diff --git a/configs/experiments/peer_sympathy_poc_v2_reaction_close_sweep10_corr080_topn1.json b/configs/experiments/peer_sympathy_poc_v2_reaction_close_sweep10_corr080_topn1.json new file mode 100644 index 0000000..57bd45f --- /dev/null +++ b/configs/experiments/peer_sympathy_poc_v2_reaction_close_sweep10_corr080_topn1.json @@ -0,0 +1,89 @@ +{ + "experiment_name": "peer_sympathy_poc_v2_reaction_close_sweep10_corr080_topn1", + "dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2", + "description": "Sweep10 combo final: corr_min 0.80 + top_n 1. Parent: peer_sympathy_poc_v2_reaction_close. Combines the SQS 80.2 winner (sweep07 corr=0.80) with top_n=1 to maximize signal purity.", + "base_config": "configs/backtest/return_max_long_v1.json", + "overrides": { + "signal": { + "scoring_model": "return_max_long_v13e", + "score_threshold": 0.0, + "max_candidates_per_day": 18, + "a_tier_score_threshold": 0.99 + }, + "risk": { + "per_trade_risk_pct": 0.65, + "per_trade_risk_pct_a_tier": 0.65, + "max_daily_new_risk_pct": 50, + "max_positions": 30, + "max_positions_per_sector": 30, + "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, + "veto_bearish_direction": false, + "macro_regime_risk_off_a_tier_only": false, + "stop_atr_multiplier": 1.75, + "allow_budget_downsizing": true, + "cash_parking_preset": null, + "fixed_capital_sizing": false + }, + "execution": { + "trailing_warmup_days": 7, + "max_holding_days": 3, + "early_failure_no_progress_days": 1, + "early_failure_no_progress_r": 0.0, + "early_failure_no_progress_fraction": 0, + "lookback_entry_enabled": false + }, + "event_type_profiles": { + "peer_sympathy": { + "enabled": true, + "direction_filter": "any", + "max_holding_days_override": 3 + } + }, + "idle_alpha_sleeve_preset": null, + "form4_capture_sleeve_preset": null, + "ownership_capture_sleeve_preset": null, + "risk_off_alpha_sleeve_preset": null, + "dividend_capture_sleeve_preset": null + }, + "strategy_engines": [ + { + "engine_id": "peer_sympathy_long_reaction_close", + "event_types": ["peer_sympathy"], + "timing_class": "same_day", + "direction": "long_only", + "entry_timing_policy": "reaction_close", + "engine_risk_budget_pct": 1.0, + "score_threshold_override": 0.0, + "max_holding_days": 3, + "peer_sympathy_enabled": true, + "peer_sympathy_entry_timing_policy": "reaction_close", + "peer_sympathy_leader_filing_time_buckets": ["pre_market", "regular_hours"], + "peer_sympathy_leader_event_types": [ + "earnings_release", + "guidance_update", + "material_contract" + ], + "peer_sympathy_leader_reaction_min": 0.05, + "peer_sympathy_correlation_min": 0.80, + "peer_sympathy_correlation_window_start": 65, + "peer_sympathy_correlation_window_end_skip": 5, + "peer_sympathy_top_n_peers": 1, + "peer_sympathy_blackout_days_to_peer_event": 3, + "peer_sympathy_stop_pct": 0.035, + "peer_sympathy_target_pct": 0.06, + "peer_sympathy_max_holding_days": 3, + "leader_follower_min_days_to_event": 3, + "enabled": true + } + ], + "tags": ["peer_sympathy", "sympathy_rally", "poc", "salvage_v2", "reaction_close", "sweep", "combo", "final_candidate"], + "version_family": "peer_sympathy", + "status": "draft", + "changelog": "Sweep10 combo final: corr_min 0.80 + top_n 1", + "parent": "peer_sympathy_poc_v2_reaction_close", + "performance_summary": null +}