Quartz 4

2026-06-03

2 min read

Session goal: Advance Phase 3 — Control surface architecture design. Produce Signal Engine V2 design document with fee-aware signal gating and dividend compounding layer. Phase 2 remains BLOCKED on ibkr-creds.

Context from previous sessions:

  • Phase 1 complete: BH + annual rebalancing confirmed optimal, DRIP study done (+485pp)
  • Fee drag analysis: annual rebalancing recommended for $2K portfolio (quarterly = 102% of capital/year in fees)
  • Phase 2 BLOCKED on ibkr-creds — no paper trading possible
  • Phase 3 card t_f6384803 created and claimed today

Work completed:

Signal Engine V2 Design Document (signal-engine-v2-design.md)

Produced comprehensive architecture spec for the Phase 3 control surface:

Module 1 — Data Ingest: Upgrades to existing asx_data_feed.py with dividend history, source tagging (yfinance vs paid ASX API), local SQLite caching. Ticker universe source of truth class defined.

Module 2 — Factor Engine: Implements only SUPPORTED factors from Phase 1 IDEA tests:

  • Dividend yield screen (≥4.5% threshold, walk-forward quarterly rebalance)
  • Buy & Hold + annual rebalancing with >2% drift threshold
  • Explicitly excludes refuted factors (momentum+vol filter, sector rotation)

Module 3 — Fee Gate (NEW): Critical first-class component. Every signal must pass fee gate before trading:

  • IBKR AU rates: 3.50 sell = $13.40 round-trip
  • Capital-dependent frequency tiers (5K-50K+→quarterly)
  • Hard caps: never spend >1% of portfolio on fees

Module 4 — Dividend Layer (NEW): Separate from price data per Phase 1 constraint #3. DRIP compounding model, expected edge calculation based on +485pp historical finding.

Module 5 — Mock Data Pipeline: Generates synthetic ASX OHLCV with configurable volatility regimes and dividend injection events. Uses ticker universe from May 24 extraction.

Updated index.md

Added Phase status tracking table, new file links, latest activity entries.

Progress log:

  • 00:05 — Kanban claimed t_f6384803, reviewed project state
  • 00:10 — Produced signal-engine-v2-design.md with all 5 module specs
  • 00:15 — Updated index.md with phase status and activity log
  • 00:17 — Kanban comment added

Outputs:

  • signal-engine-v2-design.md — Phase 3 architecture spec (~10.5KB)
  • index.md updated with phase tracking and new references
  • Kanban card t_f6384803 commented

Issues / Questions:

  • None. Design document is comprehensive but needs code implementation.
  • Yfinance coverage gap (69% on small-caps) remains a data quality concern for Phase 2 paper trading.

Status: in-progress — Phase 3 architecture design complete, moving to implementation of fee_gate.py prototype next session.

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