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Fix capital_bucket propagation in synthetic engine candidates + ER silo sweep

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Bug: synthetic Candidate builders in earnings_runup.py / peer_sympathy.py /
vol_breakout_52w.py did not propagate engine_capital_bucket_id /
engine_capital_bucket_allocation_pct from StrategyEngineConfig onto the
emitted Candidate. The selector path (libs/backtest/selector.py:371-383)
correctly sets these for selector-built candidates, but the synthetic-
candidate paths used by the new engine classes silently dropped them.

Cascade: apps/backtester/run.py:_active_capital_bucket_ids_for_candidates
scans candidate.engine_capital_bucket_id; when empty, the silo allocator
(run.py:790-791) short-circuits and the engine sizes against the full
equity pool — making capital_bucket fields a no-op for the new engines.

Fix: 3-line addition to each builder mirroring selector.py convention.
108 unit tests pass across the 3 engines.

ER silo sweep result (4y midlarge-liquid-long-v1, --split all):

  config              trades  er_tr  return%   mdd%  sharpe  er_pnl$
  v7.356_baseline       390     0    +2356.28  23.55   2.69     0
  phase6_shared_0.20    464    77    +2746.21  25.21   2.63 -7589
  silo_05               519    89    +2343.02  22.56   2.69   215
  silo_10               508    86    +2450.62  23.51   2.73   321
  silo_15               516    88    +2489.91  23.48   2.74   389
  silo_20               508    84    +2538.27  23.48   2.76   511
  silo_25               503    77    +2566.34  23.46   2.77   466
  silo_30               513    88    +2589.80  23.45   2.77   560

Phase 6 shared budget's headline +390pp gain was portfolio-luck distributed
(ER's 30 cancelled trades freed cash for other sleeves to make ~+30k pnl).
With proper silo, ER fires those trades within its dedicated bucket, sizing
correctly relative to the 5-30% pool — flipping ER engine PnL from
-$7,589 (Phase 6) to +$215..+$560 (silos).

silo_30 is the recommended variant:
 - Return +2589.80% vs baseline +2356.28% (+233pp, structural not luck)
 - MDD 23.45% vs baseline 23.55% (slightly better)
 - Sharpe 2.77 vs baseline 2.69 (+0.08, real improvement)
 - ER PnL +$560 (engine actually contributing)
 - Higher silos (40%+) likely starve PEAD; 30% appears near optimal.

Per-split validation of silo_30 NOT yet run — flagged for follow-up
before any live deployment.

Files:
 - libs/backtest/earnings_runup.py:494-499 (3-line fix)
 - libs/backtest/peer_sympathy.py:771-776 (3-line fix)
 - libs/backtest/vol_breakout_52w.py:654-659 (3-line fix)
 - configs/experiments/return_max_long_v7.356_plus_er_silo_{05,10,15,20,25,30}.json

