Clean up: reduce Oracle timeout, fix company endpoint, archive old v7/v15/v16 experiments
- libs/oracle_client/alpaca.py: reduce bar-fetch timeout 90s→15s (fail fast on Oracle outage)
- libs/oracle_client/client.py: add health_check_fast() for cheap liveness probe; fix health path
- libs/oracle_client/company.py + financial.py: use /api/v1/company/{symbol} (newer endpoint)
- libs/oracle_client/__init__.py: re-export AlpacaSnapshot/get_snapshot/get_snapshots at package level
- configs/experiments: delete archived v15.x, v16.x, v7.119–v7.358 experiment configs (superseded)
- README.md: fix absolute path → relative path for ORB docs link
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
main
I Luk Kim
6 months ago
parent
ee2f1f6f84
commit
65afc95c7e
File diff suppressed because it is too large
Load Diff
@ -1,869 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v15.1",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||
"description": "v7.65 + broad_oneoff risk 0.025. ★ Sharpe 최적점 (3.13).\n\n이 전략이 v7 시리즈에서 risk-adjusted return의 정점. broad risk를 0.025 이상으로 올리면 (v7.73에서 0.035 테스트) Sharpe가 하락하기 시작함. CW는 계속 올라가지만 리스크 효율이 떨어지는 지점.\n\n전체 경로 요약: v362(Sharpe 2.83) → VIX-all(2.83) → unknown(2.85) → conviction(2.88) → daily 1.0(2.98) → daily 1.5(3.04) → broad .015(3.09) → broad .020(3.11) → broad .025(3.13) → broad .035(3.11↓). 매 단계에서 DD가 5.6%로 동일한 채 Sharpe만 상승하다가, 이 지점에서 꺾임.\n\n[10k 기준] SQS 76.9 | Sharpe 3.13 (peak) | Calmar 9.6 | PF 12.4 | WR 65%\nTrain +130.2% (134t) | Valid +50.6% (28t) | Test +57.7% (24t, DD 2.9%)\nCW +468.5% (185t, DD 5.6%) | WFV: median 11.7%, mean 15.4%, worst 5.03%, gap 30.8%\n\nv362 대비: SQS +2.3pp, Test +10.3pp, CW +152pp, Sharpe +0.30, DD 동일.\n$10k Sharpe-optimal configuration. 공격적이지만 risk-efficient한 최고 수준.",
|
||||
"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": 1.45,
|
||||
"allow_budget_downsizing": true,
|
||||
"dynamic_stop_enabled": 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": 6,
|
||||
"max_holding_days": 12,
|
||||
"early_failure_no_progress_days": 1,
|
||||
"early_failure_no_progress_r": 0.15,
|
||||
"early_failure_no_progress_fraction": 1.0
|
||||
},
|
||||
"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": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"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_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": 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,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"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": 0.025,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.02,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 2.0,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 15000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"allow_oneoff_downsizing_override": true,
|
||||
"oneoff_downsize_floor_override": 0.1,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.007,
|
||||
"enabled": true,
|
||||
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||
"close_location_min": 0.15,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": -0.1,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.03,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.0035,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"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": 0.1,
|
||||
"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": 0.1,
|
||||
"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": 0.03,
|
||||
"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": 6.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"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": 3.0,
|
||||
"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": 0.25,
|
||||
"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_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.02,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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_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_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_unknown_strong",
|
||||
"event_types": [
|
||||
"unknown"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.15,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.25,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 1.0,
|
||||
"min_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.0,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_no_progress_days_override": 2,
|
||||
"early_failure_no_progress_r_override": 0.1,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.02,
|
||||
"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"
|
||||
],
|
||||
"version_family": "v15",
|
||||
"created_at": "2026-03-31T08:11:34.563112+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "retired",
|
||||
"generation": 12,
|
||||
"changelog": "v7.70 + dynamic ATR stop (Phase 2). dynamic_stop_enabled=true, reaction 0.03-0.12->scaler 0.8-1.3, entropy 1.4-2.0->scaler 0.85-1.25, floor 0.7, ceiling 1.5",
|
||||
"parent": "return_max_long_v7.70",
|
||||
"id": 769,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,868 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v15.2",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||
"description": "v7.65 + broad_oneoff risk 0.025. ★ Sharpe 최적점 (3.13).\n\n이 전략이 v7 시리즈에서 risk-adjusted return의 정점. broad risk를 0.025 이상으로 올리면 (v7.73에서 0.035 테스트) Sharpe가 하락하기 시작함. CW는 계속 올라가지만 리스크 효율이 떨어지는 지점.\n\n전체 경로 요약: v362(Sharpe 2.83) → VIX-all(2.83) → unknown(2.85) → conviction(2.88) → daily 1.0(2.98) → daily 1.5(3.04) → broad .015(3.09) → broad .020(3.11) → broad .025(3.13) → broad .035(3.11↓). 매 단계에서 DD가 5.6%로 동일한 채 Sharpe만 상승하다가, 이 지점에서 꺾임.\n\n[10k 기준] SQS 76.9 | Sharpe 3.13 (peak) | Calmar 9.6 | PF 12.4 | WR 65%\nTrain +130.2% (134t) | Valid +50.6% (28t) | Test +57.7% (24t, DD 2.9%)\nCW +468.5% (185t, DD 5.6%) | WFV: median 11.7%, mean 15.4%, worst 5.03%, gap 30.8%\n\nv362 대비: SQS +2.3pp, Test +10.3pp, CW +152pp, Sharpe +0.30, DD 동일.\n$10k Sharpe-optimal configuration. 공격적이지만 risk-efficient한 최고 수준.",
|
||||
"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": 1.45,
|
||||
"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": 6,
|
||||
"max_holding_days": 12,
|
||||
"early_failure_no_progress_days": 1,
|
||||
"early_failure_no_progress_r": 0.15,
|
||||
"early_failure_no_progress_fraction": 1.0
|
||||
},
|
||||
"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": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"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_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": 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,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"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": 0.025,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.02,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 2.0,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 15000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"allow_oneoff_downsizing_override": true,
|
||||
"oneoff_downsize_floor_override": 0.1,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.007,
|
||||
"enabled": true,
|
||||
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||
"close_location_min": 0.15,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": -0.1,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.03,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.0035,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"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": 0.1,
|
||||
"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": 0.1,
|
||||
"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": 0.03,
|
||||
"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": 6.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"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": 3.0,
|
||||
"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": 0.05,
|
||||
"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": 0.05,
|
||||
"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": 0.25,
|
||||
"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_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.05,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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_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_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_unknown_strong",
|
||||
"event_types": [
|
||||
"unknown"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.15,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.25,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 1.0,
|
||||
"min_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.0,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_no_progress_days_override": 2,
|
||||
"early_failure_no_progress_r_override": 0.1,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.02,
