research: overnight-only momentum in the sleeve book (CONTINUE), CTA sleeve (KEEP)

- overnight_book: swapping the all-day momentum sleeve for the overnight-only
  one lifts the three-sleeve book from Sharpe 0.98 to 1.38 (halves 1.16/1.64)
  and MaxDD from -37% to -17% at 1 bp a side; at 4 bp the gain is gone.
- overnight_book_mf: at the leverage for 50%/yr, a DBMF sleeve leaves the
  levered MaxDD unchanged (~-36%) and needs more leverage; no CTA sleeve.

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

CLAUDE.md

@@ -100,6 +100,8 @@ PYTHONPATH=. uv run python -m research.lab.orb_stocks_in_play       # 5-min open
 PYTHONPATH=. uv run python -m research.lab.overnight_only           # momentum names held close->open only, MOC/MOO costs (preregistered; STOP 2026-10-09: net Sharpe 1.29-1.42 < 1.5, but the sleeve's whole return is overnight)
 uv run python -m research.lab.fetch_us_fundamentals --universe mid      # EDGAR PIT facts for S&P 400 ever-members (name-checked CIKs)
 uv run python -m research.lab.fetch_us_fundamentals --universe small    # the same for S&P 600 (IJR)
+PYTHONPATH=. uv run python -m research.lab.overnight_book           # three-sleeve book with the overnight-only momentum sleeve, leverage for 50%/yr (preregistered; CONTINUE 2026-10-09: Sharpe 0.98 -> 1.38, MaxDD -37% -> -17% at 1 bp/side; 4 bp/side erases it)
+PYTHONPATH=. uv run python -m research.lab.overnight_book_mf [--no-proxy]  # the overnight books + a DBMF/CTA sleeve, levered to 50%/yr (preregistered; KEEP 2026-10-09: levered MaxDD unchanged, no CTA sleeve)
 PYTHONPATH=. uv run python -m research.lab.midcap_sleeve [--only h1..h4] [--universe small]  # S&P 400 sleeves vs IJH; S&P 600 replication vs IJR (all REJECT 2026-10-08)
 PYTHONPATH=. uv run python -m research.lab.fetch_shortvolume              # FINRA REG SHO daily short volume (~8y archive, resume-safe)
 PYTHONPATH=. uv run python -m research.lab.short_volume [us|midsmall|all] # SVR (short-volume ratio) IC / quintile scan on PIT panels