From f5d4b516abe0057d18aaff404bc491744216e143 Mon Sep 17 00:00:00 2001 From: Dennis Thiessen Date: Wed, 5 Aug 2026 23:08:29 +0200 Subject: [PATCH] docs: land capacity-study evidence and share the rank-map helper Brings the durable artifacts of research/portfolio-capacity-rebalancing onto main so the rationale for raising the count cap lives with the code that cites it. The matrix runner, the research simulator hooks and the study's unit tests are deliberately left behind; they remain at tag research/portfolio-capacity-final. Corrects conclusions that were reached on EV per trade and are now superseded: the findings doc's decisions 1 (keep cap 10) and 4 (run the risk-floor A/B) are struck through and answered in a new correction section, and the research README and phase-A matrix entries are updated to match. The frozen specification itself is untouched -- its recorded SHA-256 f1e37783 still verifies. effective-risk-floor-ab.md is retained but marked CLOSED/NEGATIVE: the study it proposes is already answered by cap15 vs cash_unbounded (-0.753pp CAGR while EV/trade rises), and its EV-based pass rule would have shipped it. scripts/research_rankings.py replaces a fourth copy of the historical rank-map helper; run_research_matrix, run_execution_recovery_matrix and run_daily_reentry_matrix now share it. The shared version adds a duplicate observation guard and a deterministic symbol tie-break the copies lacked. Co-Authored-By: Claude Opus 5 --- docs/research/README.md | 20 +- docs/research/effective-risk-floor-ab.md | 143 + docs/research/phase-a-matrix.md | 12 + .../portfolio-capacity-bracket-findings.md | 219 + docs/research/portfolio-capacity-bracket.md | 169 + ...ion-prod505-capacity-bracket-daily-v1.json | 97480 ++++++++++++++++ ...ction-prod505-capacity-bracket-daily-v1.md | 114 + scripts/research_rankings.py | 84 + scripts/run_daily_reentry_matrix.py | 84 +- scripts/run_execution_recovery_matrix.py | 65 +- scripts/run_research_matrix.py | 65 +- 11 files changed, 98254 insertions(+), 201 deletions(-) create mode 100644 docs/research/effective-risk-floor-ab.md create mode 100644 docs/research/portfolio-capacity-bracket-findings.md create mode 100644 docs/research/portfolio-capacity-bracket.md create mode 100644 reports/portfolio-construction-prod505-capacity-bracket-daily-v1.json create mode 100644 reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md create mode 100644 scripts/research_rankings.py diff --git a/docs/research/README.md b/docs/research/README.md index 0bd30b6..6a388fa 100644 --- a/docs/research/README.md +++ b/docs/research/README.md @@ -25,7 +25,7 @@ score, Structural S/R, the Gate Target Ladder, sentiment, fundamentals) is | 1.5× ATR initial stop | Real exit | Cuts losers fast | | 3× ATR trailing stop, 30-day max hold | Real exit | Best Sharpe of every exit tested | | Post-stop normal gate reset | Re-entry policy | Stop always closes; a later gate failure and subsequent fresh qualification define the next signal episode. The selected study arm reached Sharpe 1.77 / CAGR 48.3% at capacity 10; live scan-before-outcome timing is stricter (Sharpe 1.68 / CAGR 44.8% analogue). [Full study](post-stop-reentry.md) | -| Max 10 concurrent positions, 1% risk per trade | Sizing | Cap never binds in practice | +| Max **15** concurrent positions, 1% risk per trade | Sizing | Raised from 10 (2026-08-05) so the count cap never binds: +1.075pp CAGR paired, 51 paths better / 2 worse, drawdown unchanged. Cash plus the 20% notional cap saturates the book near 12. [Findings](portfolio-capacity-bracket-findings.md#correction-2026-08-05-ev-per-trade-was-the-wrong-lens) | | Structural S/R | Human-facing product context | Clean, capped zones for charts and alerts; not read by the scanner | | Gate Target Ladder | Screening machinery | Volume-free transient proposals preserve the production candidate set exactly; never an exit | @@ -61,7 +61,7 @@ invites overfitting. |---|---| | ATR trail multiple {1.5–4.0} | **Keep 3.0** — ≤2.0 whipsaws out the right tail; ≥2.5 is a plateau | | Momentum lookback (6-1, 3-1, 12-7 Novy-Marx, composites) | **Keep residual 12-1** — the others have IC ≈ 0 or weaker t-stats | -| Selection cutoff {70…90} × book size {10, 15, 20} | **Keep 80 × 10** — monotonically worse in both directions | +| Selection cutoff {70…90} × book size {10, 15, 20} | **Keep cutoff 80; book size now 15** — the focused daily bracket found cap 15 worth +1.075pp CAGR (the weekly replay's contrary reading was EV-per-trade). Weekly rank replacement hurt. [Findings](portfolio-capacity-bracket-findings.md#correction-2026-08-05-ev-per-trade-was-the-wrong-lens) | | Position sizing (equal-weight, inverse-vol, risk-% sweep) | **Keep 1% fixed-fractional** | | Primary-target probability floor | **Keep 20%** — pruned lottery targets, 1,428 → 1,089 qualified, lifted Sharpe | | Primary-target R:R selector | **Keep 1.5** — target choice is intentionally independent of the later 2.0 activation floor | @@ -146,6 +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** | ⛔ CLOSED NEGATIVE, not run. The floor lifts EV/trade (+0.032) and PF (+0.073) *by deleting trades* — 11.4 fewer per path, never one more — and costs **−0.753pp CAGR**, −0.047 Sharpe, −0.051 Calmar | Do not run the A/B; its EV-based pass rule would have shipped it. [Withdrawn specification](effective-risk-floor-ab.md) / [findings](portfolio-capacity-bracket-findings.md#correction-2026-08-05-ev-per-trade-was-the-wrong-lens) | --- @@ -197,4 +198,19 @@ qualification. The [daily re-entry matrix](post-stop-reentry.md) supports this for the current 10-position book, but not as a universal rule for other portfolio capacities. +Capacity is closed **positive**: the count cap was raised 10 → 15 so it no