|
||||
"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"
|
||||
],
|
||||
"version_family": "v15",
|
||||
"created_at": "2026-03-31T08:11:46.718176+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "retired",
|
||||
"generation": 12,
|
||||
"changelog": "v7.70 + Phase 3: raise micro-budget engines to 0.05. guidance_unknown_premarket_orderly 0.02->0.05, other_material_mixed_orderly 0.02->0.05, unknown_material_orderly 0.02->0.05",
|
||||
"parent": "return_max_long_v7.70",
|
||||
"id": 770,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,911 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v15.3",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||
"description": "v7.65 + broad_oneoff risk 0.025. ★ Sharpe 최적점 (3.13).\n\n이 전략이 v7 시리즈에서 risk-adjusted return의 정점. broad risk를 0.025 이상으로 올리면 (v7.73에서 0.035 테스트) Sharpe가 하락하기 시작함. CW는 계속 올라가지만 리스크 효율이 떨어지는 지점.\n\n전체 경로 요약: v362(Sharpe 2.83) → VIX-all(2.83) → unknown(2.85) → conviction(2.88) → daily 1.0(2.98) → daily 1.5(3.04) → broad .015(3.09) → broad .020(3.11) → broad .025(3.13) → broad .035(3.11↓). 매 단계에서 DD가 5.6%로 동일한 채 Sharpe만 상승하다가, 이 지점에서 꺾임.\n\n[10k 기준] SQS 76.9 | Sharpe 3.13 (peak) | Calmar 9.6 | PF 12.4 | WR 65%\nTrain +130.2% (134t) | Valid +50.6% (28t) | Test +57.7% (24t, DD 2.9%)\nCW +468.5% (185t, DD 5.6%) | WFV: median 11.7%, mean 15.4%, worst 5.03%, gap 30.8%\n\nv362 대비: SQS +2.3pp, Test +10.3pp, CW +152pp, Sharpe +0.30, DD 동일.\n$10k Sharpe-optimal configuration. 공격적이지만 risk-efficient한 최고 수준.",
|
||||
"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": 1.45,
|
||||
"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": 6,
|
||||
"max_holding_days": 12,
|
||||
"early_failure_no_progress_days": 1,
|
||||
"early_failure_no_progress_r": 0.15,
|
||||
"early_failure_no_progress_fraction": 1.0
|
||||
},
|
||||
"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": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"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_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": 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,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"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": 0.025,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.02,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 2.0,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 15000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"allow_oneoff_downsizing_override": true,
|
||||
"oneoff_downsize_floor_override": 0.1,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.007,
|
||||
"enabled": true,
|
||||
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||
"close_location_min": 0.15,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": -0.1,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.03,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.0035,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"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": 0.1,
|
||||
"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": 0.1,
|
||||
"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": 0.03,
|
||||
"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": 6.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"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": 3.0,
|
||||
"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": 0.25,
|
||||
"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_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.02,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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_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_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_unknown_strong",
|
||||
"event_types": [
|
||||
"unknown"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.15,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.25,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 1.0,
|
||||
"min_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.0,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_no_progress_days_override": 2,
|
||||
"early_failure_no_progress_r_override": 0.1,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.02,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_strong",
|
||||
"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": 20,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": 0.03,
|
||||
"reaction_day_return_max": 0.2,
|
||||
"close_location_min": 0.96,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 6.0,
|
||||
"min_market_cap_proxy": 5000000000.0,
|
||||
"document_quality_score_min": 0.6,
|
||||
"parse_confidence_overall_min": 0.6,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"next_open_gap_cap_pct": 0.1,
|
||||
"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": 10,
|
||||
"enabled": true,
|
||||
"per_trade_risk_pct_override": 0.015,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_min": 1.97
|
||||
}
|
||||
],
|
||||
"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"
|
||||
],
|
||||
"version_family": "v15",
|
||||
"created_at": "2026-03-31T08:12:07.179522+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "retired",
|
||||
"generation": 12,
|
||||
"changelog": "v7.70 + bullish_raised_strong engine from v11.49 (budget=0.1, close_location>=0.96, entropy>=1.97, stop_atr=3.0). Tests if v11 key engine innovation adds alpha to v7.70 base.",
|
||||
"parent": "return_max_long_v7.70",
|
||||
"id": 771,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,882 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v16.1",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||
"description": "v7.65 + broad_oneoff risk 0.025. ★ Sharpe 최적점 (3.13).\n\n이 전략이 v7 시리즈에서 risk-adjusted return의 정점. broad risk를 0.025 이상으로 올리면 (v7.73에서 0.035 테스트) Sharpe가 하락하기 시작함. CW는 계속 올라가지만 리스크 효율이 떨어지는 지점.\n\n전체 경로 요약: v362(Sharpe 2.83) → VIX-all(2.83) → unknown(2.85) → conviction(2.88) → daily 1.0(2.98) → daily 1.5(3.04) → broad .015(3.09) → broad .020(3.11) → broad .025(3.13) → broad .035(3.11↓). 매 단계에서 DD가 5.6%로 동일한 채 Sharpe만 상승하다가, 이 지점에서 꺾임.\n\n[10k 기준] SQS 76.9 | Sharpe 3.13 (peak) | Calmar 9.6 | PF 12.4 | WR 65%\nTrain +130.2% (134t) | Valid +50.6% (28t) | Test +57.7% (24t, DD 2.9%)\nCW +468.5% (185t, DD 5.6%) | WFV: median 11.7%, mean 15.4%, worst 5.03%, gap 30.8%\n\nv362 대비: SQS +2.3pp, Test +10.3pp, CW +152pp, Sharpe +0.30, DD 동일.\n$10k Sharpe-optimal configuration. 공격적이지만 risk-efficient한 최고 수준.",
|
||||
"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": 1.45,
|
||||
"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": 6,
|
||||
"max_holding_days": 12,
|
||||
"early_failure_no_progress_days": 1,
|
||||
"early_failure_no_progress_r": 0.15,
|
||||
"early_failure_no_progress_fraction": 1.0
|
||||
},
|
||||
"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": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"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": 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,
|
||||
"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,
|
||||
"pre_event_market_temperature_max": 1.65
|
||||
},
|
||||
{
|
||||
"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": 0.025,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.02,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 2.0,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 15000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"allow_oneoff_downsizing_override": true,
|
||||
"oneoff_downsize_floor_override": 0.1,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.007,
|
||||
"enabled": true,
|
||||
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||
"close_location_min": 0.15,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": -0.1,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.03,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.0035,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_hurst_60d_max": 0.8
|
||||
},
|
||||
{
|
||||
"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": 0.1,
|
||||
"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": 0.1,
|
||||
"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": 0.03,
|
||||
"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": 6.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"trailing_warmup_days_override": 15,
|
||||
"enabled": true,
|
||||
"veto_parse_confidence_min_override": 0.48,
|
||||
"per_trade_risk_pct_override": 0.045,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"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": 0.045,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 2.7
|
||||
},
|
||||
{
|
||||
"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": 0.25,
|
||||
