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Add v6new.31-33: parameter tuning — all neutral/worse, v6new.30 confirmed optimal

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v6new.31 (all OME risk reduced): +105.23% — worse, mixed_ome/other_material_mixed need full risk
v6new.32 (patient risk only): +108.15% — marginal, not worth
v6new.33 (core warmup 10): +108.62% — identical to v6new.30

v6new.30 (+108.62%, Sharpe 3.77, SQS 63.8) is the framework optimum.
Further parameter tuning yields diminishing/negative returns.

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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I Luk Kim 5 months ago
parent b6ea2a4b50
commit 85515f2db9
3 changed files with 2423 additions and 0 deletions
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configs/experiments/return_max_long_v6new.31.json
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{
"experiment_name": "return_max_long_v6new.31",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit",
"description": "v6new.30 + reduce remaining OME engines: mixed_ome 0.015\u21920.008, other_material_mixed 0.015\u21920.008, unknown_material_patient gets explicit 0.008",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
"signal": {
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"score_threshold": 0.45,
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"a_tier_score_threshold": 0.58
},
"risk": {
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"max_positions": 24,
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"macro_regime_neutral_size_scaler": 1.0,
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"veto_unknown_direction": false,
"macro_regime_risk_off_a_tier_only": false
},
"execution": {
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}
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"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": 0.004,
"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,
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"target_1_fraction_override": 0.1,
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"enabled": true,
"veto_parse_confidence_min_override": 0.4,
"per_trade_risk_pct_override": 0.008,
"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": 0.045,
"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": 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": 0.002,
"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",
"v100-based",
"ome-reduction"
],
"notes": "C o r r e c t e d - s n a p s h o t c o n t r o l f o r v 6 c o r e s t r u c t u r e w i t h o u t s i z i n g o r h o l d i n g - p e r i o d a d d - o n s . Adds narrow post-market bullish/raised large-cap one-off sibling before main recovery engine based on corrected-snapshot reject audit. Adds narrow post-market bullish/raised large-cap one-off sibling before main recovery engine based on corrected-snapshot reject audit. Lowers per-trade risk for next_open_long_other_material_unknown_orderly to 0.007 and raises engine budget to 0.05. Fine risk sweep from corrected v6.63. Fine risk sweep from corrected v6.91."
}

