Add v6new.25: OME risk halved — paper BT +94.38% beats v6.29 +93.60%
Based on paper backtest loss analysis (not backtester SQS optimization): - OME engines contribute only +$1,405 on 8 trades but generate most losses - Halving OME per_trade_risk reduces loss magnitude without removing trades - Paper BT: +94.38% vs v6.29 +93.60%, MaxDD 4.07% vs 4.60% - WFV: 100% positive fold rate (worst +0.02%) - RM worst: -0.88%, OOT worst: -0.33% - SQS: 62.9 (vs v6.29 62.8) This is the first strategy improvement validated by BOTH backtester SQS AND paper backtest return, using the now-unified engine systems. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>main
I Luk Kim
5 months ago
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{
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"experiment_name": "return_max_long_v6new.25",
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"dataset_snapshot_id": "midlarge-liquid-long-v1",
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"description": "v6.29 + OME engine risk halved. Paper backtest shows OME contributes +$1,405 on 8 trades but generates most losses.",
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"base_config": "configs/backtest/return_max_long_v1.json",
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"overrides": {
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"signal": {
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"scoring_model": "return_max_long_v5",
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"score_threshold": 0.45,
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"max_candidates_per_day": 18,
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"a_tier_score_threshold": 0.58
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},
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"risk": {
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"per_trade_risk_pct": 0.052,
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"per_trade_risk_pct_a_tier": 0.058,
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"max_daily_new_risk_pct": 0.76,
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"max_positions": 24,
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"max_positions_per_sector": 5,
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"max_position_value_pct": 1.0,
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"max_adv_fraction": 0.2,
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"macro_regime_neutral_size_scaler": 1.0,
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"macro_regime_risk_off_size_scaler": 1.0,
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"veto_unknown_direction": false,
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"macro_regime_risk_off_a_tier_only": false
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},
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"execution": {
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"a_tier_target_1_r": 3.5,
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"a_tier_target_1_fraction": 0.0,
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"non_a_tier_target_1_r": 2.25,
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"non_a_tier_target_1_fraction": 0.2,
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"trailing_warmup_days": 6,
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"max_holding_days": 25,
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"early_failure_no_progress_days": 1,
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"early_failure_no_progress_r": 0.15,
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"early_failure_no_progress_fraction": 1.0
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},
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"event_type_profiles": {
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"material_contract": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 20
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},
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"other_material_event": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 20
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}
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}
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},
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"strategy_engines": [
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{
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"engine_id": "reaction_close_long_bullish_raised_priority",
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"event_types": [
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"earnings_release"
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],
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"event_directions": [
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"bullish"
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],
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"guidance_statuses": [
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"raised"
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],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 18,
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"engine_risk_budget_pct": 0.45,
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"volume_ratio_min": 2.0,
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"enabled": true,
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},
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{
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"engine_id": "next_open_long_unknown_material_patient",
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"event_types": [
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"material_contract"
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],
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"unknown"
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],
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"guidance_statuses": [
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"not_provided"
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],
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"filing_time_buckets": [
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"post_market"
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],
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"timing_class": "after_close",
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"direction": "long_only",
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"residual_reserve_selected": true,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": 15,
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"enabled": true,
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"min_market_cap_proxy": 5000000000.0,
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"per_trade_risk_pct_override": 0.026
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},
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{
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"engine_id": "reaction_close_long_core",
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"event_types": [
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"earnings_release",
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"guidance_update"
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],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"reaction_day_return_min": 0.0,
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"weak_reaction_threshold": 0.03,
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"unknown_direction_reaction_min": 0.05,
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"attention_max_wiki_spike_10d": 6.0,
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"score_threshold_override": 0.42,
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"enabled": true,
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"residual_reserve_selected": true,
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"mixed_inline_close_location_max": 0.88,
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"mixed_inline_gap_size_max": 0.1,
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"unknown_inline_exit_close_location_min": 0.9,
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"unknown_inline_exit_gap_size_max": 0.04,
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"unknown_inline_early_failure_no_progress_days_override": 2,
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"unknown_inline_early_failure_no_progress_fraction_override": 1.0,
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"per_trade_risk_pct_override": 0.038,
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"trailing_warmup_days_override": 8
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},
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{
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"engine_id": "next_open_long_bullish_raised_recovery",
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"event_types": [
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"earnings_release"
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],
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"event_directions": [
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"bullish"
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],
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"guidance_statuses": [
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"raised"
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],
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"filing_time_buckets": [
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"post_market",
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"pre_market"
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],
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"timing_class": "any",
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"direction": "long_only",
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"entry_timing_policy": "next_open",
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"max_holding_days": 20,
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"engine_risk_budget_pct": 0.12,
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"reaction_day_return_min": -0.1,
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"reaction_day_return_max": 0.08,
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"close_location_max": 0.55,
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"gap_size_min": 0.0,
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"gap_size_max": 0.09,
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"volume_ratio_min": 1.2,
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"volume_ratio_max": 4.0,
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"min_market_cap_proxy": 4000000000.0,
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"max_market_cap_proxy": 50000000000.0,
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"document_quality_score_min": 0.68,
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"parse_confidence_overall_min": 0.68,
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"score_threshold_override": 0.0,
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"residual_reserve_selected": true,
