{ "id": "m1d_calibrated_miss_v1", "generated_at_utc": "2026-09-09T15:41:02.333176+00:00", "protocol": { "id": "m1d_calibrated_miss_protocol_v1", "declared_before_fit": true, "research_only": true, "production_freeze": false, "score_authorized_m1": false, "target": "PAGO_R(t)", "predictor": "PEXP_R(t-12)", "model": "OLS linear: PAGO_expected(t) = a + b * PEXP_R(t-12)", "training": { "rule": "train only on strictly prior eligible monthly observations (no future leakage)", "schemes": [ { "name": "expanding", "min_train_n": 60 }, { "name": "rolling", "window": 120, "min_train_n": 60 } ] }, "eligibility": "obs_date where pago_r and pexp_r_lag12 both non-null; join A229RX YoY when available (dependence diagnostics only)", "evaluation_start_rule": "first OOS month is the first eligible month after min_train_n prior eligible months are available", "evaluation_end": "last eligible month in local archive (currently through 2026-07)", "candidate_miss": { "formula": "max(0, predictedPAGO - actualPAGO)", "coding_direction_check": "require expanding-scheme mean(b)>0 OR majority of OOS fits have b>0 before interpreting positive miss as shortfall vs expected assessment; if b<=0 on average, flag coding inversion and do not freeze candidate", "note": "NOT production; residual forecast error is not automatically subjective disappointment" }, "baselines": [ { "name": "intercept_mean_prior_pago", "rule": "predicted = mean(PAGO) over same prior train set" } ], "metrics_predeclared": [ "MAE", "RMSE", "calibration_slope_intercept", "mean_signed_error" ], "era_splits_predeclared": [ "1979-01..1999-12", "2000-01..2019-12", "2020-01..2026-07", "phone_era_pre_2024-04", "transition_2024-04..2024-06", "web_era_2024-07.." ], "dependence_predeclared": [ "corr(candidate_miss, actual_PAGO)", "corr(candidate_miss, A229RX_YoY)", "corr(prediction_error, actual_PAGO)", "corr(prediction_error, A229RX_YoY)" ], "data_caveat": "latest revised Michigan/BEA series in local archive \u2260 true vintage/real-time backtest; release availability not reconstructed", "no_tuning": "no political/phase/outcome labels used in train or eval" }, "data_inputs": { "a2_gap_monthly_csv": "data/m1/a2_gap_monthly.csv", "a2_sha256": "ae14d30de08d016c07e2940fd428c9d2321f263a476f9788dab365d50ab49471", "a229rx_yoy_monthly_csv": "data/m1/a229rx_yoy_monthly.csv", "yoy_sha256": "484c96b6025e8caaab5a21ce645e771b28aa4717007881434707949c2c74cf04", "n_eligible_months": 571, "eligible_start": "1979-01-01", "eligible_end": "2026-07-01", "vintage_caveat": "latest revised Michigan/BEA series in local archive \u2260 true vintage/real-time backtest; release availability not reconstructed" }, "schemes": [ { "scheme": "expanding", "params": { "name": "expanding", "min_train_n": 60 }, "summary": { "n": 511, "eval_start": "1984-01-01", "eval_end": "2026-07-01", "linear": { "MAE": 10.73349325987118, "RMSE": 13.41851855392579, "mean_signed_error_pred_minus_actual": 1.2556303747004336, "calibration_intercept_c0": -4.8064407620346685, "calibration_slope_c1": 1.0325940157275395, "mean_candidate_miss": 5.994561817285807 }, "baseline_intercept": { "MAE": 15.58271478011313, "RMSE": 19.07527966531569, "mean_signed_error": -0.7508228022145346, "mean_baseline_miss": 7.415945988949298 }, "coding_direction": { "mean_slope_b": 1.040996869177477, "frac_slope_b_positive": 1.0, "median_slope_b": 