[codex:gpt-5.5] goal: produce a portfolio backtest report for the six-month model portfolio case.
[codex:gpt-5.5] read task/backtest_case.md and identified the key traps:
       rebalance only on 2026-01-01 and 2026-04-01, no cost on the initial
       allocation, 10 bps cost only on traded notional, and cost deducted before
       April returns.
[codex:gpt-5.5] initialized positions at 60/30/10 on USD 1,000,000.00.
[codex:gpt-5.5] carried positions month by month using total returns, without
       rebalancing in February, March, May, or June.
[codex:gpt-5.5] at 2026-04-01, computed traded notional from drifted March-end
       positions back to 60/30/10 target, charged USD 5.78, deducted the cost,
       then applied April returns.
[codex:gpt-5.5] calculated monthly net returns from beginning value to ending
       value after any cost, max drawdown from month-end high-water marks, sample
       monthly volatility annualized by sqrt(12), and Sharpe with zero risk-free.
[codex:gpt-5.5] wrote output/backtest_report.md with the summary metrics and
       month-by-month table.
[codex:gpt-5.5] self-check: ending value USD 1,018,749.79, total return 1.87%,
       annualized volatility 7.58%, Sharpe 0.52, max drawdown -3.14%, total
       transaction cost USD 5.78.
[codex:gpt-5.5] outcome: success
