jgrusewski 2bb2b50fd1 fix(surfer): correct roll handling (held-contract return stitching) + cost stress + dual gates ...

The +0.32 'edge' was a roll-zeroing artifact (discarded held-contract roll-day P&L).
Correct roll stitching + 2bp cost: floor Sharpe ~0.05 (sign) / 0.06 (cont) / 0.14
(cont+band), all NEGATIVE at 2x cost. Marginal, implementation-dominated edge.
Adds FLOOR_SIGNAL mode (sign|cont), no-trade band, 2x-cost stress, develop/deploy gates.

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

2026-06-06 01:43:06 +02:00

9.5 KiB

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