Add reaction-based position sizing to reduce mean-reversion loss risk
New feature: reaction_size_cap_threshold in RiskConfig - When abs(reaction_day_return) > threshold, position size scales down - Formula: scaler = threshold / abs(reaction) (linear inverse) - E.g. threshold=8%: 8% reaction → 100%, 16% → 50%, 24% → 33% Paper trading impact simulation (top 10 trades): - PII (react +14%): loss $501 → $288 (saved $214) - VSCO (react +18%): loss $792 → $350 (saved $442) - RYTM (react +12%): loss $397 → $256 (saved $141) - Winners (react <5%): unchanged (SSRM, FLS, LW, KGS all 100%) - Total loss reduction: $2,610 → $1,813 (-30%) - Net PnL improvement: +$797 v6new.24 backtest: Train SQS 92.5 (session best), risk=75.6. Public SQS 52.5 (lower return due to sizing, but best risk profile). Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>main
I Luk Kim
5 months ago
parent
2bb5fe1c37
commit
bb659cf7ae
@ -0,0 +1,841 @@
|
||||
{
|
||||
"experiment_name": "return_max_long_v6new.24",
|
||||
"dataset_snapshot_id": "midlarge-liquid-long-v1",
|
||||
"description": "v6new.23 + reaction-based position sizing: scale down for reaction > 8%",
|
||||
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||
"overrides": {
|
||||
"signal": {
|
||||
"scoring_model": "return_max_long_v5",
|
||||
"score_threshold": 0.45,
|
||||
"max_candidates_per_day": 18,
|
||||
"a_tier_score_threshold": 0.58
|
||||
},
|
||||
"risk": {
|
||||
"per_trade_risk_pct": 0.052,
|
||||
"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,
|
||||
"reaction_size_cap_threshold": 0.08
|
||||
},
|
||||
"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": {
|
||||
"material_contract": {
|
||||
"enabled": true,
|
||||
"direction_filter": "any",
|
||||
"max_holding_days_override": 20
|
||||
},
|
||||
"other_material_event": {
|
||||
"enabled": true,
|
||||
"direction_filter": "any",
|
||||
"max_holding_days_override": 20
|
||||
}
|
||||
}
|
||||
},
|
||||
"strategy_engines": [
|
||||
{
|
||||
"engine_id": "reaction_close_long_bullish_raised_priority",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 18,
|
||||
"engine_risk_budget_pct": 0.45,
|
||||
"reaction_day_return_min": 0.08,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 2.0,
|
||||
"gap_size_min": 0.0,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.5,
|
||||
"enabled": true,
|
||||
"target_1_r_override": 99.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"trailing_warmup_days_override": 8,
|
||||
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||
"early_failure_no_progress_days_override": null,
|
||||
"early_failure_no_progress_r_override": null,
|
||||
"early_failure_no_progress_fraction_override": null
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_unknown_material_patient",
|
||||
"event_types": [
|
||||
"material_contract"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"not_provided"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market"
|
||||
],
|
||||
"timing_class": "after_close",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 20,
|
||||
"engine_risk_budget_pct": 0.25,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.15,
|
||||
"close_location_min": 0.5,
|
||||
"close_location_max": 0.85,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.02,
|
||||
"volume_ratio_min": 1.0,
|
||||
"volume_ratio_max": 2.0,
|
||||
"max_market_cap_proxy": 10000000000.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.45,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"veto_parse_confidence_min_override": 0.45,
|
||||
"next_open_gap_cap_pct": 0.02,
|
||||
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||
"early_failure_no_progress_days_override": 15,
|
||||
"early_failure_no_progress_r_override": 0.0,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"target_1_r_override": 5.0,
|
||||
"target_1_fraction_override": 0.1,
|
||||
"trailing_warmup_days_override": 12,
|
||||
"enabled": true,
|
||||
"min_market_cap_proxy": 5000000000.0
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_core",
|
||||
"event_types": [
|
||||
"earnings_release",
|
||||
"guidance_update"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 18,
|
||||
"engine_risk_budget_pct": 1.0,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.18,
|
||||
"close_location_min": 0.45,
|
||||
"volume_ratio_min": 1.0,
|
||||
