Add v6new.275: SQS 72.7 #1, CW 312.6% — OME early fail day 1
OME engine early_failure_no_progress_days=1 (from day 2 in v272) further improves capital recovery speed. 198 trades, 312.6% CW return. SQS 72.7 = new #1 on leaderboard (including overlays). Test return +45.5%, Profit Factor 19.23. Key: cutting OME losers at day 1 instead of day 2 frees capital faster while losing only marginal OME winners that needed >1 day to show progress. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>main
I Luk Kim
6 months ago
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165424ecc2
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{
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"experiment_name": "return_max_long_v6new.274",
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
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"description": "v272 + early fail day3 on recovery/broad_oneoff engines",
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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_v13e",
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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": 0.069,
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"per_trade_risk_pct_a_tier": 0.0759,
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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": 1.5,
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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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"stop_atr_multiplier": 1.45
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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": 12,
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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": 12,
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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": 12,
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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": 0.8,
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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": 12,
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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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"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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],
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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": 12,
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"engine_risk_budget_pct": 0.025,
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"reaction_day_return_min": 0.0,
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"reaction_day_return_max": 0.08,
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"close_location_max": 0.55,
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"gap_size_min": 0.02,
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"gap_size_max": 0.09,
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"volume_ratio_min": 2.0,
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"volume_ratio_max": 4.0,
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"min_market_cap_proxy": 15000000000.0,
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"max_market_cap_proxy": 50000000000.0,
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"document_quality_score_min": 0.5,
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"parse_confidence_overall_min": 0.5,
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"score_threshold_override": 0.0,
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"residual_reserve_selected": true,
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"allow_oneoff_downsizing_override": true,
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"oneoff_downsize_floor_override": 0.1,
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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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"per_trade_risk_pct_override": 0.007,
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"enabled": true,
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"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
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"close_location_min": 0.15
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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": 12,
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"engine_risk_budget_pct": 0.1,
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"reaction_day_return_min": -0.1,
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"reaction_day_return_max": 0.08,
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"close_location_min": 0.03,
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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": 0.5,
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"parse_confidence_overall_min": 0.5,
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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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"per_trade_risk_pct_override": 0.0035
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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": 12,
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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": 12,
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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": 0.45,
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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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"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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"entry_timing_policy": "reaction_close",
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"max_holding_days": 12,
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"engine_risk_budget_pct": 0.35,
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"reaction_day_return_min": 0.2,
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"reaction_day_return_max": 0.4,
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"close_location_min": 0.83,
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"volume_ratio_min": 6.0,
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"gap_size_min": 0.0,
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"gap_size_max": 0.15,
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"attention_max_wiki_spike_10d": 6.0,
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"score_threshold_override": 0.65,
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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_inline_hivol",
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"event_types": [
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||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.03,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.05,
|
||||||
|
"close_location_min": 0.9,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.8,
|
||||||
|
"min_market_cap_proxy": 9000000000.0,
|
||||||
|
