Add SOXL dynamic volatility threshold research

[Pigbibi]

Summary

• add research-only rolling-percentile threshold support for SOXL volatility delever overlays
• add a reproducible SOXL dynamic volatility threshold sweep script
• document the 2026-06-09 SOXL dynamic threshold results and promotion candidate

Key result

• best conservative candidate: dynamic_p95_floor50_cap75
• full-sample CAGR improves from 72.15% to 77.12% versus current fixed 55
• max drawdown remains -40.51%
• turnover/year falls from 8.76 to 8.47
• actual SOXL delever stops fall from 17 to 7

Tests

• PYTHONPATH=/home/ubuntu/Projects/UsEquityStrategies/src:/home/ubuntu/Projects/UsEquitySnapshotPipelines/src /home/ubuntu/Projects/UsEquitySnapshotPipelines/.venv/bin/python -m py_compile src/us_equity_snapshot_pipelines/soxl_soxx_trend_income_backtest.py scripts/research_soxl_dynamic_volatility_delever_thresholds.py
• manual invocation of tests/test_soxl_soxx_trend_income_backtest.py targeted test functions (venv has no pytest)
• PYTHONPATH=/home/ubuntu/Projects/UsEquityStrategies/src:/home/ubuntu/Projects/UsEquitySnapshotPipelines/src /home/ubuntu/Projects/UsEquitySnapshotPipelines/.venv/bin/python scripts/research_soxl_dynamic_volatility_delever_thresholds.py --output-dir data/output/soxl_dynamic_volatility_delever_threshold_research_20260609