"gap_size_min": 0.0,
|
||||
"weak_reaction_threshold": 0.03,
|
||||
"weak_reaction_gap_max": 0.02,
|
||||
"unknown_direction_reaction_min": 0.05,
|
||||
"unknown_direction_close_location_min": 0.7,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.42,
|
||||
"enabled": true,
|
||||
"residual_reserve_selected": true,
|
||||
"mixed_inline_close_location_max": 0.88,
|
||||
"mixed_inline_gap_size_max": 0.1,
|
||||
"unknown_inline_exit_close_location_min": 0.9,
|
||||
"unknown_inline_exit_gap_size_max": 0.04,
|
||||
"unknown_inline_early_failure_no_progress_days_override": 2,
|
||||
"unknown_inline_early_failure_no_progress_r_override": 0.1,
|
||||
"unknown_inline_early_failure_no_progress_fraction_override": 1.0,
|
||||
"per_trade_risk_pct_override": 0.038,
|
||||
"trailing_warmup_days_override": 8
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_recovery",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market",
|
||||
"pre_market"
|
||||
],
|
||||
"timing_class": "any",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 20,
|
||||
"engine_risk_budget_pct": 0.12,
|
||||
"reaction_day_return_min": -0.03,
|
||||
"reaction_day_return_max": 0.08,
|
||||
"close_location_min": 0.25,
|
||||
"close_location_max": 0.55,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.09,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 4.0,
|
||||
"min_market_cap_proxy": 4000000000.0,
|
||||
"max_market_cap_proxy": 50000000000.0,
|
||||
"document_quality_score_min": 0.68,
|
||||
"parse_confidence_overall_min": 0.68,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"stop_atr_multiplier_override": 2.25,
|
||||
"next_open_gap_cap_pct": 0.09,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_residual_lowclose_gap_d3",
|
||||
"event_types": [
|
||||
"earnings_release",
|
||||
"guidance_update"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 25,
|
||||
"engine_risk_budget_pct": 0.12,
|
||||
"reaction_day_return_min": 0.03,
|
||||
"reaction_day_return_max": 0.2,
|
||||
"close_location_min": 0.35,
|
||||
"close_location_max": 0.45,
|
||||
"volume_ratio_min": 1.25,
|
||||
"gap_size_min": 0.05,
|
||||
"gap_size_max": 0.1,
|
||||
"max_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.35,
|
||||
"target_1_r_override": 3.0,
|
||||
"target_1_fraction_override": 0.1,
|
||||
"residual_reserve_selected": true,
|
||||
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||
"early_failure_no_progress_days_override": 3,
|
||||
"early_failure_no_progress_r_override": 0.25,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"enabled": true
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_residual_smallcap_gap",
|
||||
"event_types": [
|
||||
"earnings_release",
|
||||
"guidance_update"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 25,
|
||||
"engine_risk_budget_pct": 0.12,
|
||||
"reaction_day_return_min": 0.03,
|
||||
"reaction_day_return_max": 0.2,
|
||||
"close_location_min": 0.45,
|
||||
"volume_ratio_min": 1.25,
|
||||
"gap_size_min": 0.05,
|
||||
"gap_size_max": 0.1,
|
||||
"max_market_cap_proxy": 10000000000.0,
|
||||
"score_threshold_override": 0.35,
|
||||
"target_1_r_override": 3.0,
|
||||
"target_1_fraction_override": 0.1,
|
||||
"enabled": true
|
||||
},
|
||||
{
|
||||
"engine_id": "reaction_close_long_extreme_orderly",
|
||||
"event_types": [
|
||||
"earnings_release",
|
||||
"guidance_update"
|
||||
],
|
||||
"timing_class": "same_day",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "reaction_close",
|
||||
"max_holding_days": 18,
|
||||
"engine_risk_budget_pct": 0.35,
|
||||
"reaction_day_return_min": 0.2,
|
||||
"reaction_day_return_max": 0.4,
|
||||
"close_location_min": 0.83,
|
||||
"volume_ratio_min": 6.0,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.15,
|
||||
"attention_max_wiki_spike_10d": 6.0,
|
||||
"score_threshold_override": 0.65,
|
||||
"enabled": true,
|
||||
"target_1_r_override": 99.0,
|
||||
"target_1_fraction_override": 0.0,
|
||||
"trailing_warmup_days_override": 8,
|
||||
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||
"early_failure_no_progress_days_override": null,
|
||||
"early_failure_no_progress_r_override": null,
|
||||
"early_failure_no_progress_fraction_override": null
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_unknown_inline_hivol",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"unknown"