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
main
I Luk Kim 3 months ago
parent e46395bfeb
commit 02f7b9f8d4
9 changed files with 4008 additions and 0 deletions
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configs/experiments/return_max_long_v7.356_plus_er_silo_05.json
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{
"experiment_name": "return_max_long_v7.356_plus_er_silo_05",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
"description": "v7.118 + 6 per-engine exit/veto optimizations. 12\uac1c \uc5d4\uc9c4. Standalone SQS 92.4 (493% return).\nBEST conservative: tqqq_calm_v2 + sleeves = 3029.38% CW, SQS 89.2\nBEST aggressive: tqqq_active_v2 + sleeves = 3245.24% CW, SQS 89.2\nParking v3: gate_vol 0.35, TQQQ vol 0.22, temp 1.0, entropy 1.45 (1.15\u21921.45)\nLineage: v7.70\u2192v7.110\u2192v7.113\u2192v7.114\u2192v7.115\u2192v7.116\u2192v7.117\u2192v7.118\u2192v7.119",
"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": 25,
"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": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
"fixed_capital_sizing": false
},
"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": {
"material_contract": {
"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
}
},
"idle_alpha_sleeve_preset": "micro_event_alpha_plus_event_plus_cash_convex_microcap8_guarded",
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high_maxval500m",
"ownership_capture_sleeve_preset": "ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95",
"risk_off_alpha_sleeve_preset": "risk_off_alpha_gld_crisis65_heavy"
},
"strategy_engines": [
{
"engine_id": "next_open_long_unknown_material_patient",
"_disabled_reason": "LOO: removing adds +234pp CW on ftb_fix_v2",
"event_types": [
"material_contract"
],
"event_directions": [
"unknown"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.25,
"reaction_day_return_min": 0,
"reaction_day_return_max": 0.15,
"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,
"parse_confidence_overall_min": 0.45,
"score_threshold_override": 0,
"residual_reserve_selected": true,
"veto_parse_confidence_min_override": 0.45,
"next_open_gap_cap_pct": 0.02,
"early_failure_close_below_entry_and_reaction_close_override": true,
"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,
"min_market_cap_proxy": 5000000000,
"macro_vix_max": 30
},
{
"engine_id": "reaction_close_long_core",
"event_types": [
"earnings_release",
"guidance_update"
],
"timing_class": "same_day",
"direction": "long_only",
"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,
"macro_vix_max": 30,
"early_failure_close_below_entry_and_reaction_close_override": false,
"early_failure_no_progress_r_override": 0.2
},
{
"engine_id": "reaction_close_long_residual_lowclose_gap_d3",
"event_types": [
"earnings_release",
"guidance_update"
],
"timing_class": "same_day",
"direction": "long_only",
"entry_timing_policy": "reaction_close",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.12,
"reaction_day_return_min": 0.03,
"reaction_day_return_max": 0.2,
"close_location_min": 0.35,
"close_location_max": 0.45,
"volume_ratio_min": 1.25,
"gap_size_min": 0.05,
"gap_size_max": 0.1,
"max_market_cap_proxy": 10000000000,
"score_threshold_override": 0.35,
"target_1_r_override": 3,
"target_1_fraction_override": 0,
"residual_reserve_selected": true,
"early_failure_close_below_entry_and_reaction_close_override": false,
"early_failure_no_progress_days_override": 3,
"early_failure_no_progress_r_override": 0.25,
"early_failure_no_progress_fraction_override": 1,
"enabled": true,
"macro_vix_max": 30
},
{
"engine_id": "reaction_close_long_residual_smallcap_gap",
"event_types": [
"earnings_release",
"guidance_update"
],
"timing_class": "same_day",
"direction": "long_only",
"entry_timing_policy": "reaction_close",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.12,
"reaction_day_return_min": 0.03,
"reaction_day_return_max": 0.2,
"close_location_min": 0.45,
"volume_ratio_min": 1.25,
"gap_size_min": 0.05,
"gap_size_max": 0.1,
"max_market_cap_proxy": 10000000000,
"score_threshold_override": 0.35,
"target_1_r_override": 3,
"target_1_fraction_override": 0,
"enabled": true,
"macro_vix_max": 30
},
{
"engine_id": "reaction_close_long_extreme_orderly",
"event_types": [
"earnings_release",
"guidance_update"
],
"timing_class": "same_day",
"direction": "long_only",
"entry_timing_policy": "reaction_close",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.35,
"reaction_day_return_min": 0.2,
"reaction_day_return_max": 0.4,
"close_location_min": 0.83,
"volume_ratio_min": 6,
"gap_size_min": 0,
"gap_size_max": 0.15,
"attention_max_wiki_spike_10d": 6,
"score_threshold_override": 0.65,
"enabled": true,
"target_1_r_override": 99,
"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,
"macro_vix_max": 30
},
{
"engine_id": "next_open_long_unknown_inline_hivol",
"event_types": [
"earnings_release"
],
"event_directions": [
"unknown"
],
"guidance_statuses": [
"inline_or_maintained"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.1,
"reaction_day_return_min": 0,
"reaction_day_return_max": 0.06,
"close_location_min": 0.74,
"close_location_max": 0.86,
"gap_size_min": 0,
"gap_size_max": 0.04,
"volume_ratio_min": 2.1,
"volume_ratio_max": 2.8,
"document_quality_score_min": 0.5,
"parse_confidence_overall_min": 0.5,
"score_threshold_override": 0,
"residual_reserve_selected": true,
"veto_oneoff_penalty_override": 1,
"next_open_gap_cap_pct": 0.04,
"early_failure_close_below_entry_and_reaction_close_override": false,
"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": true,
"per_trade_risk_pct_override": 1.95,
"macro_vix_max": 30
},
{
"engine_id": "next_open_long_guidance_unknown_orderly",
"event_types": [
"guidance_update"
],
"event_directions": [
"unknown"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.0675,
"reaction_day_return_min": -0.03,
"reaction_day_return_max": 0.05,
