Generated 2026-09-04T20:18:28
Cache: sp500_stride10_mc8_fenhanced_tr_k28_y20_w12_live_h5h21 (top_n=8, vol_target=0.45, max_position_pct=0.15, start=2020-01-01)
| Variant | Sharpe | CAGR | MaxDD | Trades | Turnover ($) | Corr to baseline |
|---|---|---|---|---|---|---|
| baseline (equal-weight) | 2.432 | 333.04% | -70.94% | 12163 | 308,322,044,692 | 1.000 |
| hrp (cluster-weighted) | 2.475 | 314.15% | -60.40% | 12165 | 253,898,530,701 | 0.971 |
Decision
Verdict: INCONCLUSIVE: difference within noise band.
- Sharpe delta: +0.043
- MaxDD delta (more negative = worse): +10.54 pp
- Turnover delta: $-54,423,513,991
Notes
- Equal-weight baseline matches
FlagshipTrader._enter_side(per-trade vol-target with max-position cap). - HRP uses trailing 60d covariance over the top-N picks, max-weight 0.20, single-linkage clustering.
- This comparator does NOT modify any live behaviour. Operator must flip
FLAGSHIP_HRP_ENABLED=1in.env.flagshipto activate HRP sizing inFlagshipTrader(currently unused).