jgrusewski eaea1a03cb feat(levered): tail-budgeted shape — carry 40% of gross (bounds -20% dislocation to -8%) ...

Re-tune _LEVERED_SLEEVE_SHAPE from the Sharpe-max fixed shape (carry ~53%) to a
tail-budgeted one (carry ~40%, non-carry inverse-vol): {tstrend 1.0, unlock 2.2,
xsfunding 3.0, positioning 1.3}. Caps a -20% carry dislocation to ~-8% of the book
(vs -10.5%) while keeping Sharpe ~2.7 (>> naive 2.26). One constant re-tunes the
whole levered chain. A new invariant test pins carry at 40% of gross. 1824 pass.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>

2026-07-07 00:34:30 +02:00

..

integration

feat(levered): tail-budgeted shape — carry 40% of gross (bounds -20% dislocation to -8%)

2026-07-07 00:34:30 +02:00

unit

revert(gate): keep tight recon band (no dispersion-widening) — real-money gate must err toward WAIT, not PASS; keep 21d window

2026-07-02 13:26:31 +02:00