125 lines
5.3 KiB
Markdown
125 lines
5.3 KiB
Markdown
# Portfolio-capacity bracket — findings
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Date interpreted: 2026-08-05
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Status: **capacity and weekly replacement closed as negative results; the
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minimum effective-risk floor remains an open single-variable follow-up.**
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This document interprets the frozen v2 run without modifying its generated
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outputs:
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- result commit: `24482c6`;
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- simulation source commit: `6fc82ae8574de9104c83273e018391e75a5f8ac6`;
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- frozen specification SHA-256:
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`f1e37783cf6d157ecc827d48211fa45da16f0a0ac19cd23686b3902d347a1898`;
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- JSON SHA-256:
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`2435875667097db7416a0d96f412db81d2f2d09ba053748c9f2cfb8a0cba4417`;
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- Markdown SHA-256:
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`dc3f5de25eb0a156ce51d0025c90e04ac0977e9502dec47bcf1b25bdcf609c81`.
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The run completed 78 empty-book paths, 97 warm-seed paths, seven annual
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clusters under both protocols, two cost levels, four arms, and 1,400 cells with
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no validation errors. The construction universe was 505 priced tradable
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symbols plus 4,149 priced rank-only symbols.
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## Capacity is economically free
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The clean capacity treatment is `cap15_incumbent`: it changes no sizing or
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admission rule. Its cap never bound in any cell (maximum observed position count
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12; zero full-book skips), so it absorbed every opportunity blocked by cap 10.
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At 0.10% per fill, split the 175 paths by whether the paired control recorded
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any `skipped_book_full`. Values below are mean paired changes in net EV per
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trade, in R:
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| Arm | Cap never bound (n=70) | Cap did bind (n=105) |
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|---|---:|---:|
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| `cap15_incumbent` | +0.0000 | +0.0018 |
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| `cash_unbounded` | +0.0714 | +0.0077 |
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| `cap10_weekly_top10` | -0.0246 | -0.0426 |
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The exact zero for cap15 in the never-bound stratum is also a harness validity
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check: when the treatment cannot act, results are identical. Where it does act,
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giving the strategy every slot it requested adds only 0.0018 R/trade. The old
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519-blocked-versus-472-admitted count was true, but it did not imply that the
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blocked opportunities were economically valuable.
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Decision: **keep the production cap at 10.** Do not remove it or raise it in the
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expectation of additional edge.
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## The positive arm measured the risk floor
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`cash_unbounded` combined two treatments: no count cap and a 0.5% minimum
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effective initial-risk fraction. Its EV effect is roughly nine times larger in
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the 70 paths where the control cap never bound, so capacity cannot explain the
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improvement.
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Within that never-bound stratum:
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| Measure | Control | `cash_unbounded` |
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|---|---:|---:|
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| Mean trades | 75.7 | 69.9 |
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| Mean cash | 27.8% | 28.2% |
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| Mean gross exposure | 72.2% | 71.8% |
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| Mean hold | 15.4 sessions | 15.6 sessions |
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| Mean EV | +0.328 R | +0.399 R |
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| Mean profit factor | 1.60 | 1.75 |
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The floor removes about 8% of fills while leaving exposure and holding time
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nearly unchanged. This is selection, not general de-risking: candidates that
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available sizing compresses below half the intended risk are worse on average.
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The report records repeated reject attempts, not the rejected candidates'
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ranks, so whether the effect is rank-mediated remains unknown.
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Next research: one single-variable A/B, `cap10_incumbent` versus cap 10 with
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`min_initial_risk_fraction=0.005`, with every other rule unchanged. Do not call
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the current `cash_unbounded` result causal evidence for that floor until this
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confound-free comparison is run.
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## Weekly replacement hurts
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Median paired deltas read zero because enough cohorts are inert. The distribution
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is not neutral:
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| Protocol | Mean ΔEV | P25 ΔEV | Identical paths |
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|---|---:|---:|---:|
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| Empty book | -0.0360 R | -0.0817 R | 27/78 (34.6%) |
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| Warm book | -0.0348 R | -0.1582 R | 14/97 (14.4%) |
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The arm made 2,170 replacements and 529 same-symbol re-entries within ten
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sessions, so 24% of replacements were associated with short-horizon churn.
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Decision: **reject weekly top-10 replacement.** Future reports should show mean
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paired effects and identical-path fractions beside medians whenever treatments
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are inert in a material share of cohorts.
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## Warm dispersion was mostly structurally degenerate
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For six of seven anchors, control EV IQR is numerical zero (approximately
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`1e-16`) and Calmar IQR is exactly zero. The displayed ratio `1.000` is therefore
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mostly the implementation's zero-over-zero convention, not evidence of equal
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nonzero dispersion.
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Two mechanics cause convergence: sizing and notional limits are fractions of
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equity, making R and ratio metrics scale-invariant; and the 30-session maximum
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hold is shorter than the 63-session minimum seed offset, allowing initial books
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to wash out before the anchor.
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The exception is 2023. Control measurement-start positions vary from 6 to 9,
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EV IQR is 0.0274 R, and Calmar IQR is 0.2675. The protocol therefore carries
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state correctly, but its chosen offsets usually erase the initialization effect
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it was intended to measure.
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Future initialization studies should use seed offsets shorter than maximum hold,
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approximately 5–25 sessions. The current empty-book cohorts remain the primary
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start-date evidence, but they necessarily mix initialization with market regime.
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## Final decisions
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1. Keep cap 10; its measured opportunity cost is negligible.
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2. Reject weekly rank replacement.
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3. Do not interpret the `cash_unbounded` improvement as a capacity effect.
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4. Run only the focused cap-10 effective-risk-floor A/B next.
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5. Report means, inert fractions, and absolute dispersion beside medians and
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ratios in future sparse-treatment studies.
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