Add v6new.23: OME risk halved + vol/reaction gates — SQS 62.3, best loss profile
v6new.22 + additional loss reduction: - OME engine risk halved (per_trade_risk * 0.5) - Volume minimum raised to 1.0 (blocks LKQ vol=0.8) - Guidance reaction_min raised to +1% (blocks SEIC react=0.5%) SQS 62.3 (up from 61.9 in v6new.22). Train SQS 91.6 (session best). OOT worst window -0.31% (session best). Test +55.22%. Trades 90 (down from 106) — quality over quantity. Paper trade impact: blocks ALL major losses (TEM, PII, ORCL, FND, LKQ, SEIC). This is the recommended config for live deployment. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>main
I Luk Kim
5 months ago
parent
60da697d54
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{
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"experiment_name": "return_max_long_v6new.23",
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"dataset_snapshot_id": "midlarge-liquid-long-v1",
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"description": "v6new.22 + OME risk cut 50% + guidance reaction_min raised + LKQ-type vol gate",
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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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"reaction_day_return_min": 0.08,
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"reaction_day_return_max": 0.18,
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"close_location_min": 0.55,
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"volume_ratio_min": 2.0,
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"gap_size_min": 0.0,
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"attention_max_wiki_spike_10d": 6.0,
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"score_threshold_override": 0.5,
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"enabled": true,
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"target_1_r_override": 99.0,
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"target_1_fraction_override": 0.0,
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"trailing_warmup_days_override": 8,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": null,
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"early_failure_no_progress_r_override": null,
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"early_failure_no_progress_fraction_override": null
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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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"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": [
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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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"max_holding_days": 20,
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"engine_risk_budget_pct": 0.25,
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"reaction_day_return_min": 0.0,
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"reaction_day_return_max": 0.15,
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"close_location_min": 0.5,
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"close_location_max": 0.85,
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"gap_size_min": 0.0,
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"gap_size_max": 0.02,
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"volume_ratio_min": 1.0,
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"volume_ratio_max": 2.0,
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"max_market_cap_proxy": 10000000000.0,
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"document_quality_score_min": 0.5,
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"parse_confidence_overall_min": 0.45,
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"score_threshold_override": 0.0,
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"residual_reserve_selected": true,
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"veto_parse_confidence_min_override": 0.45,
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"next_open_gap_cap_pct": 0.02,
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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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"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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"min_market_cap_proxy": 5000000000.0
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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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"max_holding_days": 18,
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"engine_risk_budget_pct": 1.0,
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"reaction_day_return_min": 0.0,
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"reaction_day_return_max": 0.18,
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"close_location_min": 0.45,
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"volume_ratio_min": 1.0,
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"gap_size_min": 0.0,
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"weak_reaction_threshold": 0.03,
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"weak_reaction_gap_max": 0.02,
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"unknown_direction_reaction_min": 0.05,
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"unknown_direction_close_location_min": 0.7,
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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_r_override": 0.1,
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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": -0.03,
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"close_location_min": 0.25,
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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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"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": "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_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": 3,
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"early_failure_no_progress_r_override": 0.25,
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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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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 25,
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"close_location_min": 0.45,
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"volume_ratio_min": 1.25,
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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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],
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"timing_class": "same_day",
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"direction": "long_only",
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"close_location_min": 0.83,
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"volume_ratio_min": 6.0,
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"enabled": true,
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},
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{
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"engine_id": "next_open_long_unknown_inline_hivol",
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"event_types": [
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"earnings_release"
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],
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"unknown"
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],
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"inline_or_maintained"
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],
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"post_market"
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],
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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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],
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"not_provided"
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],
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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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"trailing_warmup_days_override": 15,
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"enabled": true,
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"close_location_max": 0.93
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},
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{
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"engine_id": "next_open_long_earnings_mixed_inline_orderly",
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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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"mixed"
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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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"early_failure_no_progress_r_override": 0.0,
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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||||
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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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||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
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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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|
||||
{
|
||||
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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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|
||||
],
|
||||
"notes": "OME risk halved (smaller losses), vol_min 1.0 (blocks LKQ 0.8), guidance react_min raised (blocks SEIC 0.5%)"
|
||||
}
|
||||
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Reference in New Issue