"close_location_min": 0.9,
"gap_size_min": -0.02,
"gap_size_max": 0.03,
"volume_ratio_min": 0.8,
"min_market_cap_proxy": 9000000000,
"document_quality_score_min": 0.52,
"parse_confidence_overall_min": 0.48,
"score_threshold_override": 0,
"residual_reserve_selected": true,
"next_open_gap_cap_pct": 0.03,
"early_failure_close_below_entry_and_reaction_close_override": false,
"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": 4,
"target_1_fraction_override": 0.1,
"trailing_warmup_days_override": 15,
"enabled": true,
"veto_parse_confidence_min_override": 0.48,
"per_trade_risk_pct_override": 0.98,
"stop_atr_multiplier_override": 2,
"use_reaction_day_low_stop_override": false,
"macro_vix_max": 30
},
{
"engine_id": "next_open_long_earnings_mixed_inline_orderly",
"event_types": [
"earnings_release"
],
"event_directions": [
"mixed"
],
"guidance_statuses": [
"inline_or_maintained"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.03,
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"reaction_day_return_max": 0.06,
"close_location_min": 0.5,
"gap_size_min": -0.02,
"gap_size_max": 0.05,
"volume_ratio_min": 1,
"min_market_cap_proxy": 8000000000,
"document_quality_score_min": 0.5,
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"next_open_gap_cap_pct": 0.04,
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"early_failure_no_progress_days_override": 15,
"early_failure_no_progress_r_override": 0,
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"target_1_r_override": 5,
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},
{
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],
"event_directions": [
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"guidance_statuses": [
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],
"filing_time_buckets": [
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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,
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"stop_atr_multiplier_override": 3,
"use_reaction_day_low_stop_override": false,
"macro_vix_max": 30,
"_disabled_reason": "LOO v7.132: +37pp delta"
},
{
"engine_id": "next_open_long_megacap_material_contract_orderly",
"event_types": [
"material_contract",
"other_material_event"
],
"event_directions": [
"unknown",
"mixed"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 8,
"engine_risk_budget_pct": 0.03,
"reaction_day_return_min": 0.02,
"reaction_day_return_max": 0.12,
"close_location_min": 0.55,
"volume_ratio_min": 1,
"min_market_cap_proxy": 100000000000,
"document_quality_score_min": 0.45,
"parse_confidence_overall_min": 0.4,
"score_threshold_override": 0,
"residual_reserve_selected": true,
"next_open_gap_cap_pct": 0.05,
"gap_size_min": -0.01,
"gap_size_max": 0.05,
"early_failure_close_below_entry_and_reaction_close_override": false,
"early_failure_no_progress_days_override": 2,
"early_failure_no_progress_r_override": 0.1,
"early_failure_no_progress_fraction_override": 1,
"target_1_r_override": 3,
"target_1_fraction_override": 0.15,
"trailing_warmup_days_override": 8,
"enabled": true,
"veto_parse_confidence_min_override": 0.4,
"per_trade_risk_pct_override": 0.57,
"stop_atr_multiplier_override": 2.5,
"use_reaction_day_low_stop_override": false,
"macro_vix_max": 28
},
{
"engine_id": "next_open_long_other_material_mixed_orderly",
"_disabled_reason": "LOO: zero CW contribution on ftb_fix_v2",
"event_types": [
"other_material_event"
],
"event_directions": [
"mixed"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.02,
"reaction_day_return_min": -0.04,
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"close_location_min": 0.45,
"gap_size_min": -0.03,
"gap_size_max": 0.05,
"volume_ratio_min": 1,
"min_market_cap_proxy": 6000000000,
"document_quality_score_min": 0.54,
"parse_confidence_overall_min": 0.5,
"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": 0.5,
"veto_oneoff_penalty_override": 0,
"per_trade_risk_pct_override": 0.23,
"stop_atr_multiplier_override": 3,
"use_reaction_day_low_stop_override": false,
"macro_vix_max": 30
},
{
"engine_id": "next_open_long_unknown_ome_orderly",
"_disabled_reason": "LOO: removing adds +336pp CW on ftb_fix_v2",
"event_types": [
"other_material_event"
],
"event_directions": [
"unknown"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"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
},
{
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"event_types": [
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],
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],
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],
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"target_1_fraction_override": 0.1,
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"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
},
{
"engine_id": "earnings_runup_preevent_long",
"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": 3,
"earnings_runup_days_to_earnings_max": 7,
"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": 0.04,
"earnings_runup_target_pct": 0.08,
"earnings_runup_trailing_activate_pct": 0.05,
"earnings_runup_trailing_giveback_pct": 0.03,
"earnings_runup_calendar_buffer_days": 1,
"per_trade_risk_pct_override": 0.3,
"capital_bucket_id": "earnings_runup",
"enabled": true,
"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": [
"return-max",
"v6new",
"earnings_runup",
"capital_silo",
"sweep"
],
"notes": "Add macro_vix_max to reaction_close_long_core on top of v6new.350 to keep current split/WFV while sharply improving matched stress OOT.",
"aliases": [
"v7.356_plus_er_silo_05"
],
"version_family": "v7",
"status": "draft",
"changelog": "ER silo via capital_bucket_allocation_pct=0.05. ER engine isolated to 5% of equity bucket; PEAD operates on remaining 95%. engine_risk_budget_pct=1.0 because daily-risk budget is computed from bucket sizing_equity.",
"parent": "return_max_long_v7.356_composed_gld_compound"
}

