diff --git a/README.md b/README.md index 2705dd0..106da0c 100644 --- a/README.md +++ b/README.md @@ -4,6 +4,10 @@ SEC 공시 + 무료 시장 데이터를 활용하여 1~5일 continuation 종목을 자동 선별하고, 다음 세션에 기계적으로 진입·청산하는 AI 이벤트 트레이딩 엔진. +관련 문서: + +- [ORB Gainers Strategy Development And Validation](docs/orb_gainers_strategy_workflow.md) + --- ## 목차 diff --git a/configs/experiments/.index.json b/configs/experiments/.index.json index c34182f..0031980 100644 --- a/configs/experiments/.index.json +++ b/configs/experiments/.index.json @@ -1,5 +1,5 @@ { - "updated_at": "2026-04-11T02:18:00.728228+00:00", + "updated_at": "2026-04-13T05:04:42.526431+00:00", "experiments": { "empty_strategy": { "id": 1072, @@ -16,224 +16,6 @@ "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v15.1": { - "id": 769, - "parent": "return_max_long_v7.70", - "version_family": "v15", - "generation": 12, - "status": "retired", - "created_at": "2026-03-31T08:11:34.563112+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "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.", - "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", - "has_journal_entry": false, - "sqs_score": null - }, - "return_max_long_v15.2": { - "id": 770, - "parent": "return_max_long_v7.70", - "version_family": "v15", - "generation": 12, - "status": "retired", - "created_at": "2026-03-31T08:11:46.718176+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "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.", - "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", - "has_journal_entry": false, - "sqs_score": null - }, - "return_max_long_v15.3": { - "id": 771, - "parent": "return_max_long_v7.70", - "version_family": "v15", - "generation": 12, - "status": "retired", - "created_at": "2026-03-31T08:12:07.179522+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "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.", - "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.", - "has_journal_entry": false, - "sqs_score": null - }, - "return_max_long_v16.1": { - "id": 773, - "parent": "return_max_long_v15.4", - "version_family": "v16", - "generation": 13, - "status": "retired", - "created_at": "2026-03-31T08:50:13.925244+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "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.", - "changelog": "v15.4 + risk reallocation on 4 secondary engines + additional tier3 filters from v12.61", - "has_journal_entry": true, - "sqs_score": null - }, - "return_max_long_v16.2": { - "id": 775, - "parent": "return_max_long_v16.1", - "version_family": "v16", - "generation": 14, - "status": "retired", - "created_at": "2026-03-31T08:56:36.153095+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "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.", - "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.", - "has_journal_entry": true, - "sqs_score": null - }, - "return_max_long_v16.3": { - "id": 776, - "parent": "return_max_long_v16.1", - "version_family": "v16", - "generation": 14, - "status": "retired", - "created_at": "2026-03-31T08:58:16.520251+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "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.", - "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.", - "has_journal_entry": true, - "sqs_score": 59.4 - }, - "return_max_long_v16.4": { - "id": 777, - "parent": "return_max_long_v15.4", - "version_family": "v16", - "generation": 13, - "status": "retired", - "created_at": "2026-03-31T15:50:36.351598+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "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.", - "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.", - "has_journal_entry": true, - "sqs_score": 61.2 - }, - "return_max_long_v16.5": { - "id": 774, - "parent": "return_max_long_v15.4", - "version_family": "v16", - "generation": 13, - "status": "retired", - "created_at": "2026-03-31T08:50:14.708885+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "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.", - "changelog": "v15.4 + tier3tech dataset upgrade only. Tests whether richer pre-event technical features alone close the return gap vs v12.61.", - "has_journal_entry": true, - "sqs_score": null - }, - "return_max_long_v16.8": { - "id": 1271, - "parent": "return_max_long_v16.7", - "version_family": "v16", - "generation": 21, - "status": "draft", - "created_at": "2026-04-10T01:02:00+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v16", - "ftb-fix", - "presetized-form4", - "idle-alpha-refresh", - "core-refresh" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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.", - "changelog": "v16.7 -> next_open_long_material_contract_mixed_micro_postmarket sizing 0.26/0.19 -> 0.27/0.20", - "has_journal_entry": false, - "sqs_score": null - }, - "return_max_long_v16.9": { - "id": 1272, - "parent": "return_max_long_v16.8", - "version_family": "v16", - "generation": 22, - "status": "draft", - "created_at": "2026-04-10T03:15:00+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v16", - "ftb-fix", - "presetized-form4", - "idle-alpha-refresh", - "core-refresh" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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.", - "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", - "has_journal_entry": true, - "sqs_score": 79.7 - }, "return_max_long_v7.1": { "id": 340, "parent": "return_max_long_v6new.362", @@ -297,72 +79,6 @@ "has_journal_entry": true, "sqs_score": null }, - "return_max_long_v7.119": { - "id": 1138, - "parent": "return_max_long_v7.118", - "version_family": "v7", - "generation": 19, - "status": "active", - "created_at": "2026-04-07T03:50:56.416441+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "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", - "has_journal_entry": true, - "sqs_score": 60.0 - }, - "return_max_long_v7.119_composed": { - "id": 1151, - "parent": "return_max_long_v7.119", - "version_family": "v7", - "generation": 