"per_trade_risk_pct_override": 0.025,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.02,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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_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": 0.035,
|
||||
"stop_atr_multiplier_override": 4.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_entropy_60d_min": 1.55,
|
||||
"pre_event_gravitational_pull_max": 2.7,
|
||||
"pre_event_market_temperature_max": 1.4,
|
||||
"pre_event_entropy_60d_max": 1.98
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_hurst_60d_max": 0.6,
|
||||
"pre_event_bb_position_min": 0.25,
|
||||
"pre_event_bb_position_max": 0.89
|
||||
},
|
||||
{
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_bb_position_max": 0.95,
|
||||
"pre_event_entropy_60d_max": 1.65
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_unknown_strong",
|
||||
"event_types": [
|
||||
"unknown"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.15,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.25,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 1.0,
|
||||
"min_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.0,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_no_progress_days_override": 2,
|
||||
"early_failure_no_progress_r_override": 0.1,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.02,
|
||||
"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"
|
||||
],
|
||||
"version_family": "v16",
|
||||
"created_at": "2026-03-31T08:50:13.925244+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "retired",
|
||||
"generation": 13,
|
||||
"changelog": "v15.4 + risk reallocation on 4 secondary engines + additional tier3 filters from v12.61",
|
||||
"parent": "return_max_long_v15.4",
|
||||
"id": 773,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,882 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v16.2",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||
"description": "v7.65 + broad_oneoff risk 0.025. ★ Sharpe 최적점 (3.13).\n\n이 전략이 v7 시리즈에서 risk-adjusted return의 정점. broad risk를 0.025 이상으로 올리면 (v7.73에서 0.035 테스트) Sharpe가 하락하기 시작함. CW는 계속 올라가지만 리스크 효율이 떨어지는 지점.\n\n전체 경로 요약: v362(Sharpe 2.83) → VIX-all(2.83) → unknown(2.85) → conviction(2.88) → daily 1.0(2.98) → daily 1.5(3.04) → broad .015(3.09) → broad .020(3.11) → broad .025(3.13) → broad .035(3.11↓). 매 단계에서 DD가 5.6%로 동일한 채 Sharpe만 상승하다가, 이 지점에서 꺾임.\n\n[10k 기준] SQS 76.9 | Sharpe 3.13 (peak) | Calmar 9.6 | PF 12.4 | WR 65%\nTrain +130.2% (134t) | Valid +50.6% (28t) | Test +57.7% (24t, DD 2.9%)\nCW +468.5% (185t, DD 5.6%) | WFV: median 11.7%, mean 15.4%, worst 5.03%, gap 30.8%\n\nv362 대비: SQS +2.3pp, Test +10.3pp, CW +152pp, Sharpe +0.30, DD 동일.\n$10k Sharpe-optimal configuration. 공격적이지만 risk-efficient한 최고 수준.",
|
||||
"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": 1.45,
|
||||
"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": 6,
|
||||
"max_holding_days": 12,
|
||||
"early_failure_no_progress_days": 1,
|
||||
"early_failure_no_progress_r": 0.15,
|
||||
"early_failure_no_progress_fraction": 1.0
|
||||
},
|
||||
"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": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"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": 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,
|
||||
"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": 0.6,
|
||||
"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,
|
||||
"pre_event_market_temperature_max": 1.65
|
||||
},
|
||||
{
|
||||
"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": 0.025,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.02,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 2.0,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 15000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"allow_oneoff_downsizing_override": true,
|
||||
"oneoff_downsize_floor_override": 0.1,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.007,
|
||||
"enabled": true,
|
||||
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||
"close_location_min": 0.15,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": -0.1,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.03,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.0035,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_hurst_60d_max": 0.8
|
||||
},
|
||||
{
|
||||
"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": 0.1,
|
||||
"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": 0.1,
|
||||
"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": 0.03,
|
||||
"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": 6.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"trailing_warmup_days_override": 15,
|
||||
"enabled": true,
|
||||
"veto_parse_confidence_min_override": 0.48,
|
||||
"per_trade_risk_pct_override": 0.045,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"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": 0.045,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 2.7
|
||||
},
|
||||
{
|
||||
"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": 0.25,
|
||||
"per_trade_risk_pct_override": 0.025,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.02,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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_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": 0.035,
|
||||
"stop_atr_multiplier_override": 4.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_entropy_60d_min": 1.55,
|
||||
"pre_event_gravitational_pull_max": 2.7,
|
||||
"pre_event_market_temperature_max": 1.4,
|
||||
"pre_event_entropy_60d_max": 1.98
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_hurst_60d_max": 0.6,
|
||||
"pre_event_bb_position_min": 0.25,
|
||||
"pre_event_bb_position_max": 0.89
|
||||
},
|
||||
{
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_bb_position_max": 0.95,
|
||||
"pre_event_entropy_60d_max": 1.65
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_unknown_strong",
|
||||
"event_types": [
|
||||
"unknown"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.15,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.25,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 1.0,
|
||||
"min_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.0,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_no_progress_days_override": 2,
|
||||
"early_failure_no_progress_r_override": 0.1,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.02,
|
||||
"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"
|
||||
],
|
||||
"version_family": "v16",
|
||||
"created_at": "2026-03-31T08:56:36.153095+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "retired",
|
||||
"generation": 14,
|
||||
"changelog": "v16.1 + core engine close_location_min 0.45->0.60. Tests whether tighter core entry (matching v12.61) improves quality without losing critical trades.",
|
||||
"parent": "return_max_long_v16.1",
|
||||
"id": 775,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,926 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v16.3",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||
"description": "v7.65 + broad_oneoff risk 0.025. ★ Sharpe 최적점 (3.13).\n\n이 전략이 v7 시리즈에서 risk-adjusted return의 정점. broad risk를 0.025 이상으로 올리면 (v7.73에서 0.035 테스트) Sharpe가 하락하기 시작함. CW는 계속 올라가지만 리스크 효율이 떨어지는 지점.\n\n전체 경로 요약: v362(Sharpe 2.83) → VIX-all(2.83) → unknown(2.85) → conviction(2.88) → daily 1.0(2.98) → daily 1.5(3.04) → broad .015(3.09) → broad .020(3.11) → broad .025(3.13) → broad .035(3.11↓). 매 단계에서 DD가 5.6%로 동일한 채 Sharpe만 상승하다가, 이 지점에서 꺾임.\n\n[10k 기준] SQS 76.9 | Sharpe 3.13 (peak) | Calmar 9.6 | PF 12.4 | WR 65%\nTrain +130.2% (134t) | Valid +50.6% (28t) | Test +57.7% (24t, DD 2.9%)\nCW +468.5% (185t, DD 5.6%) | WFV: median 11.7%, mean 15.4%, worst 5.03%, gap 30.8%\n\nv362 대비: SQS +2.3pp, Test +10.3pp, CW +152pp, Sharpe +0.30, DD 동일.\n$10k Sharpe-optimal configuration. 공격적이지만 risk-efficient한 최고 수준.",
|
||||
"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": 1.45,
|
||||
"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": 6,
|
||||
"max_holding_days": 12,
|
||||
"early_failure_no_progress_days": 1,
|
||||
"early_failure_no_progress_r": 0.15,
|
||||
"early_failure_no_progress_fraction": 1.0
|
||||
},
|
||||
"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": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"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": 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,
|
||||
"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,
|
||||
"pre_event_market_temperature_max": 1.65
|
||||
},
|
||||
{
|
||||
"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": 0.025,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.02,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 2.0,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 15000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"allow_oneoff_downsizing_override": true,