1.056800735412026 }, "mae_improvement_vs_baseline": 4.849221520241951, "rmse_improvement_vs_baseline": 5.656761111389901 }, "dependence": { "corr_candidate_miss_pago": -0.7244164035633268, "corr_error_pago": -0.7483168673559059, "n_with_yoy": 511, "corr_candidate_miss_a229rx_yoy": -0.22603129517537965, "corr_error_a229rx_yoy": -0.2338119812877466 }, "era_stability": { "1979-01..1999-12": { "n": 192, "eval_start": "1984-01-01", "eval_end": "1999-12-01", "linear": { "MAE": 7.43933626083717, "RMSE": 9.311892476492252, "mean_signed_error_pred_minus_actual": -1.4937624074462585, "calibration_intercept_c0": 24.31723868580346, "calibration_slope_c1": 0.7997684315225738, "mean_candidate_miss": 2.9727869266954556 }, "baseline_intercept": { "MAE": 13.688696461609695, "RMSE": 15.681386085759597, "mean_signed_error": -10.999365664999415, "mean_baseline_miss": 1.3446653983051398 }, "coding_direction": { "mean_slope_b": 1.0228519497827324, "frac_slope_b_positive": 1.0, "median_slope_b": 1.0157112899753695 }, "mae_improvement_vs_baseline": 6.249360200772525, "rmse_improvement_vs_baseline": 6.369493609267344, "dependence": { "corr_candidate_miss_pago": -0.720740607954484, "corr_error_pago": -0.7791992413700095, "n_with_yoy": 192, "corr_candidate_miss_a229rx_yoy": -0.3952891272920534, "corr_error_a229rx_yoy": -0.4677975908609836 } }, "2000-01..2019-12": { "n": 240, "eval_start": "2000-01-01", "eval_end": "2019-12-01", "linear": { "MAE": 13.055198964825879, "RMSE": 15.66022046778279, "mean_signed_error_pred_minus_actual": 1.5239963269823613, "calibration_intercept_c0": 0.6611978702092927, "calibration_slope_c1": 0.9797852498964765, "mean_candidate_miss": 7.28959764590412 }, "baseline_intercept": { "MAE": 15.711222900096278, "RMSE": 19.903344727824592, "mean_signed_error": 2.050132104495014, "mean_baseline_miss": 8.880677502295645 }, "coding_direction": { "mean_slope_b": 1.030210310044025, "frac_slope_b_positive": 1.0, "median_slope_b": 1.053985024391685 }, "mae_improvement_vs_baseline": 2.656023935270399, "rmse_improvement_vs_baseline": 4.243124260041803, "dependence": { "corr_candidate_miss_pago": -0.7568679533073669, "corr_error_pago": -0.7796156127330649, "n_with_yoy": 240, "corr_candidate_miss_a229rx_yoy": -0.3390184670354965, "corr_error_a229rx_yoy": -0.37750769328972467 } }, "2020-01..2026-07": { "n": 79, "eval_start": "2020-01-01", "eval_end": "2026-07-01", "linear": { "MAE": 11.6862625589269, "RMSE": 14.452963579558801, "mean_signed_error_pred_minus_actual": 7.122409939567549, "calibration_intercept_c0": 5.568682404669218, "calibration_slope_c1": 0.8721124427521678, "mean_candidate_miss": 9.404336249247224 }, "baseline_intercept": { "MAE": 19.795494126400527, "RMSE": 23.505291057934215, "mean_signed_error": 15.647798109739963, "mean_baseline_miss": 17.721646118070247 }, "coding_direction": { "mean_slope_b": 1.117865207352407, "frac_slope_b_positive": 1.0, "median_slope_b": 1.1153010759237114 }, "mae_improvement_vs_baseline": 8.109231567473627, "rmse_improvement_vs_baseline": 9.052327478375414, "dependence": { "corr_candidate_miss_pago": -0.5288642190992833, "corr_error_pago": -0.5680277838588083, "n_with_yoy": 79, "corr_candidate_miss_a229rx_yoy": -0.1141225239508061, "corr_error_a229rx_yoy": -0.08338258313138129 } }, "phone_era_pre_2024-04": { "n": 483, "eval_start": "1984-01-01", "eval_end": "2024-03-01", "linear": { "MAE": 