Position Downside Risk Model
Generated 2026-07-20 00:38:46.718185+00:00 | version 20260719T195305Z
production_model_collecting_prospective_paper_evidence
Promotion Decision
production_alias_preserved_paper_position_risk_output_only
The production alias supplies a required freshness gate and calibrated loss-budget cap to the guarded paper execution manager. The model itself cannot size a position; the separate execution policy performs paper-only sizing. The model cannot submit or modify an order, enable live trading, or claim broker-fill evidence.
Paper Execution Integration
production_model_position_monitoring_active_no_entry_candidates
Latest execution run alpaca_paper_execution_manager_20260720T003145Z; current model-scored intents 3; model-sized entries 0; model-blocked entries 0; paper orders submitted 0; live trading False.
Current Paper Positions
| Symbol | Quantity | Predicted MAE | 80% risk envelope | Status |
|---|---|---|---|---|
| STNG | 14.459080393 | 4.81% | 12.69% | paper_risk_score_current |
| TNK | 15.401047281 | 5.24% | 13.11% | paper_risk_score_current |
| ASA | 19.07649752 | 6.08% | 13.96% | paper_risk_score_current |
Point-in-Time Contract
Inputs use the split-adjusted close and trailing price/volume history at each cutoff. Targets use the lowest split-adjusted price over the next 20 sessions, excluding the anchor session. Training anchors are spaced 20 sessions apart. Scores at or before the model assignment date are historical shadow evidence; only later market cutoffs count as strict prospective evidence.
Training 2010-01-04 to 2020-09-14; validation 2020-10-13 to 2023-02-15; historical holdout 2023-03-17 to 2026-06-12.
A bounded 600-symbol architecture prototype observed aggregate performance over an overlapping calendar block before the full-universe fit. Treat this as a historical holdout rather than a pristine final test; prospective paper outcomes remain mandatory.
Promotion Gates
| Gate | Result |
|---|---|
| adaptive_envelope_coverage | passed |
| adaptive_envelope_sharpness | passed |
| mae_lift_vs_constant | passed |
| minimum_historical_holdout_dates | passed |
| minimum_historical_holdout_rows | passed |
| minimum_training_dates | passed |
| minimum_training_rows | passed |
| minimum_validation_dates | passed |
| minimum_validation_rows | passed |
| purged_temporal_order | passed |
| rank_correlation | passed |
| risk_quintile_separation | passed |
| rmse_lift_vs_constant | passed |
Known Boundary
This is an end-of-day risk model, not an intraday stop executor. The adaptive envelope is a calibrated research estimate, not a guaranteed loss cap. Prospective paper outcomes and broker execution evidence remain separate gates.