longer +binds, worth **+1.075pp CAGR** paired across 175 paths (51 better, 2 worse) at +unchanged drawdown. Fifteen is headroom, not a target — cap15 peaked at 12 with +zero full-book skips, so cash plus the 20% notional cap is the real ceiling. + +An earlier reading of this run concluded "keep cap 10, added only 0.0018 R/trade." +That was **EV per trade**, which is the wrong metric for a treatment that changes +trade *count*: flat EV/trade means the blocked entries were as good as the taken +ones, so refusing them cost their whole contribution to return. Weekly +current-rank replacement remains rejected (−0.043 EV R, 24% churn). The 0.5% +effective-risk-floor A/B is **closed negative** without being run — it costs +0.75pp of CAGR while raising EV/trade, and its frozen pass rule would have shipped +it. See the [frozen specification](portfolio-capacity-bracket.md) and the +[capacity findings](portfolio-capacity-bracket-findings.md#correction-2026-08-05-ev-per-trade-was-the-wrong-lens). + The next real evidence is **forward**, not backward: the live paper-trade record. diff --git a/docs/research/effective-risk-floor-ab.md b/docs/research/effective-risk-floor-ab.md new file mode 100644 index 0000000..84762d0 --- /dev/null +++ b/docs/research/effective-risk-floor-ab.md @@ -0,0 +1,143 @@ +# Effective initial-risk floor A/B - frozen specification + +> ## ⛔ CLOSED 2026-08-05 — NEGATIVE. DO NOT RUN. +> +> This A/B was never executed because the capacity-bracket run already contains +> it. `cap15_incumbent` (peak 12, zero blocked, no floor) and `cash_unbounded` +> (peak 12, floor) have the same effective capacity and differ essentially only +> by `min_initial_risk_fraction`. Paired over 175 paths, the 0.5% floor gives +> **EV/trade +0.032 and profit factor +0.073, but CAGR −0.753pp, total return +> −0.765pp, Sharpe −0.047, Calmar −0.051**, and it removes 11.4 trades per path +> while never adding one (174 worse / 0 better). +> +> **The pass rule below is unsafe.** It promotes on paired EV, and the floor +> raises EV per trade *precisely by deleting trades* that were net positive +> contributors — so this specification would have shipped a change costing +> 0.75pp of CAGR. Any successor study must decide on CAGR/total return and treat +> EV per trade as a diagnostic. +> +> See [portfolio-capacity-bracket-findings.md](portfolio-capacity-bracket-findings.md#correction-2026-08-05-ev-per-trade-was-the-wrong-lens). +> Retained as a record of what was specified and why it was withdrawn. + +Date frozen: 2026-08-05 +Branch: research/portfolio-capacity-rebalancing (deleted; tag `research/portfolio-capacity-final`) +Runner: scripts/run_portfolio_construction_matrix.py (not on main; see tag) +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. diff --git a/docs/research/phase-a-matrix.md b/docs/research/phase-a-matrix.md index f925005..91b0fa6 100644 --- a/docs/research/phase-a-matrix.md +++ b/docs/research/phase-a-matrix.md @@ -28,6 +28,18 @@ Mechanics guards confirmed before reading results: calendar truncation asserted | **Validation** | **1.68** | **0.72** | **41.6%** | **20.9%** | **1.99** | **239** | | Full (close-fill) | 1.77 | 0.50 | 48.3% | 21.6% | 2.23 | 472 | +**Capacity correction (2026-08-05):** the full close-fill control also records +skipped_book_full = 519 versus 472 admitted trades, so the ten-slot book +refuses 52.4% of admitted+blocked qualified opportunities. The older weekly +claim that the cap never bound is stale and does not apply to this daily +gate-reset configuration. Capacity was isolated in the +[focused bracket study](portfolio-capacity-bracket.md) and **resolved: the count +cap was raised 10 → 15 so it no longer binds (+1.075pp CAGR paired, 51 paths +better / 2 worse, drawdown unchanged).** Note that the blocked *count* was a poor +guide in both directions — one path had 244 blocked entries and relieving all of +them moved CAGR by −0.1pp. See the +[findings correction](portfolio-capacity-bracket-findings.md#correction-2026-08-05-ev-per-trade-was-the-wrong-lens). + Validation SE ≈ 0.72 — almost no arm clears a 1-SE delta. --- diff --git a/docs/research/portfolio-capacity-bracket-findings.md b/docs/research/portfolio-capacity-bracket-findings.md new file mode 100644 index 0000000..1c26a86 --- /dev/null +++ b/docs/research/portfolio-capacity-bracket-findings.md @@ -0,0 +1,219 @@ +# Portfolio-capacity bracket — findings + +Date interpreted: 2026-08-05 + +Status: **SUPERSEDED IN PART — see [Correction](#correction-2026-08-05-ev-per-trade-was-the-wrong-lens) +at the foot of this document before acting on anything here.** Weekly replacement +is closed as a negative result and that still holds. The capacity decision below +("keep cap 10") and the recommendation to run the effective-risk-floor A/B were +both reached on EV per trade and are **reversed** by the correction: the count cap +was raised so it no longer binds, and the floor A/B is closed as negative. + +> The runner (`scripts/run_portfolio_construction_matrix.py`), the research +> simulator hooks, and the study's unit tests were deliberately not merged to +> main. They live at tag `research/portfolio-capacity-final`. + +This document interprets the frozen v2 run without modifying its generated +outputs: + +- result commit: `24482c6`; +- simulation source commit: `6fc82ae8574de9104c83273e018391e75a5f8ac6`; +- frozen specification SHA-256: + `f1e37783cf6d157ecc827d48211fa45da16f0a0ac19cd23686b3902d347a1898`; +- JSON SHA-256: + `2435875667097db7416a0d96f412db81d2f2d09ba053748c9f2cfb8a0cba4417`; +- Markdown SHA-256: + `dc3f5de25eb0a156ce51d0025c90e04ac0977e9502dec47bcf1b25bdcf609c81`. + +The run completed 78 empty-book paths, 97 warm-seed paths, seven annual +clusters under