"document_quality_score_min": 0.52,
|
||||||
|
"parse_confidence_overall_min": 0.48,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 6.0,
|
||||||
|
"target_1_fraction_override": 0.0,
|
||||||
|
"trailing_warmup_days_override": 15,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.48,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_earnings_mixed_inline_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"inline_or_maintained"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"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,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000.0,
|
||||||
|
"max_market_cap_proxy": 100000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 6,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_ome_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"early-fail-expansion"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.275",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v272 but OME early fail at day 1 (fastest possible)",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.069,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.0759,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"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,
|
||||||
|
"stop_atr_multiplier": 1.45
|
||||||
|
},
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.8,
|
||||||
|
"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": 12,
|
||||||
|
"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
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.025,
|
||||||
|
"reaction_day_return_min": 0.0,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_max": 0.55,
|
||||||
|
"gap_size_min": 0.02,
|
||||||
|
"gap_size_max": 0.09,
|
||||||
|
"volume_ratio_min": 2.0,
|
||||||
|
"volume_ratio_max": 4.0,
|
||||||
|
"min_market_cap_proxy": 15000000000.0,
|
||||||
|
"max_market_cap_proxy": 50000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"allow_oneoff_downsizing_override": true,
|
||||||
|
"oneoff_downsize_floor_override": 0.1,
|
||||||
|
"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,
|
||||||
|
"per_trade_risk_pct_override": 0.007,
|
||||||
|
"enabled": true,
|
||||||
|
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||||
|
"close_location_min": 0.15
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.1,
|
||||||
|
"reaction_day_return_min": -0.1,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "reaction_close_long_extreme_orderly",
|
||||||
|
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|
||||||
|
"earnings_release",
|
||||||
|
"guidance_update"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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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",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
"guidance_update"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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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": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"inline_or_maintained"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"material_contract"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"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"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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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": 1,
|
||||||
|
"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,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 6,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_ome_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"early-fail-expansion"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.276",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v272 but OME early fail day2 R=0.1 (keep if some progress)",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.069,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.0759,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"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,
|
||||||
|
"stop_atr_multiplier": 1.45
|
||||||
|
},
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.8,
|
||||||
|
"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,
|
||||||
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|
||||||
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|
||||||
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|
||||||
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|
||||||
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|
||||||
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000.0,
|
||||||
|
"max_market_cap_proxy": 100000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"early_failure_no_progress_r_override": 0.1,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 6,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_ome_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 2,
|
||||||
|
"early_failure_no_progress_r_override": 0.1,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"early_failure_no_progress_r_override": 0.1,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"early_failure_no_progress_r_override": 0.1,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"early-fail-expansion"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,810 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.277",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v272 + ALL non-core/priority engines early fail day3 R=0",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.069,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.0759,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"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,
|
||||||
|
"stop_atr_multiplier": 1.45
|
||||||
|
},
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.8,
|
||||||
|
"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": 3,
|
||||||
|
"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": 12,
|
||||||
|
"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
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.025,
|
||||||
|
"reaction_day_return_min": 0.0,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_max": 0.55,
|
||||||
|
"gap_size_min": 0.02,
|
||||||
|
"gap_size_max": 0.09,
|
||||||
|
"volume_ratio_min": 2.0,
|
||||||
|
"volume_ratio_max": 4.0,
|
||||||
|
"min_market_cap_proxy": 15000000000.0,
|
||||||
|
"max_market_cap_proxy": 50000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"allow_oneoff_downsizing_override": true,
|
||||||
|
"oneoff_downsize_floor_override": 0.1,
|
||||||
|
"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": 3,
|
||||||
|
"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": 0.007,
|
||||||
|
"enabled": true,
|
||||||
|
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||||
|
"close_location_min": 0.15
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.1,
|
||||||
|
"reaction_day_return_min": -0.1,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_min": 0.03,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"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": 3,
|
||||||
|
"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,