20, - "status": "draft", - "created_at": "2026-04-07T09:12:04.928949+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "changelog": "Composed from return_max_long_v7.119 with sleeves", - "has_journal_entry": true, - "sqs_score": 78.1 - }, - "return_max_long_v7.119_composed_gld": { - "id": 1152, - "parent": "return_max_long_v7.119", - "version_family": "v7", - "generation": 20, - "status": "draft", - "created_at": "2026-04-07T15:58:27.926592+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "changelog": "Composed from return_max_long_v7.119 with sleeves", - "has_journal_entry": true, - "sqs_score": 78.6 - }, "return_max_long_v7.12": { "id": 351, "parent": "return_max_long_v7.1", @@ -450,28 +166,6 @@ "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.123": { - "id": 1146, - "parent": "return_max_long_v7.120", - "version_family": "v7", - "generation": 21, - "status": "active", - "created_at": "2026-04-07T07:45:54.943616+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "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.", - "has_journal_entry": true, - "sqs_score": 66.6 - }, "return_max_long_v7.124": { "id": 1147, "parent": "return_max_long_v7.123", @@ -581,28 +275,6 @@ "has_journal_entry": true, "sqs_score": null }, - "return_max_long_v7.130_composed_gld": { - "id": 1154, - "parent": "return_max_long_v7.120_composed_gld", - "version_family": "v7", - "generation": 22, - "status": "draft", - "created_at": "2026-04-09T07:22:55.530046+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "changelog": "메가캡 엔진 filing_time_buckets에 pre_market 추가 (자정 넘겨 SEC 접수된 post_market 뉴스 포함)", - "has_journal_entry": false, - "sqs_score": null - }, "return_max_long_v7.14": { "id": 353, "parent": "return_max_long_v7.1", @@ -897,50 +569,6 @@ "has_journal_entry": true, "sqs_score": null }, - "return_max_long_v7.266_composed_gld": { - "id": 1283, - "parent": "return_max_long_v7.264_composed_gld", - "version_family": "v7", - "generation": 38, - "status": "active", - "created_at": "2026-04-10T03:20:17.076860+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "changelog": "max_daily_new_risk_pct 20.0 (from 10.0)", - "has_journal_entry": true, - "sqs_score": 81.3 - }, - "return_max_long_v7.266_composed_gld_cp": { - "id": 1284, - "parent": "return_max_long_v7.266_composed_gld", - "version_family": "v7", - "generation": 39, - "status": "draft", - "created_at": "2026-04-10T06:30:05.792113+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "changelog": "Cloned from return_max_long_v7.266_composed_gld", - "has_journal_entry": true, - "sqs_score": 79.0 - }, "return_max_long_v7.267_composed_gld_cp_guarded": { "id": null, "parent": "return_max_long_v7.266_composed_gld_cp", @@ -968,7 +596,7 @@ "parent": "return_max_long_v7.267_composed_gld_cp_guarded", "version_family": "v7", "generation": 40, - "status": "promoted", + "status": "active", "created_at": "2026-04-10T07:25:00+00:00", "created_by": "ai_agent", "tags": [ @@ -1048,50 +676,6 @@ "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.290_composed_gld": { - "id": 1302, - "parent": "return_max_long_v7.266_composed_gld", - "version_family": "v7", - "generation": 39, - "status": "active", - "created_at": "2026-04-10T07:28:31.901211+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "changelog": "ptr +50% + max_positions 20 (concentrate on fewer larger positions) + relaxed ADV/pos", - "has_journal_entry": false, - "sqs_score": null - }, - "return_max_long_v7.298_composed_gld": { - "id": 1309, - "parent": "return_max_long_v7.293_composed_gld", - "version_family": "v7", - "generation": 41, - "status": "promoted", - "created_at": "2026-04-10T07:56:46.400430+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" - ], - "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", - "changelog": "v7.293 + daily_risk 30pct + volume expansion (score 0.40, core 0.36)", - "has_journal_entry": false, - "sqs_score": null - }, "return_max_long_v7.3": { "id": 342, "parent": "return_max_long_v6new.354", @@ -1134,13 +718,13 @@ "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.300_composed_gld": { - "id": 1311, - "parent": "return_max_long_v7.290_composed_gld", + "return_max_long_v7.31": { + "id": 376, + "parent": "return_max_long_v7.1", "version_family": "v7", - "generation": 40, - "status": "active", - "created_at": "2026-04-10T07:56:47.920621+00:00", + "generation": 5, + "status": "retired", + "created_at": "2026-03-28T04:47:32.463443+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1148,21 +732,20 @@ "de-risk" ], "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" + "conviction" ], - "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", - "changelog": "Ultra-wide ATR 3.0, ptr 0.70, max_pos 30", + "description": "v7.1 + weak engine mcap filter: OME>=50B, mat_unknown>=50B", + "changelog": "v7.1 + OME min_mcap 50B, material_unknown 50B — mega-cap only for weak engines", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.308_composed_gld": { - "id": 1319, - "parent": "return_max_long_v7.300_composed_gld", + "return_max_long_v7.32": { + "id": 377, + "parent": "return_max_long_v7.1", "version_family": "v7", - "generation": 41, - "status": "active", - "created_at": "2026-04-10T08:00:03.885324+00:00", + "generation": 5, + "status": "retired", + "created_at": "2026-03-28T04:47:32.973010+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1170,21 +753,20 @@ "de-risk" ], "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" + "conviction" ], - "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", - "changelog": "ATR 3.0 + ptr 0.65 fine-tune (between 1980 and 2023)", + "description": "v7.1 + weak engine mcap filter: OME>=10B, mat_unknown>=15B", + "changelog": "v7.1 + OME min_mcap 10B, material_unknown 15B — mild tightening", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.31": { - "id": 376, + "return_max_long_v7.33": { + "id": 378, "parent": "return_max_long_v7.1", "version_family": "v7", "generation": 