665
configs/experiments/return_max_long_v7.356_plus_er_silo_10.json
Unescape Escape View File

@ -0,0 +1,665 @@
{
"experiment_name": "return_max_long_v7.356_plus_er_silo_10",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
"description": "v7.118 + 6 per-engine exit/veto optimizations. 12\uac1c \uc5d4\uc9c4. Standalone SQS 92.4 (493% return).\nBEST conservative: tqqq_calm_v2 + sleeves = 3029.38% CW, SQS 89.2\nBEST aggressive: tqqq_active_v2 + sleeves = 3245.24% CW, SQS 89.2\nParking v3: gate_vol 0.35, TQQQ vol 0.22, temp 1.0, entropy 1.45 (1.15\u21921.45)\nLineage: v7.70\u2192v7.110\u2192v7.113\u2192v7.114\u2192v7.115\u2192v7.116\u2192v7.117\u2192v7.118\u2192v7.119",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
"signal": {
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"score_threshold": 0.45,
"max_candidates_per_day": 18,
"a_tier_score_threshold": 0.58
},
"risk": {
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"max_daily_new_risk_pct": 50,
"max_positions": 30,
"max_positions_per_sector": 5,
"max_position_value_pct": 25,
"max_adv_fraction": 0.3,
"macro_regime_neutral_size_scaler": 1,
"macro_regime_risk_off_size_scaler": 1,
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"macro_regime_risk_off_a_tier_only": false,
"stop_atr_multiplier": 3,
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"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
"fixed_capital_sizing": false
},
"execution": {
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"non_a_tier_target_1_r": 2.25,
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},
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},
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},
"unknown": {
"enabled": true,
"direction_filter": "any",
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}
},
"idle_alpha_sleeve_preset": "micro_event_alpha_plus_event_plus_cash_convex_microcap8_guarded",
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high_maxval500m",
"ownership_capture_sleeve_preset": "ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95",
"risk_off_alpha_sleeve_preset": "risk_off_alpha_gld_crisis65_heavy"
},
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{
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},
{
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{
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{
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{
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},
{
"engine_id": "next_open_long_bullish_raised_recovery_broad_oneoff",
"event_types": [
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],
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],
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],
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"enabled": true,
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},
{
"engine_id": "earnings_runup_preevent_long",
"event_types": [
"earnings_runup_preevent"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
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"macro_vix_max": 30.0,
"earnings_runup_enabled": true,
"earnings_runup_days_to_earnings_min": 3,
"earnings_runup_days_to_earnings_max": 7,
"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": 0.04,
"earnings_runup_target_pct": 0.08,
"earnings_runup_trailing_activate_pct": 0.05,
"earnings_runup_trailing_giveback_pct": 0.03,
"earnings_runup_calendar_buffer_days": 1,
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"capital_bucket_id": "earnings_runup",
"enabled": true,
"capital_bucket_allocation_pct": 0.1
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"earnings_runup",
"capital_silo",
"sweep"
],
"notes": "Add macro_vix_max to reaction_close_long_core on top of v6new.350 to keep current split/WFV while sharply improving matched stress OOT.",
"aliases": [
"v7.356_plus_er_silo_10"
],
"version_family": "v7",
"status": "draft",
"changelog": "ER silo via capital_bucket_allocation_pct=0.1. ER engine isolated to 10% of equity bucket; PEAD operates on remaining 90%. engine_risk_budget_pct=1.0 because daily-risk budget is computed from bucket sizing_equity.",
"parent": "return_max_long_v7.356_composed_gld_compound"
}

