89 lines
3.4 KiB
Markdown
89 lines
3.4 KiB
Markdown
# Production book × universe × horizon matrix
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**Status:** PRE-REGISTERED — prepare / MacBook run; no production changes.
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**Branch:** `research/earnings-gap-and-sue`
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**Runner:** `scripts/run_prod_book_universe_matrix.py`
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---
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## Question
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How does the **live production book** (unchanged knobs) behave when we only vary:
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1. **History length** used for entries (≈4y vs since 2016-07)
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2. **Tradable universe** (prod ~505 vs 505 + PIT liquid Nasdaq/breadth)
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No strategy modifications: same residual gate, 80/20 high-vol rank, GTL entry
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machinery, 3× ATR trail, 30d max hold, gate-reset re-entry, `fill_mode=close`,
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cost 10 bps/side, max 10, 1% risk.
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---
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## Pre-registered arms (locked)
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| id | label | Entry start | Tradable universe |
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|---|---|---|---|
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| **A** | prod_4y_505 | **2022-07-01** | Prod ~505 only |
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| **B** | prod_4y_505_liquid | **2022-07-01** | Prod ∪ liquid top-1500 |
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| **C** | prod_2016_505 | **2016-07-01** | Prod ~505 only |
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| **D** | prod_2016_505_liquid | **2016-07-01** | Prod ∪ liquid top-1500 |
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- **End:** last available bar in snapshot (no artificial end).
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- **4y start** chosen to align with recent Phase‑A / book baselines (~mid‑2022 → mid‑2026).
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- **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.
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### Universe definitions
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| set | definition |
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|---|---|
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| **Prod ~505** | Symbols **not** in `research_rank_only` on the research snapshot (the original prod-universe copy). |
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| **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. |
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| **Prod ∪ liquid** | A name may enter the book on date *t* if it is prod **or** in the liquid top-1500 at *t*. |
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Cross-sectional residual / vol / 80/20 ranks are **recomputed inside each arm’s
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eligible candidate set** that period (so breadth arms are not ranked against
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non-eligible thin names).
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### Explicit non-goals
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- No sector residual, SUE, FIP filter, gap-cap, take-profit, vol-target, corr-cap
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- No retune of trail / cutoff / min_rr
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- Survivorship: report levels with the standard caveat; **compare arms relatively**
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### Reporting (required table)
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Per arm: Sharpe, Sharpe SE (Mertens), CAGR %, max DD %, total return %, trades,
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win rate if available, start/end, n qualified longs. One markdown table + JSON.
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**No promotion rule** — descriptive matrix only. Human decides whether breadth
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or depth changes the risk story.
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---
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## Snapshot requirements
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- Prefer MacBook **deep** `research.sqlite` after sector-resid deepen (prod names
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from ~2016, breadth deep, completion manifest `complete=true`).
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- Race-guard before run.
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- Sector map / sector ETFs optional (not used for ranking).
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---
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## Results
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Generated: `2026-07-19T14:07:37.458454`
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| arm | universe | entry start | Sharpe | SE | CAGR % | max DD % | trades |
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|---|---|---|---:|---:|---:|---:|---:|
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| A_prod_4y_505 | prod_505 | 2022-07-01 | 1.32 | 0.49 | 31.8 | 18.9 | 374 |
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| B_prod_4y_505_liquid | prod_plus_liquid | 2022-07-01 | 0.14 | 0.499 | -1.8 | 55.3 | 706 |
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| C_prod_2016_505 | prod_505 | 2016-07-01 | 0.88 | 0.314 | 16.7 | 24.4 | 763 |
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| D_prod_2016_505_liquid | prod_plus_liquid | 2016-07-01 | -0.06 | 0.316 | -7.0 | 73.9 | 1567 |
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Full report: `reports/prod-book-universe-horizon-20260719-140737.json`
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## Verdict
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**PENDING_HUMAN** — descriptive only; production knobs unchanged.
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