{
  "experiment_name": "return_max_long_v9.5.36_megareactmin003_fc",
  "dataset_snapshot_id": "pead_v931_iluk",
  "description": "v9.5.36 megareactmin003: small Pareto improvement on v9.5.20. Megacap reaction filter tightened 0.02->0.03 removes 5 marginal trades, Full Return +2.7%, MDD/OOT unchanged.",
  "base_config": "configs/backtest/return_max_long_v1.json",
  "overrides": {
    "signal": {
      "scoring_model": "return_max_long_v13e",
      "score_threshold": 0.45,
      "max_candidates_per_day": 18,
      "a_tier_score_threshold": 0.58
    },
    "risk": {
      "per_trade_risk_pct": 0.65,
      "per_trade_risk_pct_a_tier": 0.715,
      "max_daily_new_risk_pct": 50,
      "max_positions": 30,
      "max_positions_per_sector": 5,
      "max_position_value_pct": 1.0,
      "max_adv_fraction": 0.3,
      "macro_regime_neutral_size_scaler": 1,
      "macro_regime_risk_off_size_scaler": 1,
      "veto_unknown_direction": false,
      "macro_regime_risk_off_a_tier_only": false,
      "stop_atr_multiplier": 3,
      "allow_budget_downsizing": true,
      "cash_parking_preset": null,
      "fixed_capital_sizing": true,
      "buying_power_multiplier": 1.0,
      "cash_parking_enabled": true,
      "cash_parking_symbol": "qqqm",
      "cash_parking_gate_mode": "volatility",
      "cash_parking_gate_vol_lookback": 20,
      "cash_parking_gate_vol_threshold": 0.35,
      "cash_parking_temperature_threshold": 1.2,
      "cash_parking_entropy_lookback": 20,
      "cash_parking_entropy_threshold": 1.45,
      "cash_parking_require_trend": true,
      "cash_parking_trend_mode": "momentum",
      "cash_parking_trend_sma_period": 20,
      "cash_parking_trend_reentry_pct": 0.001,
      "cash_parking_autocorr_threshold": 0.0,
      "cash_parking_topup_max_peak_drawdown_pct": 0.02,
      "cash_parking_reserve_pct": 0.0,
      "cash_parking_low_vol_overlay_symbol": "tqqq",
      "cash_parking_low_vol_overlay_vol_threshold": 0.25,
      "cash_parking_low_vol_overlay_temperature_max": 1.05,
      "cash_parking_low_vol_overlay_entropy_max": 1.45,
      "cash_parking_defensive_symbol": "gld",
      "cash_parking_defensive_relay_enabled": true,
      "cash_parking_defensive_relay_trigger_mode": "always",
      "cash_parking_defensive_relay_risk_score_max": 100.0,
      "cash_parking_defensive_momentum_min": 0.05,
      "cash_parking_overlay_shock_brake_enabled": true,
      "cash_parking_overlay_shock_brake_rv_ratio": 99.0,
      "cash_parking_overlay_shock_brake_dd5_pct": 1.0,
      "cash_parking_overlay_shock_brake_sma_cross": false,
      "cash_parking_overlay_shock_brake_cooldown_days": 4,
      "cash_parking_overlay_shock_brake_sma_buffer": 0.01,
      "cash_parking_overlay_shock_brake_rv_ratio_upper": 0.45
    },
    "execution": {
      "a_tier_target_1_r": 3.5,
      "a_tier_target_1_fraction": 0,
      "non_a_tier_target_1_r": 2.25,
      "non_a_tier_target_1_fraction": 0,
      "trailing_warmup_days": 7,
      "max_holding_days": 12,
      "early_failure_no_progress_days": 1,
      "early_failure_no_progress_r": 0.15,
      "early_failure_no_progress_fraction": 1,
      "lookback_entry_enabled": true
    },
    "event_type_profiles": {
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        "enabled": true,
        "direction_filter": "any",
        "max_holding_days_override": 20
      },
      "other_material_event": {
        "enabled": true,
        "direction_filter": "any",
        "max_holding_days_override": 20
      },
      "unknown": {
        "enabled": true,
        "direction_filter": "any",
        "max_holding_days_override": 12
      },
      "earnings_runup_preevent": {
        "enabled": true,
        "direction_filter": "any",
        "max_holding_days_override": 7
      },
      "xsmom_12_1": {
        "enabled": true,
        "direction_filter": "any",
        "max_holding_days_override": 21
      }
    },
    "idle_alpha_sleeve_preset": "micro_event_alpha_plus_event_plus_cash_convex_microcap8_guarded",
    "form4_capture_sleeve_preset": null,
    "ownership_capture_sleeve_preset": "ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95",
    "risk_off_alpha_sleeve_preset": "risk_off_alpha_gld_crisis65_balanced_refined",
    "form4_capture": {
      "enabled": true,
      "pit_events_path": "data/reference/form4_daily_events_pit_v3.parquet",
      "reserve_pct": 0.95,
      "min_owner_count": 2,
      "min_total_value": 5000000.0,
      "max_total_value": 500000000.0,
      "min_purchase_pct": 0.005,
      "min_transaction_count": 2,
      "max_lag_days": 2,
      "max_min_lag_days": 1,
      "max_transaction_span_days": 0,
      "symbol_cooldown_days_after_loss": 180,
      "hold_days": 20,
      "max_positions": 6,
      "max_new_per_day": 2,
      "max_position_value_pct": 0.7
    }
  },
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      "engine_risk_budget_pct": 0.25,
      "reaction_day_return_min": 0,
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      "close_location_min": 0.5,
      "close_location_max": 0.85,
      "gap_size_min": 0,
      "gap_size_max": 0.02,
      "volume_ratio_min": 0.8,
      "volume_ratio_max": 2,
      "max_market_cap_proxy": 10000000000,
      "document_quality_score_min": 0.5,
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      "score_threshold_override": 0,
      "residual_reserve_selected": true,
      "veto_parse_confidence_min_override": 0.45,
      "next_open_gap_cap_pct": 0.02,
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      "early_failure_no_progress_days_override": 15,
      "early_failure_no_progress_r_override": 0,
      "early_failure_no_progress_fraction_override": 1,
      "target_1_r_override": 5,
      "target_1_fraction_override": 0.1,
      "trailing_warmup_days_override": 12,
