Portfolio-capacity bracket — findings

Date interpreted: 2026-08-05

Status: capacity and weekly replacement closed as negative results; the minimum effective-risk floor remains an open single-variable follow-up.

This document interprets the frozen v2 run without modifying its generated outputs:

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The run completed 78 empty-book paths, 97 warm-seed paths, seven annual clusters under both protocols, two cost levels, four arms, and 1,400 cells with no validation errors. The construction universe was 505 priced tradable symbols plus 4,149 priced rank-only symbols.

Capacity is economically free

The clean capacity treatment is cap15_incumbent: it changes no sizing or admission rule. Its cap never bound in any cell (maximum observed position count 12; zero full-book skips), so it absorbed every opportunity blocked by cap 10.

At 0.10% per fill, split the 175 paths by whether the paired control recorded any skipped_book_full. Values below are mean paired changes in net EV per trade, in R:

Arm	Cap never bound (n=70)	Cap did bind (n=105)
`cap15_incumbent`	+0.0000	+0.0018
`cash_unbounded`	+0.0714	+0.0077
`cap10_weekly_top10`	-0.0246	-0.0426

The exact zero for cap15 in the never-bound stratum is also a harness validity check: when the treatment cannot act, results are identical. Where it does act, giving the strategy every slot it requested adds only 0.0018 R/trade. The old 519-blocked-versus-472-admitted count was true, but it did not imply that the blocked opportunities were economically valuable.

Decision: keep the production cap at 10. Do not remove it or raise it in the expectation of additional edge.

The positive arm measured the risk floor

cash_unbounded combined two treatments: no count cap and a 0.5% minimum effective initial-risk fraction. Its EV effect is roughly nine times larger in the 70 paths where the control cap never bound, so capacity cannot explain the improvement.

Within that never-bound stratum:

Measure	Control	`cash_unbounded`
Mean trades	75.7	69.9
Mean cash	27.8%	28.2%
Mean gross exposure	72.2%	71.8%
Mean hold	15.4 sessions	15.6 sessions
Mean EV	+0.328 R	+0.399 R
Mean profit factor	1.60	1.75

The floor removes about 8% of fills while leaving exposure and holding time nearly unchanged. This is selection, not general de-risking: candidates that available sizing compresses below half the intended risk are worse on average. The report records repeated reject attempts, not the rejected candidates' ranks, so whether the effect is rank-mediated remains unknown.

Next research: one single-variable A/B, cap10_incumbent versus cap 10 with min_initial_risk_fraction=0.005, with every other rule unchanged. Do not call the current cash_unbounded result causal evidence for that floor until this confound-free comparison is run.

Weekly replacement hurts

Median paired deltas read zero because enough cohorts are inert. The distribution is not neutral:

Protocol	Mean ΔEV	P25 ΔEV	Identical paths
Empty book	-0.0360 R	-0.0817 R	27/78 (34.6%)
Warm book	-0.0348 R	-0.1582 R	14/97 (14.4%)

The arm made 2,170 replacements and 529 same-symbol re-entries within ten sessions, so 24% of replacements were associated with short-horizon churn.

Decision: reject weekly top-10 replacement. Future reports should show mean paired effects and identical-path fractions beside medians whenever treatments are inert in a material share of cohorts.

Warm dispersion was mostly structurally degenerate

For six of seven anchors, control EV IQR is numerical zero (approximately 1e-16) and Calmar IQR is exactly zero. The displayed ratio 1.000 is therefore mostly the implementation's zero-over-zero convention, not evidence of equal nonzero dispersion.

Two mechanics cause convergence: sizing and notional limits are fractions of equity, making R and ratio metrics scale-invariant; and the 30-session maximum hold is shorter than the 63-session minimum seed offset, allowing initial books to wash out before the anchor.

The exception is 2023. Control measurement-start positions vary from 6 to 9, EV IQR is 0.0274 R, and Calmar IQR is 0.2675. The protocol therefore carries state correctly, but its chosen offsets usually erase the initialization effect it was intended to measure.

Future initialization studies should use seed offsets shorter than maximum hold, approximately 5–25 sessions. The current empty-book cohorts remain the primary start-date evidence, but they necessarily mix initialization with market regime.

Final decisions

Keep cap 10; its measured opportunity cost is negligible.
Reject weekly rank replacement.
Do not interpret the cash_unbounded improvement as a capacity effect.
Run only the focused cap-10 effective-risk-floor A/B next.
Report means, inert fractions, and absolute dispersion beside medians and ratios in future sparse-treatment studies.

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