# Frozen research design parameters (see docs/RESEARCH_DESIGN.md). Changing a value requires a DECISIONS.md entry.
seed: 20261102
sample:
  start: 2012-01-01
  end: 2026-10-30
  min_quarters_per_firm: 8
  min_price_usd: 1.0                 # at cutoff, raw close
  min_regular_bars_per_day: 100      # sessions with fewer 1m regular-session bars are "sparse"
  min_valid_days_in_window: 15       # out of the 20-trading-day feature window
cutoffs:
  event_time_horizons_td: [40, 20, 10, 5, 1]   # trading days before the earnings release date A_q
  primary_horizon_td: 20
  fixed_calendar: month_end                     # last trading day of each month
  embargo_rule: "cutoff c < min(A_q, F_q); bars with session_date <= c only; fundamentals with available_at <= c only"
feature_window:
  short_td: 20
  long_td: 60
frequencies: [1d, 30m, 5m, 1m]
targets:
  primary:
    name: adverse_opinc_surprise
    variable: op_inc
    expectation: seasonal_random_walk_with_drift   # E[X_q] = X_{q-4} + mean(X_{q-1-k} - X_{q-5-k}, k=0..3), PIT
    scale: assets_tot (latest available)
    threshold: -0.005                               # surprise <= -0.5% of total assets
  continuous_primary: scaled_opinc_surprise
  secondary:
    - {name: roa_yoy_decline, rule: "roa_q - roa_{q-4} <= -0.01"}
    - {name: ocf_innovation_negative, rule: "(cash_op_q - cash_op_{q-4})/assets <= -0.01"}
    - {name: liquidity_deterioration, rule: "current ratio falls >= 10% yoy OR interest coverage falls below 1 from >= 1"}
    - {name: eps_miss, rule: "eps_reported < eps_estimate (vendor estimate, exploratory)"}
splits:
  train: [2012-01-01, 2018-12-31]
  validation: [2019-01-01, 2020-12-31]
  test: [2021-01-01, 2026-10-30]
  walk_forward: {first_test_year: 2016, embargo_quarters: 1}
  firm_holdout_fraction: 0.2
inference:
  cluster: [entity_id, calendar_quarter]
  bootstrap_blocks: calendar_quarter
  n_bootstrap: 1000
  multiple_testing: holm