      "enabled": false,
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    {
      "engine_id": "reaction_close_long_core",
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        "earnings_release",
        "guidance_update"
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      "timing_class": "same_day",
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      "entry_timing_policy": "reaction_close",
      "max_holding_days": 12,
      "engine_risk_budget_pct": 1,
      "reaction_day_return_min": 0,
      "reaction_day_return_max": 0.18,
      "close_location_min": 0.45,
      "volume_ratio_min": 1,
      "gap_size_min": 0,
      "weak_reaction_threshold": 0.03,
      "weak_reaction_gap_max": 0.02,
      "unknown_direction_reaction_min": 0.05,
      "unknown_direction_close_location_min": 0.7,
      "attention_max_wiki_spike_10d": 6,
      "score_threshold_override": 0.42,
      "enabled": true,
      "residual_reserve_selected": true,
      "mixed_inline_close_location_max": 0.88,
      "mixed_inline_gap_size_max": 0.1,
      "unknown_inline_exit_close_location_min": 0.9,
      "unknown_inline_exit_gap_size_max": 0.04,
      "unknown_inline_early_failure_no_progress_days_override": 2,
      "unknown_inline_early_failure_no_progress_r_override": 0.1,
      "unknown_inline_early_failure_no_progress_fraction_override": 1,
      "per_trade_risk_pct_override": 1.39,
      "trailing_warmup_days_override": 8,
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      "early_failure_close_below_entry_and_reaction_close_override": false,
      "early_failure_no_progress_r_override": 0.2
    },
    {
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      "event_types": [
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        "guidance_update"
      ],
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      "entry_timing_policy": "reaction_close",
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      "close_location_min": 0.35,
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      "target_1_fraction_override": 0,
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      "early_failure_close_below_entry_and_reaction_close_override": false,
      "early_failure_no_progress_days_override": 3,
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      "early_failure_no_progress_fraction_override": 1,
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    {
      "engine_id": "reaction_close_long_residual_smallcap_gap",
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        "guidance_update"
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      "max_market_cap_proxy": 10000000000,
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      "target_1_fraction_override": 0,
      "enabled": false,
      "macro_vix_max": 30,
      "_loo_disabled": true
    },
    {
      "engine_id": "reaction_close_long_extreme_orderly",
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      ],
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      "close_location_min": 0.83,
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      "attention_max_wiki_spike_10d": 6,
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      "enabled": true,
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      "target_1_fraction_override": 0,
      "trailing_warmup_days_override": 8,
      "early_failure_close_below_entry_and_reaction_close_override": false,
      "early_failure_no_progress_days_override": null,
      "early_failure_no_progress_r_override": null,
      "early_failure_no_progress_fraction_override": null,
      "per_trade_risk_pct_override": 1.5,
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    {
      "engine_id": "next_open_long_unknown_inline_hivol",
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      ],
      "event_directions": [
        "unknown"
      ],
      "guidance_statuses": [
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      "volume_ratio_min": 2.1,
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      "score_threshold_override": 0,
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      "veto_oneoff_penalty_override": 1,
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      "early_failure_close_below_entry_and_reaction_close_override": false,
      "early_failure_no_progress_days_override": 15,
      "early_failure_no_progress_r_override": 0,
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      "_opt_disabled_reason": "v7.373 candidate: negative fixed-pipeline attribution"
    },
    {
      "engine_id": "next_open_long_guidance_unknown_orderly",
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      "event_directions": [
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      "reaction_day_return_min": -0.03,
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      "close_location_min": 0.9,
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      "gap_size_max": 0.03,
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      "min_market_cap_proxy": 9000000000,
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      "parse_confidence_overall_min": 0.48,
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      "early_failure_close_below_entry_and_reaction_close_override": false,
      "early_failure_no_progress_days_override": 15,
      "early_failure_no_progress_r_override": 0,
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      "stop_atr_multiplier_override": 2,
      "use_reaction_day_low_stop_override": false,
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      "_disabled_reason": "v8 TQQQ-allowed DD rebuild: positive aggregate PnL but caused 2025 drawdown/cash displacement; disabling improved return/DD on fixed dual-convention snapshot."
