Fixed-Capital Breadth Audit
Breadth is measured at FIXED $25k, never inferred from a compounded backtest. This is the whole point of the participation lesson: a headline like "19/21 names" is almost always an artifact.
The breadth illusion
"19/21 names" on a full-cycle run means nothing — it is NAV compounding + distinct-names-over-time.
A book that compounds to $300k notional will touch many names across the run while, at cold-start
$25k, it funds only the cheapest one or two and strands the rest. The live proof of this: a certified
book that "held 19/21" deployed live and only bought OSCR, because at $25k a 5%-per-name budget
($1,200–1,450) only ever afforded the cheapest underlying's LEAP.
Root cause pattern: at low NAV a per-name budget affords only the cheapest name's contract, and the sizing policy strands the budget on unaffordable top-weighted names instead of flowing it to the next affordable one → the book collapses to one name.
How to measure
Use mcp__nexustrade__audit_backtest_breadth at a held-fixed capital base (don't let the run
compound). Capture, per the current config:
- simultaneous distinct names held (the headline number — lead with it),
participation,distinctNamesFilled,- per-name
cannotAffordcounts.
Run it on the 12-month window and separately on the full cycle. For a live collapse, also pull
query_portfolio_events (OptionResolutionAttempt) to see the "Cannot afford even 1 contract"
rejections and which names cleared — that is the live evidence.
SelectTop truncates BEFORE affordability
SelectTop N truncates the candidate pool before the affordability backfill runs. A narrow top-N
re-creates the single-name collapse — which is exactly why the certified incumbent is top-21 (21 of
21 never truncates, so the rank ORDER only decides funding priority, never membership). If you narrow
SelectTop, re-run this audit.
The breadth gate (in certification)
A variant must not degrade cold-start participation vs the incumbent. Concretely for a
participation-repair campaign: simultaneous distinct names ≥ target, participation ≥ ~0.5,
cannotAfford sharply down vs the before state. A config that certifies but still funds one name
is a non-answer — breadth without gain and gain without breadth both FAIL a participation attempt.
Entry filters (S3-style alt-data filters) are the main breadth risk — the filtered subset must stay affordable and broad, so always re-check cold-start breadth after adding one.
Levers that move breadth (all keep outright-calls-only)
- Raise per-name allocation — funds ≥1 contract on more names, but fewer simultaneous slots.
- Affordability-aware backfill / guarantee-1-contract-to-top-N — the most direct low-NAV lever;
verify the engine actually backfills (it has historically not). Note: the backfill loop is also
where the
totalBudgetover-deployment bug lived — see bug-protocol. - Rung depth / count — deeper OTM cheaper rungs let premium names enter; watch convexity erosion.
- Total budget — more slots fillable; interacts with per-name alloc.
Changing any sizing lever is a structural change → re-sweep, don't inherit knobs (sweep-reoptimization).