Fix daily bar rebuild to use market-hours close; clean ORB simulator debug code

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Two fixes:
1. _rebuild_daily_from_intraday_cache now filters to regular market hours
   (9:30–16:00 ET) before computing OHLCV. Previously used bars[-1] which
   included after-hours data, distorting prev_close for gap calculations.
   Root cause of V23 regression: HIMS Aug-4 after-hours drop to $54.81
   made it appear as a +0.89% gap on Aug 5 instead of the correct -12.85%
   gap (from $63.45 market close), causing it to fail min_abs_gap_pct filter.
   V23 with fix: +109.32%, WR 58.1%, Sharpe 3.01, DD -12.91%

2. Remove temporary debug instrumentation (HIMS/2025-08-05 trace blocks)
   that was left in orb_simulator.py during regression investigation.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

main

I Luk Kim 4 months ago

parent 6489b22c89

commit 8f0f99bdda

2 changed files with 2166 additions and 142 deletions

Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL

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libs/intraday/orb_simulator.py

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925

libs/intraday/screener.py

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