Sovereign BriefResearch Console
Signal Intelligence Lab

Granger causality · PCA hybrid index · lag-only alpha validation · target diagnostics - all resolved against the same parquet reference date.
Run Metadata
Reference: 2026-05-18
Generated: 2026-05-18 23:46 UTC
Artifact: sentiment-insight-v2
Diagnostics: complete
Tests run: 75
Correction: FDR-BH
감성이 먼저
news → market
News Sentiment -> Fear & Greed Index
lag 2d · 보정 p<0.001 · significant
시장이 먼저
market → news
BTC Log Return -> News Sentiment
lag 1d · 보정 p<0.001 · significant
의미 있는 관계
adj p-value < 0.05
종합 신호 핵심
Fear & Greed Index
+0.635 · 99.6% coverage
§01
Pipeline Health

run · coverage · source · raw metadata
Data integrity check before reading any signal. Quality precedes interpretation.
Run State
sentiment-insight-v2
sentiment-join-20260518 · 2026-05-18
Rows
539
raw 539 · masked 14.5%
Granger
26 significant
75 tests · 0 skips
Alpha
21 signals
1 horizons · baseline linked
Targets
fixed + volatility adjusted labels
Raw Metadata
31 keys
parquet sentiment_join_stats
§02
Data Quality

source lineage · ffill · exclusion
Where BTC, ETF, futures, and VIX inputs originated and how much interpolation was applied. High ffill counts indicate stale propagation, not real signal.
데이터 품질 매트릭스
Input data state to inspect before reading any signal output. Source lineage, ffill counts, and outlier masking in a single view.
coverage first
Rows used
539
raw 539
Masked
14.47%
Exclusions
feature exclusion groups
btc_etf
gold_history
coverage:non_null_days:540.00 · ratio:0.998 · mode:gold_history
futures
lambda
coverage:funding_days:542.00 · funding_ratio:1.000 · funding_quality_reasons:0 items
Forward Fill
btcend_date:2026-05-18 · filled_days:0.000
macroend_date:2026-05-18 · filled_days:495.00
usdkrwend_date:2026-05-18 · filled_days:172.00
vixend_date:2026-05-18 · filled_days:158.00
Exclusions
insufficient_article_count: 0.000invalid_contract: 0.000missing_backfill_marker: 0.000no_sentiment: 0.000skipped_sentiment: 2.00
§03
Granger Causality

75 relationships · lag 1–3d
Tests whether past values of one series statistically precede changes in another. Highlighted results survive multiple-comparison correction.
먼저 움직인 신호
감성과 시장 중 어느 쪽이 먼저 움직였는지 lag 1일 / 2일 / 3일 기준으로 비교합니다.
보정 p<0.05temporal precedence · lag-based
감성이 먼저

news leads price
News Sentiment → Fear & Greed Index
best lag: 2일 전 · 보정 p<0.001
significant0%
News Sentiment → ETF Net Inflow
best lag: 3일 전 · 보정 p<0.001
significant100%
Fear & Greed Index → ETF Net Inflow
best lag: 3일 전 · 보정 p<0.001
significant84%
News Sentiment → BTC Log Return
best lag: 2일 전 · 보정 p=0.004
significant57%
Fear & Greed Index → News Sentiment
best lag: 2일 전 · 보정 p=0.007
significant50%
Sentiment Momentum → BTC Log Return
best lag: 2일 전 · 보정 p=0.016
significant42%
etf net inflow usd log1p → BTC Log Return
best lag: 2일 전 · 보정 p=0.096
watch24%
btc taker imbalance zscore 30d → BTC Log Return
best lag: 1일 전 · 보정 p=0.111
watch22%
Volume Change → BTC Log Return
best lag: 2일 전 · 보정 p=0.131
watch21%
Fear & Greed Index → long short ratio zscore 30d
best lag: 2일 전 · 보정 p=0.146
watch20%
usdkrw log return → Volume Change
best lag: 3일 전 · 보정 p=0.156
watch19%
funding rate zscore 30d → ETF Net Inflow
best lag: 2일 전 · 보정 p=0.205
watch16%
long short ratio zscore 30d → BTC Log Return
best lag: 3일 전 · 보정 p=0.246
watch14%
ETF Net Inflow → BTC Log Return
best lag: 1일 전 · 보정 p=0.299
watch12%
oi change pct → BTC Log Return
best lag: 3일 전 · 보정 p=0.343
watch11%
News Sentiment → funding rate zscore 30d
best lag: 1일 전 · 보정 p=0.504
watch7%
usdkrw log return → BTC Log Return
best lag: 2일 전 · 보정 p=0.585
watch5%
Fear & Greed Index → BTC Log Return
best lag: 1일 전 · 보정 p=0.821
watch2%
F&G Change 1d → BTC Log Return
best lag: 1일 전 · 보정 p=0.821
watch2%
funding rate zscore 30d → BTC Log Return
best lag: 1일 전 · 보정 p=0.868
watch1%
시장이 먼저