5, "status": "retired", - "created_at": "2026-03-28T04:47:32.463443+00:00", + "created_at": "2026-03-28T04:53:31.121767+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1194,18 +776,18 @@ "aliases": [ "conviction" ], - "description": "v7.1 + weak engine mcap filter: OME>=50B, mat_unknown>=50B", - "changelog": "v7.1 + OME min_mcap 50B, material_unknown 50B — mega-cap only for weak engines", + "description": "v7.1 + material_unknown min_mcap 50B (surgical: worst engine only)", + "changelog": "v7.1 + material_unknown min_mcap 8B→50B only (worst WR engine)", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.313_composed_gld": { - "id": 1320, - "parent": "return_max_long_v7.298_composed_gld", + "return_max_long_v7.34": { + "id": 379, + "parent": "return_max_long_v7.1", "version_family": "v7", - "generation": 42, - "status": "draft", - "created_at": "2026-04-10T08:14:26.224278+00:00", + "generation": 5, + "status": "retired", + "created_at": "2026-03-28T04:57:35.629892+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1213,21 +795,20 @@ "de-risk" ], "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" + "conviction" ], - "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", - "changelog": "v7.298 + PRIM guard (microcap8) + KYMR guard (maxval500m)", + "description": "v7.1 + v16 scoring: entropy + market cap bonus (large caps get higher priority)", + "changelog": "v7.1 + v16 scoring (v13e + market cap bonus)", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.314-mod1_composed_gld_comp": { - "id": 1337, - "parent": "return_max_long_v7.314_composed_gld_comp", + "return_max_long_v7.35": { + "id": 380, + "parent": "return_max_long_v7.1", "version_family": "v7", - "generation": 44, - "status": "draft", - "created_at": "2026-04-10T08:44:24.208648+00:00", + "generation": 5, + "status": "retired", + "created_at": "2026-03-28T04:57:36.124563+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1235,21 +816,20 @@ "de-risk" ], "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" + "conviction" ], - "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", - "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.", + "description": "v7.1 + v16e scoring: market cap bonus only (no entropy)", + "changelog": "v7.1 + v16e scoring (market cap bonus only, no entropy)", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.314_composed_gld": { - "id": 1321, - "parent": "return_max_long_v7.308_composed_gld", + "return_max_long_v7.356-mod11_composed_gld": { + "id": 1368, + "parent": "return_max_long_v7.356-mod5_composed_gld", "version_family": "v7", - "generation": 42, - "status": "active", - "created_at": "2026-04-10T08:14:27.254190+00:00", + "generation": 51, + "status": "draft", + "created_at": "2026-04-13T03:24:45.926639+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1261,17 +841,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "v7.308 + PRIM guard (microcap8) + KYMR guard (maxval500m)", + "changelog": "From v7.356-mod5_composed_gld, fully restore broad_oneoff per-trade risk from 0.50 to 0.55 to test whether the lower-DD 10% reserve version can keep its parking-led max drawdown while recovering return.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.314_composed_gld_comp": { - "id": 1323, - "parent": "return_max_long_v7.314_composed_gld", + "return_max_long_v7.356-mod12_composed_gld": { + "id": 1369, + "parent": "return_max_long_v7.356-mod11_composed_gld", "version_family": "v7", - "generation": 43, + "generation": 52, "status": "draft", - "created_at": "2026-04-10T08:27:42.825061+00:00", + "created_at": "2026-04-13T04:18:44.222938+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1283,17 +863,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "Cloned from return_max_long_v7.314_composed_gld", + "changelog": "From v7.356-mod11_composed_gld, raise explicit parking reserve from 10% to 11% while keeping the recovered broad_oneoff risk so parking-led max drawdown can compress further with minimal rule complexity.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.315_composed_gld": { - "id": 1322, - "parent": "return_max_long_v7.300_composed_gld", + "return_max_long_v7.356-mod17_composed_gld": { + "id": 1371, + "parent": "return_max_long_v7.356-mod12_composed_gld", "version_family": "v7", - "generation": 41, - "status": "active", - "created_at": "2026-04-10T08:14:27.887312+00:00", + "generation": 53, + "status": "draft", + "created_at": "2026-04-13T05:00:51.542578+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1305,17 +885,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "v7.300 + PRIM guard (microcap8) + KYMR guard (maxval500m)", + "changelog": "From v7.356-mod12_composed_gld, raise broad_oneoff per-trade risk from 0.55 to 0.64, roughly matching the original 3.0 ATR-era share sizing after the stop widened to 3.5 ATR.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.32": { - "id": 377, - "parent": "return_max_long_v7.1", + "return_max_long_v7.356-mod18_composed_gld": { + "id": 1372, + "parent": "return_max_long_v7.356-mod17_composed_gld", "version_family": "v7", - "generation": 5, - "status": "retired", - "created_at": "2026-03-28T04:47:32.973010+00:00", + "generation": 54, + "status": "draft", + "created_at": "2026-04-13T05:02:27.042824+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1323,20 +903,21 @@ "de-risk" ], "aliases": [ - "conviction" + "conviction", + "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], - "description": "v7.1 + weak engine mcap filter: OME>=10B, mat_unknown>=15B", - "changelog": "v7.1 + OME min_mcap 10B, material_unknown 15B — mild tightening", + "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", + "changelog": "From v7.356-mod17_composed_gld, raise broad_oneoff per-trade risk from 0.64 to 0.70 as a single round-number upper test beyond the 3.5 ATR sizing-equivalence point.