plans(008): RVOL adds nothing beyond VWAP (0.526->0.535, noise) — VWAP is the whole story

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

plans/README.md

@@ -23,7 +23,7 @@ your row when done.
 | 005 | Entry-path unification + decision receipts | P2 | M | 001, 003, 004 | DONE |
 | 006 | Experiment OS — pre-registered counterfactual experiments over logged fires (flagship) | P1 | L | 004 (005 rec.) | DONE |
 | 007 | Operator control plane — dashboard truth + kill switch + effective config (step 1 = prod bug fix, ship early) | P2 | M | 001, 003 (006 for ledger data) | DONE |
-| 008 | Conversion-signal model — measure if the labeled data separates winners | P1 | L | 006, 004 | **MEASURED 2026-07-14 (corrected): the 0.514 was the liq1-dominated MIX. Scoped to live v1: CV AUC 0.641 — REAL signal, but it is ~entirely the VWAP gate the bot ALREADY runs (above-VWAP +1R 35.4% vs below 12.7%). Residual within above-VWAP = 0.526 ≈ noise. Verdict: no NEW alpha in current features; VWAP is the edge and it's on. Revisit after 009 fills rvol/context/catalyst.** |
+| 008 | Conversion-signal model — measure if the labeled data separates winners | P1 | L | 006, 004 | **MEASURED 2026-07-14 (corrected): the 0.514 was the liq1-dominated MIX. Scoped to live v1: CV AUC 0.641 — REAL signal, but it is ~entirely the VWAP gate the bot ALREADY runs (above-VWAP +1R 35.4% vs below 12.7%). Residual within above-VWAP = 0.526 ≈ noise. RVOL-fallback added (read-only test 2026-07-14): 0.526→0.535, within noise — RVOL adds nothing beyond VWAP. Verdict: VWAP is the whole story for current features; no second indicator. Only market-context + catalyst remain untested (forward-accrual only, negative prior). The lever is a different setup (premarket), not more ORB filters.** |
 | 009 | Feature-population prerequisite — instrument v1/pm1 (market context, RVOL fallback, catalyst-on), then re-run 008's probe | P2 | L | 006, 008 | code DONE, awaiting supervised rebuild+probe (market context + thin-name RVOL fallback + SPY/QQQ ingest + enrichment-on + committed probe all landed & tested; Steps 4-5 rebuild/AUC run supervised) |
 
 Status values: TODO | IN PROGRESS | DONE | BLOCKED (with one-line reason) | REJECTED (with one-line rationale)