Optimizer Backtest

Historical validation of the Black-Litterman optimizer. Generates monthly recs over 2020-2024 using point-in-time Alpha-Lite scores (price-based factors only), then measures realized vs counterfactual and SPY at 30/90/180/365 day horizons.

Alpha-Lite reconstructs 5 of 13 Alpha sub-factors: momentum, technical, industry_cycle, macro, earnings_surprise. The other 8 (value, quality, growth, analyst, insider, buyback, analyst_momentum, institutional) are held at a neutral 50. IC measurements below cover reconstructed factors only.