665
configs/experiments/return_max_long_v7.356_plus_er_silo_15.json
Unescape Escape View File

@ -0,0 +1,665 @@
{
"experiment_name": "return_max_long_v7.356_plus_er_silo_15",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
"description": "v7.118 + 6 per-engine exit/veto optimizations. 12\uac1c \uc5d4\uc9c4. Standalone SQS 92.4 (493% return).\nBEST conservative: tqqq_calm_v2 + sleeves = 3029.38% CW, SQS 89.2\nBEST aggressive: tqqq_active_v2 + sleeves = 3245.24% CW, SQS 89.2\nParking v3: gate_vol 0.35, TQQQ vol 0.22, temp 1.0, entropy 1.45 (1.15\u21921.45)\nLineage: v7.70\u2192v7.110\u2192v7.113\u2192v7.114\u2192v7.115\u2192v7.116\u2192v7.117\u2192v7.118\u2192v7.119",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
"signal": {
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"score_threshold": 0.45,
"max_candidates_per_day": 18,
"a_tier_score_threshold": 0.58
},
"risk": {
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"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": 25,
"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": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
"fixed_capital_sizing": false
},
"execution": {
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},
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},
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},
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}
},
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"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high_maxval500m",
"ownership_capture_sleeve_preset": "ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95",
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},
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{
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},
{
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{
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{
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{
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{
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},
{
"engine_id": "next_open_long_unknown_ome_orderly",
"_disabled_reason": "LOO: removing adds +336pp CW on ftb_fix_v2",
"event_types": [
"other_material_event"
],
"event_directions": [
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],
"guidance_statuses": [
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],
"filing_time_buckets": [
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],
"timing_class": "after_close",
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},
{
"engine_id": "next_open_long_bullish_raised_recovery_broad_oneoff",
"event_types": [
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],
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"enabled": true,
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},
{
"engine_id": "earnings_runup_preevent_long",
"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,
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"macro_vix_max": 30.0,
"earnings_runup_enabled": true,
"earnings_runup_days_to_earnings_min": 3,
"earnings_runup_days_to_earnings_max": 7,
"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": 0.04,
"earnings_runup_target_pct": 0.08,
"earnings_runup_trailing_activate_pct": 0.05,
"earnings_runup_trailing_giveback_pct": 0.03,
"earnings_runup_calendar_buffer_days": 1,
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"capital_bucket_id": "earnings_runup",
"enabled": true,
"capital_bucket_allocation_pct": 0.15
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"earnings_runup",
"capital_silo",
"sweep"
],
"notes": "Add macro_vix_max to reaction_close_long_core on top of v6new.350 to keep current split/WFV while sharply improving matched stress OOT.",
"aliases": [
"v7.356_plus_er_silo_15"
],
"version_family": "v7",
"status": "draft",
"changelog": "ER silo via capital_bucket_allocation_pct=0.15. ER engine isolated to 15% of equity bucket; PEAD operates on remaining 85%. engine_risk_budget_pct=1.0 because daily-risk budget is computed from bucket sizing_equity.",
"parent": "return_max_long_v7.356_composed_gld_compound"
}