|
||||||
|
"per_trade_risk_pct_override": 0.0035
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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,
|
||||||
|
"early_failure_no_progress_days_override": 3,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"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": 3,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.03,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.05,
|
||||||
|
"close_location_min": 0.9,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.8,
|
||||||
|
"min_market_cap_proxy": 9000000000.0,
|
||||||
|
"document_quality_score_min": 0.52,
|
||||||
|
"parse_confidence_overall_min": 0.48,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 3,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 6.0,
|
||||||
|
"target_1_fraction_override": 0.0,
|
||||||
|
"trailing_warmup_days_override": 15,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.48,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_earnings_mixed_inline_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"inline_or_maintained"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"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": 3,
|
||||||
|
"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,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000.0,
|
||||||
|
"max_market_cap_proxy": 100000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 3,
|
||||||
|
"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_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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 3,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 3,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"early-fail-expansion"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.278",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v272 + OME mhd=8 (shorter hold for weak engines)",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.069,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.0759,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"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,
|
||||||
|
"stop_atr_multiplier": 1.45
|
||||||
|
},
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.8,
|
||||||
|
"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": 12,
|
||||||
|
"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
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.025,
|
||||||
|
"reaction_day_return_min": 0.0,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_max": 0.55,
|
||||||
|
"gap_size_min": 0.02,
|
||||||
|
"gap_size_max": 0.09,
|
||||||
|
"volume_ratio_min": 2.0,
|
||||||
|
"volume_ratio_max": 4.0,
|
||||||
|
"min_market_cap_proxy": 15000000000.0,
|
||||||
|
"max_market_cap_proxy": 50000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"allow_oneoff_downsizing_override": true,
|
||||||
|
"oneoff_downsize_floor_override": 0.1,
|
||||||
|
"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,
|
||||||
|
"per_trade_risk_pct_override": 0.007,
|
||||||
|
"enabled": true,
|
||||||
|
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||||
|
"close_location_min": 0.15
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.1,
|
||||||
|
"reaction_day_return_min": -0.1,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_min": 0.03,
|
||||||
|
"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,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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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_material_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"material_contract"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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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_other_material_mixed_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 6,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_ome_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 8,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 8,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 8,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"early-fail-expansion"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.279",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v272 + risk 0.071/0.078",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.071,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.078,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"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,
|
||||||
|
"stop_atr_multiplier": 1.45
|
||||||
|
},
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.8,
|
||||||
|
"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,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"guidance_update"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"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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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"enabled": true,
|
||||||
|
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|
||||||
|
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|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000.0,
|
||||||
|
"max_market_cap_proxy": 100000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 6,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_ome_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"early-fail-expansion"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.280",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v272 + early fail day2 on inline+guidance engines",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
}
|
||||||
|
},
|
||||||
|
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|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "reaction_close_long_extreme_orderly",
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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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": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"volume_ratio_max": 2.8,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"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": 2,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.03,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.05,
|
||||||
|
"close_location_min": 0.9,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.8,
|
||||||
|
"min_market_cap_proxy": 9000000000.0,
|
||||||
|
"document_quality_score_min": 0.52,
|
||||||
|
"parse_confidence_overall_min": 0.48,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 2,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 6.0,
|
||||||
|
"target_1_fraction_override": 0.0,
|
||||||
|
"trailing_warmup_days_override": 15,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.48,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_earnings_mixed_inline_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"inline_or_maintained"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"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": 2,
|
||||||
|
"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,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000.0,