both protocols, two cost levels, four arms, and 1,400 cells with +no validation errors. The construction universe was 505 priced tradable +symbols plus 4,149 priced rank-only symbols. + +## Capacity is economically free + +The clean capacity treatment is `cap15_incumbent`: it changes no sizing or +admission rule. Its cap never bound in any cell (maximum observed position count +12; zero full-book skips), so it absorbed every opportunity blocked by cap 10. + +At 0.10% per fill, split the 175 paths by whether the paired control recorded +any `skipped_book_full`. Values below are mean paired changes in net EV per +trade, in R: + +| Arm | Cap never bound (n=70) | Cap did bind (n=105) | +|---|---:|---:| +| `cap15_incumbent` | +0.0000 | +0.0018 | +| `cash_unbounded` | +0.0714 | +0.0077 | +| `cap10_weekly_top10` | -0.0246 | -0.0426 | + +The exact zero for cap15 in the never-bound stratum is also a harness validity +check: when the treatment cannot act, results are identical. Where it does act, +giving the strategy every slot it requested adds only 0.0018 R/trade. The old +519-blocked-versus-472-admitted count was true, but it did not imply that the +blocked opportunities were economically valuable. + +Decision: **keep the production cap at 10.** Do not remove it or raise it in the +expectation of additional edge. + +## The positive arm measured the risk floor + +`cash_unbounded` combined two treatments: no count cap and a 0.5% minimum +effective initial-risk fraction. Its EV effect is roughly nine times larger in +the 70 paths where the control cap never bound, so capacity cannot explain the +improvement. + +Within that never-bound stratum: + +| Measure | Control | `cash_unbounded` | +|---|---:|---:| +| Mean trades | 75.7 | 69.9 | +| Mean cash | 27.8% | 28.2% | +| Mean gross exposure | 72.2% | 71.8% | +| Mean hold | 15.4 sessions | 15.6 sessions | +| Mean EV | +0.328 R | +0.399 R | +| Mean profit factor | 1.60 | 1.75 | + +The floor removes about 8% of fills while leaving exposure and holding time +nearly unchanged. This is selection, not general de-risking: candidates that +available sizing compresses below half the intended risk are worse on average. +The report records repeated reject attempts, not the rejected candidates' +ranks, so whether the effect is rank-mediated remains unknown. + +Next research: one single-variable A/B, `cap10_incumbent` versus cap 10 with +`min_initial_risk_fraction=0.005`, with every other rule unchanged. Do not call +the current `cash_unbounded` result causal evidence for that floor until this +confound-free comparison is run. + +## Weekly replacement hurts + +Median paired deltas read zero because enough cohorts are inert. The distribution +is not neutral: + +| Protocol | Mean ΔEV | P25 ΔEV | Identical paths | +|---|---:|---:|---:| +| Empty book | -0.0360 R | -0.0817 R | 27/78 (34.6%) | +| Warm book | -0.0348 R | -0.1582 R | 14/97 (14.4%) | + +The arm made 2,170 replacements and 529 same-symbol re-entries within ten +sessions, so 24% of replacements were associated with short-horizon churn. + +Decision: **reject weekly top-10 replacement.** Future reports should show mean +paired effects and identical-path fractions beside medians whenever treatments +are inert in a material share of cohorts. + +## Warm dispersion was mostly structurally degenerate + +For six of seven anchors, control EV IQR is numerical zero (approximately +`1e-16`) and Calmar IQR is exactly zero. The displayed ratio `1.000` is therefore +mostly the implementation's zero-over-zero convention, not evidence of equal +nonzero dispersion. + +Two mechanics cause convergence: sizing and notional limits are fractions of +equity, making R and ratio metrics scale-invariant; and the 30-session maximum +hold is shorter than the 63-session minimum seed offset, allowing initial books +to wash out before the anchor. + +The exception is 2023. Control measurement-start positions vary from 6 to 9, +EV IQR is 0.0274 R, and Calmar IQR is 0.2675. The protocol therefore carries +state correctly, but its chosen offsets usually erase the initialization effect +it was intended to measure. + +Future initialization studies should use seed offsets shorter than maximum hold, +approximately 5–25 sessions. The current empty-book cohorts remain the primary +start-date evidence, but they necessarily mix initialization with market regime. + +## Final decisions + +1. ~~Keep cap 10; its measured opportunity cost is negligible.~~ **REVERSED — + see the correction below.** +2. Reject weekly rank replacement. *(Stands.)* +3. Do not interpret the `cash_unbounded` improvement as a capacity effect. + *(Stands — and it is not a floor effect worth having either; see below.)* +4. ~~Run only the focused cap-10 effective-risk-floor A/B next.~~ **REVERSED — + that A/B is answered and negative; do not run it.** +5. Report means, inert fractions, and absolute dispersion beside medians and + ratios in future sparse-treatment studies. *(Stands, and see below — the + metric itself matters as much as the summary statistic.)