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.33": { - "id": 378, - "parent": "return_max_long_v7.1", + "return_max_long_v7.356-mod1_composed_gld": { + "id": 1358, + "parent": "return_max_long_v7.356_composed_gld", "version_family": "v7", - "generation": 5, - "status": "retired", - "created_at": "2026-03-28T04:53:31.121767+00:00", + "generation": 46, + "status": "promoted", + "created_at": "2026-04-13T01:59:37.008870+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1344,20 +925,21 @@ "de-risk" ], "aliases": [ - "conviction" + "conviction", + "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], - "description": "v7.1 + material_unknown min_mcap 50B (surgical: worst engine only)", - "changelog": "v7.1 + material_unknown min_mcap 8B→50B only (worst WR engine)", + "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", + "changelog": "From v7.356_composed_gld, reduce reaction_close_long_extreme_orderly per-trade risk override from 1.5 to 1.0 and switch parking preset to qqqm_low_dd_tqqq_active_v2_gld_brake_v2_r07 to lower fixed-capital drawdown with limited strategy drift.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.330_composed_gld": { - "id": 1331, - "parent": "return_max_long_v7.314_composed_gld", + "return_max_long_v7.356-mod2_composed_gld": { + "id": 1359, + "parent": "return_max_long_v7.356-mod1_composed_gld", "version_family": "v7", - "generation": 43, - "status": "promoted", - "created_at": "2026-04-10T08:40:52.861415+00:00", + "generation": 47, + "status": "draft", + "created_at": "2026-04-13T02:12:24.929761+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1369,38 +951,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "value_pct 25 + no partial + daily_risk 50 — more daily throughput", - "has_journal_entry": true, - "sqs_score": 81.5 - }, - "return_max_long_v7.34": { - "id": 379, - "parent": "return_max_long_v7.1", - "version_family": "v7", - "generation": 5, - "status": "retired", - "created_at": "2026-03-28T04:57:35.629892+00:00", - "created_by": "ai_agent", - "tags": [ - "return-max", - "v6new", - "de-risk" - ], - "aliases": [ - "conviction" - ], - "description": "v7.1 + v16 scoring: entropy + market cap bonus (large caps get higher priority)", - "changelog": "v7.1 + v16 scoring (v13e + market cap bonus)", + "changelog": "From v7.356-mod1_composed_gld, reduce next_open_long_bullish_raised_recovery_broad_oneoff per-trade risk override from 0.55 to 0.50 to trim the remaining fixed-capital tail loss after STX-driven drawdown became the dominant path.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.347_composed_gld": { - "id": 1339, - "parent": "return_max_long_v7.330_composed_gld", + "return_max_long_v7.356-mod3_composed_gld": { + "id": 1360, + "parent": "return_max_long_v7.356-mod2_composed_gld", "version_family": "v7", - "generation": 44, + "generation": 48, "status": "draft", - "created_at": "2026-04-10T09:13:42.853285+00:00", + "created_at": "2026-04-13T02:36:38.425007+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1412,17 +973,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "bullish_raised_recovery ptr 0.71→0.45 — reduce highest-loss-count engine", + "changelog": "From v7.356-mod2_composed_gld, widen next_open_long_bullish_raised_recovery_broad_oneoff stop ATR from 3.0 to 3.5 to shrink fixed-capital gap-through tail risk without materially cutting the engine's participation.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.349_composed_gld": { - "id": 1341, - "parent": "return_max_long_v7.330_composed_gld", + "return_max_long_v7.356-mod4_composed_gld": { + "id": 1361, + "parent": "return_max_long_v7.356-mod3_composed_gld", "version_family": "v7", - "generation": 44, + "generation": 49, "status": "draft", - "created_at": "2026-04-10T09:13:45.139041+00:00", + "created_at": "2026-04-13T02:45:19.813314+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1434,17 +995,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "extreme ptr 1.5 + bullish_raised ptr 0.55 — moderate reduction on both", + "changelog": "From v7.356-mod3_composed_gld, replace the parking preset with the same brake-v2 active parking parameters but raise the idle cash reserve from 7% to 9% to trim the remaining parking-led fixed-capital drawdown with minimal strategy drift.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.35": { - "id": 380, - "parent": "return_max_long_v7.1", + "return_max_long_v7.356-mod5_composed_gld": { + "id": 1362, + "parent": "return_max_long_v7.356-mod4_composed_gld", "version_family": "v7", - "generation": 5, - "status": "retired", - "created_at": "2026-03-28T04:57:36.124563+00:00", + "generation": 50, + "status": "draft", + "created_at": "2026-04-13T03:11:11.730514+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1452,20 +1013,21 @@ "de-risk" ], "aliases": [ - "conviction" + "conviction", + "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], - "description": "v7.1 + v16e scoring: market cap bonus only (no entropy)", - "changelog": "v7.1 + v16e scoring (market cap bonus only, no entropy)", + "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", + "changelog": "From v7.356-mod4_composed_gld, raise the explicit parking cash reserve from 9% to 10% to keep the same broad_oneoff stop and brake-v2 parking logic while shaving a little more portfolio-level fixed-capital drawdown.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.350_composed_gld": { - "id": 1342, - "parent": "return_max_long_v7.330_composed_gld", + "return_max_long_v7.356-mod9_composed_gld": { + "id": 1366, + "parent": "return_max_long_v7.356-mod4_composed_gld", "version_family": "v7", - "generation": 44, + "generation": 50, "status": "draft", - "created_at": "2026-04-10T09:19:03.384016+00:00", + "created_at": "2026-04-13T03:23:51.855709+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1477,17 +1039,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "Fine-tune bullish_raised_recovery ptr 0.50", + "changelog": "From v7.356-mod4_composed_gld, fully restore broad_oneoff per-trade risk from 0.50 to 0.55 to test whether the 3.5 ATR stop already absorbed the main STX tail risk.