|
||||||
|
"max_market_cap_proxy": 100000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 2,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"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": 2,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"early-fail-expansion"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.281",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v275 + recovery engines early fail day3",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.069,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.0759,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"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,
|
||||||
|
"stop_atr_multiplier": 1.45
|
||||||
|
},
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.8,
|
||||||
|
"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": 12,
|
||||||
|
"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
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.025,
|
||||||
|
"reaction_day_return_min": 0.0,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_max": 0.55,
|
||||||
|
"gap_size_min": 0.02,
|
||||||
|
"gap_size_max": 0.09,
|
||||||
|
"volume_ratio_min": 2.0,
|
||||||
|
"volume_ratio_max": 4.0,
|
||||||
|
"min_market_cap_proxy": 15000000000.0,
|
||||||
|
"max_market_cap_proxy": 50000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"allow_oneoff_downsizing_override": true,
|
||||||
|
"oneoff_downsize_floor_override": 0.1,
|
||||||
|
"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": 3,
|
||||||
|
"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": 0.007,
|
||||||
|
"enabled": true,
|
||||||
|
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||||
|
"close_location_min": 0.15
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.1,
|
||||||
|
"reaction_day_return_min": -0.1,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_min": 0.03,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"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": 3,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
"material_contract"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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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": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"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"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"pre_market"
|
||||||
|
],
|
||||||
|
"timing_class": "any",
|
||||||
|
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|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"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,
|
||||||
|
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|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 3,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"v275-tuning"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.282",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v275 + ATR 1.50",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.069,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.0759,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"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,
|
||||||
|
"stop_atr_multiplier": 1.5
|
||||||
|
},
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.8,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 1.0,
|
||||||
|
"reaction_day_return_min": 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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|
||||||
|
"material_contract"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000.0,
|
||||||
|
"max_market_cap_proxy": 100000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 6,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_ome_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"v275-tuning"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.283",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v275 + risk 0.070/0.077",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.07,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.077,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"max_adv_fraction": 0.2,
|
||||||
|
"macro_regime_neutral_size_scaler": 1.0,
|
||||||
|
"macro_regime_risk_off_size_scaler": 1.0,
|
||||||
|
"veto_unknown_direction": false,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.03,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.05,
|
||||||
|
"close_location_min": 0.9,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.8,
|
||||||
|
"min_market_cap_proxy": 9000000000.0,
|
||||||
|
"document_quality_score_min": 0.52,
|
||||||
|
"parse_confidence_overall_min": 0.48,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 6.0,
|
||||||
|
"target_1_fraction_override": 0.0,
|
||||||
|
"trailing_warmup_days_override": 15,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.48,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_earnings_mixed_inline_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"inline_or_maintained"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"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,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.02,
|
||||||
|
"reaction_day_return_max": 0.06,
|
||||||
|
"close_location_min": 0.5,
|
||||||
|
"close_location_max": 0.8,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.02,
|
||||||
|
"volume_ratio_min": 0.9,
|
||||||
|
"volume_ratio_max": 1.4,
|
||||||
|
"min_market_cap_proxy": 10000000000.0,
|
||||||
|
"max_market_cap_proxy": 100000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 15,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
"reaction_day_return_max": 0.04,
|
||||||
|
"close_location_min": 0.35,
|
||||||
|
"close_location_max": 0.85,
|
||||||
|
"gap_size_min": -0.02,
|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
"volume_ratio_min": 0.75,
|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
"min_market_cap_proxy": 8000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.45,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"next_open_gap_cap_pct": 0.03,
|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 6,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
"early_failure_no_progress_fraction_override": 1.0,
|
||||||
|
"target_1_r_override": 5.0,
|
||||||
|
"target_1_fraction_override": 0.1,
|
||||||
|
"trailing_warmup_days_override": 12,
|
||||||
|
"enabled": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.45,
|
||||||
|
"per_trade_risk_pct_override": 0.015,
|
||||||
|
"stop_atr_multiplier_override": 3.0,
|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_ome_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
"guidance_statuses": [
|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
"filing_time_buckets": [
|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
"max_holding_days": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.008,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.015,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.003,
|
||||||
|
"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",
|
||||||
|