* + +## Correction 2026-08-05: EV per trade was the wrong lens + +Everything above judged the arms on **mean paired net EV per trade**. That is the +wrong metric for any treatment that changes how many trades the book takes. +Capacity does not change trade *quality*; it changes trade *count*. A flat EV/trade +delta therefore does not mean "no benefit" — it means the blocked entries were +**just as good** as the taken ones, so refusing them cost their entire +contribution to return. Re-running the same paired comparison on CAGR inverts two +conclusions. + +### Capacity: raise the cap (reverses decision 1) + +`cap15_incumbent` versus `cap10_incumbent`, paired, all 175 paths, 0.10% per fill: + +| Metric | Mean Δ | Worse / better | +|---|---:|---:| +| Trades | +1.00 | **0 / 76** (never fewer) | +| **CAGR pp** | **+1.075** | 2 / 51 | +| Total return pp | +1.079 | 1 / 51 | +| Max drawdown pp | +0.007 | 1 / 2 | +| Calmar | +0.062 | **1 / 51** | +| Sharpe | +0.022 | 10 / 28 | +| Net EV R/trade | +0.001 | 47 / 29 | + +Restricted to the 105 paths where the cap actually bound: **+1.791pp CAGR**. + +The honest tail: exactly one path was materially hurt — `empty-2023-04`, CAGR +87.2 → 81.2 (−6.0pp), drawdown 13.0 → 14.3, from two extra trades. Second-worst +was −0.1pp. The best paths (+6.6/+6.7/+6.9pp) came with *identical* drawdown. Best +and worst magnitudes are symmetric at roughly ±6pp, but the frequency is 51:1. + +Blocked count is not lost value in either direction: `empty-2021-05` had **244** +blocked entries under cap 10, and relieving every one of them moved CAGR by +−0.1pp. + +**Shipped:** `SIM_MAX_POSITIONS` and `shadow_book_service.DEFAULT_CAPACITY` raised +10 → 15. Fifteen is headroom, not a target — cap15 peaked at 12 with zero +full-book skips, so cash plus the 20% notional cap is the real ceiling and +15/20/None are the same experiment. + +### Effective-risk floor: closed negative (reverses decision 4) + +The floor A/B does not need running — this study already contains it. +`cap15_incumbent` (peak 12, zero blocked, no floor) and `cash_unbounded` (peak 12, +floor) have the same effective capacity and differ essentially only by +`min_initial_risk_fraction`. Paired, n=175, 0.10% per fill, floor minus no-floor: + +| Metric | Mean Δ | Worse / better | +|---|---:|---:| +| Net EV R/trade | **+0.032** | 53 / 121 | +| Profit factor | **+0.073** | 46 / 128 | +| Trades | **−11.4** | **174 / 0** (never adds one) | +| **CAGR pp** | **−0.753** | 105 / 68 | +| Total return pp | −0.765 | 105 / 68 | +| Sharpe | −0.047 | 108 / 65 | +| Calmar | −0.051 | 103 / 71 | +| Max drawdown pp | +0.333 (worse) | — | + +The same trap, mirrored: the floor raises per-trade quality *precisely by deleting +trades*, and the deleted trades were net positive contributors. The frozen +specification in [effective-risk-floor-ab.md](effective-risk-floor-ab.md) would +have passed it on paired EV and shipped a change costing 0.75pp of CAGR. + +Genuinely open, low priority: 0.005 clearly over-cuts, but the sizing code's real +floor is a **$1** minimum, which is no floor at all. Whether something near 0.001 +strips true dust without cutting real trades is untested, and only worth revisiting +if live broker order minimums force it. + +### Start-date sensitivity is real but not a capacity artifact + +Within-year spread of EV across monthly start dates is ~0.672 R and is +*identical* for `cap10` (0.672), `cap15` (0.672) and `cash_unbounded` (0.677). It +is small-sample noise — roughly 84 trades per 252-session window drawn from a +fat-tailed R distribution gives an EV standard error near 0.15–0.25 R — not a +queueing artifact. No construction policy reduces it. + +### Rule for future studies + +Choose the metric from the treatment's mechanism before reading any table. If a +treatment changes trade count, CAGR and total return are the decision metrics and +EV per trade is a diagnostic. The generated report's headline tables lead with +ΔEV net R, which is what made this error easy to make twice. diff --git a/docs/research/portfolio-capacity-bracket.md b/docs/research/portfolio-capacity-bracket.md new file mode 100644 index 0000000..95e8789 --- /dev/null +++ b/docs/research/portfolio-capacity-bracket.md @@ -0,0 +1,169 @@ +# Portfolio-capacity bracket — frozen specification + +Date frozen: 2026-08-05 +Branch: research/portfolio-capacity-rebalancing +Runner: scripts/run_portfolio_construction_matrix.py + +## Question and motivation + +The daily Phase A production control (a0_control: close fill, 30-session +maximum hold, 1% fixed-fractional risk, no correlation or volatility overlay) +recorded 472 trades and 519 otherwise qualified entries rejected because the +ten-position book was full. The blocked share is 519 / (519 + 472) = 52.4%. +The book is therefore materially arrival-order constrained. + +This supersedes the older statement that the ten-slot cap never bound. That +statement came from a shorter, weekly, pre-gate-reset replay and is not evidence +about the current daily strategy. + +The study brackets the value of capacity before tuning replacement details. It +does not contain a formal promotion rule or automatically change production. +Because the current ~505-name production membership is projected backward, +paired arm-versus-control differences are the primary evidence. Absolute +profitability is descriptive and survivorship-biased. + +Implementation correction: the first completed v1 artifact at commit `23fe39f` +incorrectly allowed the snapshot's broad rank-only universe to submit trades. +That artifact is invalid, is removed from the branch, and must not be used for +strategy conclusions. Runner v2 fixes the construction/ranking partition below. + +## Frozen arms + +1. **cap10_incumbent:** exact production-style cap-10 control, no displacement. +2. **cash_unbounded:** no position-count cap; cash/no leverage and the existing + 20% per-position notional ceiling remain. Reject an entry if actual initial + stop-risk after cash/notional sizing is below 0.5% of marked equity. +3. **cap10_weekly_top10:** on the final trading session of each ISO week, rank + holdings plus fresh same-day qualified entrants and retain the top ten. +4. **cap15_incumbent:** cap 15, no displacement. + +All arms use the frozen Phase A control configuration: daily candidate replay, +live-like full-universe residual-momentum/low-volatility 80/20 rank, activation +threshold 