665
configs/experiments/return_max_long_v7.356_plus_er_silo_20.json
Unescape Escape View File

@ -0,0 +1,665 @@
{
"experiment_name": "return_max_long_v7.356_plus_er_silo_20",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
"description": "v7.118 + 6 per-engine exit/veto optimizations. 12\uac1c \uc5d4\uc9c4. Standalone SQS 92.4 (493% return).\nBEST conservative: tqqq_calm_v2 + sleeves = 3029.38% CW, SQS 89.2\nBEST aggressive: tqqq_active_v2 + sleeves = 3245.24% CW, SQS 89.2\nParking v3: gate_vol 0.35, TQQQ vol 0.22, temp 1.0, entropy 1.45 (1.15\u21921.45)\nLineage: v7.70\u2192v7.110\u2192v7.113\u2192v7.114\u2192v7.115\u2192v7.116\u2192v7.117\u2192v7.118\u2192v7.119",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
"signal": {
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"score_threshold": 0.45,
"max_candidates_per_day": 18,
"a_tier_score_threshold": 0.58
},
"risk": {
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"max_daily_new_risk_pct": 50,
"max_positions": 30,
"max_positions_per_sector": 5,
"max_position_value_pct": 25,
"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": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
"fixed_capital_sizing": false
},
"execution": {
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},
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},
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},
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}
},
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"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high_maxval500m",
"ownership_capture_sleeve_preset": "ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95",
"risk_off_alpha_sleeve_preset": "risk_off_alpha_gld_crisis65_heavy"
},
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{
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},
{
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},
{
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},
{
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},
{
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{
"engine_id": "earnings_runup_preevent_long",
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"direction": "long_only",
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"enabled": true,
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],
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{
"kind": "named_snapshot",
"params": {
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}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"earnings_runup",
"capital_silo",
"sweep"
],
"notes": "Add macro_vix_max to reaction_close_long_core on top of v6new.350 to keep current split/WFV while sharply improving matched stress OOT.",
"aliases": [
"v7.356_plus_er_silo_20"
],
"version_family": "v7",
"status": "draft",
"changelog": "ER silo via capital_bucket_allocation_pct=0.2. ER engine isolated to 20% of equity bucket; PEAD operates on remaining 80%. engine_risk_budget_pct=1.0 because daily-risk budget is computed from bucket sizing_equity.",
"parent": "return_max_long_v7.356_composed_gld_compound"
}

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configs/experiments/return_max_long_v7.356_plus_er_silo_25.json
Unescape Escape View File

@ -0,0 +1,665 @@
{
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
"description": "v7.118 + 6 per-engine exit/veto optimizations. 12\uac1c \uc5d4\uc9c4. Standalone SQS 92.4 (493% return).\nBEST conservative: tqqq_calm_v2 + sleeves = 3029.38% CW, SQS 89.2\nBEST aggressive: tqqq_active_v2 + sleeves = 3245.24% CW, SQS 89.2\nParking v3: gate_vol 0.35, TQQQ vol 0.22, temp 1.0, entropy 1.45 (1.15\u21921.45)\nLineage: v7.70\u2192v7.110\u2192v7.113\u2192v7.114\u2192v7.115\u2192v7.116\u2192v7.117\u2192v7.118\u2192v7.119",
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},
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{
"engine_id": "earnings_runup_preevent_long",
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"direction": "long_only",
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"enabled": true,
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],
"splits": [
{
"kind": "named_snapshot",
"params": {
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}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"earnings_runup",
"capital_silo",
"sweep"
],
"notes": "Add macro_vix_max to reaction_close_long_core on top of v6new.350 to keep current split/WFV while sharply improving matched stress OOT.",
"aliases": [
"v7.356_plus_er_silo_25"
],
"version_family": "v7",
"status": "draft",
"changelog": "ER silo via capital_bucket_allocation_pct=0.25. ER engine isolated to 25% of equity bucket; PEAD operates on remaining 75%. engine_risk_budget_pct=1.0 because daily-risk budget is computed from bucket sizing_equity.",
"parent": "return_max_long_v7.356_composed_gld_compound"
}

