# 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

Generated: `2026-07-19T14:07:37.458454`

| arm | universe | entry start | Sharpe | SE | CAGR % | max DD % | trades |
|---|---|---|---:|---:|---:|---:|---:|
| A_prod_4y_505 | prod_505 | 2022-07-01 | 1.32 | 0.49 | 31.8 | 18.9 | 374 |
| B_prod_4y_505_liquid | prod_plus_liquid | 2022-07-01 | 0.14 | 0.499 | -1.8 | 55.3 | 706 |
| C_prod_2016_505 | prod_505 | 2016-07-01 | 0.88 | 0.314 | 16.7 | 24.4 | 763 |
| D_prod_2016_505_liquid | prod_plus_liquid | 2016-07-01 | -0.06 | 0.316 | -7.0 | 73.9 | 1567 |

Full report: `reports/prod-book-universe-horizon-20260719-140737.json`

## Verdict

**PENDING_HUMAN** — descriptive only; production knobs unchanged.