Honest ETF control universe (measure real alpha)#10
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Adds config_etf.yaml: the exact same multi-factor momentum engine (same signals/portfolio/risk/leverage params) pointed at a clean, survivorship-free basket of ~31 category-defined ETFs (sectors, size, intl, bonds, commodities). Purpose: measure how much real alpha survives once the hand-picked-winners stock universe is removed. Plus .github/workflows/honest-backtest.yml: manual-dispatch, read-only (no Alpaca, no secrets, no commits) job that runs the ETF backtest and prints strategy-vs-SPY to the job summary. Fully additive — does not change any existing strategy, config, state, account, dashboard, or workflow. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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What
A survivorship-free control group for the momentum strategy. Same engine, honest pool.
config_etf.yaml— runs the exact sameMultiFactorStrategy(identical signals/portfolio/risk/leverage params) on a clean basket of ~31 category-defined ETFs (sectors, size, international, bonds, commodities). The only change vsconfig.yamlis the universe..github/workflows/honest-backtest.yml— manual-dispatch, read-only job (no Alpaca, no secrets, no commits) that runs the ETF backtest and prints strategy-vs-SPY to the job summary.Why
The stock backtests ride a hand-picked list of 100 of today's winners (it even contains SNOW/CRWD/DDOG, which were not public in 2016). ETFs are defined by category, not future performance, and almost never delist — so this removes the survivorship bias entirely. The gap between Total Return and Benchmark Return here is the honest alpha.
Isolation
Purely additive. Touches no existing strategy, config, state, account, dashboard, or workflow.
To run
GitHub requires
workflow_dispatchfiles to be on the default branch, so this must merge before it can be triggered. After merge: Actions tab → "Honest Backtest (ETF control)" → Run.🤖 Generated with Claude Code