665
configs/experiments/return_max_long_v7.356_plus_er_silo_30.json
Unescape Escape View File

@ -0,0 +1,665 @@
{
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
"description": "v7.118 + 6 per-engine exit/veto optimizations. 12\uac1c \uc5d4\uc9c4. Standalone SQS 92.4 (493% return).\nBEST conservative: tqqq_calm_v2 + sleeves = 3029.38% CW, SQS 89.2\nBEST aggressive: tqqq_active_v2 + sleeves = 3245.24% CW, SQS 89.2\nParking v3: gate_vol 0.35, TQQQ vol 0.22, temp 1.0, entropy 1.45 (1.15\u21921.45)\nLineage: v7.70\u2192v7.110\u2192v7.113\u2192v7.114\u2192v7.115\u2192v7.116\u2192v7.117\u2192v7.118\u2192v7.119",
"base_config": "configs/backtest/return_max_long_v1.json",
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},
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"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
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},
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},
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"max_market_cap_proxy": 100000000000,
"document_quality_score_min": 0.5,
"parse_confidence_overall_min": 0.45,
"score_threshold_override": 0,
"residual_reserve_selected": true,
"next_open_gap_cap_pct": 0.03,
"early_failure_close_below_entry_and_reaction_close_override": false,
"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,
"veto_parse_confidence_min_override": 0.45,
"per_trade_risk_pct_override": 0.23,
"stop_atr_multiplier_override": 3,
"use_reaction_day_low_stop_override": false,
"macro_vix_max": 30,
"_disabled_reason": "LOO v7.132: +37pp delta"
},
{
"engine_id": "next_open_long_megacap_material_contract_orderly",
"event_types": [
"material_contract",
"other_material_event"
],
"event_directions": [
"unknown",
"mixed"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 8,
"engine_risk_budget_pct": 0.03,
"reaction_day_return_min": 0.02,
"reaction_day_return_max": 0.12,
"close_location_min": 0.55,
"volume_ratio_min": 1,
"min_market_cap_proxy": 100000000000,
"document_quality_score_min": 0.45,
"parse_confidence_overall_min": 0.4,
"score_threshold_override": 0,
"residual_reserve_selected": true,
"next_open_gap_cap_pct": 0.05,
"gap_size_min": -0.01,
"gap_size_max": 0.05,
"early_failure_close_below_entry_and_reaction_close_override": false,
"early_failure_no_progress_days_override": 2,
"early_failure_no_progress_r_override": 0.1,
"early_failure_no_progress_fraction_override": 1,
"target_1_r_override": 3,
"target_1_fraction_override": 0.15,
"trailing_warmup_days_override": 8,
"enabled": true,
"veto_parse_confidence_min_override": 0.4,
"per_trade_risk_pct_override": 0.57,
"stop_atr_multiplier_override": 2.5,
"use_reaction_day_low_stop_override": false,
"macro_vix_max": 28
},
{
"engine_id": "next_open_long_other_material_mixed_orderly",
"_disabled_reason": "LOO: zero CW contribution on ftb_fix_v2",
"event_types": [
"other_material_event"
],
"event_directions": [
"mixed"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 12,
"engine_risk_budget_pct": 0.02,
"reaction_day_return_min": -0.04,
"reaction_day_return_max": 0.06,
"close_location_min": 0.45,
"gap_size_min": -0.03,
"gap_size_max": 0.05,
"volume_ratio_min": 1,
"min_market_cap_proxy": 6000000000,
"document_quality_score_min": 0.54,
"parse_confidence_overall_min": 0.5,
"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": 0.5,
"veto_oneoff_penalty_override": 0,
"per_trade_risk_pct_override": 0.23,
"stop_atr_multiplier_override": 3,
"use_reaction_day_low_stop_override": false,
"macro_vix_max": 30
},
{
"engine_id": "next_open_long_unknown_ome_orderly",
"_disabled_reason": "LOO: removing adds +336pp CW on ftb_fix_v2",
"event_types": [
"other_material_event"
],
"event_directions": [
"unknown"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"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,
"reaction_day_return_max": 0.1,
"close_location_min": 0.3,
"close_location_max": 0.75,
"gap_size_min": 0.01,
"gap_size_max": 0.12,
"volume_ratio_min": 1.3,
"volume_ratio_max": 5,
"min_market_cap_proxy": 8000000000,
"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
},
{
"engine_id": "earnings_runup_preevent_long",
"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": 3,
"earnings_runup_days_to_earnings_max": 7,
"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": 0.04,
"earnings_runup_target_pct": 0.08,
"earnings_runup_trailing_activate_pct": 0.05,
"earnings_runup_trailing_giveback_pct": 0.03,
"earnings_runup_calendar_buffer_days": 1,
"per_trade_risk_pct_override": 0.3,
"capital_bucket_id": "earnings_runup",
"enabled": true,
"capital_bucket_allocation_pct": 0.3
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"earnings_runup",
"capital_silo",
"sweep"
],
"notes": "Add macro_vix_max to reaction_close_long_core on top of v6new.350 to keep current split/WFV while sharply improving matched stress OOT.",
"aliases": [
"v7.356_plus_er_silo_30"
],
"version_family": "v7",
"status": "draft",
"changelog": "ER silo via capital_bucket_allocation_pct=0.3. ER engine isolated to 30% of equity bucket; PEAD operates on remaining 70%. engine_risk_budget_pct=1.0 because daily-risk budget is computed from bucket sizing_equity.",
"parent": "return_max_long_v7.356_composed_gld_compound"
}

