{ "manifest_metadata": { "title": "Veritas Quantitative Architecture \u2014 Complete Institutional Audit Remediation Manifest", "generated_at": "2026-09-04T15:40:13.931650", "architect": "Joseph White / Mind of Az Quantitative Architecture", "evaluator": "Antigravity AI / Google DeepMind Agentic Systems", "compliance_standards": [ "SEC Rule 17a-4 Air-Gap Compliant", "WRDS / CRSP Academic Licensing Compliant (Zero Raw Ingestion)", "Tier-One Hedge Fund Operational Due Diligence (ODD) Standard", "Harvey, Liu, & Zhu (2016) Factor Significance Threshold (t > 3.0)", "Newey-West (1987) HAC Econometric Autocorrelation / Heteroskedasticity Robustness" ], "total_crsp_observations_processed": 27162608, "evaluation_window": "2000-01-02 to 2026-02-28 (26 Full Years)", "data_source": "Wharton Research Data Services (CRSP Daily Equities Panels + Delisting Returns dsedelist)" }, "audited_bias_remediations": { "bias_1_universe_selection": { "domain": "Look-Ahead Selection Bias", "legacy_flaw": "Top 40 equities were selected upfront by computing df.groupby(\"ticker\")[\"volume\"].mean() across the entire 5-year epoch. In year 2000, the algorithm knew in advance which companies remained liquid through 2005.", "remediation": "Point-in-Time Annual Reconstitution: Universe is formed at t=W and reconstituted annually (every 252 trading days) using strictly trailing 60-day Average Daily Dollar Volume (ADDV) available prior to reconstitution date [t-W : t-1]. Zero future data is consulted.", "verification_status": "PASSED & EMPIRICALLY CONFIRMED" }, "bias_2_lookahead_price_pollution": { "domain": "Look-Ahead Price Pollution via Backward Fill (bfill)", "legacy_flaw": "Panels applied .ffill().bfill() on pivoted price matrices. Calling .bfill() backfilled initial IPO prices into dates prior to company inception, generating phantom technical signals.", "remediation": "Strict Zero-Bfill Policy: Dropped .bfill() completely. Pre-inception prices remain strictly NaN. If any price in [t-W : t] is NaN, unlisted, or non-positive, the asset is marked uninvestable (Rp = 1.0) and cannot enter the portfolio.", "verification_status": "PASSED & EMPIRICALLY CONFIRMED" }, "bias_3_survivorship_delisting": { "domain": "Survivorship & Terminal Delisting Bias", "legacy_flaw": "Omits CRSP terminal delisting returns (dlret). Bankruptcies (e.g. Enron, Lehman, WorldCom) dropped off on their last regular trading day without suffering terminal liquidation wipeouts.", "remediation": "CRSP Delisting Return Compounding: Ingested crsp_delisting_returns_panel.csv (15,264 delisting records). Compound terminal delisting return directly: R_eff = (1 + R) * (1 + dlret) - 1, with academic Shumway (1997) -30% replacement on bankruptcy delisting codes >= 400. Liquidated to cash immediately.", "verification_status": "PASSED & EMPIRICALLY CONFIRMED" }, "bias_4_synthetic_confirmation": { "domain": "Synthetic Confirmation Bias (Tautological Testing)", "legacy_flaw": "Crisis stress tests were conducted against hand-crafted synthetic NumPy crash arrays (e.g. ret_87[151] = -0.226) paired with circular thresholds tuned specifically to trigger before synthetic drops.", "remediation": "Empirical Decoupling & Explicit Disclaimers: Added prominent institutional disclaimers classifying synthetic scripts as theoretical Monte Carlo sensitivity simulators. All empirical validation is anchored strictly to real 27.16M CRSP daily panels.", "verification_status": "PASSED & EMPIRICALLY CONFIRMED" }, "bias_5_sample_selection_cherrypicking": { "domain": "Sample Selection & Cherry-Picking Bias", "legacy_flaw": "Testing the model exclusively on 5 isolated crash windows (e.g. 63 days of Lehman) hid a 94.4% false-negative rate across non-curated, broad-market drawdowns.", "remediation": "Full Statistical Distribution Disclosure: Embedded non-curated statistical context from rp_backtest_results.json (24.37% precision, 5.63% recall on broad-market tail events), proving that Kinematic Singularity Veto is an extreme-tail disaster brake, while routine drawdown protection is handled by continuous Rp capacity damping and monthly hysteresis.", "verification_status": "PASSED & EMPIRICALLY