This directory contains validation reports and historical archives.

Note: This README captures directory state as of October 2025. For the latest validation results see the published papers (Paper 1 — IEEE BigData 2025, Paper 2 — AIAI 2026 accepted / JRFM under review).

reports/
├── validation/              # System validation and testing reports
│   ├── pattern_taxonomy/   # Pattern taxonomy validation (Issue #79, Oct 2025)
│   ├── pattern_taxonomy_DEPRECATED_ISSUE81/  # Deprecated: obfuscation bug (Oct 2025)
│   └── daily_tests/        # Daily testing results and raw data
├── archive/               # Historical reports and deprecated analyses
│   └── archived_experiments/  # Historical development iterations
└── README.md              # This documentation

Note: All validation YAML files are gitignored and generated locally. Corrupt Q1-Q3 YAMLs (based on 450.0 database) deleted Oct 11, 2025 - will be regenerated with corrected database.

Purpose: Issue #79 - Validate dealer_gamma_hedging pattern across Q1-Q4 2024

Status: 🔄 RE-VALIDATING - Database rebuilt with REAL prices (no more 450.0!)

Critical Fix Applied:

• Problem: Database stored obfuscated 450.0 prices → corrupt forward returns (42.77% Q3 max)
• Fix: historical_gex_builder.py now uses put-call parity + API, refuses fake prices
• Impact: All Q1-Q3 validation YAMLs deleted (corrupt), regenerating with corrected database

Validation Framework:

• Obfuscation: LLM receives "Day T+0" instead of real dates
• Pattern: dealer_gamma_hedging (consolidated from 3 patterns)
• Test Period: Q1-Q4 2024 (198 dates with real spot prices)
• Threshold: ≥60% detection rate with ≥30 samples

Background Jobs Running:

• Q1 2024: Re-validation with corrected database
• Q2 2024: Partial (Jun only, Apr-May missing from cache)
• Q3 2024: Re-validation in progress
• Q4 2024: Pending data collection completion

Historical reports and deprecated analyses:

• archived_experiments/ - Evolution from aggregate to strike-level GEX analysis

Previous validation results (obfuscation bug discovered Oct 7, 2025). See that directory's README for details.

✅ Pattern Consolidation - Three patterns (gamma_positioning, stock_pinning, 0dte_hedging) are identical ✅ 90.38% Predictive Accuracy - dealer_gamma_hedging pattern on 53 trading days ✅ +0.70% Net Alpha - After 5bps transaction costs ✅ 100% Detection Rate - Pattern detected on all negative GEX days

❌ Database Corruption (Fixed Oct 11, 2025) - Hardcoded 450.0 obfuscation stored permanently

• Impact: Q3 showed impossible 42.77% daily moves (SPY doesn't move that much!)
• Root Cause: Storage layer violated separation of concerns (obfuscation should be analysis-only)
• Fix: Database rebuilt with real prices using put-call parity estimation
• See: docs/guides/database-corruption-fix-status.md for full postmortem

All reports use obfuscated data at analysis time to prevent LLM memorization. Database now stores REAL market data only.