"v275-tuning"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -0,0 +1,807 @@
|
|||||||
|
{
|
||||||
|
"experiment_name": "return_max_long_v6new.284",
|
||||||
|
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
|
||||||
|
"description": "v275 + OME per_trade_risk halved to 0.004",
|
||||||
|
"base_config": "configs/backtest/return_max_long_v1.json",
|
||||||
|
"overrides": {
|
||||||
|
"signal": {
|
||||||
|
"scoring_model": "return_max_long_v13e",
|
||||||
|
"score_threshold": 0.45,
|
||||||
|
"max_candidates_per_day": 18,
|
||||||
|
"a_tier_score_threshold": 0.58
|
||||||
|
},
|
||||||
|
"risk": {
|
||||||
|
"per_trade_risk_pct": 0.069,
|
||||||
|
"per_trade_risk_pct_a_tier": 0.0759,
|
||||||
|
"max_daily_new_risk_pct": 0.76,
|
||||||
|
"max_positions": 24,
|
||||||
|
"max_positions_per_sector": 5,
|
||||||
|
"max_position_value_pct": 1.5,
|
||||||
|
"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,
|
||||||
|
"stop_atr_multiplier": 1.45
|
||||||
|
},
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.8,
|
||||||
|
"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": 12,
|
||||||
|
"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
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.025,
|
||||||
|
"reaction_day_return_min": 0.0,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_max": 0.55,
|
||||||
|
"gap_size_min": 0.02,
|
||||||
|
"gap_size_max": 0.09,
|
||||||
|
"volume_ratio_min": 2.0,
|
||||||
|
"volume_ratio_max": 4.0,
|
||||||
|
"min_market_cap_proxy": 15000000000.0,
|
||||||
|
"max_market_cap_proxy": 50000000000.0,
|
||||||
|
"document_quality_score_min": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"allow_oneoff_downsizing_override": true,
|
||||||
|
"oneoff_downsize_floor_override": 0.1,
|
||||||
|
"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,
|
||||||
|
"per_trade_risk_pct_override": 0.007,
|
||||||
|
"enabled": true,
|
||||||
|
"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
|
||||||
|
"close_location_min": 0.15
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.1,
|
||||||
|
"reaction_day_return_min": -0.1,
|
||||||
|
"reaction_day_return_max": 0.08,
|
||||||
|
"close_location_min": 0.03,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"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,
|
||||||
|
"per_trade_risk_pct_override": 0.0035
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "reaction_close_long_residual_lowclose_gap_d3",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release",
|
||||||
|
"guidance_update"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "reaction_close_long_extreme_orderly",
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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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",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
},
|
||||||
|
{
|
||||||
|
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|
||||||
|
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|
||||||
|
"guidance_update"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_earnings_mixed_inline_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"earnings_release"
|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
],
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_unknown_material_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"material_contract"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"unknown"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
"timing_class": "after_close",
|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"use_reaction_day_low_stop_override": false
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"engine_id": "next_open_long_other_material_mixed_orderly",
|
||||||
|
"event_types": [
|
||||||
|
"other_material_event"
|
||||||
|
],
|
||||||
|
"event_directions": [
|
||||||
|
"mixed"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"not_provided"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"post_market"
|
||||||
|
],
|
||||||
|
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|
||||||
|
"direction": "long_only",
|
||||||
|
"entry_timing_policy": "next_open",
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"early_failure_close_below_entry_and_reaction_close_override": false,
|
||||||
|
"early_failure_no_progress_days_override": 1,
|
||||||
|
"early_failure_no_progress_r_override": 0.0,
|
||||||
|
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|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.02,
|
||||||
|
"reaction_day_return_min": -0.03,
|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
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|
||||||
|
"gap_size_max": 0.03,
|
||||||
|
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|
||||||
|
"volume_ratio_max": 1.3,
|
||||||
|
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|
||||||
|
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|
||||||
|
"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": 12,
|
||||||
|
"engine_risk_budget_pct": 0.04,
|
||||||
|
"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": 1,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 12,
|
||||||
|
"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": 0.5,
|
||||||
|
"parse_confidence_overall_min": 0.5,
|
||||||
|
"score_threshold_override": 0.0,
|
||||||
|
"residual_reserve_selected": true,
|
||||||
|
"veto_parse_confidence_min_override": 0.5,
|
||||||
|
"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": 12,
|
||||||
|
"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": 1,
|
||||||
|
"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": 0.0015,
|
||||||
|
"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",
|
||||||
|
"v275-tuning"
|
||||||
|
],
|
||||||
|
"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."
|
||||||
|
}
|
||||||
@ -1,448 +0,0 @@
|
|||||||
# 1. 전략 정의
|
|
||||||
|
|
||||||
## 전략 이름
|
|
||||||
|
|
||||||
**PER-v1 (Post-Event Reversal v1)**
|
|
||||||
|
|
||||||
## 전략 목적
|
|
||||||
|
|
||||||
SEC 공시 직후 강하게 반응한 종목 중,
|
|
||||||
**초기 반응이 과도했고 다음 거래일에 follow-through가 약한 경우**를 골라
|
|
||||||
**1~3거래일 mean reversion**을 노립니다.
|
|
||||||
|
|
||||||
## 기본 철학
|
|
||||||
|
|
||||||
이 전략은 “이벤트가 좋으냐”보다 아래를 더 중요하게 봅니다.
|
|
||||||
|
|
||||||
* 반응이 **너무 강했는가**
|
|
||||||
* 다음 날 **추가 매수세가 약한가**
|
|
||||||
* 이미 **좋은 뉴스가 가격에 과반영되었는가**
|
|
||||||
* 그 종목이 **1~3일 안에 되돌릴 가능성**이 높은가
|
|
||||||
|
|
||||||
즉, 기존 전략의
|
|
||||||
|
|
||||||
* high score
|
|
||||||
* strong reaction
|
|
||||||
* next-open 추격
|
|
||||||
|
|
||||||
이 오히려 손실로 이어졌던 구조를 반대로 쓰는 것입니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 2. 어떤 종목만 거래할지
|
|
||||||
|
|
||||||
처음에는 아주 좁게 가는 게 맞습니다.
|
|
||||||
|
|
||||||
## 유니버스
|
|
||||||
|
|
||||||
* 미국 보통주만
|
|
||||||
* NYSE / Nasdaq
|
|
||||||
* 가격 $10 이상
|
|
||||||
* 최근 20일 평균 거래대금 충분히 큰 종목만
|
|
||||||
* 저유동성 바이오 / low-float / memestock 제외
|
|
||||||
* ADR / ETF / SPAC 제외
|
|
||||||
|
|
||||||
## 이벤트 타입
|
|
||||||
|
|
||||||
v1에서는 아래만 허용합니다.
|
|
||||||
|
|
||||||
* `earnings_release`
|
|
||||||
* `guidance_update`
|
|
||||||
|
|
||||||
초기에는 **material_contract도 제외**하는 게 좋습니다.
|
|
||||||
표본이 너무 적고, 반응 구조가 실적 이벤트와 다를 가능성이 큽니다.
