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"portfolio-capacity-bracket-v1", + "snapshot": "/Users/taathde3/git/lab/signal_platform/backtest_snapshots/research.sqlite", + "snapshot_sessions": { + "count": 2649, + "first": "2016-01-04", + "last": "2026-07-17" + }, + "snapshot_sha256": "c04a5bbef2c8c1f9e218817a5b0adce40ccc4bccba22699bc5ed2564f09858ce", + "universe_manifest": { + "symbols_sha256": "5b27b8c017701a4afce5f7f82dcbc44ca021ff4af516e95e1d5acf799da85842", + "symbols_with_prices": 4654, + "ticker_rows": 4655 + }, + "warm_cluster_count": 7, + "warm_seed_counts": { + "2019": 14, + "2020": 14, + "2021": 13, + "2022": 14, + "2023": 14, + "2024": 14, + "2025": 14 + } + } +} diff --git a/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md b/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md new file mode 100644 index 0000000..883abda --- /dev/null +++ b/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md @@ -0,0 +1,74 @@ +# Focused daily portfolio-capacity matrix + +Generated: 2026-08-05T18:12:50.577686+00:00 + +## Question + +The current daily Phase A control admitted 472 trades and rejected 519 qualified opportunities because the ten-slot book was full. This run brackets the economic cost of that binding constraint; it has no formal promotion gate. + +> Universe caveat: today's production membership is projected backward. Use paired arm-versus-control differences, not absolute profitability, for construction conclusions. + +## Paired annual medians + +### Empty Book — 0.10% per fill + +| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context | +|---|---:|---:|---:|---:| +| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] | +| cash_unbounded | 0.137 | [0.120, 0.185] | 0.000 | [-0.010, 0.270] | +| cap10_weekly_top10 | 0.092 | [0.040, 0.117] | 0.000 | [-0.040, 0.000] | +| cap15_incumbent | 0.098 | [0.022, 0.183] | 0.000 | [-0.010, 0.160] | + +| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp | +|---|---:|---:|---:|---:|---:| +| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | +| cash_unbounded | 0.094 | 0.068 | 0.313 | 0.800 | 3.800 | +| cap10_weekly_top10 | -0.035 | -0.052 | -0.196 | -5.700 | 2.850 | +| cap15_incumbent | 0.037 | 0.017 | 0.168 | -0.050 | 2.150 | + +### Warm Book — 0.10% per fill + +| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context | +|---|---:|---:|---:|---:| +| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] | +| cash_unbounded | 0.119 | [-0.014, 0.214] | 0.000 | [-0.045, 0.150] | +| cap10_weekly_top10 | 0.068 | [0.063, 0.154] | 0.000 | [-0.110, 0.020] | +| cap15_incumbent | 0.063 | [-0.104, 0.145] | 0.000 | [-0.020, 0.110] | + +| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp | +|---|---:|---:|---:|---:|---:| +| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | +| cash_unbounded | 0.069 | 0.018 | -0.921 | -4.500 | 0.000 | +| cap10_weekly_top10 | 0.000 | -0.026 | -0.869 | -4.100 | 3.900 | +| cap15_incumbent | 0.035 | 0.006 | -0.994 | -0.900 | 1.050 | + +## Warm-seed initialization dispersion + +| Arm | Cost/fill | Median EV IQR ratio | Median Calmar IQR ratio | +|---|---:|---:|---:| +| cap10_incumbent | 0.10% | n/a | n/a | +| cash_unbounded | 0.10% | n/a | n/a | +| cap10_weekly_top10 | 0.10% | n/a | n/a | +| cap15_incumbent | 0.10% | n/a | n/a | +| cap10_incumbent | 0.20% | n/a | n/a | +| cash_unbounded | 0.20% | n/a | n/a | +| cap10_weekly_top10 | 0.20% | n/a | n/a | +| cap15_incumbent | 0.20% | n/a | n/a | + +## Capacity and operations — 0.10% per fill + +| Arm | Median trades | Median blocked | Median positions | Peak | Turnover | Min-risk rejects | +|---|---:|---:|---:|---:|---:|---:| +| cap10_incumbent | 212.0 | 98.4% | 10.00 | 10 | 14.72 | 0 | +| cash_unbounded | 340.0 | 0.0% | 18.24 | 41 | 19.04 | 2719474 | +| cap10_weekly_top10 | 303.0 | 97.1% | 9.99 | 10 | 18.07 | 0 | +| cap15_incumbent | 327.0 | 97.3% | 14.78 | 15 | 17.30 | 0 | + +## Weekly-ranking opportunity set + +- Median fresh entrant pool: 47.0. +- Median zero-entrant fraction: 0.000. +- Replacements across reported paths: 15081. +- Same-symbol re-entries within 10 sessions: 4081. + +Bootstrap intervals above resample seven annual summaries and are descriptive context only. They are not gates or independent-population confidence claims.