signal-platform/reports/prod-book-universe-horizon-20260719-140737.md

Production book × universe × horizon — results

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

Survivorship: today's constituents backfilled. Compare arms relatively; do not treat deep CAGR/Sharpe levels as deployable forecasts.

Arms

arm	universe	entry start	Sharpe	SE	CAGR %	max DD %	ret %	trades	qual longs	span
A_prod_4y_505	prod_505	2022-07-01	1.32	0.49	31.8	18.9	204.7	374	1448	2022-07-01→2026-07-13
B_prod_4y_505_liquid	prod_plus_liquid	2022-07-01	0.14	0.499	-1.8	55.3	-7.1	706	6587	2022-07-01→2026-07-17
C_prod_2016_505	prod_505	2016-07-01	0.88	0.314	16.7	24.4	369.4	763	2450	2016-07-01→2026-07-13
D_prod_2016_505_liquid	prod_plus_liquid	2016-07-01	-0.06	0.316	-7.0	73.9	-52.0	1567	11551	2016-07-01→2026-07-17

Config (production, unchanged)

{
  "note": "Live production knobs \u2014 no modifications",
  "momentum": "residual_12_1 gate 80",
  "rank": "residual_high_vol_blend_80_20",
  "fill_mode": "close",
  "cost_per_side": 0.001,
  "exit": {
    "mode": "atr_trailing",
    "trailing_pct": 12.0,
    "atr_multiplier": 3.0,
    "hold_days": 30
  },
  "max_positions": 10,
  "risk_per_trade": 0.01,
  "reentry": "gate_reset"
}

Snapshot

{
  "prod_universe_n": 506,
  "price_symbols_n": 4654,
  "raw_candidates": 2389258,
  "liquid_top_n": 1500,
  "liquid_min_price": 5.0,
  "short_start": "2022-07-01",
  "long_start": "2016-07-01"
}

PENDING_HUMAN — descriptive matrix only; no auto promotion.

JSON: reports/prod-book-universe-horizon-20260719-140737.json