research: prepare effective risk floor ab

docs/research/README.md

@@ -146,7 +146,7 @@ knobs.
 | **Broader universe** | Composition changes factor signs (fip tug-of-war); vol-tilt on breadth is only a **directional hypothesis** (auth. −0.048 / t −1.36) | Any prod broaden must re-validate 80/20 tilt; offline research only; research.sqlite requires completion manifest |
 | **Forward paper-trade record** | The only true out-of-sample evidence the snapshot cannot give | Time; mark entries at actual near-close fill once ops ships |
 | **Better target model for clear-air names** | The return is demonstrably there (#2 wins on raw CAGR in *both* train and test); it's the *flat* 3× ATR target that makes it too expensive in risk | Needs a per-name model, not a constant k×ATR |
-| **Minimum effective-risk floor** | In cap-never-bound paths, the confounded 0.5% floor arm removed about 8% of fills while EV rose from 0.328 to 0.399 R and PF from 1.60 to 1.75, with exposure nearly unchanged | Run a single-variable A/B: cap 10 control versus cap 10 plus `min_initial_risk_fraction=0.005`. [Capacity findings](portfolio-capacity-bracket-findings.md) |
+| **Minimum effective-risk floor** | In cap-never-bound paths, the confounded 0.5% floor arm removed about 8% of fills while EV rose from 0.328 to 0.399 R and PF from 1.60 to 1.75, with exposure nearly unchanged | Run the frozen single-variable cap-10 A/B. [Specification](effective-risk-floor-ab.md) / [capacity findings](portfolio-capacity-bracket-findings.md) |
 
 ---
 
@@ -206,7 +206,7 @@ only 0.0018 R/trade in paths where cap 10 bound. Weekly current-rank replacement
 reduced mean EV and created substantial churn. Keep cap 10 and do not build the
 replacement policy. See the [frozen specification](portfolio-capacity-bracket.md)
 and the separate [capacity findings](portfolio-capacity-bracket-findings.md).
-The only open follow-up from that run is the confound-free 0.5% minimum
-effective-risk-floor A/B.
+The only open follow-up from that run is the
+[frozen confound-free 0.5% minimum effective-risk-floor A/B](effective-risk-floor-ab.md).
 
 The next real evidence is **forward**, not backward: the live paper-trade record.