|
||||
"oneoff_downsize_floor_override": 0.1,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.007,
|
||||
"enabled": true,
|
||||
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||
"close_location_min": 0.15,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": -0.1,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.03,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.0035,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_hurst_60d_max": 0.8
|
||||
},
|
||||
{
|
||||
"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": 0.1,
|
||||
"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": 0.1,
|
||||
"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": 0.03,
|
||||
"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": 6.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"trailing_warmup_days_override": 15,
|
||||
"enabled": true,
|
||||
"veto_parse_confidence_min_override": 0.48,
|
||||
"per_trade_risk_pct_override": 0.045,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"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": 0.045,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 2.7
|
||||
},
|
||||
{
|
||||
"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": 0.25,
|
||||
"per_trade_risk_pct_override": 0.025,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.02,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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_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": 0.035,
|
||||
"stop_atr_multiplier_override": 4.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_entropy_60d_min": 1.55,
|
||||
"pre_event_gravitational_pull_max": 2.7,
|
||||
"pre_event_market_temperature_max": 1.4,
|
||||
"pre_event_entropy_60d_max": 1.98
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_hurst_60d_max": 0.6,
|
||||
"pre_event_bb_position_min": 0.25,
|
||||
"pre_event_bb_position_max": 0.89
|
||||
},
|
||||
{
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_bb_position_max": 0.95,
|
||||
"pre_event_entropy_60d_max": 1.65
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_unknown_strong",
|
||||
"event_types": [
|
||||
"unknown"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.15,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.25,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 1.0,
|
||||
"min_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.0,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_no_progress_days_override": 2,
|
||||
"early_failure_no_progress_r_override": 0.1,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.02,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_strong",
|
||||
"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": 20,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": 0.03,
|
||||
"reaction_day_return_max": 0.2,
|
||||
"close_location_min": 0.96,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 6.0,
|
||||
"min_market_cap_proxy": 5000000000.0,
|
||||
"document_quality_score_min": 0.6,
|
||||
"parse_confidence_overall_min": 0.6,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"next_open_gap_cap_pct": 0.1,
|
||||
"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": 10,
|
||||
"enabled": true,
|
||||
"per_trade_risk_pct_override": 0.015,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_min": 1.97,
|
||||
"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"
|
||||
],
|
||||
"version_family": "v16",
|
||||
"created_at": "2026-03-31T08:58:16.520251+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "retired",
|
||||
"generation": 14,
|
||||
"changelog": "v16.1 + bullish_raised_strong engine (from v11.49, budget 0.1, mhd 20, close_location_min 0.96). Targets high-conviction bullish/raised with extreme strength filter — different niche from bullish_raised_priority.",
|
||||
"parent": "return_max_long_v16.1",
|
||||
"id": 776,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,876 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v16.4",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||
"description": "v7.65 + broad_oneoff risk 0.025. ★ Sharpe 최적점 (3.13).\n\n이 전략이 v7 시리즈에서 risk-adjusted return의 정점. broad risk를 0.025 이상으로 올리면 (v7.73에서 0.035 테스트) Sharpe가 하락하기 시작함. CW는 계속 올라가지만 리스크 효율이 떨어지는 지점.\n\n전체 경로 요약: v362(Sharpe 2.83) → VIX-all(2.83) → unknown(2.85) → conviction(2.88) → daily 1.0(2.98) → daily 1.5(3.04) → broad .015(3.09) → broad .020(3.11) → broad .025(3.13) → broad .035(3.11↓). 매 단계에서 DD가 5.6%로 동일한 채 Sharpe만 상승하다가, 이 지점에서 꺾임.\n\n[10k 기준] SQS 76.9 | Sharpe 3.13 (peak) | Calmar 9.6 | PF 12.4 | WR 65%\nTrain +130.2% (134t) | Valid +50.6% (28t) | Test +57.7% (24t, DD 2.9%)\nCW +468.5% (185t, DD 5.6%) | WFV: median 11.7%, mean 15.4%, worst 5.03%, gap 30.8%\n\nv362 대비: SQS +2.3pp, Test +10.3pp, CW +152pp, Sharpe +0.30, DD 동일.\n$10k Sharpe-optimal configuration. 공격적이지만 risk-efficient한 최고 수준.",
|
||||
"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": 1.45,
|
||||
"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": 6,
|
||||
"max_holding_days": 12,
|
||||
"early_failure_no_progress_days": 1,
|
||||
"early_failure_no_progress_r": 0.15,
|
||||
"early_failure_no_progress_fraction": 1.0
|
||||
},
|
||||
"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": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"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": 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,
|
||||
"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,
|
||||
"pre_event_market_temperature_max": 1.65
|
||||
},
|
||||
{
|
||||
"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": 0.025,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.02,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 2.0,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 15000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"allow_oneoff_downsizing_override": true,
|
||||
"oneoff_downsize_floor_override": 0.1,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.007,
|
||||
"enabled": true,
|
||||
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||
"close_location_min": 0.15,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": -0.1,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.03,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.0035,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_hurst_60d_max": 0.8
|
||||
},
|
||||
{
|
||||
"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": 0.1,
|
||||
"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": 0.1,
|
||||
"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": 0.03,
|
||||
"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": 6.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"trailing_warmup_days_override": 15,
|
||||
"enabled": true,
|
||||
"veto_parse_confidence_min_override": 0.48,
|
||||
"per_trade_risk_pct_override": 0.045,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"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": 0.045,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 2.7
|
||||
},
|
||||
{
|
||||
"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": 0.25,
|
||||
"per_trade_risk_pct_override": 0.025,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.02,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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_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": 0.035,
|
||||
"stop_atr_multiplier_override": 4.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_entropy_60d_min": 1.55,
|
||||
"pre_event_gravitational_pull_max": 2.7,
|
||||
"pre_event_market_temperature_max": 1.4
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_unknown_strong",
|
||||
"event_types": [
|
||||
"unknown"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.15,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.25,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 1.0,
|
||||
"min_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.0,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_no_progress_days_override": 2,
|
||||
"early_failure_no_progress_r_override": 0.1,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.02,
|
||||
"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"
|
||||
],
|
||||
"version_family": "v16",
|
||||
"created_at": "2026-03-31T15:50:36.351598+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "retired",
|
||||
"generation": 13,
|
||||
"changelog": "v15.4 + risk upsize only (no new filters). unknown_ome_orderly 0.008->0.035, other_material_mixed 0.015->0.025, guidance_unknown/earnings_mixed 0.04->0.045. Tests if risk reallocation alone improves returns without reducing test trade count.",
|
||||
"parent": "return_max_long_v15.4",
|
||||
"id": 777,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,876 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v16.5",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3tech",