|
|
||||||
|
|
||||||
## 차단 이벤트
|
|
||||||
|
|
||||||
아래는 제외합니다.
|
|
||||||
|
|
||||||
* `unknown event_type`
|
|
||||||
* `management_change`
|
|
||||||
* `other_material_event`
|
|
||||||
* `oneoff risk high`
|
|
||||||
* parse confidence 낮음
|
|
||||||
* direction unknown
|
|
||||||
|
|
||||||
즉, **이벤트 자체가 애매한 종목은 거래하지 않습니다.**
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 3. 전략 가설
|
|
||||||
|
|
||||||
이 전략은 아래 상황을 노립니다.
|
|
||||||
|
|
||||||
1. 공시가 나왔다
|
|
||||||
2. 시장이 반응일에 너무 강하게 샀다
|
|
||||||
3. 그런데 다음 거래일 초반/당일 흐름이 약하다
|
|
||||||
4. 그러면 좋은 뉴스가 이미 충분히 반영되었을 가능성이 높다
|
|
||||||
5. 1~3일 안에 평균 회귀가 나온다
|
|
||||||
|
|
||||||
즉, 이 전략은
|
|
||||||
**“좋은 뉴스 = 추가 상승”** 이 아니라
|
|
||||||
**“좋은 뉴스 + 과열 반응 + follow-through 부재 = 단기 되돌림”**
|
|
||||||
이라는 가설입니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 4. 신호 구조
|
|
||||||
|
|
||||||
이 전략은 기존 continuation 점수를 그대로 쓰면 안 됩니다.
|
|
||||||
이번에는 아예 별도 점수로 분리해야 합니다.
|
|
||||||
|
|
||||||
## 핵심 신호 4개
|
|
||||||
|
|
||||||
### A. Overreaction Score
|
|
||||||
|
|
||||||
반응일에 얼마나 과열되었는지를 봅니다.
|
|
||||||
|
|
||||||
예시 구성:
|
|
||||||
|
|
||||||
* reaction_day_return 높음
|
|
||||||
* close_location 높음
|
|
||||||
* volume_ratio_20d 높음
|
|
||||||
* gap_up 큼
|
|
||||||
* high-to-close extension 큼
|
|
||||||
|
|
||||||
즉, “이날 너무 강하게 갔는가”를 측정합니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
### B. Exhaustion Score
|
|
||||||
|
|
||||||
다음 날 follow-through가 약한지를 봅니다.
|
|
||||||
|
|
||||||
예시:
|
|
||||||
|
|
||||||
* D+1 open이 reaction_day_close 대비 높게 시작했지만
|
|
||||||
* D+1 intraday에서 밀림
|
|
||||||
* D+1 close가 open 또는 VWAP 아래
|
|
||||||
* D+1 close가 reaction_day high 아래에서 약하게 마감
|
|
||||||
|
|
||||||
무료 데이터 제약 때문에 intraday를 못 보면 일봉 근사도 가능합니다.
|
|
||||||
|
|
||||||
예:
|
|
||||||
|
|
||||||
* D+1 close < D+1 open
|
|
||||||
* D+1 high만 찍고 음봉 마감
|
|
||||||
* D+1 close < reaction_day_close
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
### C. Event Overpricing Score
|
|
||||||
|
|
||||||
문서 품질은 좋더라도, 시장 반응이 그보다 더 강했는지 봅니다.
|
|
||||||
|
|
||||||
예:
|
|
||||||
|
|
||||||
* event_quality는 높지만
|
|
||||||
* price reaction이 과도하게 큼
|
|
||||||
* guidance는 좋아도 숫자 자체는 폭발적이지 않음
|
|
||||||
* oneoff는 아니지만 valuation stretch가 큼
|
|
||||||
|
|
||||||
즉, 문서와 가격 반응의 **불균형**을 보는 것입니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
### D. Reversal Confirmation Score
|
|
||||||
|
|
||||||
진짜로 뒤집히는지 확인합니다.