price leads news
BTC Log Return → News Sentiment
best lag: 1일 전 · 보정 p<0.001
significant0%
BTC Log Return → Fear & Greed Index
best lag: 1일 전 · 보정 p<0.001
significant0%
BTC Log Return → long short ratio zscore 30d
best lag: 1일 전 · 보정 p<0.001
significant0%
BTC Log Return → ETF Net Inflow
best lag: 3일 전 · 보정 p<0.001
significant100%
BTC Log Return → funding rate zscore 30d
best lag: 3일 전 · 보정 p=0.063
watch28%
§04
Alpha Validation

7d horizon · baseline uplift
Candidate signals must outperform naive baselines on lag-only forward returns. Walk-forward stability separates persistent edge from in-sample curve-fitting.
Sharpe basis changed · 2026-04-30
Sharpe는 sqrt(365) 기준으로 연환산됩니다. 2026-04-30 이전 산출물은 sqrt(252) 기준이므로 직접 비교 불가합니다.
Alpha validation
Candidate signals must show baseline uplift to be promoted. Performance is evaluated on lag-only 1d / 3d / 7d forward returns, not contemporaneous correlation.
Candidate signals
lag-only predictors
Horizon
btc_fwd_ret_7d
Best baseline
63.8%
best reference model
Walk-forward
full/core folds
Gate · decision vs strict
decision: 0 promotestrict: 0 promote
gap ratio 0.0%
Top signal hit rates
vix regime score
uplift -9.1ppq=1.000
strict54.7%
vol regime filtered full hybrid score
uplift -11.3ppq=1.000
strict52.5%
etf net inflow usd log1p
uplift -12.0ppq=1.000
strict51.8%
etf net inflow usd log1p
uplift -12.0ppq=1.000
strict51.8%
etf net inflow usd log1p
uplift -12.0ppq=1.000
strict51.8%
Backtest / walk-forward
News Sentiment
alpha 51.58%
-0.92
Fear & Greed Index
alpha 121.88%
-0.28
Sentiment Momentum
alpha -16.75%
-1.72
Sentiment Accel
alpha 20.50%
-1.15
core walk-forward
stability 0.62
49.1%
full walk-forward
stability 0.69
51.4%
Research rules · not yet in production gate
4 signals
vix low long only
research
uplift -8.0ppq=1.000
strict55.8%
vote vol sent fng5 2of3
research
uplift -7.1ppq=1.000
strict56.8%
vote vol vix sent fng5 3of4
research
uplift -7.5ppq=1.000
strict56.4%
vol regime v2 vix realized vol 2of2
research
uplift 0.0ppq=1.000
strict63.8%
§05
Target Diagnostics

forward returns · fixed label · volatility adjusted label
Event rates for large-move labels. Labels that are too frequent or too rare distort the prediction task — compare fixed vs. vol-adjusted thresholds across regimes.
Target diagnostics
Compare event rates across return targets and large-move labels. Labels that are too common create an illusion of easy prediction — inspect both fixed and vol-adjusted thresholds.
fixed large move38.4%
vol-adjusted move14.4%
btc_fwd_ret_1d
-0.0005
valid 538 · null 0.2%
btc_fwd_ret_3d
-0.0012
valid 536 · null 0.6%
btc_fwd_ret_7d
-0.0027
valid 532 · null 1.3%
btc_fwd_vol_5d
0.0207
valid 534 · null 0.9%
btc_large_move_3d
38.4%
valid 536 · null 0.6%
btc_large_move_3d_vol_adj
14.4%
valid 526 · null 2.4%
btc_realized_vol_20d_lag1
0.0222
valid 529 · null 1.9%
§06
PCA Factor Analysis