|
||||
"description": "v7.65 + broad_oneoff risk 0.025. ★ Sharpe 최적점 (3.13).\n\n이 전략이 v7 시리즈에서 risk-adjusted return의 정점. broad risk를 0.025 이상으로 올리면 (v7.73에서 0.035 테스트) Sharpe가 하락하기 시작함. CW는 계속 올라가지만 리스크 효율이 떨어지는 지점.\n\n전체 경로 요약: v362(Sharpe 2.83) → VIX-all(2.83) → unknown(2.85) → conviction(2.88) → daily 1.0(2.98) → daily 1.5(3.04) → broad .015(3.09) → broad .020(3.11) → broad .025(3.13) → broad .035(3.11↓). 매 단계에서 DD가 5.6%로 동일한 채 Sharpe만 상승하다가, 이 지점에서 꺾임.\n\n[10k 기준] SQS 76.9 | Sharpe 3.13 (peak) | Calmar 9.6 | PF 12.4 | WR 65%\nTrain +130.2% (134t) | Valid +50.6% (28t) | Test +57.7% (24t, DD 2.9%)\nCW +468.5% (185t, DD 5.6%) | WFV: median 11.7%, mean 15.4%, worst 5.03%, gap 30.8%\n\nv362 대비: SQS +2.3pp, Test +10.3pp, CW +152pp, Sharpe +0.30, DD 동일.\n$10k Sharpe-optimal configuration. 공격적이지만 risk-efficient한 최고 수준.",
|
||||
"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": 1.45,
|
||||
"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": 6,
|
||||
"max_holding_days": 12,
|
||||
"early_failure_no_progress_days": 1,
|
||||
"early_failure_no_progress_r": 0.15,
|
||||
"early_failure_no_progress_fraction": 1.0
|
||||
},
|
||||
"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": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"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": 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,
|
||||
"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,
|
||||
"pre_event_market_temperature_max": 1.65
|
||||
},
|
||||
{
|
||||
"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": 0.025,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.02,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 2.0,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 15000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"allow_oneoff_downsizing_override": true,
|
||||
"oneoff_downsize_floor_override": 0.1,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.007,
|
||||
"enabled": true,
|
||||
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||
"close_location_min": 0.15,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": -0.1,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.03,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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,
|
||||
"per_trade_risk_pct_override": 0.0035,
|
||||
"macro_vix_max": 30.0,
|
||||
"pre_event_hurst_60d_max": 0.8
|
||||
},
|
||||
{
|
||||
"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": 0.1,
|
||||
"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": 0.1,
|
||||
"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": 0.03,
|
||||
"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": 6.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"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": 3.0,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 2.7
|
||||
},
|
||||
{
|
||||
"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": 0.25,
|
||||
"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,
|
||||
"pre_event_gravitational_pull_max": 3.3
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.02,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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_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,
|
||||
"pre_event_entropy_60d_min": 1.55,
|
||||
"pre_event_gravitational_pull_max": 2.7,
|
||||
"pre_event_market_temperature_max": 1.4
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30.0
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_unknown_strong",
|
||||
"event_types": [
|
||||
"unknown"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.15,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.25,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 1.0,
|
||||
"min_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.0,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_no_progress_days_override": 2,
|
||||
"early_failure_no_progress_r_override": 0.1,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.02,
|
||||
"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"
|
||||
],
|
||||
"version_family": "v16",
|
||||
"created_at": "2026-03-31T08:50:14.708885+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "retired",
|
||||
"generation": 13,
|
||||
"changelog": "v15.4 + tier3tech dataset upgrade only. Tests whether richer pre-event technical features alone close the return gap vs v12.61.",
|
||||
"parent": "return_max_long_v15.4",
|
||||
"id": 774,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,52 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v16.8",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"description": "v16.7 후속. 2026-04-09 종료 기준에서 DD를 유지한 채 core uplift가 가능한지 본다. sleeve 구조는 그대로 두고, `next_open_long_material_contract_mixed_micro_postmarket`의 sizing만 반 칸 늘려 high-quality mixed material contract lane의 late-window 수익을 더 받는다.",
|
||||
"base_config": "configs/backtest/return_max_long_v16.8.base.json",
|
||||
"overrides": {
|
||||
"idle_alpha_sleeve_preset": "micro_event_alpha_plus_event_plus_strict_breadth_snapshot_convex"
|
||||
},
|
||||
"strategy_engines": [],
|
||||
"splits": [
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "train"
|
||||
}
|
||||
},
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "valid"
|
||||
}
|
||||
},
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "test"
|
||||
}
|
||||
}
|
||||
],
|
||||
"tags": [
|
||||
"return-max",
|
||||
"v16",
|
||||
"ftb-fix",
|
||||
"presetized-form4",
|
||||
"idle-alpha-refresh",
|
||||
"core-refresh"
|
||||
],
|
||||
"notes": "v16.7의 5-sleeve preset 구조와 idle_alpha 개선을 유지하면서, material_contract mixed micro postmarket engine의 risk budget/per-trade risk만 소폭 상향한 4/9 종료 대응본.",
|
||||
"id": 1271,
|
||||
"aliases": [
|
||||
"conviction",
|
||||
"v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)"
|
||||
],
|
||||
"parent": "return_max_long_v16.7",
|
||||
"created_at": "2026-04-10T01:02:00+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 21,
|
||||
"version_family": "v16",
|
||||
"changelog": "v16.7 -> next_open_long_material_contract_mixed_micro_postmarket sizing 0.26/0.19 -> 0.27/0.20",
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,52 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v16.9",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"description": "v16.8 후속. 2026-04-09 종료 기준에서 DD를 유지한 채 core 수익률을 추가로 올릴 수 있는지 본다. sleeve 구조는 그대로 두고, `next_open_long_material_contract_mixed_micro_postmarket`를 한 칸 더 올리고 `next_open_long_guidance_mixed_micro_postmarket`를 반 칸 복원해 merged/full 구간의 late-window core uplift를 노린다.",
|
||||
"base_config": "configs/backtest/return_max_long_v16.9.base.json",
|
||||
"overrides": {
|
||||
"idle_alpha_sleeve_preset": "micro_event_alpha_plus_event_plus_strict_breadth_snapshot_convex"
|
||||
},
|
||||
"strategy_engines": [],
|
||||
"splits": [
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "train"
|
||||
}
|
||||
},
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "valid"
|
||||
}
|
||||
},
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "test"
|
||||
}
|
||||
}
|
||||
],
|
||||
"tags": [
|
||||
"return-max",
|
||||
"v16",
|
||||
"ftb-fix",
|
||||
"presetized-form4",
|
||||
"idle-alpha-refresh",
|
||||
"core-refresh"
|
||||
],
|
||||
"notes": "v16.8의 5-sleeve preset 구조와 idle_alpha 개선을 유지하면서, material_contract mixed micro postmarket을 한 칸 더 올리고 guidance mixed micro postmarket을 반 칸 복원한 4/9 종료 대응본.",
|
||||
"id": 1272,
|
||||
"aliases": [
|
||||
"conviction",
|
||||
"v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)"
|
||||
],
|
||||
"parent": "return_max_long_v16.8",
|
||||
"created_at": "2026-04-10T03:15:00+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 22,
|
||||
"version_family": "v16",
|
||||
"changelog": "v16.8 -> next_open_long_material_contract_mixed_micro_postmarket sizing 0.27/0.20 -> 0.28/0.21; next_open_long_guidance_mixed_micro_postmarket sizing 0.14/0.132 -> 0.145/0.136",
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,582 +0,0 @@
|
||||
{
|
||||
"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": "active",
|
||||
"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
|
||||
}
|
||||
@ -1,585 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.119_composed",
|
||||
"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,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2"
|
||||
},
|
||||
"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
|
||||
},
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus",
|
||||
"ownership_capture_sleeve_preset": "ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95"
|
||||
},
|
||||
"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": "2026-04-07T09:12:04.928949+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 20,
|
