research: prepare prod book universe x horizon 4-arm matrix

Pre-register A-D (4y/2016 x 505/505+liquid) with unchanged production knobs. Runner caches full GTL candidates then re-ranks per arm; MacBook entry via run_tier1_macbook.sh --prod-book-matrix.
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+# 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
+
+*(filled after run)*
+
+| arm | universe | entry start | Sharpe | SE | CAGR % | max DD % | trades | notes |
+|---|---|---|---:|---:|---:|---:|---:|---|
+| A | 505 | 2022-07-01 | | | | | | |
+| B | 505+liquid | 2022-07-01 | | | | | | |
+| C | 505 | 2016-07-01 | | | | | | |
+| D | 505+liquid | 2016-07-01 | | | | | | |
+
+---
+
+## Verdict
+
+**PENDING_HUMAN** after numbers land.