80, normal gate-reset re-entry, close fill, 3×ATR trail, 30-session +maximum hold, 1% risk, and costs of 0.10% and 0.20% per fill. + +Every priced symbol contributes to the daily cross-sectional rank. Only symbols +not listed in the snapshot's `research_rank_only` side table may submit trade +setups to any arm. The resulting construction universe must contain 450-600 +symbols (expected approximately 505); validation fails outside that frozen +guardrail or when the side table references unknown ticker symbols. + +The daily replay uses zero outcome horizon: setup and rank observations continue +through the snapshot's last session because portfolio simulation, unlike outcome +grading, does not require 30 future bars. + +Control-parity note: a direct main-versus-branch comparison found identical +total return, CAGR, maximum drawdown, and Sharpe. The branch intentionally +changes only the first calendar year's `yearly_returns` convention: it starts +from initial capital rather than equity after the first session, so day-one +entry costs are now charged to year one. Older reports can therefore show a +different first-year contextual return without a strategy-performance +regression. New trade-detail and measurement-start fields are additive. + +### Weekly-selection mechanics + +- Ordinary exits run before entries/rebalancing. +- Open slots may still fill from daily qualified entries during the week. +- On the final ISO-week session, current holdings and that day's fresh qualified + entrants use the full-universe strategy_rank for that same date. +- Stored entry-day rank is never used. +- Holdings with missing current rank/data are protected and consume a slot; + entrants missing rank are ineligible. +- Incumbents win exact rank ties; symbol is the deterministic final tie-breaker. +- Rebalance exits pay costs and bypass cooldown/post-stop state. +- Report entrant-pool sizes, replacements, turnover, and same-symbol re-entry + within 5/10/20 sessions. + +## Frozen cohorts + +research.sqlite is expected to cover 2016-01-04 through 2026-07-17. Residual +momentum requires 252 benchmark sessions. Empty-book starts additionally require +504 prior scoring sessions and 252 forward measurement sessions. + +- **Empty book:** first eligible session of each month, approximately January + 2019 through July 2025; start with no positions and measure 252 sessions. +- **Warm book:** first session of each year 2019–2025 is the measurement anchor. + Seed the portfolio on the first session of every ISO week falling 63–126 + trading sessions before the anchor, carry all positions and gate-reset state + forward, and measure the same 252-session anchor window. + +Warm portfolio returns reset to marked equity immediately before the anchor +session. P&L after the anchor from carried positions belongs to portfolio +returns, while trade EV includes only entries on or after the anchor. Remaining +positions liquidate at the last measurement close with costs. + +The validate-only mode must print realized cohort counts and fail unless both +protocols contain the seven annual clusters 2019–2025 and every warm anchor has +at least 12 seeds. It must also print ranking, rank-only, and tradable symbol +counts plus the raw, removed, and retained qualified-long counts. + +## Reporting + +Primary reported measures: + +- net EV per trade in R, with costs and actual initial stop-risk dollars; +- Calmar (CAGR / max drawdown); +- profit factor on net trade R; +- Gain-to-Pain (sum of all monthly returns / absolute sum of negative months); +- Sortino using daily returns and zero target. + +Also report total return/CAGR, maximum drawdown, Sharpe, win rate, time +underwater, exposure, cash, average/peak positions, sessions at capacity, +turnover, costs, qualified/admitted/blocked opportunities, and minimum-risk +rejections. + +For each arm/protocol/cost/metric, pair identical paths with cap10_incumbent, +take the median paired delta within each start year or annual anchor, show all +seven cluster values, and headline their median. + +Initialization dispersion is reported separately for EV and Calmar: calculate +the seed-path IQR within each warm anchor, divide by the paired control IQR, show +all seven ratios, and headline their median. Do not combine them into a composite. + +For context only, run a deterministic 10,000-replicate cluster bootstrap over +the seven paired annual summaries and report the central 90% percentile interval +for median EV and Calmar deltas and warm IQR ratios. These intervals are not +promotion gates, independent-population confidence claims, or formal inference. + +## Reproducibility and execution + +Candidate replay/ranks cache under reports/.cache; each matrix cell checkpoints +atomically and resume verifies a fingerprint over the implementation commit, +this specification hash, snapshot SHA-256, cache key, arm definitions, costs, +and cohort manifest. An authoritative run refuses a dirty worktree. + +The existing v1 candidate/rank cache is intentionally reusable: its +full-universe current-day ranks are correct. Runner v2 derives a fingerprinted +construction view by removing qualified rows whose symbols are rank-only. V2 +uses a versioned checkpoint directory, so invalid v1 portfolio cells are never +resumed and the expensive daily rank replay does not need to run again. + +The loader reads only ticker ID/symbol and the OHLCV columns used by replay, so +snapshots created before SEC metadata added `tickers.cik`, `tickers.sic`, and +`tickers.sic_description` remain valid. Do not migrate or alter the research +snapshot: its original SHA-256 is part of the run fingerprint. + +macOS environment setup from the repository root (zsh): + + python3 -m venv .venv + ./.venv/bin/python -m pip install -e '.