|
|
||||||
|
|
||||||
예:
|
|
||||||
|
|
||||||
* D+1 close가 reaction_day midpoint 아래
|
|
||||||
* D+1 close가 reaction_day high 근처 안착 실패
|
|
||||||
* D+2 early weakness
|
|
||||||
|
|
||||||
v1에서는 너무 복잡하게 말고
|
|
||||||
**D+1 약세 확인** 정도만 써도 충분합니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 5. 진입 규칙
|
|
||||||
|
|
||||||
## v1 기본 진입
|
|
||||||
|
|
||||||
**D+1 close 기준 확인 → D+2 open 숏 진입**
|
|
||||||
|
|
||||||
이유는 단순합니다.
|
|
||||||
현재 데이터상으로 “next-open 추격”은 continuation에서 불리했으므로,
|
|
||||||
reversal에서는 반대로 **D+1 약세가 실제로 확인된 뒤** 들어가는 것이 맞습니다.
|
|
||||||
|
|
||||||
## 구체 룰
|
|
||||||
|
|
||||||
아래를 모두 만족할 때만 진입:
|
|
||||||
|
|
||||||
1. event_type = earnings_release 또는 guidance_update
|
|
||||||
2. event_direction = bullish
|
|
||||||
3. oneoff_penalty 낮음
|
|
||||||
4. parse_confidence 충분
|
|
||||||
5. reaction_day_return이 상위 구간
|
|
||||||
6. D+1 close < D+1 open
|
|
||||||
7. D+1 close < reaction_day_close
|
|
||||||
8. D+1 close가 reaction_day high breakout 유지 실패
|
|
||||||
|
|
||||||
이 조건이면
|
|
||||||
“좋은 뉴스가 나왔는데도 다음 날 더 못 간다”는 뜻이므로,
|
|
||||||
되돌림 가설에 맞습니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 6. 더 단순한 대안 진입
|
|
||||||
|
|
||||||
숏 체결/borrow 문제가 부담되면, 같은 논리를 **롱 회피 전략**으로 먼저 쓸 수도 있습니다.
|
|
||||||
|
|
||||||
즉,
|
|
||||||
|
|
||||||
* continuation long 전략에서
|
|
||||||
* 과열 + D+1 약세 확인 종목은 그냥 **long 금지**
|
|
||||||
|
|
||||||
이건 바로 production 필터로 넣을 수 있습니다.
|
|
||||||
|
|
||||||
그리고 그 다음 단계에서만 reversal short로 확장해도 됩니다.
|
|
||||||
|
|
||||||
즉, 개발 순서는 이렇게 가는 게 좋습니다.
|
|
||||||
|
|
||||||
1. **Long Avoidance Filter**
|
|
||||||
2. **Paper Short Reversal**
|
|
||||||
3. **Small Capital Short Live**
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 7. 청산 규칙
|
|
||||||
|
|
||||||
이 전략은 long continuation보다 더 짧게 가져가야 합니다.
|
|
||||||
|
|
||||||
## 기본 보유기간
|
|
||||||
|
|
||||||
* 최대 3거래일
|
|
||||||
* 권장 기본은 2거래일
|
|
||||||
|
|
||||||
## 기본 청산
|
|
||||||
|
|
||||||
### 1) 시간 청산
|
|
||||||
|
|
||||||
* D+2 진입이면 D+3 또는 D+4 종가 청산
|
|
||||||
* 무조건 짧게
|
|
||||||
|
|
||||||
### 2) 타겟 청산
|
|
||||||
|
|
||||||
* 반응일 과열분의 일부만 먹으면 됨
|
|
||||||
* 1R 또는 1.2R 정도면 충분
|
|
||||||
|
|
||||||
### 3) 실패 청산
|
|
||||||
|
|
||||||
* D+2에 바로 반등해버리면 빠르게 손절
|
|
||||||
* reversal이 안 나오는 종목은 오래 끌 이유가 없음
|
|
||||||
|
|
||||||
## 중요한 점
|
|
||||||
|
|
||||||
이 전략은 continuation보다 더 “타이밍” 중심이므로
|
|
||||||
**시간 손절이 하드 손절만큼 중요**합니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 8. 손절 규칙
|
|
||||||
|
|
||||||
v1에서는 너무 넓은 ATR stop보다, 구조적 손절이 더 낫습니다.
|
|
||||||
|
|
||||||
## 권장 손절
|
|
||||||
|
|
||||||
* D+1 high 돌파 시 손절
|
|
||||||
* 또는 진입가 대비 1 ATR 안쪽의 보수적 손절
|
|
||||||
|
|
||||||
왜냐하면 이 전략의 핵심은
|
|
||||||
“D+1에 이미 힘이 약해야 한다”는 전제이기 때문입니다.
