Fix capital_bucket propagation in synthetic engine candidates + ER silo sweep
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
@ -0,0 +1,665 @@
|
|||||||
|
{
|
||||||
|
"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,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"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,
|
||||||
|
"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": 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,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"per_trade_risk_pct_override": 1.34,
|
||||||
|
"stop_atr_multiplier_override": 3,
|
||||||
|
"use_reaction_day_low_stop_override": false,
|
||||||
|
"macro_vix_max": 30
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"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": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.07,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000,
|
||||||
|
"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": 0.05
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"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"
|
||||||
|
}
|
||||||
@ -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": {
|
||||||
|
"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,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"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,
|
||||||
|
"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": 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,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"per_trade_risk_pct_override": 1.34,
|
||||||
|
"stop_atr_multiplier_override": 3,
|
||||||
|
"use_reaction_day_low_stop_override": false,
|
||||||
|
"macro_vix_max": 30
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"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": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.07,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000,
|
||||||
|
"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": 0.1
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"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"
|
||||||
|
}
|
||||||
@ -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": {
|
||||||
|
"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,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"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,
|
||||||
|
"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": 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,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"per_trade_risk_pct_override": 1.34,
|
||||||
|
"stop_atr_multiplier_override": 3,
|
||||||
|
"use_reaction_day_low_stop_override": false,
|
||||||
|
"macro_vix_max": 30
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"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": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.07,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000,
|
||||||
|
"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": 0.15
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"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"
|
||||||
|
}
|
||||||
@ -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": {
|
||||||
|
"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,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"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,
|
||||||
|
"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": 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,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"per_trade_risk_pct_override": 1.34,
|
||||||
|
"stop_atr_multiplier_override": 3,
|
||||||
|
"use_reaction_day_low_stop_override": false,
|
||||||
|
"macro_vix_max": 30
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"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": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.07,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000,
|
||||||
|
"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": 0.2
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"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_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"
|
||||||
|
}
|
||||||
@ -0,0 +1,665 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v7.356_plus_er_silo_25",
|
||||||
|
"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,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"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,
|
||||||
|
"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": 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,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"per_trade_risk_pct_override": 1.34,
|
||||||
|
"stop_atr_multiplier_override": 3,
|
||||||
|
"use_reaction_day_low_stop_override": false,
|
||||||
|
"macro_vix_max": 30
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"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": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.07,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000,
|
||||||
|
"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": 0.25
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"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_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"
|
||||||
|
}
|
||||||
@ -0,0 +1,665 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v7.356_plus_er_silo_30",
|
||||||
|
"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,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"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,
|
||||||
|
"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": 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,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"per_trade_risk_pct_override": 1.34,
|
||||||
|
"stop_atr_multiplier_override": 3,
|
||||||
|
"use_reaction_day_low_stop_override": false,
|
||||||
|
"macro_vix_max": 30
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"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": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.07,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000,
|
||||||
|
"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"
|
||||||
|
}
|
||||||
Loading…
Reference in New Issue