Add lookback entry feature for bounded backtests

When a backtest starts mid-stream (via --start), events that fired
before the start date but are still within their max_holding_days
window can now be entered on the first simulation day.

- Add `lookback_entry_enabled: bool = False` to ExecutionConfig
- On first sim day, _collect_lookback_candidates() gathers pre-start
  events, runs them through the same select_candidates() pipeline,
  and injects them before normal candidates
- Entry fills at the first day's open price; gap-cap check is skipped
  since the event is multi-days old
- days_held is initialized to the elapsed trading days so TIME exits
  fire at the correct time relative to the original event date
- Store slice is extended backward by max_mhd calendar buffer so
  pre-start rows survive slice_by_date_range when feature is enabled
- Enabled in return_max_long_v7.119 for testing

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

apps/backtester/run.py

@@ -248,6 +248,8 @@ class BacktestRunner:
         self._dividend_capture_trade_counter: int = 0
         self._form4_capture_trade_counter: int = 0
         self._ownership_capture_trade_counter: int = 0
+        self._lookback_entry_enabled: bool = config.execution.lookback_entry_enabled
+        self._lookback_injected: bool = False
 
     def _get_known_upcoming_earnings_by_symbol(
         self,
@@ -840,6 +842,14 @@ class BacktestRunner:
         if not self._kill_switch_triggered:
             portfolio_state = self._build_portfolio_state(date, drawdown_pct, unrealized)
             candidates = self._select_candidates_for_date(date)
+
+            # Lookback: on the first simulation day inject pre-start events still within mhd
+            if self._lookback_entry_enabled and not self._lookback_injected:
+                lookback = self._collect_lookback_candidates(date)
+                if lookback:
+                    candidates = list(lookback) + list(candidates)
+                self._lookback_injected = True
+
             shadow_candidates = self._select_shadow_candidates_for_date(date)
 
             # Store scored candidates for delayed entry lookback
@@ -1527,6 +1537,113 @@ class BacktestRunner:
         )
         return self.store.all_trading_days(include_reaction_dates=include_reaction_dates)
 