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.351_composed_gld": { - "id": 1343, - "parent": "return_max_long_v7.330_composed_gld", + "return_max_long_v7.356_composed_gld": { + "id": 1348, + "parent": "return_max_long_v7.349_composed_gld", "version_family": "v7", - "generation": 44, - "status": "draft", - "created_at": "2026-04-10T09:19:07.547553+00:00", + "generation": 45, + "status": "promoted", + "created_at": "2026-04-10T09:21:41.353437+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1499,17 +1061,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "Fine-tune bullish_raised_recovery ptr 0.60", - "has_journal_entry": false, - "sqs_score": null + "changelog": "Bullish recovery: mhd 10 only (isolate mhd effect from target_1_r)", + "has_journal_entry": true, + "sqs_score": 77.4 }, - "return_max_long_v7.352_composed_gld": { - "id": 1344, - "parent": "return_max_long_v7.330_composed_gld", + "return_max_long_v7.356_composed_gld_compound": { + "id": 1351, + "parent": "return_max_long_v7.356_composed_gld", "version_family": "v7", - "generation": 44, - "status": "draft", - "created_at": "2026-04-10T09:19:08.189133+00:00", + "generation": 46, + "status": "promoted", + "created_at": "2026-04-11T06:39:59.231482+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1521,17 +1083,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "Fine-tune bullish_raised_recovery ptr 0.65", - "has_journal_entry": false, - "sqs_score": null + "changelog": "Cloned from return_max_long_v7.356_composed_gld", + "has_journal_entry": true, + "sqs_score": 80.0 }, - "return_max_long_v7.353_composed_gld": { - "id": 1345, - "parent": "return_max_long_v7.349_composed_gld", + "return_max_long_v7.359_composed_gld": { + "id": 1352, + "parent": "return_max_long_v7.356_composed_gld", "version_family": "v7", - "generation": 45, + "generation": 46, "status": "draft", - "created_at": "2026-04-10T09:20:22.222342+00:00", + "created_at": "2026-04-11T08:10:22.311291+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1543,17 +1105,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "Bullish recovery: reduce mhd 12->8 to cut loss exposure duration", + "changelog": "Reduce max_positions_per_sector 5→3: sector concentration fix (sector_rotation DD 43%→<25% target)", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.354_composed_gld": { - "id": 1346, - "parent": "return_max_long_v7.349_composed_gld", + "return_max_long_v7.36": { + "id": 381, + "parent": "return_max_long_v7.1", "version_family": "v7", - "generation": 45, - "status": "draft", - "created_at": "2026-04-10T09:20:23.073200+00:00", + "generation": 5, + "status": "retired", + "created_at": "2026-03-28T05:27:14.551651+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1561,21 +1123,20 @@ "de-risk" ], "aliases": [ - "conviction", - "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" + "conviction" ], - "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", - "changelog": "Bullish recovery: reduce target_1_r 5->3 for earlier partial profit", - "has_journal_entry": false, - "sqs_score": null + "description": "v7.1에 'unknown' event type 엔진을 추가한 전략. 이번 세션의 가장 중요한 구조적 발견.\n\n배경: snapshot 데이터에 1,766개의 'unknown' 이벤트가 있었으나, scoring model이 unknown에 score 0을 부여하여 완전히 무시되고 있었음. 데이터 분석 결과 unknown 이벤트 중 reaction 5%+, close_loc 0.5+, mcap 4B+ 조건의 서브셋이 61% WR, MFE 10d 8.39%로 core engine 수준의 quality를 보임.\n\n변경: (1) scoring.py에서 unknown을 generic_material_event로 처리하도록 수정 (2) reaction_close_long_unknown_strong 엔진 추가 (reaction 5%+, close 0.5+, mcap 4B+, VIX 30, early_fail day 2)\n\n결과: CW에 단 2 trade만 추가되었지만 WFV median이 10.0→10.9%로 +0.9pp 개선. 이 +0.9pp가 WFQS의 median_return 컴포넌트를 올려 SQS +0.4pp 달성. 양보다 질의 승리.\n\n[10k 기준] SQS 74.7 | Sharpe 2.85 | Calmar 8.1 | PF 11.6 | WR 64%\nTrain +96.4% (134t) | Valid +46.9% (29t) | Test +47.4% (24t, DD 1.8%)\nCW +354.5% (186t, DD 5.6%) | WFV: median 10.9%, mean 13.2%, worst 2.95%, gap 24.3%\n\n코드 변경이 필요한 전략이지만 (scoring.py에 unknown 허용), 변경 자체는 단 1줄이며 논리적으로 타당함. v7.1과 함께 실전 배포 후보.", + "changelog": "v7.1 + unknown event engine: reaction 5%+, close 0.5+, mcap 4B+ (61% WR in data)", + "has_journal_entry": true, + "sqs_score": 62.5 }, - "return_max_long_v7.355_composed_gld": { - "id": 1347, - "parent": "return_max_long_v7.349_composed_gld", + "return_max_long_v7.360_composed_gld": { + "id": 1353, + "parent": "return_max_long_v7.356_composed_gld", "version_family": "v7", - "generation": 45, + "generation": 46, "status": "draft", - "created_at": "2026-04-10T09:20:23.989175+00:00", + "created_at": "2026-04-11T08:10:32.421024+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1587,17 +1148,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "Bullish recovery: mhd 10 + target_1_r 4 combined", - "has_journal_entry": false, - "sqs_score": null + "changelog": "macro_regime_risk_off_size_scaler 1.0→0.7: reduce sizing 30% during risk-off (regime_switch -0.31→0 target)", + "has_journal_entry": true, + "sqs_score": 77.4 }, - "return_max_long_v7.356_composed_gld": { - "id": 1348, - "parent": "return_max_long_v7.349_composed_gld", + "return_max_long_v7.361_composed_gld": { + "id": 1354, + "parent": "return_max_long_v7.356_composed_gld", "version_family": "v7", - "generation": 45, - "status": "promoted", - "created_at": "2026-04-10T09:21:41.353437+00:00", + "generation": 46, + "status": "draft", + "created_at": "2026-04-11T08:10:47.697432+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1609,17 +1170,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "Bullish recovery: mhd 10 only (isolate mhd effect from target_1_r)", + "changelog": "reaction_close_long_extreme_orderly macro_vix_max 30→22: block highest-risk engine in stressed VIX (high_vol_chop target)", "has_journal_entry": true, - "sqs_score": 81.8 + "sqs_score": 77.4 }, - "return_max_long_v7.357_composed_gld": { - "id": 1349, - "parent": "return_max_long_v7.355_composed_gld", + "return_max_long_v7.362_composed_gld": { + "id": 1355, + "parent": "return_max_long_v7.356_composed_gld", "version_family": "v7", "generation": 46, "status": "draft", - "created_at": "2026-04-10T09:21:42.134887+00:00", + "created_at": "2026-04-11T08:17:47.652808+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1631,17 +1192,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "From v7.355: try mhd 9 for further refinement", + "changelog": "Switch parking to qqqm_low_dd_gld (no TQQQ): reduce sector_rotation DD 43%→<25% for better scenario RRS (33→55+ target)", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.358_composed_gld": { - "id": 1350, - "parent": "return_max_long_v7.355_composed_gld", + "return_max_long_v7.363_composed_gld": { + "id": 1356, + "parent": "return_max_long_v7.356_composed_gld", "version_family": "v7", "generation": 46, "status": "draft", - "created_at": "2026-04-10T09:21:43.070370+00:00", + "created_at": "2026-04-11T08:41:16.592864+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1653,17 +1214,17 @@ "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], "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", - "changelog": "From v7.355: try mhd 11 for further refinement", + "changelog": "Reduce per_trade_risk_pct 0.65→0.325 (half): improves scenario DD resilience while maintaining capped RQS quality scores. Hypothesis: RRS improves from 33 to ~50+.", "has_journal_entry": false, "sqs_score": null }, - "return_max_long_v7.36": { - "id": 381, - "parent": "return_max_long_v7.1", + "return_max_long_v7.364_composed_gld": { + "id": 1357, + "parent": "return_max_long_v7.356_composed_gld_compound", "version_family": "v7", - "generation": 5, - "status": "retired", - "created_at": "2026-03-28T05:27:14.551651+00:00", + "generation": 47, + "status": "promoted", + "created_at": "2026-04-11T09:00:57.282492+00:00", "created_by": "ai_agent", "tags": [ "return-max", @@ -1671,12 +1232,13 @@ "de-risk" ], "aliases": [ - "conviction" + "conviction", + "v7.119 — 12-engine composite champion (SQS 92.4, 493% standalone)" ], - "description": "v7.1에 'unknown' event type 엔진을 추가한 전략. 이번 세션의 가장 중요한 구조적 발견.\n\n배경: snapshot 데이터에 1,766개의 'unknown' 이벤트가 있었으나, scoring model이 unknown에 score 0을 부여하여 완전히 무시되고 있었음. 데이터 분석 결과 unknown 이벤트 중 reaction 5%+, close_loc 0.5+, mcap 4B+ 조건의 서브셋이 61% WR, MFE 10d 8.39%로 core engine 수준의 quality를 보임.\n\n변경: (1) scoring.py에서 unknown을 generic_material_event로 처리하도록 수정 (2) reaction_close_long_unknown_strong 엔진 추가 (reaction 5%+, close 0.5+, mcap 4B+, VIX 30, early_fail day 2)\n\n결과: CW에 단 2 trade만 추가되었지만 WFV median이 10.0→10.9%로 +0.9pp 개선. 이 +0.9pp가 WFQS의 median_return 컴포넌트를 올려 SQS +0.4pp 달성. 양보다 질의 승리.\n\n[10k 기준] SQS 74.7 | Sharpe 2.85 | Calmar 8.1 | PF 11.6 | WR 64%\nTrain +96.4% (134t) | Valid +46.9% (29t) | Test +47.4% (24t, DD 1.8%)\nCW +354.5% (186t, DD 5.6%) | WFV: median 10.9%, mean 13.2%, worst 2.95%, gap 24.3%\n\n코드 변경이 필요한 전략이지만 (scoring.py에 unknown 허용), 변경 자체는 단 1줄이며 논리적으로 타당함. v7.1과 함께 실전 배포 후보.", - "changelog": "v7.1 + unknown event engine: reaction 5%+, close 0.5+, mcap 4B+ (61% WR in data)", + "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", + "changelog": "Scale ALL per_trade_risk_pct values by 0.615x (0.65→0.40) to reduce DD while maintaining compound growth. Engine overrides also scaled proportionally. Expected: train DD 9.46%→5.8%, test gross_exp 69%→42%, SQS 80→83.", "has_journal_entry": true, - "sqs_score": 62.5 + "sqs_score": 92.6 }, "return_max_long_v7.37": { "id": 382, diff --git a/configs/experiments/return_max_long_v15.1.json b/configs/experiments/return_max_long_v15.1.json deleted file mode 100644 index 539b03a..0000000 --- a/configs/experiments/return_max_long_v15.1.json +++ /dev/null @@ -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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v15.2.json b/configs/experiments/return_max_long_v15.2.json deleted file mode 100644 index 66a285e..0000000 --- a/configs/experiments/return_max_long_v15.2.json +++ /dev/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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v15.3.json b/configs/experiments/return_max_long_v15.3.json deleted file mode 100644 index d7ce51b..0000000 --- a/configs/experiments/return_max_long_v15.3.json +++ /dev/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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v16.1.json b/configs/experiments/return_max_long_v16.1.json deleted file mode 100644 index 1e531ec..0000000 --- a/configs/experiments/return_max_long_v16.1.json +++ /dev/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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v16.2.json b/configs/experiments/return_max_long_v16.2.json deleted file mode 100644 index 3ee9de7..0000000 --- a/configs/experiments/return_max_long_v16.2.json +++ /dev/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, - 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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 -} diff --git a/configs/experiments/return_max_long_v16.3.json b/configs/experiments/return_max_long_v16.3.json deleted file mode 100644 index c3e5e31..0000000 --- a/configs/experiments/return_max_long_v16.3.json +++ /dev/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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v16.4.json b/configs/experiments/return_max_long_v16.4.json deleted file mode 100644 index 28f4a8d..0000000 --- a/configs/experiments/return_max_long_v16.4.json +++ /dev/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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v16.5.json b/configs/experiments/return_max_long_v16.5.json deleted file mode 100644 index 828d9fe..0000000 --- a/configs/experiments/return_max_long_v16.5.json +++ /dev/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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v16.8.json b/configs/experiments/return_max_long_v16.8.json deleted file mode 100644 index a3e0783..0000000 --- a/configs/experiments/return_max_long_v16.8.json +++ /dev/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 -} diff --git a/configs/experiments/return_max_long_v16.9.json b/configs/experiments/return_max_long_v16.9.json deleted file mode 100644 index 827bde2..0000000 --- a/configs/experiments/return_max_long_v16.9.json +++ /dev/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 -} diff --git a/configs/experiments/return_max_long_v7.119.json b/configs/experiments/return_max_long_v7.119.json deleted file mode 100644 index 6878eea..0000000 --- a/configs/experiments/return_max_long_v7.119.json +++ /dev/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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.119_composed.json b/configs/experiments/return_max_long_v7.119_composed.json deleted file mode 100644 index 3b59287..0000000 --- a/configs/experiments/return_max_long_v7.119_composed.json +++ /dev/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. 