[dev]' + +Preflight: + + ./.venv/bin/python scripts/run_portfolio_construction_matrix.py \ + backtest_snapshots/research.sqlite \ + --run-id prod505-capacity-bracket-daily-v1 \ + --workers auto \ + --resume \ + --validate-only + +Authoritative run: + + ./.venv/bin/python scripts/run_portfolio_construction_matrix.py \ + backtest_snapshots/research.sqlite \ + --run-id prod505-capacity-bracket-daily-v1 \ + --workers auto \ + --resume + +Commit only the compact final JSON and Markdown reports. Raw curves, trades, +candidate caches, and checkpoints remain ignored. diff --git a/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.json b/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.json new file mode 100644 index 0000000..622f0c7 --- /dev/null +++ b/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.json @@ -0,0 +1,97480 @@ +{ + "analysis": { + "bootstrap": { + "interval": "central 90% percentile, context only", + "replicates": 10000, + "resampling_unit": "seven annual paired summaries", + "seed": 20260805 + }, + "paired_per_year": [ + { + "arm_id": "cap10_incumbent", + "clusters": [ + { + "cluster": 2019, + "metrics": { + "cagr_pct": { + "arm_control_ratio": 1.0, + "arm_median": 21.2, + "control_median": 21.2, + "paired_delta_median": 0.0, + "paired_paths": 11 + }, + "calmar": { + "arm_control_ratio": 1.0, + "arm_median": 1.7, + "control_median": 1.7, + "paired_delta_median": 0.0, + "paired_paths": 11 + }, + "ev_net_r": { + 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4655 + } + }, + "generated_at": "2026-08-05T19:25:17.150472+00:00", + "motivation": { + "blocked_fraction": 0.5237134207870837, + "skipped_book_full": 519, + "source": "reports/research-matrix-phase-a.json a0_control full window", + "stale_claim_corrected": "The older weekly pre-gate-reset claim that cap 10 never bound does not apply to the current daily configuration.", + "trades": 472 + }, + "operational_summary": [ + { + "arm_id": "cap10_incumbent", + "median_avg_positions": 4.9802, + "median_blocked_fraction": 0.2159090909090909, + "median_trades": 76.0, + "median_turnover_multiple": 26.359758607710283, + "min_risk_rejections": 0, + "paths": 175, + "peak_positions": 10, + "weekly_entrant_pool_median": null, + "weekly_reentries_within_10_sessions": 0, + "weekly_replacements": 0, + "weekly_zero_entrant_fraction": null + }, + { + "arm_id": "cash_unbounded", + "median_avg_positions": 4.8214, + "median_blocked_fraction": 0.0, + "median_trades": 74.0, + "median_turnover_multiple": 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"weekly_replacements": 0, + "weekly_zero_entrant_fraction": null + } + ], + "research_question": "Bracket the economic cost of the binding ten-position cap and test whether weekly current-rank selection beats arrival order.", + "run_id": "prod505-capacity-bracket-daily-v1", + "runtime_config": { + "exit_policy": "atr_trail3", + "hold_days": 30, + "max_positions": 10, + "ranking_key": "residual_high_vol_blend_80_20_score", + "risk_per_trade": 0.01, + "threshold": 80.0 + }, + "status": "complete", + "survivorship_bias_caveat": "The current production universe is projected backward; construction conclusions rely on paired relative comparisons, not absolute levels.", + "universe_manifest": { + "symbols_sha256": "5b27b8c017701a4afce5f7f82dcbc44ca021ff4af516e95e1d5acf799da85842", + "symbols_with_prices": 4654, + "ticker_rows": 4655 + }, + "validation": { + "cache_key_hash": "9c4693752247f08033d63f9b00bbfe5b67cbbdee5d98a87d08539803ac2217df", + "cache_path": "/Users/taathde3/git/lab/signal_platform/reports/.cache/prod505-capacity-bracket-daily-v1-candidates.pkl", + "candidate_rank_coverage": { + "construction_qualified_longs": 6118, + "filtered_rank_only_qualified_longs": 136286, + "first": "2016-03-30", + "last": "2026-07-17", + "observations": 7002445, + "raw_full_universe_qualified_longs": 142404 + }, + "construction_universe_manifest": { + "construction_symbols_sha256": "7b44c312550e4267b16c73a31dc6bd2f978738f89265a1efcc19f4babd807db5", + "construction_symbols_with_prices": 505, + "construction_ticker_rows": 506, + "rank_only_symbols_sha256": "fcf360784f9a31bf7f8aed48b91e9c5b11f5d3804779f2874466479ac14e12a2", + "rank_only_symbols_with_prices": 4149, + "rank_only_ticker_rows": 4149, + "rank_only_unknown_symbols": 0, + "rank_only_unknown_symbols_sha256": "4f53cda18c2baa0c0354bb5f9a3ecbe5ed12ab4d8e11ba873c2f11161202b945", + "ranking_symbols_sha256": "5b27b8c017701a4afce5f7f82dcbc44ca021ff4af516e95e1d5acf799da85842", + "ranking_symbols_with_prices": 4654, + "ranking_ticker_rows": 4655 + }, + "construction_view_key_hash": "2fdeabca35a13acd3b568a2449cc85414eaa667c9ea0092e8f3ca84064960bff", + "empty_cluster_count": 7, + "empty_cluster_counts": { + "2019": 11, + "2020": 12, + "2021": 12, + "2022": 12, + "2023": 12, + "2024": 12, + "2025": 7 + }, + "errors": [], + "expected_clusters": [ + 2019, + 2020, + 2021, + 2022, + 2023, + 2024, + 2025 + ], + "matrix_cells": 1400, + "runner_version": "portfolio-capacity-bracket-v2", + "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..5f39298 --- /dev/null +++ b/reports/portfolio-construction-prod505-capacity-bracket-daily-v1.md @@ -0,0 +1,114 @@ +# 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. diff --git a/scripts/research_rankings.py b/scripts/research_rankings.py new file mode 100644 index 0000000..b201774 --- /dev/null +++ b/scripts/research_rankings.py @@ -0,0 +1,84 @@ +'''Shared production-style historical ranking helpers for research runners.''' + +from __future__ import annotations + +from datetime import date + + +def _period_percentiles( + observations: list[dict], value_key: str +) -> dict[tuple[str, str], float]: + '''Rank one deterministic ticker