    },
    {
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      "_v8_change": "v8.7+: tighten no-progress exit; sweep best kept RVMD winners while reducing dead-money tail."
    },
    {
      "engine_id": "next_open_long_unknown_material_orderly",
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      "event_directions": [
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      "entry_timing_policy": "next_open",
      "max_holding_days": 12,
      "engine_risk_budget_pct": 0.04,
      "reaction_day_return_min": 0,
      "reaction_day_return_max": 0.12,
      "close_location_min": 0.55,
      "volume_ratio_min": 1,
      "min_market_cap_proxy": 4000000000,
      "score_threshold_override": 0,
      "residual_reserve_selected": true,
      "next_open_gap_cap_pct": 0.04,
      "early_failure_close_below_entry_and_reaction_close_override": false,
      "early_failure_no_progress_days_override": 1,
      "early_failure_no_progress_r_override": 0,
      "early_failure_no_progress_fraction_override": 1,
      "target_1_r_override": 5,
      "target_1_fraction_override": 0.1,
      "trailing_warmup_days_override": 12,
      "enabled": false,
      "veto_parse_confidence_min_override": 0.4,
      "per_trade_risk_pct_override": 0.13,
      "stop_atr_multiplier_override": 4,
      "use_reaction_day_low_stop_override": false,
      "macro_vix_max": 30
    },
    {
      "engine_id": "next_open_long_bullish_raised_recovery_broad_oneoff",
      "event_types": [
        "earnings_release"
      ],
      "event_directions": [
        "bullish"
      ],
      "guidance_statuses": [
        "raised"
      ],
      "filing_time_buckets": [
        "post_market"
      ],
      "timing_class": "after_close",
      "direction": "long_only",
      "entry_timing_policy": "next_open",
      "max_holding_days": 10,
      "engine_risk_budget_pct": 0.03,
      "reaction_day_return_min": 0.01,
      "reaction_day_return_max": 0.1,
      "close_location_min": 0.3,
      "close_location_max": 0.62,
      "gap_size_min": 0.01,
      "gap_size_max": 0.12,
      "volume_ratio_min": 1.3,
      "volume_ratio_max": 3.2,
      "min_market_cap_proxy": 30000000000.0,
      "document_quality_score_min": 0.5,
      "parse_confidence_overall_min": 0.5,
      "score_threshold_override": 0,
      "residual_reserve_selected": true,
      "veto_parse_confidence_min_override": 0.5,
      "veto_oneoff_penalty_override": 0.75,
      "allow_oneoff_downsizing_override": true,
      "oneoff_downsize_floor_override": 0.15,
      "next_open_gap_cap_pct": 0.12,
      "early_failure_close_below_entry_and_reaction_close_override": false,
      "early_failure_no_progress_days_override": 10,
      "early_failure_no_progress_r_override": 0,
      "early_failure_no_progress_fraction_override": 1,
      "target_1_r_override": 5,
      "target_1_fraction_override": 0.1,
      "trailing_warmup_days_override": 12,
      "per_trade_risk_pct_override": 0.55,
      "stop_atr_multiplier_override": 3,
      "use_reaction_day_low_stop_override": false,
      "enabled": true,
      "macro_vix_max": 30,
      "max_position_value_pct_override": 1.0,
      "_v8_change": "v8.7+: cap this drawdown-driving broad oneoff engine at 92% of equity."