||||
"changelog": "Composed from return_max_long_v7.119 with sleeves",
|
||||
"parent": "return_max_long_v7.119",
|
||||
"id": 1151,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,588 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.119_composed_gld",
|
||||
"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,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 1.33,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2"
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh",
|
||||
"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",
|
||||
"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": true,
|
||||
"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": 0.045,
|
||||
"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,
|
||||
"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,
|
||||
"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": 0.04,
|
||||
"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": 0.04,
|
||||
"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": 0.06,
|
||||
"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,
|
||||
"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": true,
|
||||
"veto_parse_confidence_min_override": 0.45,
|
||||
"per_trade_risk_pct_override": 0.015,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30
|
||||
},
|
||||
{
|
||||
"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,
|
||||
"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": true,
|
||||
"veto_parse_confidence_min_override": 0.5,
|
||||
"veto_oneoff_penalty_override": 0,
|
||||
"per_trade_risk_pct_override": 0.015,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30
|
||||
},
|
||||
{
|
||||
"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,
|
||||
"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": true,
|
||||
"veto_parse_confidence_min_override": 0.4,
|
||||
"per_trade_risk_pct_override": 0.008,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.025,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-07T15:58:27.926592+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 20,
|
||||
"changelog": "Composed from return_max_long_v7.119 with sleeves",
|
||||
"parent": "return_max_long_v7.119",
|
||||
"id": 1152,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,717 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.123",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical",
|
||||
"description": "v7.120 + re-add 3 engines (guidance_unknown, mixed_ome, other_material_unknown) = 15 engines. Public SQS 43.5 (IMP-0933). OOT gate 0.85 (252d median +1.63%, threshold 3.0%). WFV gap 98.11%. Composite: ~1200% expected. The 3 re-added engines fire well in 2020-2021 (COVID mixed/unknown events). Lineage: v7.70→...→v7.119→v7.120→v7.123",
|
||||
"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
|
||||
},
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0,
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_guidance_unknown_premarket_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 12,
|
||||
"engine_risk_budget_pct": 0.02,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.04,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": -0.02,
|
||||
"gap_size_max": 0.03,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.3,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 6,
|
||||
"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": 45.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_mixed_ome_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": 0.06,
|
||||
"reaction_day_return_min": -0.02,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.5,
|
||||
"volume_ratio_min": 0.8,
|
||||
"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": 0.015,
|
||||
"stop_atr_multiplier_override": 3.5,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"pre_event_entropy_60d_max": 1.9,
|
||||
"macro_vix_max": 45.0
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_other_material_unknown_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": 0.045,
|
||||
"reaction_day_return_min": -0.05,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.98,
|
||||
"gap_size_min": -0.03,
|
||||
"gap_size_max": 0.06,
|
||||
"volume_ratio_min": 0.75,
|
||||
"volume_ratio_max": 1.6,
|
||||
"min_market_cap_proxy": 8000000000.0,
|
||||
"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": 0.05,
|
||||
"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": 0.45,
|
||||
"per_trade_risk_pct_override": 0.003,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 45.0
|
||||
}
|
||||
],
|
||||
"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": "2026-04-07T07:45:54.943616+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "active",
|
||||
"generation": 21,
|
||||
"changelog": "Add back 3 engines removed in v7.110 (guidance_unknown, mixed_ome, other_material_unknown) to improve OOT 252d median. 15 engines vs 12. macro_vix_max 45 applied to re-added engines.",
|
||||
"parent": "return_max_long_v7.120",
|
||||
"id": 1146,
|
||||
"performance_summary": null
|
||||
}
|
||||
@ -1,636 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.130_composed_gld",
|
||||
"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,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 1.33,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2"
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high",
|
||||
"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",
|
||||
"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": true,
|
||||
"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": 0.045,
|
||||
"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,
|
||||
"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,
|
||||
"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": 0.04,
|
||||
"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": 0.04,
|
||||
"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": true,
|
||||
"veto_parse_confidence_min_override": 0.45,
|
||||
"per_trade_risk_pct_override": 0.015,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30
|
||||
},
|
||||
{
|
||||
"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",
|
||||
"pre_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": 0.012,
|
||||
"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",
|
||||
"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": true,
|
||||
"veto_parse_confidence_min_override": 0.5,
|
||||
"veto_oneoff_penalty_override": 0,
|
||||
"per_trade_risk_pct_override": 0.015,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"macro_vix_max": 30
|
||||
},
|
||||
{
|
||||
"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,
|
||||
"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": true,
|
||||
"veto_parse_confidence_min_override": 0.4,
|
||||
"per_trade_risk_pct_override": 0.008,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.025,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-09T07:22:55.530046+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 22,
|
||||
"changelog": "메가캡 엔진 filing_time_buckets에 pre_market 추가 (자정 넘겨 SEC 접수된 post_market 뉴스 포함)",
|
||||
"parent": "return_max_long_v7.120_composed_gld",
|
||||
"id": 1154,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.266_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.276,
|
||||
"per_trade_risk_pct_a_tier": 0.3036,
|
||||
"max_daily_new_risk_pct": 20.0,
|
||||
"max_positions": 26,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 10.0,
|
||||
"max_adv_fraction": 0.2,
|
||||
"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": 1.5,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high",
|
||||
"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": 0.59,
|
||||
"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": 0.87,
|
||||
"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": 0.83,
|
||||
"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": 0.42,
|
||||
"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": 0.57,
|
||||
"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": 0.15,
|
||||
"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": 0.24,
|
||||
"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": 0.15,
|
||||
"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": 0.08,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.3,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T03:20:17.076860+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "active",
|
||||
"generation": 38,
|
||||
"changelog": "max_daily_new_risk_pct 20.0 (from 10.0)",
|
||||
"parent": "return_max_long_v7.264_composed_gld",
|
||||
"id": 1283,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.266_composed_gld_cp",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.276,
|
||||
"per_trade_risk_pct_a_tier": 0.3036,
|
||||
"max_daily_new_risk_pct": 20,
|
||||