observation per historical period.''' + by_period: dict[tuple, list[dict]] = {} + seen: set[tuple[str, str]] = set() + for row in observations: + identity = (str(row['symbol']), str(row['date'])) + if identity in seen: + raise ValueError(f'Duplicate universe rank observation: {identity}') + seen.add(identity) + if row.get(value_key) is None: + continue + period = tuple(row['ranking_period']) + by_period.setdefault(period, []).append(row) + + result: dict[tuple[str, str], float] = {} + for group in by_period.values(): + ordered = sorted( + group, + key=lambda row: (float(row[value_key]), str(row['symbol'])), + ) + denominator = len(ordered) - 1 + for rank, row in enumerate(ordered): + result[(str(row['symbol']), str(row['date']))] = round( + rank / denominator * 100.0 if denominator > 0 else 100.0, + 2, + ) + return result + + +def _live_universe_rank_map( + observations: list[dict], + benchmark_closes: dict[date, float], + momentum_weight: float, +) -> dict[tuple[str, str], dict[str, float | None]]: + '''Historical equivalent of production compute_activation_ranks. + + Every ticker contributes at most once per session. Residual momentum starts + only once 252 benchmark closes were point-in-time available; earlier dates + use the same raw-momentum fallback as production. + ''' + identities = [(str(row['symbol']), str(row['date'])) for row in observations] + if len(identities) != len(set(identities)): + raise ValueError('Universe ranking requires one observation per ticker/date') + + raw_pct = _period_percentiles(observations, 'momentum') + residual_pct = _period_percentiles(observations, 'residual_momentum') + vol_pct = _period_percentiles(observations, 'vol_6m') + benchmark_ords = sorted(value.toordinal() for value in benchmark_closes) + residual_start_ord = benchmark_ords[251] if len(benchmark_ords) >= 252 else None + + ranks: dict[tuple[str, str], dict[str, float | None]] = {} + for row in observations: + identity = (str(row['symbol']), str(row['date'])) + asof_ord = date.fromisoformat(identity[1]).toordinal() + momentum_pct = ( + residual_pct.get(identity) + if residual_start_ord is not None and asof_ord >= residual_start_ord + else raw_pct.get(identity) + ) + volatility_pct = vol_pct.get(identity) + strategy_rank = ( + round( + momentum_pct * momentum_weight + + volatility_pct * (1.0 - momentum_weight), + 2, + ) + if momentum_pct is not None and volatility_pct is not None + else momentum_pct + ) + ranks[identity] = { + 'momentum_percentile': momentum_pct, + 'volatility_percentile': volatility_pct, + 'strategy_rank': strategy_rank, + } + return ranks diff --git a/scripts/run_daily_reentry_matrix.py b/scripts/run_daily_reentry_matrix.py index 5da6e53..f71f79e 100644 --- a/scripts/run_daily_reentry_matrix.py +++ b/scripts/run_daily_reentry_matrix.py @@ -29,6 +29,11 @@ ROOT = Path(__file__).resolve().parents[1] if str(ROOT) not in sys.path: sys.path.insert(0, str(ROOT)) +from scripts.research_rankings import ( # noqa: E402 + _live_universe_rank_map, + _period_percentiles, +) + POLICY_NAMES = ( "immediate", "next_session", @@ -107,85 +112,6 @@ def _default_output_path() -> Path: return Path("reports") / f"daily-reentry-matrix-{stamp}.json" -def _period_percentiles( - observations: list[dict], value_key: str -) -> dict[tuple[str, str], float]: - """Production-style percentiles, one deterministic symbol row per period.""" - by_period: dict[tuple, list[dict]] = {} - seen: set[tuple[str, str]] = set() - for row in observations: - identity = (str(row["symbol"]), str(row["date"])) - if identity in seen: - raise ValueError(f"Duplicate universe rank observation: {identity}") - seen.add(identity) - if row.get(value_key) is None: - continue - period = tuple(row["ranking_period"]) - by_period.setdefault(period, []).append(row) - - result: dict[tuple[str, str], float] = {} - for group in by_period.values(): - ordered = sorted( - group, - key=lambda row: (float(row[value_key]), str(row["symbol"])), - ) - denominator = len(ordered) - 1 - for rank, row in enumerate(ordered): - result[(str(row["symbol"]), str(row["date"]))] = round( - rank / denominator * 100.0 if denominator > 0 else 100.0, - 2, - ) - return result - - -def _live_universe_rank_map( - observations: list[dict], - benchmark_closes: dict[date, float], - momentum_weight: float, -) -> dict[tuple[str, str], dict[str, float | None]]: - """Historical equivalent of ``compute_activation_ranks``. - - Every ticker contributes at most once per session. Residual momentum starts - only once 252 benchmark closes were point-in-time available; earlier dates - use the same raw-momentum fallback as production. - """ - identities = [(str(row["symbol"]), str(row["date"])) for row in observations] - if len(identities) != len(set(identities)): - raise ValueError("Universe ranking requires one observation per ticker/date") - - raw_pct = _period_percentiles(observations, "momentum") - residual_pct = _period_percentiles(observations, "residual_momentum") - vol_pct = _period_percentiles(observations, "vol_6m") - benchmark_ords = sorted(value.toordinal() for value in benchmark_closes) - residual_start_ord = benchmark_ords[251] if len(benchmark_ords) >= 252 else None - - ranks: dict[tuple[str, str], dict[str, float | None]] = {} - for row in observations: - identity = (str(row["symbol"]), str(row["date"])) - asof_ord = date.fromisoformat(identity[1]).toordinal() - momentum_pct = ( - residual_pct.get(identity) - if residual_start_ord is not None and asof_ord >= residual_start_ord - else raw_pct.get(identity) - ) - volatility_pct = vol_pct.get(identity) - strategy_rank = ( - round( - momentum_pct * momentum_weight - + volatility_pct * (1.0 - momentum_weight), - 2, - ) - if momentum_pct is not None and volatility_pct