extended features · core features · loadings
Compression of market indicators into a single hybrid index. Loadings reveal which features drive the composite signal direction and magnitude.
지표 기여도
종합 신호를 올리거나 낮추는 지표의 방향과 설명력 비중을 함께 봅니다.
Components
설명력
85.2%
Coverage
97.6%
Features used
Excluded
데이터 상태 참고 필요 · composite signal computed from available features
가장 큰 기여 지표
Fear & Greed Index
+0.485 · raises composite signal
FeatureLowers / RaisesWeight
Fear & Greed Index
rank #1
lowersraises
+0.485
18.8%
raises
News Sentiment
rank #2
lowersraises
+0.480
18.6%
raises
Long/Short Ratio
rank #3
lowersraises
-0.411
15.9%
lowers
vix regime score
rank #4
lowersraises
+0.332
12.9%
raises
ETF Net Inflow
rank #5
lowersraises
+0.320
12.4%
raises
VIX Volatility
rank #6
lowersraises
-0.297
11.5%
lowers
Funding Rate
rank #7
lowersraises
+0.253
9.8%
raises
Volume Change
rank #8
lowersraises
-0.006
0.2%
lowers
§07
Stationarity Gate

ADF · stationarity · diagnostics
Granger tests assume stationary inputs. Weak ADF results cause skips or reduce confidence in causality estimates — this panel traces the root cause.
Stationarity gate
Time-series tests assume stationarity. Weak ADF results cause skips or reduce confidence in causality estimates — trace root cause here.
12 series
series	p-value	stat	status
BTC Log Return	n/a	n/a	stationary
ETF Net Inflow	n/a	n/a	stationary
etf net inflow usd log1p	n/a	n/a	watch
F&G Change 1d	n/a	n/a	stationary
Fear & Greed Index	n/a	n/a	watch
funding rate zscore 30d	n/a	n/a	stationary
long short ratio zscore 30d	n/a	n/a	stationary
News Sentiment	n/a	n/a	watch
oi change pct	n/a	n/a	stationary
Sentiment Momentum	n/a	n/a	stationary
usdkrw log return	n/a	n/a	stationary
Volume Change	n/a	n/a	stationary
§08
Raw Parquet Metadata

