research: Arc 4 — breadth and beta controls; momentum candidate on FRA40

Runs the two surviving threads (H1 breakout, vol-normalized H1 momentum) across the 21-instrument gapless universe under the wide-stop regimes, beside an always-long beta control on the same matrix. The breakout dies everywhere (beta on trending assets, significantly negative on FX); momentum shows a one-sided positive cross-sectional tail with five double-regime flags, of which FRA40 (both regimes) and NatGas (k6) beat the no-signal baseline outright — the only control-beating cells of the whole program. Includes the engine performance envelope (single run 2.97 s vs Arc-0 ~3 s; 11-13 s/cell; executor fan-out findings refs Brummel/Aura#268, data-gap abort refs Brummel/Aura#264).
2026-07-13 18:36:57 +02:00
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+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "arc4-breadth-mom-vnorm",
+  "description": "Arc 4 breadth test of vol-normalized H1 momentum: the only family with a regime-robust WF-OOS positive (US500, P(E[R]<=0) < 0.05 in all three arc3 regimes) asked across the 21-instrument universe. Wide-stop regimes (vol{60,k6}, vol{60,k12}), vol slippage cost. If risk-adjusted momentum is a genuine cross-asset effect, the index family should lean positive together; a lone US500 flag with 0-sign-agreement elsewhere reads as selection luck across the arc3 program.",
+  "seed": 0,
+  "data": {
+    "instruments": [
+      "GER40",
+      "US500",
+      "EURUSD",
+      "XAUUSD",
+      "US30",
+      "NAS100",
+      "UK100",
+      "JPN225",
+      "HK50",
+      "FRA40",
+      "GBPUSD",
+      "USDJPY",
+      "AUDUSD",
+      "USDCAD",
+      "USDCHF",
+      "NZDUSD",
+      "EURAUD",
+      "XAGUSD",
+      "NatGas",
+      "BTCUSD",
+      "ETHUSD"
+    ],
+    "windows": [
+      {
+        "from_ms": 1514764800000,
+        "to_ms": 1782863999999
+      }
+    ]
+  },
+  "risk": [
+    {
+      "vol": {
+        "length": 60,
+        "k": 6.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 12.0
+      }
+    }
+  ],
+  "cost": [
+    {
+      "vol_slippage": {
+        "slip_vol_mult": 0.1
+      }
+    }
+  ],
+  "strategies": [
+    {
+      "ref": {
+        "content_id": "05045dfaa1e399c12505e21dc87c36a61b7bbfda75c0bebc2e95a9be5bfd9e42"
+      },
+      "axes": {
+        "mom_lag.lag": {
+          "kind": "I64",
+          "values": [
+            24,
+            72,
+            120
+          ]
+        },
+        "vol_avg.length": {
+          "kind": "I64",
+          "values": [
+            24,
+            72,
+            120
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}