+    def _collect_lookback_candidates(self, first_sim_date: dt.date) -> list[Candidate]:
+        """Return candidates from before first_sim_date that are still within their holding window.
+
+        Used on the first day of a bounded backtest so that events which fired before
+        the requested start date — but whose max_holding_days has not yet expired —
+        can still be entered at today's open price.
+        """
+        from libs.backtest.calendar import get_trading_days
+
+        # Compute the widest possible holding window across all engines / event profiles
+        max_mhd = self.config.execution.max_holding_days
+        if self.config.execution.dynamic_hold_enabled:
+            max_mhd = max(max_mhd, self.config.execution.dynamic_hold_extend_to)
+        for engine in self.config.get_strategy_engines():
+            if engine.max_holding_days is not None:
+                engine_mhd = engine.max_holding_days
+                if engine.dynamic_hold_extend_to_override is not None:
+                    engine_mhd = max(engine_mhd, engine.dynamic_hold_extend_to_override)
+                max_mhd = max(max_mhd, engine_mhd)
+        for profile in (self.config.event_type_profiles or {}).values():
+            if profile.max_holding_days_override is not None:
+                max_mhd = max(max_mhd, profile.max_holding_days_override)
+
+        # Collect raw rows for all execution dates before first_sim_date
+        # Use a calendar-day buffer of 2x to cover weekends/holidays
+        lookback_rows: list[dict[str, Any]] = []
+        for exec_date in sorted(self.store._candidates.keys()):
+            if exec_date >= first_sim_date:
+                break
+            lookback_rows.extend(self.store._candidates[exec_date])
+
+        if not lookback_rows:
+            return []
+
+        # Cache trading-day counts per execution_date for efficiency
+        _elapsed_cache: dict[dt.date, int] = {}
+
+        def _trading_days_elapsed(exec_date: dt.date) -> int:
+            if exec_date not in _elapsed_cache:
+                tdays = get_trading_days(exec_date, first_sim_date)
+                # Inclusive on both ends; elapsed = days the position has been "in play"
+                # (exec_date is day 0; first_sim_date adds another day beyond that)
+                _elapsed_cache[exec_date] = max(0, len(tdays) - 1)
+            return _elapsed_cache[exec_date]
+
+        # Run through the same selection pipeline as normal candidates
+        all_lookback: list[Candidate] = []
+        engine_list = list(self._primary_strategy_engines)
+
+        if not engine_list:
+            # No-engine (legacy single-engine) mode
+            selected = select_candidates(
+                lookback_rows,
+                self.config.universe,
+                self.config.signal,
+                event_type_profiles=self.config.event_type_profiles or None,
+            )
+            all_lookback.extend(selected)
+        else:
+            seen_event_ids: set[str] = set()
+            for engine in engine_list:
+                if not self._engine_allowed_for_date(engine, first_sim_date):
+                    continue
+                if not self._engine_uses_snapshot_candidates(engine):
+                    continue
+                effective_engine = self._effective_engine_for_date(engine, first_sim_date)
+                selected = select_candidates(
+                    lookback_rows,
+                    self.config.universe,
+                    self.config.signal,
+                    event_type_profiles=self.config.event_type_profiles or None,
+                    strategy_engine=effective_engine,
+                    engine_lookup=self._strategy_engine_lookup,
+                    excluded_event_ids=seen_event_ids,
+                )
+                all_lookback.extend(selected)
+                seen_event_ids.update(cand.event_id for cand in selected)
+
+        # Filter by elapsed holding days and annotate surviving candidates
+        result: list[Candidate] = []
+        for candidate in all_lookback:
+            elapsed = _trading_days_elapsed(candidate.execution_date)
+            # Get the effective mhd for this specific candidate
+            eff_exec = self._build_effective_execution_config(candidate)
+            candidate_mhd = eff_exec.max_holding_days
+            if eff_exec.dynamic_hold_enabled:
+                candidate_mhd = max(candidate_mhd, eff_exec.dynamic_hold_extend_to)
+
+            if elapsed >= candidate_mhd:
+                continue  # would have timed out by now
+
+            candidate.features["is_lookback_entry"] = True
+            candidate.features["lookback_days_elapsed"] = elapsed
+            candidate.features["lookback_original_execution_date"] = (
+                candidate.execution_date.isoformat()
+            )
+            result.append(candidate)
+
+        logger.info(
+            "lookback_entry_candidates",
+            first_sim_date=str(first_sim_date),
+            max_mhd=max_mhd,
+            rows_scanned=len(lookback_rows),
+            candidates_selected=len(result),
+        )
+        return result
+
     def _select_candidates_for_date(
         self,
         date: dt.date,
@@ -1913,19 +2030,21 @@ class BacktestRunner:
                 )
                 continue
 
-            bar = self.store.get_bar(candidate.symbol, candidate.execution_date)
+            is_lookback = bool(candidate.features.get("is_lookback_entry", False))
-            gap_skip_reason = self._check_next_open_gap_cap(candidate, bar)
+            bar = self.store.get_bar(candidate.symbol, date if is_lookback else candidate.execution_date)
-            if gap_skip_reason is not None:
+            if not is_lookback:
-                self._total_orders_rejected += 1
+                gap_skip_reason = self._check_next_open_gap_cap(candidate, bar)
-                self._release_add_on_reservation(candidate)
+                if gap_skip_reason is not None:
-                logger.debug(
+                    self._total_orders_rejected += 1
-                    "order_rejected",
+                    self._release_add_on_reservation(candidate)
-                    engine_id=candidate.engine_id,
+                    logger.debug(
-                    symbol=candidate.symbol,
+                        "order_rejected",
-                    reason=gap_skip_reason,
+                        engine_id=candidate.engine_id,
-                    date=str(date),
+                        symbol=candidate.symbol,
-                )
+                        reason=gap_skip_reason,
-                continue
+                        date=str(date),
+                    )
+                    continue
 
             pos = simulate_entry(
                 plan,
@@ -1938,6 +2057,8 @@ class BacktestRunner:
 
             pos.parent_position_id = candidate.parent_position_id
             pos.is_add_on = candidate.is_add_on
+            if is_lookback:
+                pos.days_held = int(candidate.features.get("lookback_days_elapsed", 0))
             self._open_positions.append(pos)
             trade_cost = pos.entry_price * pos.shares_total
             if allow_parking_cash_release and self._cash < trade_cost and self._get_parking_value(date) > 0:
@@ -6896,6 +7017,23 @@ def _last_market_closed_date() -> dt.date:
     return now_et.date() - dt.timedelta(days=1)
 
