55 lines
1.7 KiB
Markdown
55 lines
1.7 KiB
Markdown
# Production book × universe × horizon — results
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Generated: `2026-07-19T14:07:37.458454`
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> Survivorship: today's constituents backfilled. Compare arms relatively; do not treat deep CAGR/Sharpe levels as deployable forecasts.
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## Arms
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| arm | universe | entry start | Sharpe | SE | CAGR % | max DD % | ret % | trades | qual longs | span |
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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 | 204.7 | 374 | 1448 | 2022-07-01→2026-07-13 |
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| 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 |
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| 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 |
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| 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 |
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## Config (production, unchanged)
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```json
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{
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"note": "Live production knobs \u2014 no modifications",
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"momentum": "residual_12_1 gate 80",
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"rank": "residual_high_vol_blend_80_20",
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"fill_mode": "close",
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"cost_per_side": 0.001,
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"exit": {
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"mode": "atr_trailing",
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"trailing_pct": 12.0,
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"atr_multiplier": 3.0,
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"hold_days": 30
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},
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"max_positions": 10,
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"risk_per_trade": 0.01,
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"reentry": "gate_reset"
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}
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```
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## Snapshot
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```json
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{
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"prod_universe_n": 506,
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"price_symbols_n": 4654,
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"raw_candidates": 2389258,
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"liquid_top_n": 1500,
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"liquid_min_price": 5.0,
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"short_start": "2022-07-01",
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"long_start": "2016-07-01"
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}
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```
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PENDING_HUMAN — descriptive matrix only; no auto promotion.
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JSON: `reports/prod-book-universe-horizon-20260719-140737.json`
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