Gahow Wang
2f754998a3
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>
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