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"use_reaction_day_low_stop_override": false,
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"stop_atr_multiplier_override": 2.25,
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"next_open_gap_cap_pct": 0.09,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": 15,
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"trailing_warmup_days_override": 12,
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"enabled": true
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},
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{
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"engine_id": "reaction_close_long_residual_lowclose_gap_d3",
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"event_types": [
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"earnings_release",
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"guidance_update"
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],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 25,
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"engine_risk_budget_pct": 0.12,
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"reaction_day_return_min": 0.03,
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"reaction_day_return_max": 0.2,
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"close_location_min": 0.35,
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"close_location_max": 0.45,
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"volume_ratio_min": 1.25,
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"gap_size_min": 0.05,
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"gap_size_max": 0.1,
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"max_market_cap_proxy": 10000000000.0,
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"score_threshold_override": 0.35,
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"target_1_r_override": 3.0,
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"target_1_fraction_override": 0.1,
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"residual_reserve_selected": true,
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"early_failure_no_progress_days_override": 3,
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"early_failure_no_progress_fraction_override": 1.0,
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"enabled": true
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},
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{
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"engine_id": "reaction_close_long_residual_smallcap_gap",
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"event_types": [
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"earnings_release",
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"guidance_update"
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],
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"timing_class": "same_day",
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"max_holding_days": 25,
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"target_1_fraction_override": 0.1,
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"enabled": true
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},
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{
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"engine_id": "reaction_close_long_extreme_orderly",
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"event_types": [
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"earnings_release",
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"guidance_update"
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"enabled": true,
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},
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{
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"engine_id": "next_open_long_unknown_inline_hivol",
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"event_types": [
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"earnings_release"
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],
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],
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"guidance_statuses": [
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"inline_or_maintained"
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],
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"filing_time_buckets": [
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"post_market"
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],
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"timing_class": "after_close",
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"direction": "long_only",
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"entry_timing_policy": "next_open",
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"engine_risk_budget_pct": 0.1,
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"reaction_day_return_min": 0.0,
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"score_threshold_override": 0.0,
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"residual_reserve_selected": true,
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"next_open_gap_cap_pct": 0.04,
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"early_failure_no_progress_days_override": 15,
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"early_failure_no_progress_r_override": 0.0,
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"early_failure_no_progress_fraction_override": 1.0,
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"target_1_r_override": 5.0,
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"target_1_fraction_override": 0.1,
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"trailing_warmup_days_override": 12,
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"enabled": true
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},
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{
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"engine_id": "next_open_long_guidance_unknown_orderly",
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"event_types": [
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"guidance_update"
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],
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"event_directions": [
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"unknown"
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],
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"guidance_statuses": [
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"not_provided"
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],
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||||||
|
"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": 0.03,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.05,
|
||||||
|
"close_location_min": 0.9,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.8,
|
||||||
|
"min_market_cap_proxy": 9000000000.0,
|
||||||
|
"document_quality_score_min": 0.52,
|
||||||
|
"parse_confidence_overall_min": 0.48,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 6.0,
|
||||||
|
"target_1_fraction_override": 0.0,
|
||||||
|
"trailing_warmup_days_override": 15,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.48,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_earnings_mixed_inline_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"inline_or_maintained"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 20,
|
||||||
|
"engine_risk_budget_pct": 0.03,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.05,
|
||||||
|
"volume_ratio_min": 1.0,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.66,
|
||||||
|
"parse_confidence_overall_min": 0.64,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.04,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.64,
|
||||||
|
"per_trade_risk_pct_override": 0.02,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"material_contract"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 20,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000.0,
|
||||||
|
"max_market_cap_proxy": 100000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.0075,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_other_material_mixed_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 20,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.04,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.45,
|
||||||
|
"gap_size_min": -0.03,
|
||||||
|
"gap_size_max": 0.05,
|
||||||
|
"volume_ratio_min": 1.0,
|
||||||
|
"min_market_cap_proxy": 6000000000.0,
|
||||||
|
"document_quality_score_min": 0.54,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.04,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"veto_oneoff_penalty_override": 0.25,
|
||||||
|
"per_trade_risk_pct_override": 0.0075,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_guidance_unknown_premarket_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"guidance_update"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"pre_market"
|
||||||
|
],
|
||||||
|
"timing_class": "any",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 20,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 6,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 20,
|
||||||
|
"engine_risk_budget_pct": 0.05,
|
||||||
|
"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": 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,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.4,
|
||||||
|
"per_trade_risk_pct_override": 0.0075,
|
||||||
|
"stop_atr_multiplier_override": 4.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 20,
|
||||||
|
"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": 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,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.4,
|
||||||
|
"per_trade_risk_pct_override": 0.0075,
|
||||||
|
"stop_atr_multiplier_override": 3.5,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 20,
|
||||||
|
"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": 0.66,
|
||||||
|
"parse_confidence_overall_min": 0.66,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.66,
|
||||||
|
"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": 0.008,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false,
|
||||||
|
"enabled": true
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 20,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.005,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"splits": [
|
||||||
|
{
|
||||||
|
"kind": "named_snapshot",
|
||||||
|
"params": {
|
||||||
|
"name": "train"
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"kind": "named_snapshot",
|
||||||
|
"params": {
|
||||||
|
"name": "valid"
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"kind": "named_snapshot",
|
||||||
|
"params": {
|
||||||
|
"name": "test"
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"tags": [
|
||||||
|
"return-max",
|
||||||
|
"v6new",
|
||||||
|
"ome-risk-reduction"
|
||||||
|
],
|
||||||
|
"notes": "v6.29 with OME/material engine risk halved. Based on paper backtest analysis showing OME is marginal contributor with outsized losses."
|
||||||
|
}
|
||||||
File diff suppressed because one or more lines are too long
Loading…
Reference in New Issue