1. Live decision log
- 18 cycles 2026-09-29T11..2026-10-01T12
- Longs = alphabetically-first 20 of the symbols touched, shorts = last 20 (index slice, NOT returns): True
- Longs:
AAPL, ABBV, ABT, ADM, ADP, AMAT, AMD, AMGN, AMZN, APD, AVGO, AXP, BA, BAC, BIIB, BKNG, BLK, BMY, BRK.B, BSX - Order errors: 75 fractional-short rejects + 25 insufficient-qty
- Equity path shows a re-paper: $9,974 -> $9,969 -> $100,257 -> $100,016
2. What each book actually was (60m, 2020-2026)
| Book | mean bps/hold | gross SR | beta to EW |
|---|---|---|---|
| fixed A/Z basket (held) | +0.297 | +0.54 | +0.07 |
| fixed A-basket long-only (short leg failed) | +0.859 | +0.90 | +0.99 |
| intended 1h momentum | -2.255 | -2.38 | +0.03 |
| 1h reversal (the new bot) | +2.310 | +2.44 | +0.10 |
Read: the fixed A/Z basket is a static ~zero-mean long-short factor; with the short leg rejected the live book was net-LONG the A-names, so its P&L was ~market beta, not any signal. The intended 1h momentum is itself negative-gross (known); only the reversal carries a (thin) gross edge.