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reports/portfolio-construction-prod505-capacity-bracket-daily-v1.json
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# Focused daily portfolio-capacity matrix
Generated: 2026-08-05T19:25:17.150472+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.
## Validated universes
- Tradable setup symbols with prices: 505.
- Rank-only symbols with prices: 4149.
- Full ranking symbols with prices: 4654.
- Tradable qualified longs: 6118.
- Rank-only qualified rows removed: 136286.
## 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 | 0.044 | [-0.011, 0.060] | 0.030 | [-0.030, 0.120] |
| cap10_weekly_top10 | 0.000 | [-0.091, 0.000] | 0.000 | [-0.260, 0.000] |
| cap15_incumbent | 0.000 | [0.000, 0.011] | 0.000 | [0.000, 0.130] |
| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
|---|---:|---:|---:|---:|---:|
| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| cash_unbounded | 0.079 | 0.047 | -0.013 | 1.350 | 0.000 |
| cap10_weekly_top10 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| cap15_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
### 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 | 0.034 | [-0.014, 0.100] | 0.050 | [-0.160, 0.250] |
| cap10_weekly_top10 | 0.000 | [-0.158, 0.065] | 0.000 | [-0.200, 0.330] |
| cap15_incumbent | 0.000 | [-0.006, 0.000] | 0.000 | [0.000, 0.180] |
| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
|---|---:|---:|---:|---:|---:|
| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| cash_unbounded | 0.062 | 0.085 | -0.004 | 2.200 | 0.400 |
| cap10_weekly_top10 | 0.000 | 0.012 | 0.018 | 0.300 | 0.000 |
| cap15_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
### Empty Book — 0.20% 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 | 0.041 | [-0.010, 0.052] | 0.030 | [-0.015, 0.100] |
| cap10_weekly_top10 | 0.000 | [-0.090, 0.000] | 0.000 | [-0.260, 0.000] |
| cap15_incumbent | 0.000 | [0.000, 0.010] | 0.000 | [0.000, 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 | 0.066 | 0.035 | -0.014 | 0.900 | 0.000 |
| cap10_weekly_top10 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| cap15_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
### Warm Book — 0.20% 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 | 0.034 | [-0.022, 0.102] | 0.040 | [-0.130, 0.230] |
| cap10_weekly_top10 | 0.000 | [-0.158, 0.065] | 0.000 | [-0.190, 0.310] |
| cap15_incumbent | 0.000 | [-0.006, 0.000] | 0.000 | [0.000, 0.170] |
| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
|---|---:|---:|---:|---:|---:|
| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| cash_unbounded | 0.060 | 0.083 | -0.003 | 2.100 | 0.300 |
| cap10_weekly_top10 | 0.000 | 0.017 | 0.020 | 0.300 | 0.000 |
| cap15_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
## Warm-seed initialization dispersion
| Arm | Cost/fill | Median EV IQR ratio | Median Calmar IQR ratio |
|---|---:|---:|---:|
| cap10_incumbent | 0.10% | 1.000 | 1.000 |
| cash_unbounded | 0.10% | 1.000 | 1.000 |
| cap10_weekly_top10 | 0.10% | 1.000 | 1.000 |
| cap15_incumbent | 0.10% | 1.000 | 1.000 |
| cap10_incumbent | 0.20% | 1.000 | 1.000 |
| cash_unbounded | 0.20% | 1.000 | 1.000 |
| cap10_weekly_top10 | 0.20% | 1.000 | 1.000 |
| cap15_incumbent | 0.20% | 1.000 | 1.000 |
## Capacity and operations — 0.10% per fill
| Arm | Median trades | Median blocked | Median positions | Peak | Turnover | Min-risk rejects |
|---|---:|---:|---:|---:|---:|---:|
| cap10_incumbent | 76.0 | 21.6% | 4.98 | 10 | 26.36 | 0 |
| cash_unbounded | 74.0 | 0.0% | 4.82 | 12 | 26.76 | 85517 |
| cap10_weekly_top10 | 88.0 | 18.1% | 5.13 | 10 | 28.44 | 0 |
| cap15_incumbent | 79.0 | 0.0% | 5.15 | 12 | 27.32 | 0 |
## Weekly-ranking opportunity set
- Median fresh entrant pool: 0.0.
- Median zero-entrant fraction: 0.558.
- Replacements across reported paths: 2170.
- Same-symbol re-entries within 10 sessions: 529.
Bootstrap intervals above resample seven annual summaries and are descriptive context only. They are not gates or independent-population confidence claims.