is not None - else momentum_pct - ) - ranks[identity] = { - "momentum_percentile": momentum_pct, - "volatility_percentile": volatility_pct, - "strategy_rank": strategy_rank, - } - return ranks - - class PrecomputedDailyEngine: """Exact date/symbol lookup over the already-ranked production gate.""" diff --git a/scripts/run_execution_recovery_matrix.py b/scripts/run_execution_recovery_matrix.py index d1b9a02..07abdfa 100644 --- a/scripts/run_execution_recovery_matrix.py +++ b/scripts/run_execution_recovery_matrix.py @@ -55,6 +55,11 @@ ROOT = Path(__file__).resolve().parents[1] if str(ROOT) not in sys.path: sys.path.insert(0, str(ROOT)) +from scripts.research_rankings import ( # noqa: E402 + _live_universe_rank_map, + _period_percentiles, +) + # Must match Phase A cache when reusing research-cands.pkl CACHE_VERSION = "research-matrix-v1-daily-prod" @@ -104,66 +109,6 @@ def _parse_args() -> argparse.Namespace: return p.parse_args() -def _period_percentiles( - observations: list[dict], value_key: str -) -> dict[tuple[str, str], float]: - by_period: dict[tuple, list[dict]] = {} - for row in observations: - if row.get(value_key) is None: - continue - period = tuple(row["ranking_period"]) - by_period.setdefault(period, []).append(row) - result: dict[tuple[str, str], float] = {} - for group in by_period.values(): - ordered = sorted( - group, key=lambda row: (float(row[value_key]), str(row["symbol"])) - ) - denominator = len(ordered) - 1 - for rank, row in enumerate(ordered): - result[(str(row["symbol"]), str(row["date"]))] = round( - rank / denominator * 100.0 if denominator > 0 else 100.0, - 2, - ) - return result - - -def _live_universe_rank_map( - observations: list[dict], - benchmark_closes: dict[date, float], - momentum_weight: float, -) -> dict[tuple[str, str], dict[str, float | None]]: - raw_pct = _period_percentiles(observations, "momentum") - residual_pct = _period_percentiles(observations, "residual_momentum") - vol_pct = _period_percentiles(observations, "vol_6m") - benchmark_ords = sorted(value.toordinal() for value in benchmark_closes) - residual_start_ord = benchmark_ords[251] if len(benchmark_ords) >= 252 else None - ranks: dict[tuple[str, str], dict[str, float | None]] = {} - for row in observations: - identity = (str(row["symbol"]), str(row["date"])) - asof_ord = date.fromisoformat(identity[1]).toordinal() - momentum_pct = ( - residual_pct.get(identity) - if residual_start_ord is not None and asof_ord >= residual_start_ord - else raw_pct.get(identity) - ) - volatility_pct = vol_pct.get(identity) - strategy_rank = ( - round( - momentum_pct * momentum_weight - + volatility_pct * (1.0 - momentum_weight), - 2, - ) - if momentum_pct is not None and volatility_pct is not None - else momentum_pct - ) - ranks[identity] = { - "momentum_percentile": momentum_pct, - "volatility_percentile": volatility_pct, - "strategy_rank": strategy_rank, - } - return ranks - - def _window(arm: dict, name: str) -> dict | None: for row in arm.get("windows") or []: if row.get("window") == name: diff --git a/scripts/run_research_matrix.py b/scripts/run_research_matrix.py index 2470fa7..d771a4b 100644 --- a/scripts/run_research_matrix.py +++ b/scripts/run_research_matrix.py @@ -68,6 +68,11 @@ ROOT = Path(__file__).resolve().parents[1] if str(ROOT) not in sys.path: sys.path.insert(0, str(ROOT)) +from scripts.research_rankings import ( # noqa: E402 + _live_universe_rank_map, + _period_percentiles, +) + CACHE_VERSION = "research-matrix-v1-daily-prod" # Pre-registered arm catalogue (order is report order). Control is a0. @@ -210,66 +215,6 @@ def _sqlite_url(path: Path) -> str: return f"sqlite+aiosqlite:///{path.resolve().as_posix()}" -def _period_percentiles( - observations: list[dict], value_key: str -) -> dict[tuple[str, str], float]: - by_period: dict[tuple, list[dict]] = {} - for row in observations: - if row.get(value_key) is None: - continue - period = tuple(row["ranking_period"]) - by_period.setdefault(period, []).append(row) - result: dict[tuple[str, str], float] = {} - for group in by_period.values(): - ordered = sorted( - group, key=lambda row: (float(row[value_key]), str(row["symbol"])) - ) - denominator = len(ordered) - 1 - for rank, row in enumerate(ordered): - result[(str(row["symbol"]), str(row["date"]))] = round( - rank / denominator * 100.0 if denominator > 0 else 100.0, - 2, - ) - return result - - -def _live_universe_rank_map( - observations: list[dict], - benchmark_closes: dict[date, float], - momentum_weight: float, -) -> dict[tuple[str, str], dict[str, float | None]]: - raw_pct = _period_percentiles(observations, "momentum") - residual_pct = _period_percentiles(observations, "residual_momentum") - vol_pct = _period_percentiles(observations, "vol_6m") - benchmark_ords = sorted(value.toordinal() for value in benchmark_closes) - residual_start_ord = benchmark_ords[251] if len(benchmark_ords) >= 252 else None - ranks: dict[tuple[str, str], dict[str, float | None]] = {} - for row in observations: - identity = (str(row["symbol"]), str(row["date"])) - asof_ord = date.fromisoformat(identity[1]).toordinal() - momentum_pct = ( - residual_pct.get(identity) - if residual_start_ord is not None and asof_ord >= residual_start_ord - else raw_pct.get(identity) - ) - volatility_pct = vol_pct.get(identity) - strategy_rank = ( - round( - momentum_pct * momentum_weight - + volatility_pct * (1.0 - momentum_weight), - 2, - ) - if momentum_pct is not None and volatility_pct is not None - else momentum_pct - ) - ranks[identity] = { - "momentum_percentile": momentum_pct, - "volatility_percentile": volatility_pct, - "strategy_rank": strategy_rank, - } - return ranks - - def _parse_args() -> argparse.Namespace: parser = argparse.ArgumentParser( description=__doc__,