10.500385591357746, "RMSE": 13.13646238878647, "mean_signed_error_pred_minus_actual": 0.5851810988648238, "calibration_intercept_c0": 0.9198995461137116, "calibration_slope_c1": 0.9863268787017246, "mean_candidate_miss": 5.542783345111285 }, "baseline_intercept": { "MAE": 14.726338071684658, "RMSE": 18.109141952631262, "mean_signed_error": -2.5540712545460607, "mean_baseline_miss": 6.086133408569299 }, "coding_direction": { "mean_slope_b": 1.035805468329841, "frac_slope_b_positive": 1.0, "median_slope_b": 1.0511599721552138 }, "mae_improvement_vs_baseline": 4.225952480326912, "rmse_improvement_vs_baseline": 4.9726795638447925, "dependence": { "corr_candidate_miss_pago": -0.7428388385290862, "corr_error_pago": -0.7601128094541075, "n_with_yoy": 483, "corr_candidate_miss_a229rx_yoy": -0.23171234419867695, "corr_error_a229rx_yoy": -0.2356413068071391 } }, "transition_2024-04..2024-06": { "n": 3, "eval_start": "2024-04-01", "eval_end": "2024-06-01", "linear": { "MAE": 6.390793407439166, "RMSE": 7.10468317389689, "mean_signed_error_pred_minus_actual": 0.5705518693704003, "calibration_intercept_c0": 401.1190802250543, "calibration_slope_c1": -3.4846171393500898, "mean_candidate_miss": 3.4806726384047835 }, "baseline_intercept": { "MAE": 18.51964054937872, "RMSE": 19.426536058414825, "mean_signed_error": 18.51964054937872, "mean_baseline_miss": 18.51964054937872 }, "coding_direction": { "mean_slope_b": 1.109117592672755, "frac_slope_b_positive": 1.0, "median_slope_b": 1.1088742918427001 }, "mae_improvement_vs_baseline": 12.128847141939556, "rmse_improvement_vs_baseline": 12.321852884517934, "dependence": { "corr_candidate_miss_pago": -0.9607689228305228, "corr_error_pago": -0.9937928855977358, "n_with_yoy": 3, "corr_candidate_miss_a229rx_yoy": 0.9351577743676617, "corr_error_a229rx_yoy": 0.9815224962746537 } }, "web_era_2024-07..": { "n": 25, "eval_start": "2024-07-01", "eval_end": "2026-07-01", "linear": { "MAE": 15.75825739784255, "RMSE": 18.44757378907786, "mean_signed_error_pred_minus_actual": 14.290919804484014, "calibration_intercept_c0": 50.80560417538631, "calibration_slope_c1": 0.2712878796910948, "mean_candidate_miss": 15.024588601163282 }, "baseline_intercept": { "MAE": 31.77548169463936, "RMSE": 32.50107181671465, "mean_signed_error": 31.77548169463936, "mean_baseline_miss": 31.77548169463936 }, "coding_direction": { "mean_slope_b": 1.1331202467343686, "frac_slope_b_positive": 1.0, "median_slope_b": 1.1332654935904256 }, "mae_improvement_vs_baseline": 16.01722429679681, "rmse_improvement_vs_baseline": 14.053498027636788, "dependence": { "corr_candidate_miss_pago": -0.044240645809596454, "corr_error_pago": 0.004287549031233433, "n_with_yoy": 25, "corr_candidate_miss_a229rx_yoy": 0.47754528515325434, "corr_error_a229rx_yoy": 0.5665858170546365 } } } }, { "scheme": "rolling", "params": { "name": "rolling", "window": 120, "min_train_n": 60 }, "summary": { "n": 511, "eval_start": "1984-01-01", "eval_end": "2026-07-01", "linear": { "MAE": 11.119890599724966, "RMSE": 13.992176771174693, "mean_signed_error_pred_minus_actual": 0.9084887516480646, "calibration_intercept_c0": 21.818641306593307, "calibration_slope_c1": 0.79071356253315, "mean_candidate_miss": 6.014189675686516 }, "baseline_intercept": { "MAE": 16.966302853217645, "RMSE": 20.682445077230817, "mean_signed_error": 