{
  "declared_before_new_outcomes": true,
  "all_history_exploratory": true,
  "no_tradable_portfolio": true,
  "hypotheses": {
    "earnings": "Same-company / same-broker / same-fiscal-year upward revisions should relate positively to subsequent relative industry prices beyond past momentum. Price-following analyst revisions are a competing explanation.",
    "iv": "Lagged CYB IV should improve future variance forecasts over a calibrated own-realized-variance model. Term slope needs incremental improvement beyond IV level.",
    "transfer": "CYB option information should improve forecasts for the actual selected industry ETF too, not just CYB itself."
  },
  "earnings": {
    "start": "20190701",
    "last_signal": "20260630",
    "prediction_fy": "calendar year of signal, Q4",
    "cut": "previous China session; no same-day reports",
    "snapshots": "Latest report per company/broker/FY in each of two consecutive90-calendar-day windows.",
    "stock": "At least2 matched brokers, positive old and new annual NP; median of same-broker percentage revisions.",
    "industry": "Current SW L1 membership filtered by in_date; min10 valid companies and20% coverage; NOT historical membership.",
    "raw_control": "Legacy recent90 mean / preceding180 mean -1, mixing fiscal years and brokers; same eligible industries.",
    "target": "SW2021 price index from next-session close to22nd-session close (21 returns), no dividends or execution costs; diagnostic only.",
    "control": "Per-date rank correlation residualized on ranks of index40-session momentum and60-session variance, min15 industries.",
    "inference": "Mean monthly IC; 6-month moving-block bootstrap2000; no multiple-search adjustment; pre/after20240812."
  },
  "volatility": {
    "start": "20220919",
    "features": "Previous China session own60-session mean squared return*244, CYB IV30 squared, log(IV30/IV90). No filling.",
    "target": "20 daily squared returns, from signal+2 through signal+21; matches holding after next-close entry.",
    "cases": [
      "CYB",
      "actual_industry_holding"
    ],
    "holding": "Baseline post-close largest actual industry weight; exclude cash dates; measure fixed ETF future risk, not changing portfolio.",
    "models": [
      "persistence",
      "rv_calibrated",
      "rv_plus_iv",
      "rv_plus_iv_term"
    ],
    "training": "Monthly expanding OLS of log future variance; min126 complete prior observations; label end strictly before refit day.",
    "loss": "QLIKE ratio loss and mean absolute log variance error; common evaluation dates; monthly-cluster 3-month moving-block bootstrap2000.",
    "guard": "variance floor1e-8 and ceiling4 for numerical stability, fixed before results.",
    "verdict": "Increment must lower both errors overall and in both available early/late segments; QLIKE paired95% upper bound below0 supports increment. Missing segment means insufficient evidence."
  },
  "no_research_grid": true,
  "no_cagr_target_screening": true,
  "source_caveats": [
    "Current industry membership",
    "Report history lacks first-ingestion vintages and analyst IDs",
    "SW price index is not a directly traded ETF",
    "CYB IV settlement/fixed-rate approximation",
    "Known prior history has been explored"
  ]
}