 
+def _compute_max_effective_mhd(config: BacktestConfig) -> int:
+    """Return the widest max_holding_days value across all engines and event profiles."""
+    mhd = config.execution.max_holding_days
+    if config.execution.dynamic_hold_enabled:
+        mhd = max(mhd, config.execution.dynamic_hold_extend_to)
+    for engine in config.get_strategy_engines():
+        if engine.max_holding_days is not None:
+            engine_mhd = engine.max_holding_days
+            if engine.dynamic_hold_extend_to_override is not None:
+                engine_mhd = max(engine_mhd, engine.dynamic_hold_extend_to_override)
+            mhd = max(mhd, engine_mhd)
+    for profile in (config.event_type_profiles or {}).values():
+        if profile.max_holding_days_override is not None:
+            mhd = max(mhd, profile.max_holding_days_override)
+    return mhd
+
+
 def _extend_store_to_requested_window(
     *,
     store: SnapshotStore,
@@ -7473,7 +7611,15 @@ def main() -> None:
                 raise RuntimeError("No trading days found in snapshot store.")
             start_d = dt.date.fromisoformat(args.start) if args.start else all_store_dates[0]
             end_d = dt.date.fromisoformat(args.end) if args.end else all_store_dates[-1]
-            store = store.slice_by_date_range(start_d, end_d)
+            if config.execution.lookback_entry_enabled and args.start:
+                # Extend slice start backward so pre-start events remain in the store
+                # for _collect_lookback_candidates; simulation dates are still gated by
+                # _requested_start_date set below, so those rows stay dormant otherwise.
+                max_mhd = _compute_max_effective_mhd(config)
+                lookback_start = start_d - dt.timedelta(days=max_mhd * 2)
+                store = store.slice_by_date_range(lookback_start, end_d)
+            else:
+                store = store.slice_by_date_range(start_d, end_d)
             store = _extend_store_to_requested_window(
                 store=store,
                 config=config,