sentiment_join_stats · no-loss view
Full parquet metadata exposed as JSON. Dashboard cards are curated views — this section is the ground truth for debugging and contract verification.
Raw parquet metadatasentiment_join_stats · 31 keys · ground truth viewexpand
{
  "adf": {
    "btc_log_return": {
      "adf_pvalue": 0,
      "adf_statistic": -25.344470909616184,
      "conclusion": "stationary",
      "kpss_pvalue": 0.1,
      "kpss_statistic": 0.13347403842623376,
      "stationary": true
    },
    "etf_net_inflow_usd": {
      "adf_pvalue": 1.5771099709911042e-7,
      "adf_statistic": -6.010570070782248,
      "conclusion": "stationary",
      "kpss_pvalue": 0.05431019786419277,
      "kpss_statistic": 0.4530003409550728,
      "stationary": true
    },
    "etf_net_inflow_usd_log1p": {
      "adf_pvalue": 3.3466033793484976e-18,
      "adf_statistic": -10.302352929420245,
      "conclusion": "trend_stationary",
      "kpss_pvalue": 0.02668362823628929,
      "kpss_statistic": 0.5665246906308755,
      "stationary": false
    },
    "fng_change_1d": {
      "adf_pvalue": 6.950611050823909e-27,
      "adf_statistic": -14.456853101881208,
      "conclusion": "stationary",
      "kpss_pvalue": 0.1,
      "kpss_statistic": 0.057283411048244234,
      "stationary": true
    },
    "fng_value": {
      "adf_pvalue": 0.10886804317302673,
      "adf_statistic": -2.527748110548966,
      "conclusion": "non_stationary",
      "kpss_pvalue": 0.01,
      "kpss_statistic": 1.9381404778173592,
      "stationary": false
    },
    "funding_rate_zscore_30d": {
      "adf_pvalue": 2.3663169228050047e-10,
      "adf_statistic": -7.200952467376335,
      "conclusion": "stationary",
      "kpss_pvalue": 0.1,
      "kpss_statistic": 0.14624896278474944,
      "stationary": true
    },
    "long_short_ratio_zscore_30d": {
      "adf_pvalue": 5.924642840375786e-10,
      "adf_statistic": -7.038664487451109,
      "conclusion": "stationary",
      "kpss_pvalue": 0.1,
      "kpss_statistic": 0.15984850198768802,
      "stationary": true
    },
    "news_sentiment_mean": {
      "adf_pvalue": 0.017856880431238766,
      "adf_statistic": -3.238588850010335,
      "conclusion": "trend_stationary",
      "kpss_pvalue": 0.01,
      "kpss_statistic": 1.6315279582913658,
      "stationary": false
    },
    "oi_change_pct": {
      "adf_pvalue": 0,
      "adf_statistic": -19.107124669480356,
      "conclusion": "stationary",
      "kpss_pvalue": 0.1,
      "kpss_statistic": 0.05860661708963503,
      "stationary": true
    },
    "sentiment_momentum": {
      "adf_pvalue": 2.4913759475729174e-16,
      "adf_statistic": -9.55645763739729,
      "conclusion": "stationary",
      "kpss_pvalue": 0.1,
      "kpss_statistic": 0.012671036247299509,
      "stationary": true
    },
    "usdkrw_log_return": {
      "adf_pvalue": 3.5888472914642144e-26,
      "adf_statistic": -14.019764800131432,
      "conclusion": "stationary",
      "kpss_pvalue": 0.1,
      "kpss_statistic": 0.07323227056660432,
      "stationary": true
    },
    "volume_change_pct": {
      "adf_pvalue": 1.937371065047328e-7,
      "adf_statistic": -5.970902523744728,
      "conclusion": "stationary",
      "kpss_pvalue": 0.1,
      "kpss_statistic": 0.1280486920836178,
      "stationary": true
    }
  },
  "backtest": [
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      "bnh_cumulative_return": -0.2580853780484309,
      "bootstrap_block_length": 14,
      "bootstrap_method": "circular",
      "bootstrap_n": 1000,
      "cumulative_return_ci_lower": -1.051112812825529,
      "cumulative_return_ci_upper": 0.28052053876185795,
      "granger_significant": true,
      "inverted": false,
      "max_drawdown": -0.5184253747869213,
      "n_trades": 105,
      "n_valid": 538,
      "predictor": "news_sentiment_mean_lag1",
      "sharpe_ci_lower": -2.4916670808612973,
      "sharpe_ci_upper": 0.6454877460612054,
      "sharpe_ratio": -0.9533424761819534,
      "strategy_cumulative_return": -0.40597583010306143,
      "threshold": 0,
      "transaction_cost_bps": 10
    },
    {
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      "bootstrap_block_length": 14,
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      "bootstrap_n": 1000,
      "cumulative_return_ci_lower": -0.4536700193072766,
      "cumulative_return_ci_upper": 0.45180341541941593,
      "granger_significant": true,
      "inverted": false,
      "max_drawdown": -0.25532014153040056,
      "n_trades": 35,
      "n_valid": 538,
      "predictor": "fng_value_lag1",
      "sharpe_ci_lower": -1.3833510053150073,
      "sharpe_ci_upper": 1.2943765027811516,
      "sharpe_ratio": -0.10143271349630387,
      "strategy_cumulative_return": -0.034288856243439136,
      "threshold": 50,
      "transaction_cost_bps": 10
    },
    {
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      "bootstrap_block_length": 14,
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      "bootstrap_n": 1000,
      "cumulative_return_ci_lower": -0.9964199197480379,
      "cumulative_return_ci_upper": 0.5011691721381669,
