# Phase A research matrix (2026-07-18) — results and decisions

Report: `reports/research-matrix-phase-a.json` / `.md`  
Branch: `research/portfolio-vol-and-followups`  
Validation split: entries ≥ **2024-07-01** (called *validation*, not holdout — this window has been opened before).  
Cadence: daily, production gate/rank/trail + gate-reset re-entry.  
Pre-registered N for DSR: **20**.

## Pre-registered promotion rule (unchanged after run start)

Promote only if **all** of:

1. Validation Sharpe ≥ control  
2. Validation max DD not worse by more than **2pp**  
3. Train Sharpe not worse (both-windows consistency)  

Always report whether validation ΔSharpe exceeds **1 × SE** (expect most will not).

Mechanics guards confirmed before reading results: calendar truncation asserted on every arm; next-open re-anchors stop to fill − 1.5×ATR(signal); vol scalars apply at entry only.

---

## Control baseline

| Window | Sharpe | SE | CAGR | MaxDD | Calmar | Trades |
|---|---:|---:|---:|---:|---:|---:|
| Train | 1.75 | 0.68 | 49.8% | 17.9% | 2.78 | 240 |
| **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 is now isolated in the
[focused bracket study](portfolio-capacity-bracket.md).

Validation SE ≈ 0.72 — almost no arm clears a 1-SE delta.

---

## Per-arm decisions

### A2 — Max hold {30, 45, 60, 90} — **note and move on**

| Hold | Val Sharpe | Val DD | Train Sharpe | Trades train |
|---:|---:|---:|---:|---:|
| 30 | 1.68 | 20.9 | 1.75 | 240 |
| 45 | **2.07** | 19.3 | **1.43** | 218 |
| 60 | **2.12** | 19.3 | **1.11** | 186 |
| 90 | 2.04 | 23.1 | 1.30 | 179 |

Validation-only would have “found” +0.4 Sharpe. Train collapses: longer holds leave stale names blocking slots (240 → 186 trades at hold-60). This is a **regime interaction** (trend validation vs chop train), not a free knob. A regime-conditional hold is a large research program; prior regime-overlay work already argues against that path.

**Decision: keep max hold 30. Do not ship longer static holds.**

### A3 — Equity-curve vol targeting — **reject as edge; park as optional insurance**

Scalars averaged 0.77–1.07 as designed (grid straddled historical book vol ~22–25%). Lower targets de-levered; **vt25** was nearly neutral (val Sharpe 1.63 vs 1.68). Wide clamp ≈ headline clamp. Lookback sensitivity did not unlock a win.

This sample has **no major vol-regime shift**, so the run **rejects vol targeting as an edge on this data** — it does **not** reject crash-insurance value in a future high-vol regime. The ~0.02 Sharpe cost at vt25 is a nearly free insurance policy if drawdown tolerance ever tightens.

**Decision: do not ship. Settles “Phase 2 = vol-scaled momentum” as an edge plan on this snapshot. Park vt25 as optional risk preference only.**

### A5 — Correlation caps — **reject; sector caps stay Phase B with reduced expectations**

Best near-miss: **0.6 skip** — val Sharpe 1.70, val DD **17.0%** (tempting), but train Sharpe 1.61 < 1.75 and full-period Sharpe **1.59 vs 1.77** (the cap deletes real momentum concentration profit). Half-size variants were worse.

**Decision: no pure corr cap. Sector caps remain Phase B with reduced expectations.**

### A4 — Next-open fill — **not a reject; the discovery**

| | Close control | Next-open |
|---|---:|---:|
| Full Sharpe | 1.77 | **1.20** |
| Full CAGR | 48.3% | **30.0%** |
| Val Sharpe | 1.68 | 1.44 |
| Val DD | 20.9% | **28.2%** |

Overnight gap on validation entries: mean **−0.52%**, median −0.18%, p05 −4.5%, p95 +2.1% (n=243).

This is not “slippage noise.” It is largely the **overnight momentum drift** that close-fill earns and a 07:00-Berlin scanner (signal yesterday’s close → fill tomorrow’s open) **structurally cannot**. Honest deployable number under that schedule is ~Sharpe 1.2 / CAGR 30%, not 1.77 / 48%.

**Decision baseline going forward (until near-close ships):** grade **promotion** under
`fill_mode=next_open`; keep close-fill as the historical control for comparability
with prior reports.

**Follow-up (done):** execution recovery matrix — see
**[execution-recovery.md](execution-recovery.md)**. Short version: monotone fill-timing
gradient + DD recovery prove this is *when you fill*; live bracket **[1.57, 1.77]**;
gap-cap dead; no more fill-timing sim on this snapshot; ops move R:R scan to NY
near-close (one scan/day).

### `fip_id` re-derivation — **validated**

Weekly IC fingerprint on this snapshot: **mean IC −0.045, t = −2.92**, reliable (35 weeks). Matches the July record. Safe to reuse when the universe broadens.

---

## Promotion table (rule as written)

| Outcome | Arms |
|---|---|
| Promote | only `a2_hold_30` (identity with control) |
| Reject | every other arm |

No arm cleared ΔSharpe > 1 SE.

---

## What not to do next

- Re-litigate rejected-table items, min_rr, GTL  
- Regime-conditional max-hold as a “small” experiment  
- Treat validation-only max-hold glitter as a free CAGR lift  
- Ship vol targeting as edge without a vol-regime sample  
- More fill-timing simulation on this snapshot (settled — see execution-recovery.md)  
- Dual daily qualifying scans (would break gate-reset validation)  
- Gap-up entry filters (third tail-trim failure)  

## What to do next

1. **Ship near-close execution** — ops checklist in [execution-recovery.md](execution-recovery.md)  
   (one R:R scan/day in `America/New_York`, MOC window, partial-bar honesty).  
2. Until that ships: **decision baseline = next_open**.  
3. Strategy work (nasdaq_all, fip_id, sector) only **after** execution path is decided,
   graded under the fill mode you will trade.