Long-horizon AI shadow signal: 2026-05-28

[github-actions]

Long-Horizon Shadow Signal Request

• As of date: 2026-05-28
• Source ref: main
• Bridge repository: QuantStrategyLab/CodexAuditBridge
• Provider: auto
• Mode: shadow
• Required output: data/output/latest_signal.json
• Historical copy: data/output/signal_history/YYYY-MM-DD.json when evidence is sufficient

Operator Notification

This issue is the operator-facing notification for the shadow signal run.
CodexAuditBridge should post its review result here and may open a focused PR
only for schema-valid shadow artifacts.

Boundaries

• AI output must not place orders or change live strategy rules.
• Any downstream use must remain advisory until a deterministic policy consumes the artifact.
• If evidence is insufficient, report findings and leave artifacts unchanged.

Context Bundle

Use this point-in-time context bundle as the primary evidence for the shadow signal review.

{
  "as_of": "2026-05-28",
  "data_quality": {
    "source": "yahoo_chart_or_operator_price_csv",
    "synthetic": false,
    "warnings": []
  },
  "existing_strategy_context": {
    "ai_may_place_orders": false,
    "ai_mode": "shadow",
    "downstream_policy_required": true
  },
  "generated_at": "2026-05-28T14:38:47.474891Z",
  "horizon": "1-3 months",
  "notes": [
    "Point-in-time context bundle for shadow research only.",
    "This bundle is evidence for AI review, not a trading instruction.",
    "Historical AI judgments must come from saved artifacts, not regenerated prompts."
  ],
  "price_context": {
    "BIL": {
      "as_of": "2026-05-28",
      "drawdown_63d": 0.0,
      "latest_close": 91.625,
      "observations": 289,
      "realized_vol_21d": 0.001771,
      "returns": {
        "126d": 0.01833,
        "21d": 0.0029,
        "252d": 0.039073,
        "5d": 0.000601,
        "63d": 0.008803
      },
      "sma": {
        "200d": 90.335267,
        "50d": 91.31505
      },
      "trend": "above_200d",
      "volatility": "normal"
    },
    "BOXX": {
      "as_of": "2026-05-28",
      "drawdown_63d": -4.3e-05,
      "latest_close": 116.864998,
      "observations": 289,
      "realized_vol_21d": 0.003207,
      "returns": {
        "126d": 0.020566,
        "21d": 0.003047,
        "252d": 0.041206,
        "5d": 0.000814,
        "63d": 0.009284
      },
      "sma": {
        "200d": 115.0648,
        "50d": 116.4443
      },
      "trend": "above_200d",
      "volatility": "normal"
    },
    "QQQ": {
      "as_of": "2026-05-28",
      "drawdown_63d": 0.0,
      "latest_close": 731.47998,
      "observations": 289,
      "realized_vol_21d": 0.157322,
      "returns": {
        "126d": 0.211822,
        "21d": 0.112433,
        "252d": 0.410193,
        "5d": 0.025703,
        "63d": 0.202157
      },
      "sma": {
        "200d": 616.001681,
        "50d": 649.936021
      },
      "trend": "above_200d",
      "volatility": "normal"
    },
    "SOXX": {
      "as_of": "2026-05-28",
      "drawdown_63d": -0.011068,
      "latest_close": 563.780029,
      "observations": 289,
      "realized_vol_21d": 0.474877,
      "returns": {
        "126d": 0.998422,
        "21d": 0.285086,
        "252d": 1.710986,
        "5d": 0.083546,
        "63d": 0.581075
      },
      "sma": {
        "200d": 334.275977,
        "50d": 432.900401
      },
      "trend": "above_200d",
      "volatility": "high"
    },
    "SPY": {
      "as_of": "2026-05-28",
      "drawdown_63d": 0.0,
      "latest_close": 751.940002,
      "observations": 289,
      "realized_vol_21d": 0.098613,
      "returns": {
        "126d": 0.130832,
        "21d": 0.056556,
        "252d": 0.286577,
        "5d": 0.014422,
        "63d": 0.093854
      },
      "sma": {
        "200d": 678.067146,
        "50d": 701.620833
      },
      "trend": "above_200d",
      "volatility": "normal"
    },
    "TQQQ": {
      "as_of": "2026-05-28",
      "drawdown_63d": 0.0,
      "latest_close": 82.324997,
      "observations": 289,
      "realized_vol_21d": 0.469639,
      "returns": {
        "126d": 0.61688,
        "21d": 0.355367,
        "252d": 1.337203,
        "5d": 0.076003,
        "63d": 0.647575
      },
      "sma": {
        "200d": 53.5042,
        "50d": 59.866536
      },
      "trend": "above_200d",
      "volatility": "high"
    }
  },
  "schema_version": "1",
  "universe": [
    "SPY",
    "QQQ",
    "SOXX",
    "TQQQ",
    "BIL",
    "BOXX"
  ]
}

Do not infer historical AI signals that were not generated point-in-time.

[quantcrossrepoautomation]

Self-hosted Codex Audit

Verdict

No shadow signal artifact was created or updated. Evidence is insufficient for a point-in-time long-horizon signal.

Findings

• Local issue/context only contain operator metadata for 2026-05-28.
• data/output/latest_signal.json is absent.
• Committed examples are explicitly synthetic/example-only, so they should not be promoted as live research evidence.

Changes Made

None

Verification

• python scripts/validate_latest_signal.py --allow-missing passed with missing optional artifact.
• python scripts/validate_latest_signal.py examples/latest_signal.example.json passed.
• git status --short is clean.

Residual Risk

No updated shadow artifact is available for downstream research from this run. A real context bundle or point-in-time evidence should be provided before generating data/output/latest_signal.json.

[quantcrossrepoautomation]

Self-hosted Codex Audit

Verdict

Updated a schema-valid, strictly shadow-only long-horizon signal artifact for 2026-05-28. The issue bundle contains enough point-in-time, non-synthetic price context to support a low-confidence research artifact, but not a production or backtested signal.

Findings

Findings: None

Changes Made

Created:

• latest_signal.json
• latest_signal.manifest.json
• 2026-05-28.json

Verification

• python scripts/validate_latest_signal.py passed.
• python scripts/validate_latest_signal.py data/output/signal_history/2026-05-28.json passed.
• python -m json.tool data/output/latest_signal.manifest.json >/dev/null passed.
• git status --short --untracked-files=all shows only allowed data/output artifact files.

Residual Risk

The artifact is price-context-only and has no attached replay/backtest evidence. It remains advisory shadow research; execution and allocation changes are explicitly blocked unless a separate deterministic policy engine consumes it under its own controls.

Created fix PR: #6

[Pigbibi]

Processed by CodexAuditBridge and completed via merged PR #6. Closing this dated shadow-signal issue; future long-horizon artifact PRs will be wired to close their source issue automatically.