78 lines
4.1 KiB
Markdown
78 lines
4.1 KiB
Markdown
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# VIOLET Finding — The Sizing-Modulation Layer vs. the Capital-Under-Utilization Result
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**Status:** Finding / caveat, 2026-06-13. Separate doc by operator request. Qualifies
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(does NOT overturn) the [[blue_margin_envelope_study]] and constrains the
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`VIOLET_STUDY_SPEC__BASE_FRACTION_SIZING.md` (#3) and any pre-V4 sizing work.
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## TL;DR
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The newly-isolated downstream **sizing-modulation layer** (SC-haircut / ACB / OB-cascade
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/ "gold" — the organs that ride along ACBv6) does **not** counter the margin study: that
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study used **actual recorded notionals**, which are already post-modulation. But it
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**sharpens** what "under-utilized capital" means, and makes the modulation layer a
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**required** pre-execution component for VIOLET — not optional.
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## 1. Why the margin study is NOT contradicted
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The margin/viability study computed `our_leverage = entry_price·quantity / capital_before`
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from `dolphin.trade_events` — i.e. from the **notionals BLUE actually traded**, haircuts
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and boosts already baked in. The modulation is therefore *inside* the measured numbers,
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not a missed factor. Conclusions stand on the as-traded data:
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- max realized `our_leverage` ≈ **1.81**
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- **100%** of trades margin-feasible at **2×** exchange leverage
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- **+$47k** clean deduped edge
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## 2. How recorded leverage decomposes (the discovery)
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Recorded conviction `leverage` is **NOT** the base bet-sizer output alone:
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```
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recorded_leverage(trade) = base_sizer(vel_div) ± modulation(SC, ACB, OB, gold)
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```
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- **base_sizer(vel_div)** — cubic-convex strength³ curve; VIOLET's V3a `VioletBetSizer`
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reproduces it (validated on binned MEDIANS: vd −0.03→0.83, −0.04→2.78, −0.05→9.0 with
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max_leverage=9 / thr −0.02 / extreme −0.05 / convexity 3).
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- **modulation** — mostly **downward haircuts** (mins far below the median per vel_div
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bin), with some upward boosts to the 9 cap. This is the per-trade scatter that drops
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exact per-trade parity to ~34% while the median curve matches.
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## 3. The sharpening (this is the load-bearing part)
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The study's **median wallet utilization was ~6.8%** (`our_leverage` p50 ≈ 0.068). That
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low median is **largely the haircut layer at work** — BLUE deliberately sized most trades
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far below the base curve. The **max 1.81** is the *un-haircut, base-saturated* tail.
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Consequences:
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1. **Margin feasibility is robust** even if the haircuts are later dropped: the study's
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worst case (1.81) already equals the base-saturated value, and 2× covers it. Sizing at
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full base does not break margin.
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2. **"Under-utilized ⇒ free ROI" is now GUARDED.** Much of the idle ~93% is **not waste**
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— it is the modulation layer **deliberately de-risking** (cutting size on
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lower-conviction / higher-risk setups). It is risk knowledge encoded as size.
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## 4. Binding implications
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- **#3 base-fraction study MUST NOT read the 6.8% median as free headroom.** A large part
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of it is risk-management. Any base-fraction increase must be evaluated *with* the
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modulation layer modeled, conditioned on the regime-robustness work — never by naively
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reclaiming the idle capital.
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- **The modulation layer is REQUIRED before live execution (V4).** VIOLET running the
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**base sizer alone** would size *bigger than BLUE did* on exactly the trades BLUE chose
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to haircut → utilization jumps from ~7% median toward the base, and **realized
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risk/return diverges from the recorded +$47k** (more variance, possibly worse
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risk-adjusted). Median-curve base parity (V3d) is necessary but **not sufficient** for
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faithful BLUE replication.
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- **New deferred task (pre-V4):** wrap the SC-haircut / ACB / OB-cascade / "gold"
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modulation organs as a VIOLET sizing-modulation layer on top of the base
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`VioletBetSizer`, with its own per-trade parity gate vs recorded `leverage`.
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## 5. Related
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[[blue_margin_envelope_study]] · [[violet_v3_alpha_doctrine]] (#9 keystone, #11 parity
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finding) · `VIOLET_STUDY_SPEC__BASE_FRACTION_SIZING.md` · `prod/clean_arch/violet/alpha_wrappers.py`
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(base sizer) · live organs in `prod/nautilus_event_trader.py`
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(`_apply_sc_entry_size_multiplier`, `_record_sc_haircut`, `AdaptiveCircuitBreaker`).
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