configs/experiments/return_max_long_v7.119.json

@@ -0,0 +1,582 @@
+{
+  "experiment_name": "return_max_long_v7.119",
+  "dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical",
+  "description": "v7.118 + 6 per-engine exit/veto optimizations. 12개 엔진. 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→1.45)\nLineage: v7.70→v7.110→v7.113→v7.114→v7.115→v7.116→v7.117→v7.118→v7.119",
+  "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": 0.069,
+      "per_trade_risk_pct_a_tier": 0.0759,
+      "max_daily_new_risk_pct": 1.5,
+      "max_positions": 24,
+      "max_positions_per_sector": 5,
+      "max_position_value_pct": 1.5,
+      "max_adv_fraction": 0.2,
+      "macro_regime_neutral_size_scaler": 1.0,
+      "macro_regime_risk_off_size_scaler": 1.0,
+      "veto_unknown_direction": false,
+      "macro_regime_risk_off_a_tier_only": false,
+      "stop_atr_multiplier": 1.33,
+      "allow_budget_downsizing": true
+    },
+    "execution": {
+      "a_tier_target_1_r": 3.5,
+      "a_tier_target_1_fraction": 0.0,
+      "non_a_tier_target_1_r": 2.25,
+      "non_a_tier_target_1_fraction": 0.2,
+      "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": 1.0,
+      "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
+      }
+    }
+  },
+  "strategy_engines": [
+    {
+      "engine_id": "next_open_long_unknown_material_patient",
+      "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": 0.0,
+      "reaction_day_return_max": 0.15,
+      "close_location_min": 0.5,
+      "close_location_max": 0.85,
+      "gap_size_min": 0.0,
+      "gap_size_max": 0.02,
+      "volume_ratio_min": 0.8,
+      "volume_ratio_max": 2.0,
+      "max_market_cap_proxy": 10000000000.0,
+      "document_quality_score_min": 0.5,
+      "parse_confidence_overall_min": 0.45,
+      "score_threshold_override": 0.0,
+      "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": 0.0,
+      "early_failure_no_progress_fraction_override": 1.0,
+      "target_1_r_override": 5.0,
+      "target_1_fraction_override": 0.1,
+      "trailing_warmup_days_override": 12,
+      "enabled": true,
+      "min_market_cap_proxy": 5000000000.0,
+      "macro_vix_max": 30.0
+    },
+    {
+      "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": 1.0,
+      "reaction_day_return_min": 0.0,
+      "reaction_day_return_max": 0.18,
+      "close_location_min": 0.45,
+      "volume_ratio_min": 1.0,
+      "gap_size_min": 0.0,
+      "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": 6.0,
+      "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": 1.0,
+      "per_trade_risk_pct_override": 0.045,
+      "trailing_warmup_days_override": 8,
+      "macro_vix_max": 30.0,
+      "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": 10000000000.0,
+      "score_threshold_override": 0.35,
+      "target_1_r_override": 3.0,
+      "target_1_fraction_override": 0.0,
+      "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": 1.0,
+      "enabled": true,
+      "macro_vix_max": 30.0
+    },
+    {
+      "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": 10000000000.0,
+      "score_threshold_override": 0.35,
+      "target_1_r_override": 3.0,
+      "target_1_fraction_override": 0.0,
+      "enabled": true,
+      "macro_vix_max": 30.0
+    },
+    {
+      "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": 6.0,
+      "gap_size_min": 0.0,
+      "gap_size_max": 0.15,
+      "attention_max_wiki_spike_10d": 6.0,
+      "score_threshold_override": 0.65,
+      "enabled": true,
+      "target_1_r_override": 99.0,
+      "target_1_fraction_override": 0.0,
+      "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,
+      "macro_vix_max": 30.0
+    },
+    {
+      "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": 0.0,
+      "reaction_day_return_max": 0.06,
+      "close_location_min": 0.74,
+      "close_location_max": 0.86,
+      "gap_size_min": 0.0,
+      "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": 0.0,
+      "residual_reserve_selected": true,
+      "veto_oneoff_penalty_override": 1.0,
+      "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": 0.0,
+      "early_failure_no_progress_fraction_override": 1.0,
+      "target_1_r_override": 5.0,
+      "target_1_fraction_override": 0.1,
+      "trailing_warmup_days_override": 12,
+      "enabled": true,
+      "macro_vix_max": 30.0
+    },
+    {
+      "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": 9000000000.0,
+      "document_quality_score_min": 0.52,
+      "parse_confidence_overall_min": 0.48,
+      "score_threshold_override": 0.0,
+      "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": 0.0,
+      "early_failure_no_progress_fraction_override": 1.0,
+      "target_1_r_override": 4.0,
+      "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": 0.04,
+      "stop_atr_multiplier_override": 2.0,
+      "use_reaction_day_low_stop_override": false,
+      "macro_vix_max": 30.0
+    },
+    {
