CAPSTONE · GOVERNED RESEARCH | Python / Julia | Interactive Capstone | Research corpus | Citation
The capstone — assemble the keepers into one risk-budgeted portfolio. It compounds: Sharpe +1.16, half the market's drawdown, clear of the Bogle hurdle.
Breakthrough is the meta-allocator of the Blaque Baux family. The core repo
is the engine and blueprint — a governed, systematic platform (Julia) with a venue-agnostic execution
controller and a Layer-3 live-money safety gate, and a PortfolioOpt optimization library. Breakthrough uses
all of it to turn the family's many validated ingredients into one portfolio.
Not investment advice. Educational/research software. Nothing here is validated to a live-money bar. See LICENSE.
git clone --recursive https://github.com/blaquebaux/breakthrough.git
julia --project=engine -e 'using Pkg; Pkg.instantiate()' # one-time engine setupBreakthrough is not a new premium — the trunk-branch program proved the classic harvestable premia (vol/pairs/carry/merger-arb) are dead in listed form. It doesn't need one. It takes the keepers the family already validated and asks the only question that ultimately matters: does assembling them into one risk-budgeted portfolio beat the best single sleeve and the low-cost index? If the keepers are genuinely diversifying, the combination should compound — higher risk-adjusted return than any of its parts. That's the entire reason a family of strategies exists rather than one bet.
research/breakthrough_1_allocator.py reconstructs six keepers as
priceable ETF proxies and combines them via inverse-vol (equal-risk-contribution), causal, monthly, net
of cost (Alpaca SIP 2016–2026):
| keeper (ETF proxy) | Sharpe | CAGR | vol | maxDD | corr-SPY |
|---|---|---|---|---|---|
| spine (risk-parity) | +1.02 | +7% | 6.8% | −15% | +0.55 |
| trend (12-1 mom) | +0.91 | +10% | 11.7% | −24% | +0.49 |
| tail (GLD/TLT) | +0.63 | +7% | 11.6% | −30% | −0.01 |
| gulf (KSA) | +0.42 | +7% | 19.9% | −41% | +0.52 |
| growth (QQQ) | +0.95 | +21% | 22.9% | −35% | +0.93 |
| PE (blackstone) | +0.82 | +23% | 31.2% | −45% | +0.80 |
| COMBINED (risk-parity) | +1.16 | +11% | 9.3% | −17% | +0.78 |
| SPY (Bogle hurdle) | +0.87 | +15% | 18.0% | −34% | +1.00 |
The combined portfolio beats every single keeper and the Bogle hurdle. Sharpe +1.16 tops the best sleeve (spine +1.02) and the market (+0.87); it earns Jensen α +4.4% / M² +5.1% over SPY at half the drawdown (−17% vs −34%). The keepers average just +0.37 pairwise correlation, so risk-budgeting across them harvests the diversification — the whole is genuinely more than its parts. This is the payoff of the entire program: not one premium, but the disciplined assembly of what survived.
The proof is now a governed live product. Two governed steps:
live/breakthrough_allocator.pycomputes today's target book — risk parity (default) over the brigade ingredient set (keepers + curated void-fillers crypto/defensive) + the bastion bear insurance overlay, which shorts SPY only when benchmark'smarket_regimeis risk-off (the validated regime-conditional tilt). Modes:BB_ALLOC_MODE=riskparity|minvar|levered(breakthrough / brilliant / bossy);BB_BEAR_WEIGHTis the bastion dial.live/breakthrough_live.jlreads that target and routes it through the engine's Layer-3 safety gate (preflight, idempotency, reconciliation, HWM, kill switch) — exactly like every other sleeve. Own ledger/HWM; dry-run/paper by default; real money needsBB_LIVE_CONFIRM.
No LLM in the order path — both the allocator and the rail are reproducible code (research emits the target, the governed rail executes it). Dry-run verified end-to-end: a 19-name, gross-1.0x, risk-parity book across the brigade ingredients, gate PASS.
python3 live/breakthrough_allocator.py && julia --project=engine live/breakthrough_live.jl # emit + route
BB_DRYRUN=1 bash live/run_breakthrough_daily.sh # governed dry-runHonest scope: the allocator reconstructs the keepers as ETF proxies (the fully-faithful aggregation over
the real sleeve drivers is the base's multi_sleeve_portfolio.jl +
PortfolioOpt, a future consolidation). The proxy result is what was validated (+1.16); numbers shift with the
real books, but the structure — diversifying ingredients, humble risk-parity, regime-conditional insurance — is
the product.
Governed live allocator built — the capstone graduated. The validated meta-allocator (risk parity over the brigade ingredient set + regime-conditional bastion bear insurance) now emits a target book that routes through the Layer-3 safety gate; dry-run PASS (19 names, gross 1.0x). Defaults to breakthrough (risk parity), with brilliant (min-variance) and bossy (leverage) as modes. The first trunk branch that is a keeper, and the sleeve that turns 40 ingredients into one governed product. Ships dry-run/paper; not yet run as real money.
Blaque Baux is a quantitative research initiative and a subsidiary of Carter Warrens. BlaqueBaux.com is the home for the work; the code lives here on GitHub — open to study, test, and build bespoke strategies on top of.
Anyone can point an AI at a market. The edge is understanding what the data actually says — and turning it into something you can act on. We test relentlessly and put most of it on the record as rejected, with the reason; what survives is built, governed, and validated before it is ever called real. That combination — honest research, reproducible evidence, and execution you can trust — is why Carter Warrens leads on strategy and implementation, not merely uses the tools everyone now has.
This repo is one sleeve of the Blaque Baux family — a single governed engine steered in many directions. The core repo is the base/blueprint and holds the full family roster.
engine/ the Blaque Baux platform (git submodule -> blaquebaux/base; incl. the PortfolioOpt library)
research/ _breakthrough_common.py + breakthrough_1_allocator.py (the meta-allocator proof) + scorecard
live/ breakthrough_allocator.py (emits the target) + breakthrough_live.jl (governed Layer-3 rail)
+ run_breakthrough_daily.sh + com.blaquebaux.breakthrough.plist
MIT. (c) 2026 Carter Warrens.