# Production book × universe × horizon matrix

**Status:** PRE-REGISTERED — prepare / MacBook run; no production changes.  
**Branch:** `research/earnings-gap-and-sue`  
**Runner:** `scripts/run_prod_book_universe_matrix.py`

---

## Question

How does the **live production book** (unchanged knobs) behave when we only vary:

1. **History length** used for entries (≈4y vs since 2016-07)  
2. **Tradable universe** (prod ~505 vs 505 + PIT liquid Nasdaq/breadth)

No strategy modifications: same residual gate, 80/20 high-vol rank, GTL entry
machinery, 3× ATR trail, 30d max hold, gate-reset re-entry, `fill_mode=close`,
cost 10 bps/side, max 10, 1% risk.

---

## Pre-registered arms (locked)

| id | label | Entry start | Tradable universe |
|---|---|---|---|
| **A** | prod_4y_505 | **2022-07-01** | Prod ~505 only |
| **B** | prod_4y_505_liquid | **2022-07-01** | Prod ∪ liquid top-1500 |
| **C** | prod_2016_505 | **2016-07-01** | Prod ~505 only |
| **D** | prod_2016_505_liquid | **2016-07-01** | Prod ∪ liquid top-1500 |

- **End:** last available bar in snapshot (no artificial end).  
- **4y start** chosen to align with recent Phase‑A / book baselines (~mid‑2022 → mid‑2026).  
- **2016-07-01** = first full month after typical Alpaca floor (~2016-01); residual 12‑1 needs ~1y bars so first residual ranks appear mid‑2017 where feed allows.

### Universe definitions

| set | definition |
|---|---|
| **Prod ~505** | Symbols **not** in `research_rank_only` on the research snapshot (the original prod-universe copy). |
| **Liquid top-1500** | Point-in-time: among names with as-of close ≥ **$5** and valid 63d median $vol, keep top **1500** by that $vol. Same definition as breadth IC research. |
| **Prod ∪ liquid** | A name may enter the book on date *t* if it is prod **or** in the liquid top-1500 at *t*. |

Cross-sectional residual / vol / 80/20 ranks are **recomputed inside each arm’s
eligible candidate set** that period (so breadth arms are not ranked against
non-eligible thin names).

### Explicit non-goals

- No sector residual, SUE, FIP filter, gap-cap, take-profit, vol-target, corr-cap  
- No retune of trail / cutoff / min_rr  
- Survivorship: report levels with the standard caveat; **compare arms relatively**

### Reporting (required table)

Per arm: Sharpe, Sharpe SE (Mertens), CAGR %, max DD %, total return %, trades,
win rate if available, start/end, n qualified longs. One markdown table + JSON.

**No promotion rule** — descriptive matrix only. Human decides whether breadth
or depth changes the risk story.

---

## Snapshot requirements

- Prefer MacBook **deep** `research.sqlite` after sector-resid deepen (prod names
  from ~2016, breadth deep, completion manifest `complete=true`).  
- Race-guard before run.  
- Sector map / sector ETFs optional (not used for ranking).

---

## Results

Generated: `2026-07-19T14:07:37` · artifact
`reports/prod-book-universe-horizon-20260719-140737.json`  
Snapshot: MacBook deep `research.sqlite` (506 prod + breadth prices; 2.39M raw
GTL candidates). Strategy knobs = live production (residual 80, 80/20 high-vol
rank, ATR trail 3×, hold 30, gate-reset, `fill_mode=close`).

> Survivorship: today's constituents backfilled. **Compare arms relatively.**
> Absolute deep CAGR/Sharpe are not deployable forecasts.

| arm | universe | entries from | Sharpe | SE | CAGR % | max DD % | total ret % | trades | win % | vs SPY |
|---|---|---|---:|---:|---:|---:|---:|---:|---:|---:|
| **A** | 505 only | 2022-07-01 | **1.32** | 0.49 | **31.8** | **18.9** | +205 | 374 | 35.6 | +96.5 |
| **B** | 505 + liquid 1500 | 2022-07-01 | 0.14 | 0.50 | −1.8 | 55.3 | −7 | 706 | 29.3 | +95.0 |
| **C** | 505 only | 2016-07-01 | **0.88** | 0.31 | **16.7** | **24.4** | +369 | 763 | 36.7 | +257 |
| **D** | 505 + liquid 1500 | 2016-07-01 | −0.06 | 0.32 | −7.0 | 73.9 | −52 | 1567 | 28.0 | +254 |

Qualified longs: A 1 448 · B 6 587 · C 2 450 · D 11 551.

### Read (relative only)

1. **Same strategy, broader liquid universe kills the book** (A→B and C→D).
   Sharpe collapses; DD roughly triples; win rate drops ~6–8pp; trade count
   ~doubles. This matches earlier breadth IC work: the production residual +
   high-vol package is a **large-cap / prod-universe** edge, not a
   “more names = better” edge.

2. **Longer history on 505 stays positive but softer** (A→C). Sharpe 1.32 → 0.88,
   CAGR 32% → 17%, DD 19% → 24%. Still well above the liquid-breadth arms.
   Levels are optimistic (survivorship); the useful message is “edge does not
   vanish when 2018/2020 are included,” not “expect 17% CAGR forever.”

3. **Arm A vs older Phase‑A / short-window controls** (~Sharpe 1.7–2.1): this
   matrix re-ranked on deep research.sqlite with a fixed entry start; numbers
   need not match prior reports row-for-row. Use **this table for A–D
   comparisons**, not for rewriting the production baseline number.

4. **No production change implied.** Keep the live ~505 universe. Do not broaden
   the tradable set to liquid Nasdaq under current knobs without a new
   pre-registered design (and almost certainly a different rank/tilt package).

## Verdict

**Descriptive matrix complete.**

| question | answer from this matrix |
|---|---|
| Prod book @ ~4y / 505 | Positive (arm A) |
| Same + liquid Nasdaq | **No** — large degradation (arm B) |
| Prod book since 2016 / 505 | Still positive, milder (arm C) |
| Same + liquid Nasdaq deep | **No** — worst arm (arm D) |

**PENDING_HUMAN** only for whether to log “universe broaden under current knobs”
as rejected in the main research index. Strategy knobs unchanged either way.