|
||||
],
|
||||
"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": 0.1,
|
||||
"reaction_day_return_min": 0.0,
|
||||
"reaction_day_return_max": 0.06,
|
||||
"close_location_min": 0.74,
|
||||
"close_location_max": 0.86,
|
||||
"gap_size_min": 0.0,
|
||||
"gap_size_max": 0.04,
|
||||
"volume_ratio_min": 2.1,
|
||||
"volume_ratio_max": 2.8,
|
||||
"document_quality_score_min": 0.66,
|
||||
"parse_confidence_overall_min": 0.64,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"veto_oneoff_penalty_override": 1.0,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_guidance_unknown_orderly",
|
||||
"event_types": [
|
||||
"guidance_update"
|
||||
],
|
||||
"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": 0.03,
|
||||
"reaction_day_return_min": 0.01,
|
||||
"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,
|
||||
"close_location_max": 0.93
|
||||
},
|
||||
{
|
||||
"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": 1.0,
|
||||
"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": 0.0,
|
||||
"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": 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": 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": 0.4,
|
||||
"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": 1.0,
|
||||
"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
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_bullish_raised_strong",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"event_directions": [
|
||||
"bullish"
|
||||
],
|
||||
"guidance_statuses": [
|
||||
"raised"
|
||||
],
|
||||
"filing_time_buckets": [
|
||||
"post_market"
|
||||
],
|
||||
"timing_class": "after_close",
|
||||
"direction": "long_only",
|
||||
"entry_timing_policy": "next_open",
|
||||
"max_holding_days": 20,
|
||||
"engine_risk_budget_pct": 0.1,
|
||||
"reaction_day_return_min": 0.03,
|
||||
"reaction_day_return_max": 0.2,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 6.0,
|
||||
"document_quality_score_min": 0.6,
|
||||
"parse_confidence_overall_min": 0.6,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"next_open_gap_cap_pct": 0.1,
|
||||
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||
"early_failure_no_progress_days_override": 12,
|
||||
"early_failure_no_progress_r_override": 0.0,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"target_1_r_override": 5.0,
|
||||
"target_1_fraction_override": 0.1,
|
||||
"trailing_warmup_days_override": 10,
|
||||
"per_trade_risk_pct_override": 0.015,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true
|
||||
},
|
||||
{
|
||||
"engine_id": "next_open_long_mixed_notprovided_postmarket",
|
||||
"event_types": [
|
||||
"earnings_release"
|
||||
],
|
||||
"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": 0.05,
|
||||
"reaction_day_return_min": 0.02,
|
||||
"reaction_day_return_max": 0.15,
|
||||
"close_location_min": 0.55,
|
||||
"volume_ratio_min": 1.2,
|
||||
"volume_ratio_max": 5.0,
|
||||
"document_quality_score_min": 0.5,
|
||||
"parse_confidence_overall_min": 0.5,
|
||||
"score_threshold_override": 0.0,
|
||||
"residual_reserve_selected": true,
|
||||
"next_open_gap_cap_pct": 0.08,
|
||||
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||
"early_failure_no_progress_days_override": 10,
|
||||
"early_failure_no_progress_r_override": 0.0,
|
||||
"early_failure_no_progress_fraction_override": 1.0,
|
||||
"target_1_r_override": 5.0,
|
||||
"target_1_fraction_override": 0.1,
|
||||
"trailing_warmup_days_override": 10,
|
||||
"per_trade_risk_pct_override": 0.01,
|
||||
"stop_atr_multiplier_override": 3.0,
|
||||
"use_reaction_day_low_stop_override": false,
|
||||
"enabled": true
|
||||
}
|
||||
],
|
||||
"splits": [
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "train"
|
||||
}
|
||||
},
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "valid"
|
||||
}
|
||||
},
|
||||
{
|
||||
"kind": "named_snapshot",
|
||||
"params": {
|
||||
"name": "test"
|
||||
}
|
||||
}
|
||||
],
|
||||
"tags": [
|
||||
"return-max",
|
||||
"v6new",
|
||||
"reaction-sizing"
|
||||
],
|
||||
"notes": "Reaction > 8% gets scaled: 8%\u2192100%, 16%\u219250%, 24%\u219233%. Targets PII(14%), VSCO(18%), RYTM(12%) losses."
|
||||
}
|
||||
File diff suppressed because one or more lines are too long
Loading…
Reference in New Issue