Narrow risk overlay frontier search

scripts/run_current_cash_risk_overlay_search.py

@@ -2,6 +2,7 @@ from __future__ import annotations
 
 import json
 import math
+import os
 import sys
 from dataclasses import asdict, dataclass
 from pathlib import Path
@@ -168,16 +169,36 @@ def _base_return_map(latest_bar: pd.Timestamp) -> tuple[dict[str, pd.Series], di
 
 def _candidate_space() -> list[RiskOverlayCandidate]:
     space: list[RiskOverlayCandidate] = []
-    for base_name in ("baseline", "blocker_025", "blocker_050"):
+    grid_mode = os.getenv("STRATEGY32_RISK_OVERLAY_GRID", "frontier").strip().lower()
-        for vol_lookback_bars in (21, 42, 84):
+    if grid_mode == "wide":
-            for vol_target_mult in (0.90, 1.00, 1.10):
+        base_names = ("baseline", "blocker_025", "blocker_050")
-                for min_scale in (0.50, 0.75):
+        vol_lookbacks = (21, 42, 84)
-                    for max_scale in (1.00, 1.10):
+        vol_targets = (0.90, 1.00, 1.10)
+        min_scales = (0.50, 0.75)
+        max_scales = (1.00, 1.10)
+        dd_lookbacks = (42, 84)
+        dd_cuts = (0.08, 0.12, 0.16)
+        dd_scales = (0.25, 0.50, 0.75)
+    else:
+        base_names = ("baseline", "blocker_050")
+        vol_lookbacks = (42,)
+        vol_targets = (0.95, 1.00, 1.05)
+        min_scales = (0.50, 0.75)
+        max_scales = (1.00,)
+        dd_lookbacks = (42,)
+        dd_cuts = (0.08, 0.12)
+        dd_scales = (0.50, 0.75)
+
+    for base_name in base_names:
+        for vol_lookback_bars in vol_lookbacks:
+            for vol_target_mult in vol_targets:
+                for min_scale in min_scales:
+                    for max_scale in max_scales:
                         if max_scale < min_scale:
                             continue
-                        for dd_lookback_bars in (42, 84):
+                        for dd_lookback_bars in dd_lookbacks:
-                            for dd_cut in (0.08, 0.12, 0.16):
+                            for dd_cut in dd_cuts:
-                                for dd_scale in (0.25, 0.50, 0.75):
+                                for dd_scale in dd_scales:
                                     space.append(
                                         RiskOverlayCandidate(
                                             base_name=base_name,