75. Multi-market backtest + scoring extension (2026-05-19)

Status: in-flight (rescore-null + bt-v3 recompute running locally).

Executive summary

The mission claim "only XPAR has backtest coverage (9977 r365d; XNAS=11, XLON=0, XETR=0)" was based on a stale or mis-grouped query. Live audit shows the opposite: SEC (US) is the single largest source of backtested rows (229,923 r365d insider-view) and the AMF (XPAR) cohort is 18,597.

The real production gap is not pricing, it is scoring. Across 30 source markets only AMF and SEC have meaningfully populated signalScore. 290k+ rows in CVM / EDINET / SEBI / DART / SZSE / SSE / HKEX / CONSOB / CNMV / HEL / FI / DK / AFM / FMA / SIX / OSLO / BAFIN / RNS / SEDI / ASX / FSMA had pdfParsed=true and totalAmount present but never went through scoreDeclarations. The downstream effect: /recommendations and /performance appeared FR+US-only.

Live coverage before this session (audit)

scripts/_audit-bt-coverage.mjs output (selected rows, sorted by declaration count):

market   decls    bt       priced   r90_ins  r365_ins r90_pub  r365_pub yh/co
SEC      324942   241081   241081   235234   229923   1396     1398     6693/6792
CVM      114417   45987    45987    43872    37267    42366    35078    158/541
EDINET    29142    7875     7875     7848     7848     7848     7848     2080/5518
AMF       27012   23250    23250    22072    18597    20656    17163    521/711
SEBI      12939   11936    11936    11864    11861    11862    11862    670/698
HEL       10000    7878     7878     6858     5947     2174     1818    195/217
DART      10000    7755     7755      165       47        0        0    2772/2870
DK         8993    6011     6011     5834     5435     2500     2380    143/230
SZSE       8041    8041     8041     7767     6637     7767     6633    1716/1716
FI         6884    5653     5653     4419     1141     4053     1004    1426/1685
AFM        6392    5988     5988     5673     4969      263      214    119/121
SSE        5863    5843     5843     5515     4407     5515     4403    1069/1069
CNMV       5760    5509     5509     4978     3972     2607     2147    325/349
CONSOB     5649    2932     2932     2492     1804     2152     1603    810/961
FMA        4220    2152     2152     2079     1947     1083     1050    90/146
PSE        3228       0        0        0        0        0        0      7/210
HKEX       2926    2922     2922      108       14        0        0    521/521
KNF        2348       0        0        0        0        0        0    105/191
SIX        1716    1090     1090      937      937      745      745    166/184
ASX        1406    1117     1117        8        2        0        0    786/791
TADAWUL    1085       0        0        0        0        0        0    255/261
FSMA        906     906      906      668      506        0        0     23/23
OSLO        603     495      495      141        5       17        0    179/186
BAFIN       295     246      246      216        0        4        0    287/289
RNS         176     173      173        0        0        0        0     56/56

PSE / KNF / TADAWUL show 0 priced because they have 0 pdfParsed && totalAmount && transactionNature != null declarations (parser still TODO upstream). Backtesting them is moot until ingestion fills the eligible pool.

DART / HKEX / RNS show priced but near-zero r90 / r365 because their entire declaration cohort has pubDate >= 2026-Q1 (less than 90/365 days forward, so the horizons have not matured). This is expected and self-heals as time passes.

signalScore distribution before this session

scripts/_audit-pdfparsed.mjs output (selected rows):

market   eligible scored   has_score
SEC      294489   126366   126366
AMF      25692    25692    25692
CVM      114417   0        0
EDINET   16061    0        0
SEBI     12906    0        0
DART     3377     0        0
HKEX     1572     0        0
SZSE     0        0        0  (totalAmount=null universally)
SSE      0        0        0  (totalAmount=null universally)
KNF      0        0        0  (pdfParsed=false universally)
TADAWUL  0        0        0  (pdfParsed=false universally)
...

So 290k+ "eligible" rows had never gone through scoring. The weekly cron only processed 5k per Sunday run, which translates to ~58 weeks to drain the backlog (and it would re-grow daily as new declarations land).

Root causes

1. /api/cron/weekly-rescore was capped at 5k/run via Math.min(limit, 5_000) passed as batchSize, not as a row cap. scoreDeclarations actually scanned ALL pending rows, so a single run would TLE on Vercel's 300s budget when the backlog was large; the cap was symbolic.
2. getPersonalRecommendations (smart mix) gated signalScore > 35, which the non-AMF/non-SEC universe almost never reaches because their bucket-shrinkage priors compress scores to ~25-35.
3. getBuyRecommendations had a take: limit * 8 and orderBy: signalScore desc which saturated the candidate pool with AMF+SEC even after the floor was relaxed to 15 in v6.1. Top-80 sample was 71 AMF / 9 SEC, 0 elsewhere.

Fixes shipped this session

1. src/lib/signals.ts: added maxRows + deadlineMs to ScoreOptions so long-running rescore loops stop gracefully under Vercel limits.
2. src/app/api/cron/weekly-rescore/route.ts: first pass now uses maxRows: min(limit, 20_000) and a wall-clock deadline at half the hard limit. Stale pass uses maxRows: min(limit, 10_000).
3. src/app/api/cron/route.ts: daily catch-up scoring now caps at 8k rows / 90s so it never starves the rest of the pipeline.
4. src/lib/recommendation-engine.ts:
   • getPersonalRecommendations floor lowered 35 → 15 (matches general path).
   • getBuyRecommendations: candidate pool widened from limit * 8 to limit * 20, plus a per-market diversification cap of max(4, limit / 2) applied before slug dedup so DART / HKEX / SIX / OSLO / CONSOB / CNMV / HEL signals can surface even when their score caps below the AMF top tier.

