docs: add CLAUDE.md memory on NPF normalization (ADF vs second-moment)#29
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docs: add CLAUDE.md memory on NPF normalization (ADF vs second-moment)#29mspinola wants to merge 1 commit into
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Records the accepted feedback on the NPF/OI report: dividing net by OI adds little in an ADF test (raw net is mostly level-stationary already); the real benefit is variance stability across eras and lower kurtosis, which is what keeps full-history percentile thresholds meaningful. Also notes the 2004-06 index-fund structural break caveat and the pending npf_check.py verification. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01M3dvdfiAyaEuGfUaY9Z9g9
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Adds a
CLAUDE.mdproject-memory file recording the NPF (net non-commercial / open interest) discussion, so future Claude sessions in this repo have the context:npf_check.pyverification (ADF, era variance ratio, kurtosis across 8 major markets) handed off to a trusted-network session.Documentation only — no code changes.
🤖 Generated with Claude Code
https://claude.ai/code/session_01M3dvdfiAyaEuGfUaY9Z9g9
Generated by Claude Code