dennisthiessen/signal-platform

Fork 0

Files

T

dennisthiessenandClaude Opus 5 f5d4b516ab

Deploy / lint (push) Successful in 10s

Details

Deploy / test (push) Successful in 1m21s

Details

Deploy / deploy (push) Successful in 37s

Details

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Corrects conclusions that were reached on EV per trade and are now superseded: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 <noreply@anthropic.com>

2026-08-05 23:08:29 +02:00

4.9 KiB

Raw Blame History

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
cap10_incumbent	0.000	0.000	0.000	0.000
cash_unbounded	0.079	0.047	-0.013	1.350
cap10_weekly_top10	0.000	0.000	0.000	0.000
cap15_incumbent	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
cap10_incumbent	0.000	0.000	0.000	0.000
cash_unbounded	0.066	0.035	-0.014	0.900
cap10_weekly_top10	0.000	0.000	0.000	0.000
cap15_incumbent	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.

4.9 KiB Raw Blame History

Focused daily portfolio-capacity matrix

Question

Validated universes

Paired annual medians

Empty Book — 0.10% per fill

Warm Book — 0.10% per fill

Empty Book — 0.20% per fill

Warm Book — 0.20% per fill

Warm-seed initialization dispersion

Capacity and operations — 0.10% per fill

Weekly-ranking opportunity set

4.9 KiB

Raw Blame History