dennisthiessenandClaude Opus 5
f5d4b516ab
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 Corrects conclusions that were reached on EV per trade and are now superseded: the findings doc's decisions 1 (keep cap 10) and 4 (run the risk-floor A/B) are struck through and answered in a new correction section, and the research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>
115 lines
4.9 KiB
Markdown
115 lines
4.9 KiB
Markdown
# Focused daily portfolio-capacity matrix
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Generated: 2026-08-05T19:25:17.150472+00:00
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## Question
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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.
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> Universe caveat: today's production membership is projected backward. Use paired arm-versus-control differences, not absolute profitability, for construction conclusions.
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## Validated universes
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- Tradable setup symbols with prices: 505.
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- Rank-only symbols with prices: 4149.
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- Full ranking symbols with prices: 4654.
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- Tradable qualified longs: 6118.
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- Rank-only qualified rows removed: 136286.
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## Paired annual medians
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### Empty Book — 0.10% per fill
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| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context |
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|---|---:|---:|---:|---:|
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| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] |
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| cash_unbounded | 0.044 | [-0.011, 0.060] | 0.030 | [-0.030, 0.120] |
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| cap10_weekly_top10 | 0.000 | [-0.091, 0.000] | 0.000 | [-0.260, 0.000] |
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| cap15_incumbent | 0.000 | [0.000, 0.011] | 0.000 | [0.000, 0.130] |
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| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
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|---|---:|---:|---:|---:|---:|
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| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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| cash_unbounded | 0.079 | 0.047 | -0.013 | 1.350 | 0.000 |
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| cap10_weekly_top10 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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| cap15_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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### Warm Book — 0.10% per fill
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| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context |
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|---|---:|---:|---:|---:|
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| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] |
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| cash_unbounded | 0.034 | [-0.014, 0.100] | 0.050 | [-0.160, 0.250] |
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| cap10_weekly_top10 | 0.000 | [-0.158, 0.065] | 0.000 | [-0.200, 0.330] |
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| cap15_incumbent | 0.000 | [-0.006, 0.000] | 0.000 | [0.000, 0.180] |
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| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
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|---|---:|---:|---:|---:|---:|
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| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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| cash_unbounded | 0.062 | 0.085 | -0.004 | 2.200 | 0.400 |
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| cap10_weekly_top10 | 0.000 | 0.012 | 0.018 | 0.300 | 0.000 |
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| cap15_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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### Empty Book — 0.20% per fill
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| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context |
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|---|---:|---:|---:|---:|
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| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] |
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| cash_unbounded | 0.041 | [-0.010, 0.052] | 0.030 | [-0.015, 0.100] |
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| cap10_weekly_top10 | 0.000 | [-0.090, 0.000] | 0.000 | [-0.260, 0.000] |
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| cap15_incumbent | 0.000 | [0.000, 0.010] | 0.000 | [0.000, 0.110] |
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| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
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|---|---:|---:|---:|---:|---:|
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| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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| cash_unbounded | 0.066 | 0.035 | -0.014 | 0.900 | 0.000 |
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| cap10_weekly_top10 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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| cap15_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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### Warm Book — 0.20% per fill
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| Arm | ΔEV net R | 90% context | ΔCalmar | 90% context |
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|---|---:|---:|---:|---:|
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| cap10_incumbent | 0.000 | [0.000, 0.000] | 0.000 | [0.000, 0.000] |
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| cash_unbounded | 0.034 | [-0.022, 0.102] | 0.040 | [-0.130, 0.230] |
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| cap10_weekly_top10 | 0.000 | [-0.158, 0.065] | 0.000 | [-0.190, 0.310] |
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| cap15_incumbent | 0.000 | [-0.006, 0.000] | 0.000 | [0.000, 0.170] |
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| Arm | ΔPF | ΔGain-to-Pain | ΔSortino | ΔCAGR pp | ΔMaxDD pp |
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|---|---:|---:|---:|---:|---:|
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| cap10_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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| cash_unbounded | 0.060 | 0.083 | -0.003 | 2.100 | 0.300 |
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| cap10_weekly_top10 | 0.000 | 0.017 | 0.020 | 0.300 | 0.000 |
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| cap15_incumbent | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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## Warm-seed initialization dispersion
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| Arm | Cost/fill | Median EV IQR ratio | Median Calmar IQR ratio |
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|---|---:|---:|---:|
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| cap10_incumbent | 0.10% | 1.000 | 1.000 |
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| cash_unbounded | 0.10% | 1.000 | 1.000 |
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| cap10_weekly_top10 | 0.10% | 1.000 | 1.000 |
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| cap15_incumbent | 0.10% | 1.000 | 1.000 |
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| cap10_incumbent | 0.20% | 1.000 | 1.000 |
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| cash_unbounded | 0.20% | 1.000 | 1.000 |
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| cap10_weekly_top10 | 0.20% | 1.000 | 1.000 |
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| cap15_incumbent | 0.20% | 1.000 | 1.000 |
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## Capacity and operations — 0.10% per fill
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| Arm | Median trades | Median blocked | Median positions | Peak | Turnover | Min-risk rejects |
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|---|---:|---:|---:|---:|---:|---:|
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| cap10_incumbent | 76.0 | 21.6% | 4.98 | 10 | 26.36 | 0 |
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| cash_unbounded | 74.0 | 0.0% | 4.82 | 12 | 26.76 | 85517 |
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| cap10_weekly_top10 | 88.0 | 18.1% | 5.13 | 10 | 28.44 | 0 |
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| cap15_incumbent | 79.0 | 0.0% | 5.15 | 12 | 27.32 | 0 |
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## Weekly-ranking opportunity set
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- Median fresh entrant pool: 0.0.
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- Median zero-entrant fraction: 0.558.
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- Replacements across reported paths: 2170.
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- Same-symbol re-entries within 10 sessions: 529.
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Bootstrap intervals above resample seven annual summaries and are descriptive context only. They are not gates or independent-population confidence claims.
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