Financial research revalidation

Coincident, Not Leading · 2026-10-18

US57 Table 8 margins and the completed 30-model Phase34 sensitivity audit. This is separate from MiDM generic decision benchmarks and per-RT scenario hit rates.

Computational verification is complete. Manuscript integration and information-time/price certification remain pending. The validation-selected model interval includes zero; stable positive returns are not established.

Table 8 — US57 median dominance margins

Signal	Market return	Down magnitude	Up magnitude
raw_original	0.01738634	0.03029602	-0.00850577
factor_residual	0.01307724	0.02792290	-0.03853288

57 models per cell; original Phase34 excluded. Median of model-specific near-band minus outer-band maximum absolute correlation. No new correlations or p-values.

Table 8 CSV

Phase34 — 30/30 complete

Test signals: 2025-01-02–2026-07-10; last exit: 2026-07-17. Three stocks per day; next-open entry; signal+5-session close exit; round-trip cost 0.30%.

Across-model mean next-open net trade EV: 0.794%; median: 0.881%. These are correlated descriptive estimates.

Validation-selected model: 34-3-US_base_plus_kr_market_mlp__mlp
Next-open net trade EV: 0.478%
95% date-block interval: -0.422% to 1.345%; AUC 0.9319.

Model (validation-score order)	Selected	Test AUC	Next-open net trade EV
34-3-US_base_plus_kr_market_mlp__mlp	✓	0.9319	0.478%
34-4-US_base_plus_kr_flow_ft__ft		0.9353	1.134%
34-2-US_base_plus_us_macro_ft__ft		0.9343	0.450%
34-6-US_macro_kr_market_ft__ft		0.9337	0.860%
34-10-US_macro_kr_full_wide_resnet__resnet		0.9308	1.221%
34-8-US_macro_kr_short_mlp__mlp		0.9300	0.891%
34-1-US_base_phase32_arch_mlp__mlp		0.9371	0.981%
34-8-US_macro_kr_short_resnet__resnet		0.9283	0.880%
34-4-US_base_plus_kr_flow_mlp__mlp		0.9343	0.552%
34-5-US_base_plus_kr_short_mlp__mlp		0.9308	0.760%
34-9-US_kr_full_cross_market_mlp__mlp		0.9326	0.961%
34-6-US_macro_kr_market_mlp__mlp		0.9345	0.812%
34-7-US_macro_kr_flow_mlp__mlp		0.9317	0.952%
34-2-US_base_plus_us_macro_resnet__resnet		0.9315	0.974%
34-10-US_macro_kr_full_wide_mlp__mlp		0.9341	0.916%
34-2-US_base_plus_us_macro_mlp__mlp		0.9298	0.968%
34-7-US_macro_kr_flow_resnet__resnet		0.9301	0.980%
34-6-US_macro_kr_market_resnet__resnet		0.9298	0.882%
34-1-US_base_phase32_arch_resnet__resnet		0.9257	0.604%
34-5-US_base_plus_kr_short_resnet__resnet		0.9326	1.141%
34-4-US_base_plus_kr_flow_resnet__resnet		0.9282	0.631%
34-9-US_kr_full_cross_market_resnet__resnet		0.9272	0.967%
34-8-US_macro_kr_short_ft__ft		0.9345	0.867%
34-3-US_base_plus_kr_market_resnet__resnet		0.9098	0.885%
34-1-US_base_phase32_arch_ft__ft		0.9338	0.774%
34-7-US_macro_kr_flow_ft__ft		0.9319	0.116%
34-9-US_kr_full_cross_market_ft__ft		0.9311	0.456%
34-5-US_base_plus_kr_short_ft__ft		0.9355	0.948%
34-3-US_base_plus_kr_market_ft__ft		0.9315	0.503%
34-10-US_macro_kr_full_wide_ft__ft		0.9320	0.291%

Audit scope / 검증 범위

30 × 189,766 saved held-out predictions were rechecked. Classification metrics, daily top3 selections, direct-price EVs and the close/open/overnight identity were reconciled. Five-session date-block intervals use 10,000 replicates; no p-value is inferred from bootstrap positivity.

EV is not portfolio NAV or benchmark alpha. Frozen features/eligibility, provider/corporate-action certification and identical-purged-row original-label counterparts remain unresolved. The original US57 cohort is not pooled with the new 30-model arm. This is an aggregate release; private underlying files and scripts are not uploaded.

30-model CSV · Full-precision summary · Audit checks · Method/results note · GitHub documentation