6
libs/backtest/earnings_runup.py
Unescape Escape View File

@ -490,6 +490,12 @@ def _build_candidate_from_inputs(
trade_direction="long",
engine_max_holding_days=max_holding_days,
engine_risk_budget_pct=engine.engine_risk_budget_pct,
engine_capital_bucket_id=(
(engine.capital_bucket_id or engine.engine_id)
if engine.capital_bucket_allocation_pct is not None
else None
),
engine_capital_bucket_allocation_pct=engine.capital_bucket_allocation_pct,
engine_per_trade_risk_pct=engine.per_trade_risk_pct_override,
# Map pct-based EarningsRunup exits → engine_*-prefixed overrides on the candidate.
engine_target_1_r=target_r,

6
libs/backtest/peer_sympathy.py
Unescape Escape View File

@ -768,6 +768,12 @@ def _build_candidate_from_inputs(
trade_direction="long",
engine_max_holding_days=max_holding_days,
engine_risk_budget_pct=engine.engine_risk_budget_pct,
engine_capital_bucket_id=(
(engine.capital_bucket_id or engine.engine_id)
if engine.capital_bucket_allocation_pct is not None
else None
),
engine_capital_bucket_allocation_pct=engine.capital_bucket_allocation_pct,
engine_per_trade_risk_pct=engine.per_trade_risk_pct_override,
engine_target_1_r=target_r,
engine_target_1_fraction=1.0,

6
libs/backtest/vol_breakout_52w.py
Unescape Escape View File

@ -651,6 +651,12 @@ def _build_candidate_from_inputs(
trade_direction="long",
engine_max_holding_days=max_holding_days,
engine_risk_budget_pct=engine.engine_risk_budget_pct,
engine_capital_bucket_id=(
(engine.capital_bucket_id or engine.engine_id)
if engine.capital_bucket_allocation_pct is not None
else None
),
engine_capital_bucket_allocation_pct=engine.capital_bucket_allocation_pct,
engine_per_trade_risk_pct=engine.per_trade_risk_pct_override,
engine_target_1_r=target_r,
engine_target_1_fraction=1.0,

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