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VIOLET OA: base-fraction sizing study\n\nAdd the read-only CH-backed base-fraction study script plus the final archived report.

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2026-06-16 23:25:38 +02:00
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# VIOLET base-fraction sizing study
Generated: `2026-06-16T21:23:08.644826+00:00`
## Bottom line
- Recommended fraction: `0.333` (best Calmar among zero-clip fractions)
- Base 0.20 final capital: `483963.79`; recommended final capital: `1308199.81`
- Base 0.20 maxDD: `20.18%`; recommended maxDD: `33.36%`
- Recommended clip rate: `0.00%`; unconstrained optimizer: `0.500` with `40.11%` clipped at the 3x ceiling.
## Caveat
- Direct non-null slippage telemetry was not available in `trade_execution_quality`; the study uses a conservative taker-heavy impact proxy.
## Cap binding
- The recommended fraction hits the 3x translator cap on `0.00%` of trades.
## Kelly anchor
- Empirical Kelly anchor: `0.500`; fractional anchor: `0.200`
## Files
- JSON: `/mnt/dolphinng5_predict/prod/VIOLET_dev/reports/base_fraction_study_20260616_212308.json`
- Markdown: `/mnt/dolphinng5_predict/prod/VIOLET_dev/reports/base_fraction_study_20260616_212308.md`