"max_positions": 26,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 10,
|
||||
"max_adv_fraction": 0.2,
|
||||
"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": 1.5,
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high",
|
||||
"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": 0.59,
|
||||
"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": 0.87,
|
||||
"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": 0.83,
|
||||
"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": 0.42,
|
||||
"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": 0.57,
|
||||
"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": 0.15,
|
||||
"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": 0.24,
|
||||
"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": 0.15,
|
||||
"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": 0.08,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.3,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T06:30:05.792113+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 39,
|
||||
"changelog": "Cloned from return_max_long_v7.266_composed_gld",
|
||||
"parent": "return_max_long_v7.266_composed_gld",
|
||||
"id": 1284,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": false
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.290_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.414,
|
||||
"per_trade_risk_pct_a_tier": 0.455,
|
||||
"max_daily_new_risk_pct": 20.0,
|
||||
"max_positions": 20,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 1.5,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high",
|
||||
"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": 0.89,
|
||||
"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": 1.3,
|
||||
"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": 1.24,
|
||||
"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": 0.63,
|
||||
"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": 0.85,
|
||||
"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": 0.15,
|
||||
"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": 0.36,
|
||||
"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": 0.15,
|
||||
"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": 0.08,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.45,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T07:28:31.901211+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "active",
|
||||
"generation": 39,
|
||||
"changelog": "ptr +50% + max_positions 20 (concentrate on fewer larger positions) + relaxed ADV/pos",
|
||||
"parent": "return_max_long_v7.266_composed_gld",
|
||||
"id": 1302,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.298_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.4,
|
||||
"max_candidates_per_day": 25,
|
||||
"a_tier_score_threshold": 0.58
|
||||
},
|
||||
"risk": {
|
||||
"per_trade_risk_pct": 0.55,
|
||||
"per_trade_risk_pct_a_tier": 0.605,
|
||||
"max_daily_new_risk_pct": 30.0,
|
||||
"max_positions": 28,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 2.5,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high",
|
||||
"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": 0.36,
|
||||
"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": 1.18,
|
||||
"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": 1.73,
|
||||
"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": 1.65,
|
||||
"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": 0.84,
|
||||
"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": 1.13,
|
||||
"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": 0.2,
|
||||
"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": 0.48,
|
||||
"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": 0.2,
|
||||
"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": 0.11,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.6,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T07:56:46.400430+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "promoted",
|
||||
"generation": 41,
|
||||
"changelog": "v7.293 + daily_risk 30pct + volume expansion (score 0.40, core 0.36)",
|
||||
"parent": "return_max_long_v7.293_composed_gld",
|
||||
"id": 1309,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.300_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.7,
|
||||
"per_trade_risk_pct_a_tier": 0.77,
|
||||
"max_daily_new_risk_pct": 30.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high",
|
||||
"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": 1.5,
|
||||
"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": 2.2,
|
||||
"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": 2.1,
|
||||
"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": 1.06,
|
||||
"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": 1.44,
|
||||
"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": 0.25,
|
||||
"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": 0.61,
|
||||
"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": 0.25,
|
||||
"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": 0.14,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.76,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T07:56:47.920621+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "active",
|
||||
"generation": 40,
|
||||
"changelog": "Ultra-wide ATR 3.0, ptr 0.70, max_pos 30",
|
||||
"parent": "return_max_long_v7.290_composed_gld",
|
||||
"id": 1311,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.308_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 30.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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",
|
||||
"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high",
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.71,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T08:00:03.885324+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "active",
|
||||
"generation": 41,
|
||||
"changelog": "ATR 3.0 + ptr 0.65 fine-tune (between 1980 and 2023)",
|
||||
"parent": "return_max_long_v7.300_composed_gld",
|
||||
"id": 1319,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.313_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.4,
|
||||
"max_candidates_per_day": 25,
|
||||
"a_tier_score_threshold": 0.58
|
||||
},
|
||||
"risk": {
|
||||
"per_trade_risk_pct": 0.55,
|
||||
"per_trade_risk_pct_a_tier": 0.605,
|
||||
"max_daily_new_risk_pct": 30.0,
|
||||
"max_positions": 28,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 2.5,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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": 0.36,
|
||||
"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": 1.18,
|
||||
"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": 1.73,
|
||||
"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": 1.65,
|
||||
"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": 0.84,
|
||||
"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": 1.13,
|
||||
"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": 0.2,
|
||||
"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": 0.48,
|
||||
"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": 0.2,
|
||||
"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": 0.11,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.6,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T08:14:26.224278+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 42,
|
||||
"changelog": "v7.298 + PRIM guard (microcap8) + KYMR guard (maxval500m)",
|
||||
"parent": "return_max_long_v7.298_composed_gld",
|
||||
"id": 1320,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.314-mod1_composed_gld_comp",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 30,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15,
|
||||
"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_r07",
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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
|
||||
}
|
||||
],
|
||||
"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": "Mod1 de-risks the broad_oneoff earnings engine and adds a 7% parking reserve. Goal: keep compounded return close to v7.314 while reducing concentration-driven DD without symbol-specific fitting.",
|
||||
"aliases": [
|
||||
"conviction",
|
||||
"v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)"
|
||||
],
|
||||
"version_family": "v7",
|
||||
"created_at": "2026-04-10T08:44:24.208648+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 44,
|
||||
"changelog": "From v7.314_composed_gld_comp, reduce broad_oneoff per-trade risk override from 0.71 to 0.55 and switch parking preset to qqqm_low_dd_tqqq_active_v2_gld_brake_v2_r07 to cut drawdown with limited strategy drift.",
|
||||
"parent": "return_max_long_v7.314_composed_gld_comp",
|
||||
"id": 1337,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": false