808
configs/experiments/return_max_long_v6new.32.json
Unescape Escape View File

@ -0,0 +1,808 @@
{
"experiment_name": "return_max_long_v6new.32",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit",
"description": "v6new.30 + only unknown_material_patient risk 0.008 (W -540 \ubc29\uc9c0)",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
"signal": {
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"score_threshold": 0.45,
"max_candidates_per_day": 18,
"a_tier_score_threshold": 0.58
},
"risk": {
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"per_trade_risk_pct_a_tier": 0.058,
"max_daily_new_risk_pct": 0.76,
"max_positions": 24,
"max_positions_per_sector": 5,
"max_position_value_pct": 1.0,
"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
},
"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": 25,
"early_failure_no_progress_days": 1,
"early_failure_no_progress_r": 0.15,
"early_failure_no_progress_fraction": 1.0
},
"event_type_profiles": {
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"enabled": true,
"direction_filter": "any",
"max_holding_days_override": 20
},
"other_material_event": {
"enabled": true,
"direction_filter": "any",
"max_holding_days_override": 20
}
}
},
"strategy_engines": [
{
"engine_id": "reaction_close_long_bullish_raised_priority",
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"earnings_release"
],
"event_directions": [
"bullish"
],
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],
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},
{
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"material_contract"
],
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"unknown"
],
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"not_provided"
],
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],
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},
{
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"mixed_inline_close_location_max": 0.88,
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},
{
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},
{
"engine_id": "next_open_long_bullish_raised_recovery",
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],
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],
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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_directions": [
"unknown"
],
"guidance_statuses": [
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],
"filing_time_buckets": [
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],
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},
{
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],
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},
{
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],
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},
{
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],
"event_directions": [
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],
"guidance_statuses": [
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],
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],
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"direction": "long_only",
"entry_timing_policy": "next_open",
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"engine_risk_budget_pct": 0.02,
"reaction_day_return_min": -0.02,
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"close_location_min": 0.5,
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"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,
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"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,
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"enabled": true,
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"per_trade_risk_pct_override": 0.015,
"stop_atr_multiplier_override": 3.0,
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},
{
"engine_id": "next_open_long_other_material_mixed_orderly",
"event_types": [
"other_material_event"
],
"event_directions": [
"mixed"
],
"guidance_statuses": [
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},
{
"engine_id": "next_open_long_guidance_unknown_premarket_orderly",
"event_types": [
"guidance_update"
],
"event_directions": [
"unknown"
],
"guidance_statuses": [
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],
"filing_time_buckets": [
"pre_market"
],
"timing_class": "any",
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"engine_risk_budget_pct": 0.02,
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"volume_ratio_max": 1.3,
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"early_failure_no_progress_r_override": 0.0,
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"enabled": true,
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"per_trade_risk_pct_override": 0.015,
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},
{
"engine_id": "next_open_long_unknown_ome_orderly",
"event_types": [
"other_material_event"
],
"event_directions": [
"unknown"
],
"guidance_statuses": [
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],
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],
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"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,
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"enabled": true,
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"per_trade_risk_pct_override": 0.004,
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},
{
"engine_id": "next_open_long_mixed_ome_orderly",
"event_types": [
"other_material_event"
],
"event_directions": [
"mixed"
],
"guidance_statuses": [
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],
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"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
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},
{
"engine_id": "next_open_long_bullish_raised_recovery_broad_oneoff",
"event_types": [
"earnings_release"
],
"event_directions": [
"bullish"
],
"guidance_statuses": [
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],
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"post_market"
],
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"direction": "long_only",
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"close_location_max": 0.75,
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"volume_ratio_max": 5.0,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"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": 0.045,
"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": 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": 0.002,
"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",
"v100-based",
"ome-reduction"
],
"notes": "C o r r e c t e d - s n a p s h o t c o n t r o l f o r v 6 c o r e s t r u c t u r e w i t h o u t s i z i n g o r h o l d i n g - p e r i o d a d d - o n s . Adds narrow post-market bullish/raised large-cap one-off sibling before main recovery engine based on corrected-snapshot reject audit. Adds narrow post-market bullish/raised large-cap one-off sibling before main recovery engine based on corrected-snapshot reject audit. Lowers per-trade risk for next_open_long_other_material_unknown_orderly to 0.007 and raises engine budget to 0.05. Fine risk sweep from corrected v6.63. Fine risk sweep from corrected v6.91."
}

807
configs/experiments/return_max_long_v6new.33.json
Unescape Escape View File

@ -0,0 +1,807 @@
{
"experiment_name": "return_max_long_v6new.33",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit",
"description": "v6new.30 + core trailing_warmup 8\u219210 (\ub354 \uc624\ub798 \ubcf4\uc720, drift \ub354 \ud3ec\ucc29)",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
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},
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"max_positions": 24,
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"max_adv_fraction": 0.2,
"macro_regime_neutral_size_scaler": 1.0,
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"veto_unknown_direction": false,
"macro_regime_risk_off_a_tier_only": false
},
"execution": {
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"early_failure_no_progress_days": 1,
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},
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"direction_filter": "any",
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},
"other_material_event": {
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}
}
},
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],
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],
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],
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},
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},
{
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"mixed_inline_close_location_max": 0.88,
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{
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},
{
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{
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{
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],
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},
{
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},
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{
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},
{
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},
{
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"event_types": [
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],
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],
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},
{
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],
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],
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},
{
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"other_material_event"
],
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],
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},
{
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"event_types": [
"other_material_event"
],
"event_directions": [
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],
"guidance_statuses": [
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],
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],
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},
{
"engine_id": "next_open_long_bullish_raised_recovery_broad_oneoff",
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],
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"bullish"
],
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],
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"close_location_min": 0.3,
"close_location_max": 0.75,
"gap_size_min": 0.01,
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"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,
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"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": 0.045,
"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": 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": 0.002,
"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",
"v100-based",
"ome-reduction"
],
"notes": "C o r r e c t e d - s n a p s h o t c o n t r o l f o r v 6 c o r e s t r u c t u r e w i t h o u t s i z i n g o r h o l d i n g - p e r i o d a d d - o n s . Adds narrow post-market bullish/raised large-cap one-off sibling before main recovery engine based on corrected-snapshot reject audit. Adds narrow post-market bullish/raised large-cap one-off sibling before main recovery engine based on corrected-snapshot reject audit. Lowers per-trade risk for next_open_long_other_material_unknown_orderly to 0.007 and raises engine budget to 0.05. Fine risk sweep from corrected v6.63. Fine risk sweep from corrected v6.91."
}
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