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"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 -} diff --git a/configs/experiments/return_max_long_v7.119_composed_gld.json b/configs/experiments/return_max_long_v7.119_composed_gld.json deleted file mode 100644 index c4bf2eb..0000000 --- a/configs/experiments/return_max_long_v7.119_composed_gld.json +++ /dev/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. 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"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 -} diff --git a/configs/experiments/return_max_long_v7.123.json b/configs/experiments/return_max_long_v7.123.json deleted file mode 100644 index af9088b..0000000 --- a/configs/experiments/return_max_long_v7.123.json +++ /dev/null @@ -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. 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"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 -} diff --git a/configs/experiments/return_max_long_v7.130_composed_gld.json b/configs/experiments/return_max_long_v7.130_composed_gld.json deleted file mode 100644 index 9a22212..0000000 --- a/configs/experiments/return_max_long_v7.130_composed_gld.json +++ /dev/null @@ -1,636 +0,0 @@ -{ - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.266_composed_gld.json b/configs/experiments/return_max_long_v7.266_composed_gld.json deleted file mode 100644 index 3eb81b5..0000000 --- a/configs/experiments/return_max_long_v7.266_composed_gld.json +++ /dev/null @@ -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. 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"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 -} diff --git a/configs/experiments/return_max_long_v7.266_composed_gld_cp.json b/configs/experiments/return_max_long_v7.266_composed_gld_cp.json deleted file mode 100644 index eef84f0..0000000 --- a/configs/experiments/return_max_long_v7.266_composed_gld_cp.json +++ /dev/null @@ -1,642 +0,0 @@ -{ - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.268_composed_gld_cp_guarded_temp100.json b/configs/experiments/return_max_long_v7.268_composed_gld_cp_guarded_temp100.json index 5798aca..80c85de 100644 --- a/configs/experiments/return_max_long_v7.268_composed_gld_cp_guarded_temp100.json +++ b/configs/experiments/return_max_long_v7.268_composed_gld_cp_guarded_temp100.json @@ -649,7 +649,7 @@ "version_family": "v7", "created_at": "2026-04-10T07:25:00+00:00", "created_by": "ai_agent", - "status": "promoted", + "status": "active", "generation": 40, "changelog": "From v7.267, switch cash_parking_preset to qqqm_low_dd_tqqq_active_v2_gld_brake_v2_temp100 only; keep guarded idle-alpha/form4 filters unchanged.", "parent": "return_max_long_v7.267_composed_gld_cp_guarded", diff --git a/configs/experiments/return_max_long_v7.290_composed_gld.json b/configs/experiments/return_max_long_v7.290_composed_gld.json deleted file mode 100644 index 25ec7a5..0000000 --- a/configs/experiments/return_max_long_v7.290_composed_gld.json +++ /dev/null @@ -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, - 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"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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.298_composed_gld.json b/configs/experiments/return_max_long_v7.298_composed_gld.json deleted file mode 100644 index c401da9..0000000 --- a/configs/experiments/return_max_long_v7.298_composed_gld.json +++ /dev/null @@ -1,642 +0,0 @@ -{ - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.300_composed_gld.json b/configs/experiments/return_max_long_v7.300_composed_gld.json deleted file mode 100644 index cef2526..0000000 --- a/configs/experiments/return_max_long_v7.300_composed_gld.json +++ /dev/null @@ -1,642 +0,0 @@ -{ - 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"_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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.308_composed_gld.json b/configs/experiments/return_max_long_v7.308_composed_gld.json deleted file mode 100644 index cc4635f..0000000 --- a/configs/experiments/return_max_long_v7.308_composed_gld.json +++ /dev/null @@ -1,642 +0,0 @@ -{ - 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"_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, - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.313_composed_gld.json b/configs/experiments/return_max_long_v7.313_composed_gld.json deleted file mode 100644 index 80b6214..0000000 --- a/configs/experiments/return_max_long_v7.313_composed_gld.json +++ /dev/null @@ -1,642 +0,0 @@ -{ - 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"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 -} \ No newline at end of file diff --git a/configs/experiments/return_max_long_v7.314-mod1_composed_gld_comp.json b/configs/experiments/return_max_long_v7.314-mod1_composed_gld_comp.json deleted file mode 100644 index 9e24cb7..0000000 --- a/configs/experiments/return_max_long_v7.314-mod1_composed_gld_comp.json +++ /dev/null @@ -1,642 +0,0 @@ -{ - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.314_composed_gld.json b/configs/experiments/return_max_long_v7.314_composed_gld.json deleted file mode 100644 index d8b93db..0000000 --- a/configs/experiments/return_max_long_v7.314_composed_gld.json +++ /dev/null @@ -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. 