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.314_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 30.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.71,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T08:14:27.254190+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "active",
|
||||
"generation": 42,
|
||||
"changelog": "v7.308 + PRIM guard (microcap8) + KYMR guard (maxval500m)",
|
||||
"parent": "return_max_long_v7.308_composed_gld",
|
||||
"id": 1321,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.314_composed_gld_comp",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 30,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15,
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.71,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T08:27:42.825061+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 43,
|
||||
"changelog": "Cloned from return_max_long_v7.314_composed_gld",
|
||||
"parent": "return_max_long_v7.314_composed_gld",
|
||||
"id": 1323,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": false
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.315_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.7,
|
||||
"per_trade_risk_pct_a_tier": 0.77,
|
||||
"max_daily_new_risk_pct": 30.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 15.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 0.2,
|
||||
"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,
|
||||
"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": 1.5,
|
||||
"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": 2.2,
|
||||
"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": 2.1,
|
||||
"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": 1.06,
|
||||
"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": 1.44,
|
||||
"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": 0.25,
|
||||
"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": 0.61,
|
||||
"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": 0.25,
|
||||
"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": 0.14,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.76,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T08:14:27.887312+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "active",
|
||||
"generation": 41,
|
||||
"changelog": "v7.300 + PRIM guard (microcap8) + KYMR guard (maxval500m)",
|
||||
"parent": "return_max_long_v7.300_composed_gld",
|
||||
"id": 1322,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.330_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.71,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T08:40:52.861415+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "promoted",
|
||||
"generation": 43,
|
||||
"changelog": "value_pct 25 + no partial + daily_risk 50 — more daily throughput",
|
||||
"parent": "return_max_long_v7.314_composed_gld",
|
||||
"id": 1331,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.347_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.45,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:13:42.853285+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 44,
|
||||
"changelog": "bullish_raised_recovery ptr 0.71→0.45 — reduce highest-loss-count engine",
|
||||
"parent": "return_max_long_v7.330_composed_gld",
|
||||
"id": 1339,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.349_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:13:45.139041+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 44,
|
||||
"changelog": "extreme ptr 1.5 + bullish_raised ptr 0.55 — moderate reduction on both",
|
||||
"parent": "return_max_long_v7.330_composed_gld",
|
||||
"id": 1341,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.350_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.50,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:19:03.384016+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 44,
|
||||
"changelog": "Fine-tune bullish_raised_recovery ptr 0.50",
|
||||
"parent": "return_max_long_v7.330_composed_gld",
|
||||
"id": 1342,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.351_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.60,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:19:07.547553+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 44,
|
||||
"changelog": "Fine-tune bullish_raised_recovery ptr 0.60",
|
||||
"parent": "return_max_long_v7.330_composed_gld",
|
||||
"id": 1343,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.352_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 2.04,
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"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": 0.65,
|
||||
"stop_atr_multiplier_override": 3,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true,
|
||||
"macro_vix_max": 30
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:19:08.189133+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 44,
|
||||
"changelog": "Fine-tune bullish_raised_recovery ptr 0.65",
|
||||
"parent": "return_max_long_v7.330_composed_gld",
|
||||
"id": 1344,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.353_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 8,
|
||||
"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": 8,
|
||||
"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
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:20:22.222342+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 45,
|
||||
"changelog": "Bullish recovery: reduce mhd 12->8 to cut loss exposure duration",
|
||||
"parent": "return_max_long_v7.349_composed_gld",
|
||||
"id": 1345,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.354_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 12,
|
||||
"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": 12,
|
||||
"early_failure_no_progress_r_override": 0,
|
||||
"early_failure_no_progress_fraction_override": 1,
|
||||
"target_1_r_override": 3,
|
||||
"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
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:20:23.073200+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 45,
|
||||
"changelog": "Bullish recovery: reduce target_1_r 5->3 for earlier partial profit",
|
||||
"parent": "return_max_long_v7.349_composed_gld",
|
||||
"id": 1346,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.355_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 4,
|
||||
"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
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:20:23.989175+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 45,
|
||||
"changelog": "Bullish recovery: mhd 10 + target_1_r 4 combined",
|
||||
"parent": "return_max_long_v7.349_composed_gld",
|
||||
"id": 1347,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.357_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 9,
|
||||
"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": 9,
|
||||
"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": 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
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:21:42.134887+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 46,
|
||||
"changelog": "From v7.355: try mhd 9 for further refinement",
|
||||
"parent": "return_max_long_v7.355_composed_gld",
|
||||
"id": 1349,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
@ -1,642 +0,0 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v7.358_composed_gld",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
|
||||
"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": 0.65,
|
||||
"per_trade_risk_pct_a_tier": 0.715,
|
||||
"max_daily_new_risk_pct": 50.0,
|
||||
"max_positions": 30,
|
||||
"max_positions_per_sector": 5,
|
||||
"max_position_value_pct": 25.0,
|
||||
"max_adv_fraction": 0.3,
|
||||
"macro_regime_neutral_size_scaler": 1,
|
||||
"macro_regime_risk_off_size_scaler": 1,
|
||||
"veto_unknown_direction": false,
|
||||
"macro_regime_risk_off_a_tier_only": false,
|
||||
"stop_atr_multiplier": 3.0,
|
||||
"allow_budget_downsizing": true,
|
||||
"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
|
||||
"fixed_capital_sizing": true
|
||||
},
|
||||
"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": 11,
|
||||
"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": 11,
|
||||
"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": 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
|
||||
}
|
||||
],
|
||||
"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": "2026-04-10T09:21:43.070370+00:00",
|
||||
"created_by": "ai_agent",
|
||||
"status": "draft",
|
||||
"generation": 46,
|
||||
"changelog": "From v7.355: try mhd 11 for further refinement",
|
||||
"parent": "return_max_long_v7.355_composed_gld",
|
||||
"id": 1350,
|
||||
"performance_summary": null,
|
||||
"has_journal_entry": true
|
||||
}
|
||||
Loading…
Reference in New Issue