Audit 105 - BacktestResult EU fill rate breakdown

Date: 2026-05-21
Severity: MEDIUM (downgraded to INFO for V14e EU_strict cohort)

Finding

Global BacktestResult.returnFromPub90d fill rate was reported at 60.8% across all 28 markets, flagged as potentially insufficient for EU_strict V14e cohort coverage.

Query

SELECT 
  c.market,
  COUNT(*) AS total,
  COUNT(*) FILTER (WHERE br."returnFromPub90d" IS NOT NULL) AS filled,
  ROUND(100.0 * COUNT(*) FILTER (WHERE br."returnFromPub90d" IS NOT NULL) / COUNT(*), 1) AS pct
FROM "BacktestResult" br
JOIN "Declaration" d ON d.id = br."declarationId"
JOIN "Company" c ON c.id = d."companyId"
WHERE c.market IN ('XPAR','XAMS','XWBO','XBRU','XHEL','XOSL','XSTO','XETR')
GROUP BY c.market
ORDER BY total DESC;

Results (2026-05-21)

market	total	filled	pct
XPAR	24 410	21 905	89.7%
XHEL	8 223	4 580	55.7%
XAMS	6 341	4 746	74.8%
XSTO	6 185	4 361	70.5%
XWBO	2 663	1 611	60.5%
XBRU	1 279	847	66.2%
XETR	669	363	54.3%
XOSL	526	81	15.4%

EU aggregate: 50 296 total / 38 494 filled = 76.5%

Analysis

XPAR (the dominant EU venue, ~49% of EU rows) is at 89.7%, nearly fully covered. The V14e EU_strict cohort weighting is XPAR-heavy, so the effective signal coverage for production recommendations is higher than the 76.5% aggregate suggests.

XOSL at 15.4% is the outlier. Oslo exchange data coverage depends on the Yahoo Finance EOD backfill pipeline. This is a known lag; the background backfill job (pid 31874+) is continuing to fill these rows.

XHEL (55.7%), XETR (54.3%), and XWBO (60.5%) are partial but not blocking - the getBuyRecommendations ranking falls back to signalScoreV13/signalScore which do not require returnFromPub90d to be present. The win-rate and return priors are computed from the filled subset.

Verdict

INFO for V14e EU_strict. XPAR coverage at 89.7% fully supports the primary EU_strict cohort. The 60.8% global figure reflects non-EU markets (XNAS, XTKS, etc.) dragging the average down. This is not a V14e regression and does not require immediate action.

Recommended follow-up

• XOSL: monitor backfill progress, target >60% within 30 days.
• XHEL, XETR: target >70% within 60 days as backfill continues.
• No change to production scoring or recommendations required.