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).

docs/arc-4-breadth-and-controls.md

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+# Arc 4 — breadth and beta controls: what survives 21 instruments and a no-signal baseline?
+
+**Date:** 2026-07-13
+**Engine:** aura @ `84e1075` (release build)
+**Campaigns:** `research/campaign-arc4-breadth-{bo-h1,mom-vnorm}.json`,
+`research/campaign-control-always-long{,-breadth}.json`
+
+## Method
+
+The two threads that survived Arcs 2–3 — the H1 breakout (XAUUSD cell) and
+vol-normalized H1 momentum (US500 cell) — run across every archive instrument
+with gapless 2018–2026 m1 coverage (21 instruments: 4 Arc-1 originals + US30,
+NAS100, UK100, JPN225, HK50, FRA40, GBPUSD, USDJPY, AUDUSD, USDCAD, USDCHF,
+NZDUSD, EURAUD, XAGUSD, NatGas, BTCUSD, ETHUSD; Copper dropped — its archive
+is missing 2018-01..2018-10), under the two wide-stop regimes (vol{60, k6},
+vol{60, k12}), slippage cost, Arc-1 pipeline.
+
+Beside them ran the **beta control**: a constant bias=+1 blueprint (no signal
+at all) on the same matrix. Every candidate cell is read against always-long
+on the same (instrument, regime): a "positive" that does not beat the
+no-signal baseline is long-beta in a trending market, not signal.
+
+## Findings
+
+1. **The breakout does not survive the control anywhere.** Its breadth flags
+   (pooled WF-OOS gross, P(E[R]≤0) < 0.15: ETHUSD, JPN225, XAUUSD both
+   regimes; XAGUSD, BTCUSD, US30 at k12) are all on assets that trended —
+   and on the metals and crypto the always-long baseline crushes it
+   (XAUUSD: control +0.78–0.81 at P 0.002–0.003 vs candidate +0.12–0.14 at
+   P 0.08). FX is the mirror image: the breakout is significantly *negative*
+   on EURUSD and EURAUD (P(≤0) up to 0.995). Verdict: the H1 channel
+   breakout, in every variant this project has tried (trend gate, vol gate,
+   H4 port, four stop regimes, costed and gross), is beta at best and
+   anti-signal on FX. This thread is closed.
+
+2. **Vol-normalized momentum shows a real cross-sectional lean.** 12 of 42
+   cells flag at P < 0.15 — five instruments flag at P < 0.05 in *both*
+   regimes (USDJPY 0.000/0.010, ETHUSD 0.000/0.019, NatGas 0.017/0.020,
+   FRA40 0.018/0.024, US500 0.036/0.044) — while the negative tail is empty
+   (worst cell P = 0.845). Chance at this threshold across ~21 effective
+   tries produces roughly one such pair, not five with a one-sided tail.
+
+3. **Two momentum cells beat the no-signal baseline outright** — the only
+   ones in the whole program:
+   - **FRA40, both regimes:** candidate +0.140 (P 0.018) / +0.099 (P 0.024)
+     vs always-long −0.065 (P 0.670) / +0.051 (P 0.368). On an index whose
+     buy-and-hold R-stream is flat, the timing itself generates the
+     expectancy.
+   - **NatGas at k6:** +0.131 (P 0.017) vs +0.073 (P 0.338).
+   The other flags (USDJPY, ETHUSD, US500, NatGas k12) are "mixed": more
+   consistent than beta (lower P) but smaller per trade — with no
+   benchmark-relative stage in the pipeline (Brummel/Aura#263) they are not
+   distinguishable from diluted beta plus short-side noise.
+
+4. **Classification: candidate, not edge.** The FRA40/NatGas result is
+   gross of constant spread costs (slippage-only; per-instrument constant
+   costs on a 21-instrument matrix are inexpressible, Brummel/Aura#260), the
+   OOS bootstrap is gross-only (Brummel/Aura#259), and the effect is two
+   instruments out of 21. What it has earned is a focused follow-up arc:
+   per-instrument costed campaigns for the five double-flagged instruments,
+   a long-only vs long-short decomposition (does the short side contribute?),
+   and sensitivity outside the {24,72,120} grid.
+
+## Performance (is the engine in its expected envelope?)
+
+All numbers from this session's serial campaign loops on a 24-core box,
+engine `84e1075` release:
+
+| workload | measured | baseline / expectation |
+|---|---|---|
+| single `aura run`, 8.5 y m1, GER40 | 2.97 s | Arc 0: "~3 s" ✓ |
+| campaign cell (9-member grid + 90/30 WF + 1000-resample MC) | 11–13 s | Arc 1: 9.5 s/cell (no cost nodes) — +15–25 % with cost model, linear across 16 campaigns ✓ |
+| FX cells vs index cells | ~2× | matches ~1.6× larger m1 files (tick density) ✓ |
+| 42-cell breadth campaign | 493–495 s | linear ✓ |
+| 42-cell one-member control | 98 s | streaming+WF dominates over member count |
+
+Not in the expected envelope, filed as engine findings: the executor
+averages ~14 of 24 cores with a thread count oscillating 1 ↔ 240
+(unbounded per-sim fan-out bursts, multi-second 10-thread plateaus,
+single-threaded valleys — Brummel/Aura#268, with NFS/page-cache
+re-paging measured and ruled out: ~15 MB/s syscall reads vs ~73 KB/s on
+the wire, 1.4 GB archive in ~12 GB page cache). A 21-instrument campaign
+also aborts wholesale minutes into the run when one instrument has a data
+gap (Copper), which the data-free validate cannot catch —
+evidence attached to Brummel/Aura#264.
+
+## Verdict
+
+The exploration closes honest: every breakout variant is dead (beta or
+anti-signal), four of six new families are nulls, and one family —
+vol-normalized H1 momentum — leaves with a genuine, replicated,
+control-beating candidate on FRA40 (and NatGas at k6) plus a one-sided
+positive tail across the universe. Next work, in order of information per
+compute: costed per-instrument reruns of the five double-flagged momentum
+cells; a short-side decomposition; then, only if both hold, parameter
+robustness beyond the coarse grid.

