Task #22 Phase 2 Core Addendum
B3 / Sponsorship / Cap Replay
Full Metrics, 2015-02-17 to 2026-05-15
| scenario | ann | sharpe | mdd | avg_exp | avg_hold |
|---|---|---|---|---|---|
| v1_production | 0.1201 | 0.6034 | -0.2601 | 0.4364 | 5.1910 |
| v1_1_B3 | 0.1220 | 0.6387 | -0.2640 | 0.4037 | 4.7841 |
| v1_2_combined | 0.1284 | 0.6686 | -0.2877 | 0.4053 | 4.8065 |
| v1_2_fund_mv | 0.1338 | 0.6954 | -0.2881 | 0.4050 | 4.8211 |
| v1_3_Y2 | 0.1621 | 0.8417 | -0.2925 | 0.3983 | 5.3387 |
Annual Sharpe Deltas
| year | B3_delta_vs_v1 | fund_mv_delta_vs_combined |
|---|---|---|
| 2015.0000 | -0.2486 | 0.0000 |
| 2016.0000 | 0.2235 | 0.0000 |
| 2017.0000 | -0.2794 | 0.0031 |
| 2018.0000 | -0.0102 | -0.0600 |
| 2019.0000 | -0.0675 | -0.0773 |
| 2020.0000 | 0.6564 | 0.3068 |
| 2021.0000 | -0.0264 | 0.1008 |
| 2022.0000 | -0.0001 | 0.0000 |
| 2023.0000 | -0.0779 | 0.0000 |
| 2024.0000 | 0.1517 | 0.0000 |
| 2025.0000 | 0.0498 | 0.0267 |
| 2026.0000 | -0.4405 | -0.3928 |
Sponsor Window Sharpe
| window | v1_1_B3 | v1_2_combined | v1_2_fund_mv |
|---|---|---|---|
| 2015_2017 | 0.6401 | 0.7228 | 0.7241 |
| 2018_2023 | 0.5097 | 0.4297 | 0.4887 |
| 2024_2026 | 0.9091 | 1.1470 | 1.1247 |
| FULL | 0.6387 | 0.6686 | 0.6954 |
Cap / Seed Replay
| scenario | max_holdings | full_annualized | full_sharpe | full_mdd | avg_holdings | trades | seed_buys | early_buys | delta_sharpe |
|---|---|---|---|---|---|---|---|---|---|
| seed2_cap12 | 12 | 0.1725 | 0.8637 | -0.2275 | 4.9970 | 694 | 0 | 90 | 0.0015 |
| seed2_top20_cap12 | 12 | 0.1725 | 0.8637 | -0.2275 | 4.9970 | 694 | 0 | 90 | 0.0015 |
| v1_3_y2_baseline | 12 | 0.1723 | 0.8621 | -0.2275 | 4.9975 | 695 | 0 | 90 | 0.0000 |
| cap15_no_seed | 15 | 0.1496 | 0.7886 | -0.2217 | 6.2266 | 800 | 0 | 128 | -0.0735 |
| seed2_cap15 | 15 | 0.1490 | 0.7825 | -0.2217 | 6.2331 | 800 | 0 | 128 | -0.0796 |
| seed2_top20_cap15 | 15 | 0.1485 | 0.7802 | -0.2217 | 6.2331 | 800 | 0 | 128 | -0.0820 |
| seed2_cap18 | 18 | 0.1386 | 0.7295 | -0.2174 | 7.6428 | 972 | 3 | 176 | -0.1327 |
| seed2_top20_cap18 | 18 | 0.1345 | 0.7037 | -0.2219 | 7.5538 | 966 | 3 | 171 | -0.1585 |
| cap18_no_seed | 18 | 0.1288 | 0.6804 | -0.2174 | 7.6328 | 974 | 0 | 178 | -0.1818 |
2010 Rebuild Attempt
- 2010/2011 smoke test passed, but full 2010 raw fetch hit RQData QuotaExceeded during price batch 10/28.
- Partial cache exists at /root/data/mini-cypress/rqdata_task5_hist_2010/equity and can be resumed after quota refresh or with smaller throttled batches.
| dataset | files |
|---|---|
| daily_price_pre | 9 |
| daily_factors | 0 |
| stock_connect | 0 |
| suspended | 0 |
| st_stock | 0 |
| industry_snapshot | 0 |
| benchmark_daily | 0 |
Current Decisions
- v1.3 Y2 remains production frontier.
- cap15/cap18/seed/top20 remain rejected; cap18 dilution is stronger in the extended sample.
- B3 remains positive but less dramatic on true extended full window than old sample; still improves Sharpe and reduces exposure.
- Sponsor remains positive overall, but fund_mv_bonus beats old combined bonus on full window; however 2024-2026 favors combined. Treat as Phase 2 candidate, not immediate production flip.
- 2010 full rebuild is blocked by quota for now, not data schema feasibility.