backtest now reports momentum + VRP (tail-managed, corr -0.04) + COMBINED book
(momentum 70% / VRP 30% risk) Sharpe +1.56, all years positive. paper marks BOTH
sleeves + combined equity each run; status shows all three + live Sharpes. VRP gate
('don't sell vol when DVOL rising/elevated') runs live -- currently 'flat (gated)'.
cwd-independence fixes: pit_sweep.load + _vrp_calib now use abs paths so the cron paper
run calibrates VRP correctly from $HOME (was silently falling back to zero-VRP). Live
panel depth bumped to cover the 60d VRP gate window. Honest: VRP +2.85 is the no-Greeks
proxy (real ~1-1.5) so combined is optimistic (~0.8-1.0 realistic) -- still > momentum alone.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Built survivorship-free universe: 135 perps incl 28 known-dead (LUNA/SRM/MATIC...),
universe rebuilt daily as top-K by trailing dollar-volume (dead coins in while trading,
drop out after crash), no lookahead. mom_20 TOPK=30: full +0.76, IS+0.85/OOS+0.56,
CPCV-med +0.73, DSR 0.86, POSITIVE EVERY YEAR 2020-2026 incl 2022 +0.72. Counterintuitive:
survivorship was HIDING the edge (survivor-only 2022 -0.40 -> PIT +0.72) because momentum
shorts the dying coins and profits from crashes. Decisive survivorship confirmation.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
