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:

History length used for entries (≈4y vs since 2016-07)
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.

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