    },
    {
      "engine_id": "next_open_long_guidance_mixed_micro_postmarket",
      "enabled": false,
      "post_allocation_idle_only": true,
      "_opt_disabled_reason": "v7.373 candidate: block preset-injected negative engine"
    },
    {
      "engine_id": "er_silo",
      "event_types": [
        "earnings_runup_preevent"
      ],
      "timing_class": "after_close",
      "direction": "long_only",
      "entry_timing_policy": "next_open",
      "engine_risk_budget_pct": 1.0,
      "score_threshold_override": 0.0,
      "max_holding_days": 7,
      "macro_vix_max": 30.0,
      "earnings_runup_enabled": true,
      "earnings_runup_days_to_earnings_min": 2,
      "earnings_runup_days_to_earnings_max": 8,
      "earnings_runup_attention_zscore_20d_min": 1.5,
      "earnings_runup_dollar_volume_zscore_20d_min": 1.0,
      "earnings_runup_min_avg_dollar_volume": 50000000.0,
      "earnings_runup_stop_pct": 0.032,
      "earnings_runup_target_pct": 0.064,
      "earnings_runup_trailing_activate_pct": 0.05,
      "earnings_runup_trailing_giveback_pct": 0.02,
      "earnings_runup_calendar_buffer_days": 1,
      "enabled": true,
      "capital_bucket_id": "er_silo",
      "capital_bucket_allocation_pct": 0.25
    },
    {
      "engine_id": "xsmom_silo",
      "event_types": [
        "xsmom_12_1"
      ],
      "timing_class": "after_close",
      "direction": "long_only",
      "entry_timing_policy": "next_open",
      "engine_risk_budget_pct": 1.0,
      "score_threshold_override": 0.0,
      "max_holding_days": 21,
      "xsmom_enabled": true,
      "xsmom_lookback_days": 252,
      "xsmom_skip_days": 21,
      "xsmom_top_n": 20,
      "xsmom_holding_days": 21,
      "xsmom_momentum_min": 0.0,
      "xsmom_min_avg_dollar_volume": 10000000.0,
      "xsmom_min_price": 5.0,
      "xsmom_volatility_20d_max": 0.08,
      "xsmom_stop_pct": 0.1,
      "xsmom_target_pct": 0.3,
      "xsmom_vix_max": 30.0,
      "xsmom_spy_sma_filter_period": 50,
      "enabled": true,
      "capital_bucket_id": "xsmom_silo",
      "capital_bucket_allocation_pct": 0.05
    }
  ],
  "splits": [
    {
      "kind": "named_snapshot",
      "params": {
        "name": "train"
      }
    },
    {
      "kind": "named_snapshot",
      "params": {
        "name": "valid"
      }
    },
    {
      "kind": "named_snapshot",
      "params": {
        "name": "test"
      }
    }
  ],
  "tags": [
    "de-risk",
    "drawdown-reduction",
    "fixed-capital",
    "no-buying-power-leverage",
    "no-leverage",
    "pead-rebuild",
    "pead-v8",
    "return-max",
    "tqqq-allowed",
    "v6new",
    "hybrid-3way",
    "er-silo",
    "xsmom-silo",
    "v8.26-insights",
    "form4-reserve95",
    "overlay-vol25",
    "stop-tightening",
    "trailing-giveback-tightening",
    "er-silo-targeted",
    "oot-mdd-target",
    "combined-exit-attack",
    "lever-stacking",
    "synergy-test",
    "position-sizing-cap",
    "moonshot-mdd-attack",
    "sleeve-specific-cap",
    "form4-poscap",
    "er-target-tighten",
    "profit-target-attack",
    "stacked-levers",
    "cap-push"
  ],
  "notes": "v9.5.20 cap70: from v9.5.19 (cap=0.60), loosen form4_capture.max_position_value_pct -> 0.70. Extended cap sweep beyond v9.5.19 toward v9.4.5 (cap=1.0) revealed full Pareto frontier (cap=0.45/0.55/0.60/0.65/0.70/0.80/0.90/1.00). cap=0.90 = max-return point (14,301%) but MDD 13.51% rejected. cap=0.70 selected as balanced champion: Sharpe 3.57 ~ v9.5.17 baseline (3.59), MDD 11.67% inside 10-12% moderate sweet spot.",
  "aliases": [
    "v9.5.36_mega_reactmin003_fc"
  ],
  "version_family": "v9",
  "created_by": "ai_agent",
  "status": "promoted",
  "generation": 18,
  "changelog": "v9.5.36 mega_reactmin003: v9.5.20 (cap=0.70) + next_open_long_megacap_material_contract_orderly.reaction_day_return_min 0.02 -> 0.03. Filters 5 marginal megacap trades (reaction 2-3% range). Full Return +353pp (12,890% -> 13,244%), MDD identical 11.67%, Sharpe +0.013. OOT unchanged.",
  "parent": "return_max_long_v9.5.20_cap70_fc",
  "performance_summary": {},
  "has_journal_entry": false,
  "metadata": {
    "parent": "return_max_long_v9.5.20_cap70_fc",
    "validation_snapshot": "pead_v931_iluk"
  },
  "lineage": {
    "parent": "return_max_long_v9.5.20_cap70_fc",
    "changes": [
      "next_open_long_megacap_material_contract_orderly.reaction_day_return_min: 0.02 -> 0.03"
    ]
  },
  "created_at": "2026-05-15T13:00:00Z"
}