      "granger_significant": true,
      "inverted": false,
      "max_drawdown": -0.5678611775355014,
      "n_trades": 171,
      "n_valid": 535,
      "predictor": "sentiment_momentum_lag1",
      "sharpe_ci_lower": -1.9897976658778074,
      "sharpe_ci_upper": 1.0916449193924789,
      "sharpe_ratio": -0.43403890344176566,
      "strategy_cumulative_return": -0.20962809276614366,
      "threshold": 0,
      "transaction_cost_bps": 10
    },
    {
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      "bnh_cumulative_return": -0.2068455417015566,
      "bootstrap_block_length": 14,
      "bootstrap_method": "circular",
      "bootstrap_n": 1000,
      "cumulative_return_ci_lower": -0.8589429216812758,
      "cumulative_return_ci_upper": 0.30899245740922715,
      "granger_significant": null,
      "inverted": false,
      "max_drawdown": -0.5287982464058782,
      "n_trades": 304,
      "n_valid": 537,
      "predictor": "sentiment_accel_lag1",
      "sharpe_ci_lower": -1.91994763113617,
      "sharpe_ci_upper": 0.6990502904403563,
      "sharpe_ratio": -0.6180154479189112,
      "strategy_cumulative_return": -0.2769384999563928,
      "threshold": 0,
      "transaction_cost_bps": 10
    },
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      "cumulative_return_ci_upper": 0.34334597044310544,
      "granger_significant": false,
      "inverted": false,
      "max_drawdown": -0.6454111595642935,
      "n_trades": 311,
      "n_valid": 537,
      "predictor": "fng_change_1d_lag1",
      "sharpe_ci_lower": -2.3074023774143813,
      "sharpe_ci_upper": 0.710835030806303,
      "sharpe_ratio": -0.7526719488529843,
      "strategy_cumulative_return": -0.3413494260421165,
      "threshold": 0,
      "transaction_cost_bps": 10
    },
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      "bnh_cumulative_return": -0.25358045734722623,
      "bootstrap_block_length": 14,
      "bootstrap_method": "circular",
      "bootstrap_n": 1000,
      "cumulative_return_ci_lower": -0.9667819418372631,
      "cumulative_return_ci_upper": 0.23556931558118824,
      "granger_significant": null,
      "inverted": false,
      "max_drawdown": -0.4648687556167063,
      "n_trades": 150,
      "n_valid": 533,
      "predictor": "fng_change_5d_lag1",
      "sharpe_ci_lower": -2.435448377731875,
      "sharpe_ci_upper": 0.5563050286179443,
      "sharpe_ratio": -0.8964570321694773,
      "strategy_cumulative_return": -0.35048849426643175,
      "threshold": 0,
      "transaction_cost_bps": 10
    },
    {
      "alpha": 0.026285899638112897,
      "bnh_cumulative_return": -0.2580853780484309,
      "bootstrap_block_length": 14,
      "bootstrap_method": "circular",
      "bootstrap_n": 1000,
      "cumulative_return_ci_lower": -0.8388422213624149,
      "cumulative_return_ci_upper": 0.37419491469208704,
      "granger_significant": null,
      "inverted": true,
      "max_drawdown": -0.38078749086976793,
      "n_trades": 17,
      "n_valid": 538,
      "predictor": "btc_bear_regime_lag1",
      "sharpe_ci_lower": -1.844320269708795,
      "sharpe_ci_upper": 0.9441648516372214,
      "sharpe_ratio": -0.5226245593076257,
      "strategy_cumulative_return": -0.231799478410318,
      "threshold": 0.5,
      "transaction_cost_bps": 10
    },
    {
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      "bnh_cumulative_return": -0.23705965628333858,
      "bootstrap_block_length": 14,
      "bootstrap_method": "circular",
      "bootstrap_n": 1000,
      "cumulative_return_ci_lower": -0.9154266363601533,
      "cumulative_return_ci_upper": 0.4705260606799273,
      "granger_significant": null,
      "inverted": false,
      "max_drawdown": -0.4975645766406209,
      "n_trades": 90,
      "n_valid": 535,
      "predictor": "sentiment_momentum_x_bear_lag1",
      "sharpe_ci_lower": -2.195549231104835,
      "sharpe_ci_upper": 1.4830909522324034,
      "sharpe_ratio": -0.38091604113487915,
      "strategy_cumulative_return": -0.13645767652570484,
      "threshold": 0,
      "transaction_cost_bps": 10
    },
    {
      "alpha": 0.26385170011048825,
      "bnh_cumulative_return": -0.2068455417015566,
      "bootstrap_block_length": 14,
      "bootstrap_method": "circular",
      "bootstrap_n": 1000,
      "cumulative_return_ci_lower": -0.44457995803958356,
      "cumulative_return_ci_upper": 0.590220262670464,
      "granger_significant": null,
      "inverted": false,
      "max_drawdown": -0.3835106529781831,
      "n_trades": 148,
      "n_valid": 537,
      "predictor": "fng_change_1d_x_bear_lag1",
      "sharpe_ci_lower": -1.71610109728036,
      "sharpe_ci_upper": 1.6868554118198396,
      "sharpe_ratio": 0.1814140009047053,
      "strategy_cumulative_return": 0.05700615840893164,
      "threshold": 0,
      "transaction_cost_bps": 10
    },
    {
      "alpha": 0.14928490649707477,
      "bnh_cumulative_return": -0.2580853780484309,
      "bootstrap_block_length": 14,
      "bootstrap_method": "circular",
      "bootstrap_n": 1000,
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