0.13255559427094085, "mean_baseline_miss": 8.549429223744292 }, "coding_direction": { "mean_slope_b": 1.0126214567970053, "frac_slope_b_positive": 1.0, "median_slope_b": 1.0627293134668465 }, "mae_improvement_vs_baseline": 5.846412253492678, "rmse_improvement_vs_baseline": 6.690268306056124 }, "dependence": { "corr_candidate_miss_pago": -0.5786038189196425, "corr_error_pago": -0.5629203213533113, "n_with_yoy": 511, "corr_candidate_miss_a229rx_yoy": -0.14412168040405596, "corr_error_a229rx_yoy": -0.15163653166970137 }, "era_stability": { "1979-01..1999-12": { "n": 192, "eval_start": "1984-01-01", "eval_end": "1999-12-01", "linear": { "MAE": 7.807215658794635, "RMSE": 9.748003741521005, "mean_signed_error_pred_minus_actual": -1.5664634837494127, "calibration_intercept_c0": 24.060746897695864, "calibration_slope_c1": 0.8025305098955832, "mean_candidate_miss": 3.120376087522611 }, "baseline_intercept": { "MAE": 13.09825047566432, "RMSE": 15.085454133243568, "mean_signed_error": -8.062052558997651, "mean_baseline_miss": 2.5180989583333337 }, "coding_direction": { "mean_slope_b": 0.854975595208125, "frac_slope_b_positive": 1.0, "median_slope_b": 0.9163203521304515 }, "mae_improvement_vs_baseline": 5.2910348168696855, "rmse_improvement_vs_baseline": 5.337450391722562, "dependence": { "corr_candidate_miss_pago": -0.7489676419640733, "corr_error_pago": -0.852115883253572, "n_with_yoy": 192, "corr_candidate_miss_a229rx_yoy": -0.39639700343958306, "corr_error_a229rx_yoy": -0.5005164579071375 } }, "2000-01..2019-12": { "n": 240, "eval_start": "2000-01-01", "eval_end": "2019-12-01", "linear": { "MAE": 12.40736224678803, "RMSE": 15.21113514875014, "mean_signed_error_pred_minus_actual": -0.8140035088426122, "calibration_intercept_c0": 27.84013747653806, "calibration_slope_c1": 0.7444602938290669, "mean_candidate_miss": 5.796679368972708 }, "baseline_intercept": { "MAE": 18.107222222222223, "RMSE": 22.174074876835753, "mean_signed_error": 0.145625, "mean_baseline_miss": 9.126423611111111 }, "coding_direction": { "mean_slope_b": 1.0484166202921774, "frac_slope_b_positive": 1.0, "median_slope_b": 1.1081690437070786 }, "mae_improvement_vs_baseline": 5.699859975434194, "rmse_improvement_vs_baseline": 6.962939728085614, "dependence": { "corr_candidate_miss_pago": -0.5040701812260725, "corr_error_pago": -0.4926274306556899, "n_with_yoy": 240, "corr_candidate_miss_a229rx_yoy": -0.1933978525673177, "corr_error_a229rx_yoy": -0.21490430576671557 } }, "2020-01..2026-07": { "n": 79, "eval_start": "2020-01-01", "eval_end": "2026-07-01", "linear": { "MAE": 15.259642414452674, "RMSE": 18.23499832184594, "mean_signed_error_pred_minus_actual": 12.156450418914876, "calibration_intercept_c0": 21.32567002247029, "calibration_slope_c1": 0.6788913379114829, "mean_candidate_miss": 13.708046416683777 }, "baseline_intercept": { "MAE": 22.901054852320677, "RMSE": 26.834713254347214, "mean_signed_error": 20.008860759493672, "mean_baseline_miss": 21.45495780590717 }, "coding_direction": { "mean_slope_b": 1.2870159654833817, "frac_slope_b_positive": 1.0, "median_slope_b": 1.243051870021091 }, "mae_improvement_vs_baseline": 7.641412437868002, "rmse_improvement_vs_baseline": 8.599714932501275, "dependence": { "corr_candidate_miss_pago": -0.31610023032866974, "corr_error_pago": -0.2324905727462108, "n_with_yoy": 79, "corr_candidate_miss_a229rx_yoy": -0.034810595199014166, "corr_error_a229rx_yoy": -0.0009210361752153214 } }, "phone_era_pre_2024-04": { "n": 483, "eval_start": "1984-01-01", "eval_end": "2024-03-01", "linear": { "MAE": 10.786723639209702, "RMSE": 13.583503078536038, "mean_signed_error_pred_minus_actual": 0.26665865777395203, "calibration_intercept_c0": 26.849369177716582, "calibration_slope_c1": 0.7529456584028565, "mean_candidate_miss": 5.526691148491827 }, "baseline_intercept": { "MAE": 16.004463267068772, "RMSE": 19.61712643962108, "mean_signed_error": -1.8051533981936838, "mean_baseline_miss": 7.099654934437543 }, "coding_direction": { "mean_slope_b": 0.990028978809637, "frac_slope_b_positive": 1.0, "median_slope_b": 1.0418161543682731 }, "mae_improvement_vs_baseline": 5.2177396278590695, "rmse_improvement_vs_baseline": 6.033623361085043, "dependence": { "corr_candidate_miss_pago": -0.5753268740679157, "corr_error_pago": -0.5675870004669916, "n_with_yoy": 483, "corr_candidate_miss_a229rx_yoy": -0.14817158307349154, "corr_error_a229rx_yoy": -0.15833093502264114 } }, "transition_2024-04..2024-06": { "n": 3, "eval_start": "2024-04-01", "eval_end": "2024-06-01", "linear": { "MAE": 5.935162264585756, "RMSE": 8.999829229119985, "mean_signed_error_pred_minus_actual": 5.654748701829637, "calibration_intercept_c0": 366.06947107970717, "calibration_slope_c1": -2.927158699163622, "mean_candidate_miss": 5.794955483207697 }, "baseline_intercept": { "MAE": 24.57222222222222, "RMSE": 25.246625187009315, "mean_signed_error": 24.57222222222222, "mean_baseline_miss": 24.57222222222222 }, "coding_direction": { "mean_slope_b": 1.1823586205893388, "frac_slope_b_positive": 1.0, "median_slope_b": 1.18879393080755 }, "mae_improvement_vs_baseline": 18.637059957636463, "rmse_improvement_vs_baseline": 16.24679595788933, "dependence": { "corr_candidate_miss_pago": -0.9861198477431615, "corr_error_pago": -0.9896422259160933, "n_with_yoy": 3, "corr_candidate_miss_a229rx_yoy": 0.9694384731270005, "corr_error_a229rx_yoy": 0.9747693999122341 } }, "web_era_2024-07..": { "n": 25, "eval_start": "2024-07-01", "eval_end": "2026-07-01", "linear": { "MAE": 18.178843677096584, "RMSE": 20.670775743482206, "mean_signed_error_pred_minus_actual": 12.739094971274131, "calibration_intercept_c0": 57.00077185242408, "calibration_slope_c1": 0.20550711024623003, "mean_candidate_miss": 15.458969324185357 }, "baseline_intercept": { "MAE": 34.63633333333333, "RMSE": 35.10059998695812, "mean_signed_error": 34.63633333333333, "mean_baseline_miss": 34.63633333333333 }, "coding_direction": { "mean_slope_b": 1.4287396718578793, "frac_slope_b_positive": 1.0, "median_slope_b": 1.446240714500408 }, "mae_improvement_vs_baseline": 16.45748965623675, "rmse_improvement_vs_baseline": 14.429824243475917, "dependence": { "corr_candidate_miss_pago": 0.08102726243167009, "corr_error_pago": 0.211264017673325, "n_with_yoy": 25, "corr_candidate_miss_a229rx_yoy": 0.5674083292857218, "corr_error_a229rx_yoy": 0.723615114725322 } } } } ], "recommendation_status": { "menu": "MODIFY", "note": "Candidate miss still strongly tracks low actual PAGO (corr<-0.5); risk of PAGO-dominance contamination similar to A2 \u2014 continue research, not production.", "still_research_only": true, "production_formula": false, "score_authorized_m1": false }, "gates": { "score_authorized_m1": false, "formula_freeze": false, "l1_unchanged": true } }