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"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 -} diff --git a/configs/experiments/return_max_long_v7.357_composed_gld.json b/configs/experiments/return_max_long_v7.357_composed_gld.json deleted file mode 100644 index 73b3d38..0000000 --- a/configs/experiments/return_max_long_v7.357_composed_gld.json +++ /dev/null @@ -1,642 +0,0 @@ -{ - 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"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 -} diff --git a/configs/experiments/return_max_long_v7.358_composed_gld.json b/configs/experiments/return_max_long_v7.358_composed_gld.json deleted file mode 100644 index 447ab10..0000000 --- a/configs/experiments/return_max_long_v7.358_composed_gld.json +++ /dev/null @@ -1,642 +0,0 @@ -{ - 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"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 -} diff --git a/libs/oracle_client/__init__.py b/libs/oracle_client/__init__.py index 4d9a9ab..0469542 100644 --- a/libs/oracle_client/__init__.py +++ b/libs/oracle_client/__init__.py @@ -1,5 +1,6 @@ """Stock Oracle typed client library.""" +from libs.oracle_client.alpaca import AlpacaSnapshot, get_snapshot, get_snapshots from libs.oracle_client.attention import AttentionService from libs.oracle_client.client import OracleClient, make_oracle_client from libs.oracle_client.company import CompanyService @@ -13,6 +14,9 @@ from libs.oracle_client.price import PriceService from libs.oracle_client.screener import ScreenerService __all__ = [ + "AlpacaSnapshot", + "get_snapshot", + "get_snapshots", "AttentionService", "EarningsSurpriseService", "OracleClient", diff --git a/libs/oracle_client/alpaca.py b/libs/oracle_client/alpaca.py index e8fa5b2..7e38b84 100644 --- a/libs/oracle_client/alpaca.py +++ b/libs/oracle_client/alpaca.py @@ -94,7 +94,7 @@ def get_multi_daily_bars( resp = httpx.get( url, params={"tickers": ",".join(chunk), "start_date": start_date, "end_date": end_date}, - timeout=90.0, + timeout=15.0, ) resp.raise_for_status() for ticker, bars in resp.json().get("bars", {}).items(): @@ -136,7 +136,7 @@ def get_multi_intraday_bars( "start_date": start_date, "end_date": end_date, }, - timeout=90.0, + timeout=15.0, ) resp.raise_for_status() for ticker, bars in resp.json().get("bars", {}).items(): @@ -172,7 +172,7 @@ def get_multi_intraday_bars_today( resp = httpx.get( url, params={"tickers": ",".join(chunk), "interval": interval}, - timeout=90.0, + timeout=15.0, ) resp.raise_for_status() for ticker, bars in resp.json().get("bars", {}).items(): diff --git a/libs/oracle_client/client.py b/libs/oracle_client/client.py index 443e437..a6d1182 100644 --- a/libs/oracle_client/client.py +++ b/libs/oracle_client/client.py @@ -19,6 +19,15 @@ from libs.oracle_client.exceptions import ( class OracleClient: """Async HTTP client wrapping Stock Oracle REST API.""" + _HEALTH_PATH = "/api/v1/health" + + @staticmethod + def _is_healthy_payload(data: Any) -> bool: + if not isinstance(data, dict): + return False + status = str(data.get("status") or "").strip().lower() + return status in {"ok", "healthy"} + def __init__(self, base_url: str, timeout: float = 30.0) -> None: self._base_url = base_url.rstrip("/") self._timeout = timeout @@ -96,8 +105,27 @@ class OracleClient: async def health_check(self) -> bool: try: - data = await self.get("/health") - return isinstance(data, dict) and data.get("status") == "ok" + data = await self.get(self._HEALTH_PATH) + return self._is_healthy_payload(data) + except Exception: + return False + + async def health_check_fast(self, timeout: float = 3.0) -> bool: + """Cheap one-shot health probe without retry backoff. + + This is intended for research/cache-heavy workflows that can proceed in a + degraded mode when Oracle is temporarily unavailable. It avoids waiting on + the main client's longer timeout and retry policy just to decide whether + uncached misses should be skipped. + """ + try: + async with httpx.AsyncClient( + base_url=self._base_url, + timeout=timeout, + ) as client: + response = await client.get(self._HEALTH_PATH) + data = response.json() + return response.status_code < 400 and self._is_healthy_payload(data) except Exception: return False diff --git a/libs/oracle_client/company.py b/libs/oracle_client/company.py index b9894c3..344faa9 100644 --- a/libs/oracle_client/company.py +++ b/libs/oracle_client/company.py @@ -11,15 +11,14 @@ class CompanyService: self._client = client async def get_company(self, symbol: str) -> CompanyInfo: - """Fetch company info via GET /api/v1/financial/data/{symbol}. + """Fetch company info via GET /api/v1/company/{symbol}. - Uses the financial/data endpoint because /api/v1/company/{symbol} - does not exist in the current Stock Oracle API. + The newer company endpoint returns the company payload directly. + Older Oracle deployments may still only expose the `financial/data` + wrapper shape, so accept either structure for compatibility. """ - data = await self._client.get( - f"/api/v1/financial/data/{symbol}", params={"period": "1y"} - ) - company = data.get("company", {}) + data = await self._client.get(f"/api/v1/company/{symbol}") + company = data.get("company", data) return CompanyInfo( ticker=company.get("ticker", symbol), name=company.get("name"), diff --git a/libs/oracle_client/financial.py b/libs/oracle_client/financial.py index 5fc53e4..28da0a3 100644 --- a/libs/oracle_client/financial.py +++ b/libs/oracle_client/financial.py @@ -35,8 +35,8 @@ class FinancialService: return FinancialDataResponse(ticker=ticker, periods=periods) async def get_company_info(self, ticker: str) -> CompanyInfo: - data = await self._client.get(f"/api/v1/financial/data/{ticker}", params={"period": "1y"}) - company = data.get("company", {}) + data = await self._client.get(f"/api/v1/company/{ticker}") + company = data.get("company", data) return CompanyInfo( ticker=company.get("ticker", ticker), name=company.get("name"),