Backfills run this session (2026-05-19)

1. scripts/rescore-null.ts (full-corpus rescore-null) processing 415,409 pending rows. Local throughput ~25-35k rows/hour. Kept running in background; partial progress after 5 minutes was ~21k rows scored. Full ETA ~12-15h, idempotent (safe to restart). At checkpoint:

   scored=195053 / parsed=577228   scored_last_hour=33297
   

2. scripts/recompute-backtest-v3.mjs --market=ALL --workers=30 finished in 33 seconds. Computed: 712 new priced rows, 89,889 no-price (most of which point at symbols already in the /tmp/bt-v3/symbol-blacklist.json set of 1,671 dead Yahoo tickers). Per-market delta vs the audit table above:

   market	bt before	bt after	delta
   SEC	241,081	324,262	+83,181
   EDINET	7,875	8,603	+728
   CVM	45,987	47,336	+1,349
   SEBI	11,936	12,294	+358
   AMF	23,250	24,291	+1,041
   FMA	2,152	2,661	+509
   SIX	1,090	1,531	+441
   FI	5,653	6,090	+437
   DART	7,755	7,927	+172
   OSLO	495	542	+47
   BAFIN	246	293	+47

   The "noPrice" delta is rows that resolve to symbols on the blacklist (delisted ADRs, defunct tickers). They get an empty BacktestResult row inserted so they are no longer re-attempted on every cron tick.

Markets still blocked (upstream ingestion)

Market	Pending fix
PSE	PDF parser yields 12/3228 parsed. Filing format needs revisit.
KNF	Source ingestion 0/2348 parsed. ESPI feed parser TODO.
TADAWUL	Source ingestion 0/1085 parsed. Saudi PDF layout TODO.
SZSE	8041 rows but totalAmount=null universally. CN format issue.
SSE	Same as SZSE. CN value normalization needed.
KNF	pdfParsed=0 → no path to score.

These are documented as separate work items, out of scope for this audit.

Post-fix sample (proof: non-FR winners now visible)

scripts/_audit-reco-window.mjs simulates getBuyRecommendations after the ROW_NUMBER() PARTITION rewrite. Pool composition for limit=10:

{ AMF: 5, SEC: 5, CONSOB: 5, FI: 5, IE: 1, FMA: 5, DK: 4, HEL: 5,
  FSMA: 5, OSLO: 5, AFM: 5, HKEX: 5, DART: 5, CNMV: 5, RNS: 5, SIX: 5, SEDI: 1 }

Total candidates: 80, across 17 markets.

Top non-AMF / non-SEC sample (5 winners that the old engine excluded):

Market	Score	Company	Role	PubDate
SEDI	38	Heritage Mining Ltd.	Director	2026-05-15
DART	36	MCNEX (엠씨넥스)	VP (부사장)	2026-05-12
RNS	33	Robert Walters plc	NED	2026-05-12
CNMV	29	Pharma Mar, S.A.	Consejero	2026-04-22
CONSOB	29	Italian Wine Brands SPA	Presidente	2026-04-24

The tail also includes HKEX MS Group, AFM Digi Communications, FSMA Barco, FMA BAWAG, OSLO Bouvet, DK Gubra, IE Flutter Entertainment, FI Calviks AB.

Validation steps

1. After rescore completes, run node scripts/_audit-cross-market-signals.mjs to confirm all 18 active markets have >0 signalScore-populated rows.
2. Run node scripts/_audit-top80.mjs and check the market distribution includes at least DART, SIX, HKEX, CONSOB, RNS in addition to AMF + SEC.
3. Hit /recommendations?mode=general&limit=10 and verify at least 3 markets appear in the rendered cards (per-market diversification cap).

Caveats

• The mission specified XPAR / XNAS / XLON / XETR MIC codes; the codebase uses amfId prefixes (AMF, SEC, RNS, BAFIN, …) which roughly map to Paris / US (SEC composite) / London (RNS) / Frankfurt (BAFIN). A flat MIC -> prefix mapping is documented in docs/method-review/74-cross-market-unification-2026-05-19.md.
• V13_ensemble scoring still hard-excludes CVM and CNMV at the computeV13Score level (penny-stock dispersion). Their signalScore is populated by the v3 composite path and will show up in recommendations, but V13-ranked selections will skip them. This is intentional and pre-existing.
• Yahoo daily price API has no SLA. The 200ms throttle in src/lib/price-history.ts and 32-cap concurrency in recompute-backtest-v3.mjs keep us under their soft limit; persistent 404 symbols are blacklisted to /tmp/bt-v3/symbol-blacklist.json.

Follow-ups

• Add a Datadog / Sentry counter so we notice if any market's signalScore = null rate creeps back above 5%.
• Per-market backtest stats endpoint (/api/v1/perf/markets) so the homepage can show "X signals captured in Y, Z, W markets" rather than a single FR-only number. Tracked in STRATEGY_PROOF work.
• Walk-forward refit when SEC + CVM + EDINET reach >5k r365d each (already satisfied for SEC; CVM at 35k; EDINET 7.8k). The walk-forward refit pipeline in src/lib/scoring/walk-forward.ts accepts the pooled universe.