spb/anomaly-atlas Public License

1---2project: anomaly-atlas3document: expE_calendar_scan/analysis4author: Simon-Pierre Boucher5contact: contact@spboucher.ai6data_source: hfmarketdata.io7created: 2026-08-128modified: 2026-08-129status: reviewed10---1112# Analysis — expE_calendar_scan1314Run: `results/expE_calendar_scan/20260812T065222Z/results.json` (protocol and158-test budget pre-specified; single declared instrument SPY; permuted-calendar16null n=2000; manifest embedded). Level 0 throughout.1718## 1. The calendar is empty (and that is the finding)1920| class | observed (bp) | perm 95% band | p family-wise |21|---|---|---|---|22| mon | −1.4 | [−7.9, +7.9] | 1.00 |23| tue | +4.0 | [−7.9, +8.0] | 0.99 |24| fri | −3.8 | [−8.0, +8.2] | 0.99 |25| **turn_of_month** | **+4.7** | [−8.2, +8.3] | **0.97** |26| pre_holiday | +5.7 | [−20.8, +21.0] | 0.93 |27| post_holiday | +2.9 | [−21.2, +20.7] | 1.00 |2829Every dot inside its band; zero FDR rejections; the family-wise max-stat30(mini reality check) never gets close. **Turn-of-month — the last calendar31survivor as of Marquering et al. (2006) — fails the permuted-calendar bar32in train (2000–2016) and decays inside it** (+7.9 bp in 2000–2007 → +1.6 bp33in 2008–2015). This is exactly the Sullivan–Timmermann–White prediction,34reproduced on open data with an honest budget.3536## 2. Controls behaved — the negative is trustworthy3738* **Monday (negative control)**: −1.4 bp, p 0.73. Had the pipeline "found"39  the canonical corpse, the pipeline would have been declared broken (the40  pre-registered criterion). It did not.41* **H20 U-shape (positive control)**: strongly present. Volatility 6.6 bp42  (09:30) → 2.4 (midday) → 2.9 (15:30); EDGE spread **declines monotonically43  2.8 → 1.2 bp** — the spread profile is an L, not a U (the close's44  liquidity is cheap; the open's is expensive). Both numbers now live in the45  taxonomy: any first-30-minutes return claim fights 2–3× the midday46  artifact level, and open-heavy strategies pay double spread.4748## 3. Honest caveats4950Holiday classes have n=144 → bands of ±21 bp: low power, reported as such51(absence of evidence here is weak evidence of absence). Single instrument by52design — cross-sectional calendar claims were deliberately out of budget.5354## 4. Hand-off5556Nothing from expE enters the expF candidate pool. Candidate 02 (H1357turn-of-month) keeps its pre-registered validation protocol but now carries58a strong dead-on-arrival prior — the honest expectation is a Level-1-fails59negative finding for the atlas. expF (correction battery) is next.60