bottom_huge_strong_close": { "signal": "bottom_huge_strong_close", "stable_years": 7, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": true, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": true, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": true, "test_fold_at_least_55pct": true }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "capitulation_anchor": { "signal": "capitulation_anchor", "stable_years": 3, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": true, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "capitulation_retest_confirmed": { "signal": "capitulation_retest_confirmed", "stable_years": 0, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": false, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": true, "at_least_three_stable_years": false, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "extreme_dry_stabilize_raw": { "signal": "extreme_dry_stabilize_raw", "stable_years": 5, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "extreme_dry_stabilize_confirmed": { "signal": "extreme_dry_stabilize_confirmed", "stable_years": 4, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "double_bottom_volume_divergence_raw": { "signal": "double_bottom_volume_divergence_raw", "stable_years": 5, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "double_bottom_volume_divergence_confirmed": { "signal": "double_bottom_volume_divergence_confirmed", "stable_years": 5, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": false, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "huge_upper_rejection_raw": { "signal": "huge_upper_rejection_raw", "stable_years": 7, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": true, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": true, "test_fold_at_least_55pct": true }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "huge_upper_rejection_confirmed": { "signal": "huge_upper_rejection_confirmed", "stable_years": 7, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": true, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": true, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "failed_breakout_raw": { "signal": "failed_breakout_raw", "stable_years": 5, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": true, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": true, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "failed_breakout_confirmed": { "signal": "failed_breakout_confirmed", "stable_years": 6, "holm_adjusted_p": 1.0, "checks": { "at_least_200_expanded_unseen_events": true, "historical_direction_rate_at_least_60pct": false, "two_way_cluster_direction_ci_lower_above_50pct": true, "matched_direction_uplift_ci_lower_above_zero": false, "matched_signed_excess_ci_lower_above_zero": false, "holm_familywise_p_below_5pct": false, "mean_after_removing_best_5pct_positive": false, "at_least_three_stable_years": true, "validation_fold_at_least_55pct": false, "test_fold_at_least_55pct": false }, "passed": false, "interpretation": "research/observation only; one or more predeclared gates failed" }, "double_top_volume_divergence_raw": { 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"mean_signed_return_without_best_5pct": -0.10942329871182536, "raw_direction_two_way_cluster": { "mean": 0.45454545454545453, "standard_error": 0.1574591643244434, "ci95": [ 0.14593116343377133, 0.7631597456571377 ], "one_sided_p_positive": 0.0019462085613893175, "stock_clusters": 11, "month_clusters": 11, "stock_month_cells": 11, "method": "two-way cluster-robust normal interval (stock and signal month)" }, "raw_signed_return_two_way_cluster": { "mean": -0.06472304793224987, "standard_error": 0.0717635186799717, "ci95": [ -0.2053769599488618, 0.07593086408436206 ], "one_sided_p_positive": 0.816443266230702, "stock_clusters": 11, "month_clusters": 11, "stock_month_cells": 11, "method": "two-way cluster-robust normal interval (stock and signal month)" }, "matched_events": 11, "matched_coverage": 1.0, "matched_median_control_pool": 542, "matched_expected_direction_rate": 0.4242905687522445, "matched_direction_uplift": 0.030254885793209976, "matched_direction_uplift_two_way_cluster": { "mean": 0.030254885793209976, "standard_error": 0.13259034875401227, "ci95": [ -0.22961742246225927, 0.2901271940486792 ], "one_sided_p_positive": 0.40975192323558685, "stock_clusters": 11, "month_clusters": 11, "stock_month_cells": 11, "method": "two-way cluster-robust normal interval (stock and signal month)" }, "matched_expected_signed_return": -0.04074038048320051, "matched_mean_signed_excess": -0.023982667449049366, "matched_signed_excess_two_way_cluster": { "mean": -0.023982667449049366, "standard_error": 0.06537009935490841, "ci95": [ -0.15210570785047486, 0.10414037295237613 ], "one_sided_p_positive": 0.6431439397624683, "stock_clusters": 11, "month_clusters": 11, "stock_month_cells": 11, "method": "two-way cluster-robust normal interval (stock and signal month)" }, "median_next_open_gap": -0.007877731567180302, "mean_next_open_gap": -0.003525985751939298 } } } } }, "limitations": [ "This is a retrospective event study. Existing data through 2026-08-20 have already informed adjacent research; it is not a pristine future holdout.", "The expanded-symbol cohort is a cross-sectional holdout relative to the earlier 249-symbol studies, but definitions still reflect general market knowledge.", "The history endpoints do not provide point-in-time ST names, raw adjustment factors, delisting returns, or order-book fill data.", "Shanghai/Shenzhen historical securities come from BaoStock stock basic; Beijing coverage is the current Hanai master, so delisted historical BSE names may be absent.", "Back-adjusted prices preserve local scale-free shapes but use adjustment information known later; raw-price limit checks are approximated from adjusted ratios.", "One-price up-limit checks model board/date rules but cannot reconstruct historical ST 5% limits, temporary IPO exemptions, or intraday queue availability.", "Same-day controls match board, prior drawdown/run-up and liquidity tier; observational matching reduces confounding but does not establish causality.", "Signals are de-duplicated per symbol and signal stage; overlapping market-wide events remain correlated and are handled approximately with stock/month two-way clustering.", "Historical conditional frequency, even when statistically stable, cannot guarantee future profits and is sensitive to regime, costs and implementation." ] }