MK3 regime-design inputs: lead-lag study + re-entry churn
Two design questions surfaced 2026-05-15 that belong in the MK3 spike, not MK2. Both are regime-detection inputs. Neither is a Codex script - they are analyses to run during MK3 design against the corpus + the purchased 1-year UW bundle.
1. Lead-lag / predictive-power study (calibrates the “early and right” mandate)
User hypothesis under test: “Tide leads price.” Held as a directional prior,
explicitly to be tested, not assumed. The engine already consumes Market Tide
as the Premium Flow pillar (14 pf_* features per scoring_event:
pf_tide_dir, pf_short_tide_dir, pf_tide_roc, pf_net_prem_dir,
pf_net_prem_accel_dir, pf_intraday_reversal_dir, pf_reversal_mode, …).
The data is captured; what is NOT established is whether Tide actually leads
price, and whether it leads better than the alternatives.
The study. Measure lead-lag / forward-predictive power of each candidate leading signal against forward SPY and forward suggested-option returns at multiple horizons (e.g. 1/3/5/15/30 min), across regimes:
| Candidate | Source |
|---|---|
Market Tide (pf_tide_dir, pf_net_prem_accel_dir, short-vs-day divergence) | scoring_events |
| IMPULSE engine conviction (by trigger: hiro / strike_stack / compound) | scoring_events.trigger + feature_json |
| Composite score | scoring_events.score |
Dealer / gamma positioning (dp_*) | scoring_events |
| Raw price momentum / VWAP-extension | session_features |
Method: cross-correlation lead-lag + conditional forward-return / predictive feature importance. Run on (a) the live corpus (with #103 counterfactual backfill + 109 canonical P&L now clean) and (b) the 1-year historical UW bundle (the regime-spread backtest already scoped in the mk3-build-week plan).
Output: which signal leads, by how many seconds/minutes, and whether the
lead is stable across regimes. This is the empirical calibration of the
“early and right” mandate - “early” must be anchored to whatever the study
shows actually leads. Today’s corpus work already shows IMPULSE ≈ baseline
except hiro+strike_stack, so “Impulse leads” is also unconfirmed. Settle it
with measurement.
Worked example to include (today’s losses): BULL entries 09:35 and 09:58
fired at score 67-68 with pf_net_prem_accel_dir = -1.0 (Tide net-premium
accelerating DOWN - the UW guide’s explicit bearish criterion) → both lost.
Aggregate today: 24 BULL entries (avg pf_tide_dir +0.27, weak) vs 7 BEAR
(avg -0.39, strong) while the day’s tide was net bearish (NCP -271M). The
composite has the Tide signal and underweights it (structural Dealer/Vol BULL
bias drowns it). If the study confirms Tide leads, the design implication is a
Tide-divergence regime veto: when composite bias opposes Tide-acceleration,
skip or fade.
2. Re-entry / churn vs single-hold (over-trading)
Question: on a clustered signal, does rapid re-entry destroy value vs. taking one position and holding it through the cluster?
Worked example: 2026-05-15 trades #509 (740C, +0 scratch, 12:06), #510 (741C, +400, 12:09), #511 (741C, open/losing, 12:12) - three re-entries on the same BULL thesis in 6 minutes, each trail-exiting near scratch while the underlying move (if any) was chopped into fragments. Same over-trading concern the user has raised repeatedly (“fewer trades, just the winners”).
The analysis (MK3 design, data already present): reconstruct “single
position held from first cluster entry through last cluster exit” vs “the
actual N-trade churn” from trade_path_snapshots + signal-cluster timing.
Slots next to the existing findings on
2026-05-14-five-corpus-rules-for-mk3: post-loss cooldown (after 1 loss WR
65%→49%), hold-time (<2min 76% WR vs 10-20min 37%). Re-entry churn is the same
family: a debounce / position-hold-policy decision for MK3.
Why both are MK3, not MK2
Signal/strategy changes bias the live corpus and burn Codex cycles on a system being replaced (the week’s standing discipline: only data-integrity gets MK2 patches; signal/regime → MK3). The data to answer both already exists in the corpus and the 1Y bundle. These are spike design inputs, not scripts.
Links
- 2026-05-14-five-corpus-rules-for-mk3 - adjacent regime findings
- 2026-05-14-trailing-stop-corpus-validation - exit-side (done in MK2)
- project_impulse_corpus_may14 - IMPULSE ≈ baseline except hiro+strike_stack
- project_early_and_right_mandate - the mandate this study calibrates
- mk3-build-week plan - 1Y regime-spread backtest (the bundle)
- Tasks #85 (regime gate), #95 (MK3 spike), #100 (THESIS lag / TP-SL)