+      "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": 1.0,
+      "min_market_cap_proxy": 8000000000.0,
+      "document_quality_score_min": 0.5,
+      "parse_confidence_overall_min": 0.5,
+      "score_threshold_override": 0.0,
+      "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": 0.0,
+      "early_failure_no_progress_fraction_override": 1.0,
+      "target_1_r_override": 5.0,
+      "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": 0.04,
+      "stop_atr_multiplier_override": 3.0,
+      "use_reaction_day_low_stop_override": false,
+      "macro_vix_max": 30.0
+    },
+    {
+      "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": 0.06,
+      "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": 10000000000.0,
+      "max_market_cap_proxy": 100000000000.0,
+      "document_quality_score_min": 0.5,
+      "parse_confidence_overall_min": 0.45,
+      "score_threshold_override": 0.0,
+      "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": 0.0,
+      "early_failure_no_progress_fraction_override": 1.0,
+      "target_1_r_override": 5.0,
+      "target_1_fraction_override": 0.1,
+      "trailing_warmup_days_override": 12,
+      "enabled": true,
+      "veto_parse_confidence_min_override": 0.45,
+      "per_trade_risk_pct_override": 0.015,
+      "stop_atr_multiplier_override": 3.0,
+      "use_reaction_day_low_stop_override": false,
+      "macro_vix_max": 30.0
+    },
+    {
+      "engine_id": "next_open_long_other_material_mixed_orderly",
+      "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": 1.0,
+      "min_market_cap_proxy": 6000000000.0,
+      "document_quality_score_min": 0.54,
+      "parse_confidence_overall_min": 0.5,
+      "score_threshold_override": 0.0,
+      "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": 0.0,
+      "early_failure_no_progress_fraction_override": 1.0,
+      "target_1_r_override": 5.0,
+      "target_1_fraction_override": 0.1,
+      "trailing_warmup_days_override": 12,
+      "enabled": true,
+      "veto_parse_confidence_min_override": 0.5,
+      "veto_oneoff_penalty_override": 0.0,
+      "per_trade_risk_pct_override": 0.015,
+      "stop_atr_multiplier_override": 3.0,
+      "use_reaction_day_low_stop_override": false,
+      "macro_vix_max": 30.0
+    },
+    {
+      "engine_id": "next_open_long_unknown_ome_orderly",
+      "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": 0.0,
+      "reaction_day_return_max": 0.12,
+      "close_location_min": 0.55,
+      "volume_ratio_min": 1.0,
+      "min_market_cap_proxy": 4000000000.0,
+      "score_threshold_override": 0.0,
+      "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": 0.0,
+      "early_failure_no_progress_fraction_override": 1.0,
+      "target_1_r_override": 5.0,
+      "target_1_fraction_override": 0.1,
+      "trailing_warmup_days_override": 12,
+      "enabled": true,
+      "veto_parse_confidence_min_override": 0.4,
+      "per_trade_risk_pct_override": 0.008,
+      "stop_atr_multiplier_override": 4.0,
+      "use_reaction_day_low_stop_override": false,
+      "macro_vix_max": 30.0
+    },
+    {
+      "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": 12,
+      "engine_risk_budget_pct": 0.03,
+      "reaction_day_return_min": 0.0,
+      "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": 5.0,
+      "min_market_cap_proxy": 8000000000.0,
+      "document_quality_score_min": 0.5,
+      "parse_confidence_overall_min": 0.5,
+      "score_threshold_override": 0.0,
+      "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": 12,
+      "early_failure_no_progress_r_override": 0.0,
+      "early_failure_no_progress_fraction_override": 1.0,
+      "target_1_r_override": 5.0,
+      "target_1_fraction_override": 0.1,
+      "trailing_warmup_days_override": 12,
+      "per_trade_risk_pct_override": 0.025,
+      "stop_atr_multiplier_override": 3.0,
+      "use_reaction_day_low_stop_override": false,
+      "enabled": true,
+      "macro_vix_max": 30.0
+    }
+  ],
+  "splits": [
+    {
+      "kind": "named_snapshot",
+      "params": {
+        "name": "train"
+      }
+    },
+    {
+      "kind": "named_snapshot",
+      "params": {
+        "name": "valid"
+      }
+    },
+    {
+      "kind": "named_snapshot",
+      "params": {
+        "name": "test"
+      }
+    }
+  ],
+  "tags": [
+    "return-max",
+    "v6new",
+    "de-risk"
+  ],
+  "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": [
+    "conviction",
+    "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)"
+  ],
+  "version_family": "v7",
+  "created_at": "2026-04-07T03:50:56.416441+00:00",
+  "created_by": "ai_agent",
+  "status": "promoted",
+  "generation": 19,
+  "changelog": "6 per-engine exit/veto optimizations: guidance target 6→4 frac 0→0.1, patient close_below=true, residual frac→0, core EF r→0.20, material_mixed veto_oneoff→0. Combined +83pp conservative / +116pp aggressive CW",
+  "parent": "return_max_long_v7.118",
+  "id": 1138,
+  "performance_summary": null
+}