SEC Filing Downside Risk Model
Generated 2026-07-20 01:57:38.349029+00:00 | version 20260719T191251Z
production_model_collecting_prospective_paper_evidence
Promotion Decision
production_alias_preserved_paper_risk_output_only
The production alias is an operational paper-research output only. It may estimate a case-specific downside envelope for stop-loss research, but it cannot size a position, submit an order, enable live trading, or replace prospective fill testing.
Point-in-Time Contract
Each event uses an SEC section comparison available before the price input cutoff. The price cutoff is the first market close on a date strictly after filing availability. The target is the lowest split-adjusted intraday price over the next 20 sessions. Training and validation labels are purged before the next chronological block.
Training 2007-04-02 to 2024-01-18; validation 2024-02-16 to 2025-01-28; historical holdout 2025-02-27 to 2026-06-12.
The date block was observed in aggregate as the price-only ablation of a rejected predecessor. Treat it as a historical holdout, not a pristine final test; prospective paper outcomes remain mandatory before any decision or order authority.
Promotion Gates
| Gate | Result |
|---|---|
| conservative_envelope_coverage | passed |
| conservative_envelope_sharpness | passed |
| mae_lift_vs_constant | passed |
| minimum_historical_holdout_rows | passed |
| minimum_training_rows | passed |
| minimum_validation_rows | passed |
| purged_temporal_order | passed |
| rank_correlation | passed |
| risk_quintile_separation | passed |
| rmse_lift_vs_constant | passed |
| semantic_residual_validation_gate_obeyed | passed |
Largest Standardized Coefficients
| Feature | Coefficient |
|---|---|
| price_intercept | 2.146838 |
| price::average_range_20 | 0.215664 |
| price::drawdown_63 | 0.107025 |
| price::downside_volatility_20 | -0.079719 |
| price::return_5 | -0.073658 |
| price::volatility_20 | 0.073093 |
| price::volume_z_20 | 0.065236 |
| price::form_10k | 0.056962 |
| price::volatility_63 | -0.046918 |
| price::return_20 | -0.042000 |
| price::return_63 | 0.022972 |
| price::form_20f | 0.018518 |
| price::log_dollar_volume_20 | 0.002246 |
| price::form_10q | 0.000000 |
| price::form_40f | 0.000000 |
Known Boundary
This is an end-of-day research model, not an intraday stop executor. The 80% envelope is a conservative risk estimate rather than a guaranteed loss cap. Before it influences paper orders, it still requires 100 strictly prospective matured predictions plus execution and gap-risk integration. Semantic section residuals are automatically disabled unless validation demonstrates at least 1% incremental RMSE value.