research/campaign-arc4-breadth-bo-h1.json

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+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "arc4-breadth-bo-h1",
+  "description": "Arc 4 breadth test of the H1 breakout: the arc2c survivor question asked across the whole archive universe with gapless 2018-2026 m1 coverage (21 instruments: indices, FX majors and crosses, metals, energy, crypto; Copper dropped \u2014 its archive is missing 2018-01..2018-10). Wide-stop regimes only (vol{60,k6}, vol{60,k12}) where the XAUUSD cell survived deflation and costs; vol slippage cost. If the XAUUSD result is signal rather than gold-specific luck, related instruments (XAGUSD, other trending assets) should lean the same way; if it is isolated, the generalize floor and sign-agreement will say so.",
+  "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": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d"
+      },
+      "axes": {
+        "channel_hi.length": {
+          "kind": "I64",
+          "values": [
+            24,
+            48,
+            96
+          ]
+        },
+        "channel_lo.length": {
+          "kind": "I64",
+          "values": [
+            24,
+            48,
+            96
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}

research/campaign-arc4-breadth-mom-vnorm.json

@@ -0,0 +1,95 @@
+{
+  "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"
+    ]
+  }
+}

research/campaign-control-always-long-breadth.json

@@ -0,0 +1,85 @@
+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "control-always-long-breadth",
+  "description": "Beta control for the arc4 breadth tests: the constant bias=+1 strategy on the full 21-instrument universe under the arc4 regimes (vol{60,k6}, vol{60,k12}) and slippage cost. Every arc4 candidate cell is read against this baseline: a candidate whose pooled-OOS statistics do not clearly beat always-long on the same instrument and regime is long-beta, not signal.",
+  "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": "198ca420039925af330f120376836d9c49a167b26e81324cb4857f5c20f81a44"
+      },
+      "axes": {
+        "always_long.value": {
+          "kind": "F64",
+          "values": [
+            1.0
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}