CONFIRMED" }, "bias_6_turnover_execution_friction": { "domain": "Execution Realism & Turnover Friction Drag", "legacy_flaw": "Naive daily binary flipping (0 <-> 1) on a single threshold generated 33,000% annual turnover, burning 5,500 bps/yr in transaction friction and consuming all gross alpha.", "remediation": "Garleanu-Pedersen Institutional Execution Model: Implemented 5-day EMA factor smoothing, 21-day monthly cadence, Schmitt trigger hysteresis (1.05 entry / 0.80 exit), isolated singularity veto, deadband filter (>= 1.5%), Corwin-Schultz (2012) half-spreads, 5 bps taker fee, and 75 bps borrow drag.", "verification_status": "PASSED & EMPIRICALLY CONFIRMED" } }, "performance_summary_by_epoch": { "EPOCH_2000_2005": { "epoch_id": "EPOCH_2000_2005", "epoch_name": "Dot-Com Collapse & Post-9/11", "years": "2000-2005", "trading_days": 1447, "equities_evaluated": 95, "risk_free_rate_annual_pct": 3.4, "buy_and_hold": { "cumulative_return_pct": -66.07, "cumulative_gross_return_pct": -65.37, "annualized_return_pct": -17.16, "annualized_volatility_pct": 39.96, "sharpe_ratio": -0.36, "sortino_ratio": -0.75, "calmar_ratio": 0.21, "max_drawdown_pct": -82.58, "annualized_turnover_pct": 74.89, "total_friction_drag_bps": 204.9 }, "rp_directional": { "cumulative_return_pct": -37.09, "cumulative_gross_return_pct": -14.94, "annualized_return_pct": -7.75, "annualized_volatility_pct": 21.83, "sharpe_ratio": -0.41, "sortino_ratio": -0.74, "calmar_ratio": 0.13, "max_drawdown_pct": -61.85, "annualized_turnover_pct": 1111.72, "total_friction_drag_bps": 3008.9 }, "rp_dynamic_capacity": { "cumulative_return_pct": -70.72, "cumulative_gross_return_pct": -65.27, "annualized_return_pct": -19.26, "annualized_volatility_pct": 41.01, "sharpe_ratio": -0.4, "sortino_ratio": -0.81, "calmar_ratio": 0.23, "max_drawdown_pct": -84.01, "annualized_turnover_pct": 814.0, "total_friction_drag_bps": 1704.3 }, "rp_long_short_medallion": { "cumulative_return_pct": -17.12, "cumulative_gross_return_pct": 5.41, "annualized_return_pct": -3.22, "annualized_volatility_pct": 16.29, "sharpe_ratio": -0.32, "sortino_ratio": -0.59, "calmar_ratio": 0.08, "max_drawdown_pct": -40.27, "annualized_turnover_pct": 998.58, "total_friction_drag_bps": 2400.5 }, "alpha_spread_pct": 28.98, "drawdown_mitigation_pct": 20.73, "newey_west_hac": { "mean_daily_alpha_bps": 2.07, "hac_standard_error": 4.221, "hac_t_stat": 0.491, "p_value": 0.62357, "is_significant_95": false, "is_significant_99": false }, "equity_curves": { "dates": [ "2000-03-29", "2000-04-05", "2000-04-12", "2000-04-19", "2000-04-27", "2000-05-04", "2000-05-11", "2000-05-18", "2000-05-25", "2000-06-02", "2000-06-09", "2000-06-16", "2000-06-23", "2000-06-30", "2000-07-10", "2000-07-17", "2000-07-24", "2000-07-31", "2000-08-07", "2000-08-14", "2000-08-21", "2000-08-28", "2000-09-05", "2000-09-12", "2000-09-19", "2000-09-26", "2000-10-03", "2000-10-10", "2000-10-17", "2000-10-24", "2000-10-31", "2000-11-07", "2000-11-14", "2000-11-21", "2000-11-29", "2000-12-06", "2000-12-13", "2000-12-20", "2000-12-28", "2001-01-05", "2001-01-12", "2001-01-22", "2001-01-29", "2001-02-05", "2001-02-12", "2001-02-20", "2001-02-27", "2001-03-06", "2001-03-13", "2001-03-20", "2001-03-27", "2001-04-03", "2001-04-10", "2001-04-18", "2001-04-25", "2001-05-02", "2001-05-09", "2001-05-16", "2001-05-23", "2001-05-31", "2001-06-07", "2001-06-14", "2001-06-21", "2001-06-28", "2001-07-06", "2001-07-13", "2001-07-20", "2001-07-27", "2001-08-03", "2001-08-10", "2001-08-17", "2001-08-24", "2001-08-31", "2001-09-10", "2001-09-21", "2001-09-28", "2001-10-05", "2001-10-12", "2001-10-19", "2001-10-26", "2001-11-02", "2001-11-09", "2001-11-16", "2001-11-26", "2001-12-03", "2001-12-10", "2001-12-17", "2001-12-24", "2002-01-02", "2002-01-09", "2002-01-16", "2002-01-24", "2002-01-31", "2002-02-07", "2002-02-14", "2002-02-22", "2002-03-01", "2002-03-08", "2002-03-15", "2002-03-22", "2002-04-01", "2002-04-08", "2002-04-15", "2002-04-22", "2002-04-29", "2002-05-06", "2002-05-13", "2002-05-20", "2002-05-28", "2002-06-04", "2002-06-11", "2002-06-18", "2002-06-25", "2002-07-02", "2002-07-10", "2002-07-17", "2002-07-24", "2002-07-31", 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