docs/research/effective-risk-floor-ab.md

@@ -0,0 +1,124 @@
+# Effective initial-risk floor A/B - frozen specification
+
+Date frozen: 2026-08-05
+Branch: research/portfolio-capacity-rebalancing
+Runner: scripts/run_portfolio_construction_matrix.py
+Study ID: risk-floor-ab
+
+## Question
+
+Does rejecting an otherwise qualified cap-10 entry when its actual initial
+stop-risk after cash and notional sizing is below 0.5% of marked equity improve
+trade selection?
+
+The completed capacity bracket cannot answer this. Its cash_unbounded arm
+removed the count cap and applied the 0.5% floor simultaneously. In the 70 paths
+where the control cap never bound, that arm still raised mean EV from 0.328 to
+0.399 R and profit factor from 1.60 to 1.75 while trades fell about 8% and
+exposure stayed nearly flat. Capacity was a no-op in those paths, so the floor
+is the plausible cause, but the prior arm remains confounded.
+
+This A/B changes only the floor. It has no formal promotion gate and does not
+automatically change production.
+
+## Frozen arms
+
+1. cap10_incumbent: current production-style cap-10 control, with no minimum
+   effective-risk floor.
+2. cap10_min_risk_005: the same cap-10 strategy, rejecting an entry only when
+   actual initial stop-risk after cash/notional sizing is below 0.5% of marked
+   equity.
+
+Both arms have max_positions=10, weekly replacement disabled, 1% target risk
+per trade, and identical admission ordering. The only differing simulator
+argument is min_initial_risk_fraction: None versus 0.005.
+
+All other settings remain the frozen daily Phase A control: current production
+construction universe, full-universe residual-momentum/low-volatility 80/20
+rank, threshold 80, normal gate-reset re-entry, close fills, 3x ATR trail,
+30-session maximum hold, 20% per-position notional ceiling, no leverage, and
+costs of 0.10% and 0.20% per fill.
+
+Every priced symbol contributes to the daily cross-sectional rank. Rank-only
+symbols cannot submit trades. Validation retains the 450-600-symbol production
+construction guardrail and the legacy-snapshot column-scoped loader.
+
+## Frozen cohorts
+
+Reuse the completed bracket's point-in-time daily candidate/rank cache and
+cohort manifest:
+
+- Empty book: first eligible session of each month in 2019-2025, with 504 prior
+  scoring sessions and 252 measurement sessions. This is the primary start-date
+  evidence.
+- Warm book: weekly seeds 63-126 sessions before each 2019-2025 annual anchor,
+  with state carried into the same 252-session measurement window. This is a
+  state-carrying replication, not independent evidence.
+
+The expected realization is 78 empty-book paths, 97 warm paths, seven annual
+clusters in each protocol, two costs, two arms, and 700 cells.
+
+Do not use warm-seed IQR as evidence. Six of seven completed-bracket anchors
+were structurally degenerate because fractional sizing is scale invariant and
+the 30-session maximum hold washed out books before anchors. The 2023 exception
+shows that state carrying itself works.
+
+## Reporting and interpretation
+
+For every protocol and cost, pair identical paths. Report:
+
+- mean, median, P25, and P75 paired net-EV changes in R;
+- positive-path and bit-identical-path fractions;
+- the median paired delta within each year and the median across seven years;
+- simple 90% cluster-bootstrap context for EV and Calmar, with no CI gate;
+- mean paired PF, Gain-to-Pain, Sortino, Calmar/MAR, CAGR, maximum drawdown,
+  total return, and Sharpe changes;
+- trades, floor rejections, holding time, cash, gross exposure, average/peak
+  positions, turnover, and costs.
+
+Means and identical-path fractions must appear beside medians so inert cohorts
+cannot turn a left- or right-skewed treatment into a misleading zero headline.
+For these 252-session windows, the implementation's full-window Calmar is CAGR
+divided by maximum drawdown, the same numeric definition commonly called MAR;
+do not present the duplicate label as a second independent metric.
+
+Today's production membership is projected backward. Use paired differences
+for the treatment conclusion; absolute profitability remains descriptive and
+survivorship-biased. Empty and warm protocols cover the same seven market years
+and must not be interpreted as independent replications.
+
+Interpretation is deliberately simple:
+
+- a positive result means the isolated floor improves the paired EV
+  distribution without an economically important loss of total-return or
+  drawdown quality;
+- a negative result closes the floor;
+- mixed EV/portfolio-quality results are reported as a trade-off, not forced
+  through a composite score.
+
+## Reproducibility and macOS execution
+
+The authoritative run refuses a dirty worktree. Its fingerprint includes the
+implementation commit, this specification hash, snapshot hash, candidate-cache
+key, construction view, cohort manifest, arm definitions, costs, and study
+version. Cells checkpoint atomically and --resume verifies the fingerprint.
+
+From the repository root on macOS:
+
+    python3 -m venv .venv
+    ./.venv/bin/python -m pip install -e '.[dev]'
+
+Preflight, reusing the completed bracket's candidate/rank cache:
+
+    ./.venv/bin/python scripts/run_portfolio_construction_matrix.py +      backtest_snapshots/research.sqlite +      --study risk-floor-ab +      --run-id prod505-effective-risk-floor-ab-daily-v1 +      --candidate-cache reports/.cache/prod505-capacity-bracket-daily-v1-candidates.pkl +      --workers 8 +      --resume +      --validate-only
+
+Authoritative run:
+
+    ./.venv/bin/python scripts/run_portfolio_construction_matrix.py +      backtest_snapshots/research.sqlite +      --study risk-floor-ab +      --run-id prod505-effective-risk-floor-ab-daily-v1 +      --candidate-cache reports/.cache/prod505-capacity-bracket-daily-v1-candidates.pkl +      --workers 8 +      --resume
+
+On an M2 Pro, eight workers is the explicit high-utilization setting. Use six
+instead on a memory-constrained machine; auto intentionally caps itself at six.
+Changing worker count does not change the fingerprint or results.
+
+Commit only the compact final JSON and Markdown reports. Candidate caches,
+checkpoints, raw curves, and trade ledgers remain ignored.