iteration 22 · 2026-07-23 · conditional axis · bounded slice 1 · laptop-drives-bigblack
The FDR-controlled conditional-independence test that — unlike CMI (#11) — does not require a perfectly-capturing conditioning set. Slice 1 builds the construction (MVR s-solver + Ledoit–Wolf shrinkage), and two verify-before-report findings emerge: the real microstructure panel is near-singular so the naïve equicorrelated knockoff is a dead filter (MVR fixes it → power 0.95), and iid knockoffs on autocorrelated bars inflate FDR — the Harden's "#1 gaming", demonstrated → slice-2 needs block/TSKI.
readonly=2. 5c/5G/no-swap capped; single-thread BLAS. Panel staged read-only at /tmp/i12_slice.parquet (BTCUSDT@250, 8 full-spread real features).| Gate (§7 row 12, slice 1) | Result (seed 20260723) | Target | |
|---|---|---|---|
| Power (dense main-effect plant) | 0.95 (10-signal, achieved IC 0.038) | ≥ .8 | PASS |
| Derandomization Π | 1.0 (median signal Π) | ≥ .5 | PASS |
| FDP (with power) | 0.126 | ≤ .10 | iid-inflated |
| Null FDR (block-perm target) | 0.25 any-selection | ≤ .10 | iid-inflated |
| Exchangeability 2nd-moment | 0.0267 | ≤ .02 | borderline |
The empirical feature covariance is near-singular: ofi ≡ turnover_imbalance (ρ = 1.00), plus price_impact/volume_per_trade (−0.71) and ofi/aggression_ratio (0.78) → λ_min 0.0012, cond 2211. The naïve equicorrelated construction sets one scalar s = 2λ_min ≈ 0 for all features → knockoffs are near-copies → the filter is dead (power 0).
MVR + Ledoit–Wolf fixes it by allocating per-feature s: the duplicate pair gets s ≈ 0 (knockoff = copy → it can never be spuriously attributed — the correct ABSTAIN behaviour, and the ready ρ=1 exemplar for slice-2), while independent signals get s ≈ 1 → full power. Result: power 0.95 on a dense 10-signal plant, derandomization Π 1.0. (A single planted signal was also diagnosed to hit the knockoff+ 1/q detection floor — you cannot reject < 1/q features — so the power plant is dense per the spec, with plain-knockoff selection.)