jgrusewski bc4cc46775 feat(surfer): residual (beta-stripped) momentum upgrade — net +0.40->+0.57 @$20M ...

Phase-1 upgrade applied to the PoC base sleeve: rank residual momentum (each coin's
return stripped of its rolling beta to the equal-weight market) instead of raw momentum.
Removes high-beta coins dominating the sort by market co-movement. Backtest: gross
+0.82->+0.99, net @$20M +0.40->+0.57, capacity $5M +0.60->+0.78, CPCV-med +0.47->+0.59,
combined two-sleeve book +1.56->+1.66. Same edge, cleaner construction. Live panel depth
bumped to cover the 60d beta window. No lookahead (beta + cumsum use closed bars).

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-06 18:41:40 +02:00

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