research: no_letf_book notes - levered trend is even with QQQ outside crash years; the overnight sleeve beats QQQ when orders are cheap

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

research/lab/no_letf_book.py

@@ -81,6 +81,24 @@ Reported after the verdict (exploratory, not gated):
   - IBKR's API refuses fractional orders (error 10243, what-if 2026-10-13). At
     $10k the momentum half holds $500 a name; 5 of the 2026-10-12 top 10 cost
     more than that.
+  - Two checks run after that:
+    - The margin-levered trend does not beat QQQ outside the crash years. From
+      2010, x2 earns 16.4% at MaxDD -50% vs QQQ's 19.2% at -35%. From 2006 the
+      two are even: 17.1% / -50% vs 16.6% / -53%.
+    - What does beat QQQ in every window is the overnight momentum sleeve alone
+      (overnight_only.py sleeve_score, 1x, no leveraged ETF), provided orders
+      are cheap. Cost per side = 0.2 bp measured + $0.35 / order size + 0.1 bp:
+
+      venue / account          2006-26 CAGR / MaxDD / Sharpe   2010-26             2017-26
+      QQQ                      16.6% / -53% / 0.73             19.2% / -35% / 0.88  21.6% / -35% / 0.86
+      $0 commission            35.7% / -30% / 1.40             29.9% / -30% / 1.32  34.2% / -30% / 1.31
+      IBKR Tiered $10k (3.8bp) 13.2% / -36% / 0.59              8.3% / -36% / 0.42  12.0% / -36% / 0.51
+      IBKR Tiered $25k (1.7bp) 25.9% / -31% / 1.06             20.4% / -31% / 0.95  24.5% / -31% / 0.98
+      IBKR Tiered $50k (1.0bp) 30.4% / -31% / 1.22             24.7% / -31% / 1.12  28.9% / -31% / 1.13
+
+      Same caveats as overnight_only.py: the signal was chosen on this panel,
+      the panel is survivor-biased before about 2014, and live fills are
+      untested.
 """
 
 from __future__ import annotations