research: S&P 500 ∪ S&P 400 universe for overnight_recovery_top10 (FAIL)

LITE ranked #1-4 on the overnight_recovery score from 2025-07 while still an
S&P 400 member, and the book could only buy it after it joined the S&P 500
on 2026-03-23. research/lab/universe_midcap.py tests whether ranking S&P 400
members alongside the S&P 500 helps, on one merged panel with one engine and
20 bp a side for every arm; the decision rule is written before the run.

Primary window 2019-01..2026-09: union Sharpe 0.86 / CAGR 24.7% / MaxDD
-38.8% vs base 0.98 / 29.4% / -34.3%; 2019-24 alone 0.48 vs 0.70; without
PENN, LITE and SMCI the union's alpha vs base is -6.7%/yr (t -2.1). Mid-cap
momentum adds a few large winners and many small losers. Not adopted.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>

CLAUDE.md

@@ -80,6 +80,7 @@ PYTHONPATH=. uv run --with numba python -m research.lab.lead_lag_small         #
 PYTHONPATH=. uv run python -m research.lab.sector_cycle                  # business-cycle rotation, sector momentum/reversal, semis cycle
 uv run python -m research.lab.fetch_wiki_attention && PYTHONPATH=. uv run --with numba python -m research.lab.attention   # Wikipedia-pageview attention
 PYTHONPATH=. uv run --with numba python -m research.lab.concentration     # industry caps on the momentum sleeve
+PYTHONPATH=. uv run python -m research.lab.universe_midcap              # overnight_recovery_top10 on S&P 500 ∪ S&P 400 (preregistered; FAIL 2026-10-08)
 
 # Setup
 uv sync                                  # Install/sync dependencies