{
  "version": "2.0",
  "frozenAt": "2026-09-13",
  "target": "SOXX dividend-adjusted market-price return over the next 3 calendar months",
  "primaryHorizonMonths": 3,
  "forecastSchedule": "Completed calendar-month closes; latest reconstructed monthly reading dated August 31, 2026, constructed September 13. No claim of historical issuance.",
  "candidateOrder": [
    "mean",
    "market",
    "industry",
    "combined"
  ],
  "marketFeatures": [
    "momentum12skip1",
    "relative6m",
    "distance10m",
    "volatility63d"
  ],
  "industryFeatures": [
    "ordersGrowthAcceleration3m",
    "outputGrowthAcceleration3m",
    "financialStress",
    "stressChange3m"
  ],
  "featureDefinitions": {
    "momentum12skip1": "100*(SOXX P[t-1]/P[t-12]-1); 11 monthly return intervals",
    "relative6m": "SOXX trailing6m percent return minus SPY trailing6m percent return",
    "distance10m": "100*(P[t]/mean(P[t-9:t])-1)",
    "volatility63d": "Sample standard deviation of the latest63 daily log returns, ddof1, times sqrt252 times100",
    "ordersGrowthAcceleration3m": "Orders YoY percentage growth minus its value3 source months earlier",
    "outputGrowthAcceleration3m": "Output YoY percentage growth minus its value3 source months earlier",
    "financialStress": "Monthly mean STLFSI4",
    "stressChange3m": "Monthly stress minus value3 source months earlier"
  },
  "industryLagDays": 60,
  "industryRevisionTreatment": "Latest revised official histories, not point-in-time vintages. Exclude backfilled data-center series. Revised macro data limit tradability claims.",
  "minimumTrainingLabels": 60,
  "training": "Expanding window; only labels whose future end date is on or before forecast-origin market close; train-only standardization",
  "ridgePenaltyMeanLoss": 1,
  "ridgeBlend": 0.5,
  "selection": {
    "start": "2013-01",
    "lastOutcome": "2022-12-31",
    "months": [
      1,
      4,
      7,
      10
    ],
    "score": "Mean squared3-month return error on common disjoint origins",
    "tieOrder": [
      "mean",
      "market",
      "industry",
      "combined"
    ],
    "baselineSelectable": true
  },
  "evaluation": {
    "start": "2023-01",
    "months": [
      1,
      4,
      7,
      10
    ],
    "status": "One locked retrospective evaluation; period was already viewed in V1 diagnostics, not pristine or prospective. No post-test retuning."
  },
  "secondaryVolatility": {
    "predictor": "Latest63d realized annualized log-return volatility",
    "target": "Next63 trading-day realized annualized log-return volatility",
    "baseline": "Expanding mean of matured historical volatility labels",
    "selection": "Fixed secondary model, not a return-direction substitute"
  },
  "calibration": {
    "minimumResiduals": 24,
    "bandCoverage": 0.8,
    "method": "All matured prequential residuals of the candidate; empirical10th/90th quantiles. Empirical up probability with Laplace smoothing. Report held-period coverage and Brier score."
  },
  "uncertainty": {
    "replications": 3000,
    "blockNonoverlappingQuarters": 2,
    "seed": 20260913
  },
  "deploymentRule": "Describe a return edge only when locked later-period MSE beats the matched expanding mean; report paired uncertainty and baseline direction hit rate. Claim industry incremental benefit only against matched market-only forecasts. Historical research cannot prove future reliability.",
  "sources": [
    {
      "title": "Campbell & Thompson: forecast restrictions and historical-mean benchmark",
      "url": "https://www.nber.org/papers/w11468"
    },
    {
      "title": "Goyal & Welch: out-of-sample equity premium prediction",
      "url": "https://www.nber.org/papers/w10483"
    }
  ]
}