|
|
||||||
그런데 D+2에서 바로 D+1 high를 뚫고 올라가면, 가설이 틀린 것입니다.
|
|
||||||
|
|
||||||
즉, 이 전략의 stop은
|
|
||||||
**“변동성 stop”보다 “가설 실패 stop”** 에 가깝게 설계하는 것이 좋습니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 9. 포지션 사이징
|
|
||||||
|
|
||||||
숏 전략은 더 보수적으로 가야 합니다.
|
|
||||||
|
|
||||||
## 권장값
|
|
||||||
|
|
||||||
* trade당 리스크: 0.25% 이하
|
|
||||||
* 동시 포지션: 최대 2개
|
|
||||||
* 같은 섹터: 최대 1개
|
|
||||||
* gross short exposure 작게
|
|
||||||
|
|
||||||
그리고 처음에는 아예
|
|
||||||
|
|
||||||
* paper only
|
|
||||||
* 또는 micro capital
|
|
||||||
|
|
||||||
로만 보시는 게 맞습니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 10. score 설계 예시
|
|
||||||
|
|
||||||
이 전략은 continuation score를 뒤집는 게 아니라, 새로 만들어야 합니다.
|
|
||||||
|
|
||||||
예시:
|
|
||||||
|
|
||||||
* Overreaction Score: 35%
|
|
||||||
* Exhaustion Score: 30%
|
|
||||||
* Event Overpricing Score: 20%
|
|
||||||
* Reversal Confirmation Score: 15%
|
|
||||||
|
|
||||||
그리고 threshold를 넘는 것만 거래합니다.
|
|
||||||
|
|
||||||
중요한 점은, 여기서는
|
|
||||||
**문서가 좋을수록 무조건 좋은 게 아니라, 문서 대비 가격 반응이 과하면 오히려 reversal 후보**가 된다는 것입니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 11. 꼭 필요한 필터
|
|
||||||
|
|
||||||
## 하드 필터
|
|
||||||
|
|
||||||
* unknown event_type 금지
|
|
||||||
* parse confidence 낮음 금지
|
|
||||||
* oneoff high 금지
|
|
||||||
* D+1 약세 미확인 금지
|
|
||||||
* borrow unavailable 금지
|
|
||||||
* HTB 비용 과도 금지
|
|
||||||
|
|
||||||
## 운영 필터
|
|
||||||
|
|
||||||
* 시장이 강한 risk-on 폭등일이면 숏 금지
|
|
||||||
* index strong trend up일 때는 size 축소
|
|
||||||
* earnings mega-cap bull squeeze 날은 숏 제한
|
|
||||||
|
|
||||||
즉, macro regime는 이 전략에서는 **더 중요**합니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 12. 백테스트 설계
|
|
||||||
|
|
||||||
이건 꼭 별도 전략으로 돌리셔야 합니다.
|
|
||||||
|
|
||||||
## 비교 대상
|
|
||||||
|
|
||||||
반드시 4개를 같이 비교하십시오.
|
|
||||||
|
|
||||||
1. continuation long baseline
|
|
||||||
2. long avoidance filter만 적용
|
|
||||||
3. reversal short candidate only
|
|
||||||
4. reversal short + regime filter
|
|
||||||
|
|
||||||
## 봐야 할 지표
|
|
||||||
|
|
||||||
* 1d / 2d / 3d return
|
|
||||||
* win rate
|
|
||||||
* PF
|
|
||||||
* expectancy
|
|
||||||
* MFE / MAE
|
|
||||||
* reaction size bucket별 성과
|
|
||||||
* D+1 weakness 강도별 성과
|
|
||||||
* sector별 성과
|
|
||||||
|
|
||||||
## 가장 중요한 검증
|
|
||||||
|
|
||||||
* reaction 강할수록 reversal이 강한가?
|
|
||||||
* D+1 음봉 강할수록 next 1~3일 수익이 좋아지는가?
|
|
||||||
* event type별로 차이가 있는가?
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 13. 실전 투입 전 조건
|
|
||||||
|
|
||||||
이 전략은 바로 live로 가면 안 됩니다.
|
|
||||||
|
|
||||||
## 승격 순서
|
|
||||||
|
|
||||||
1. backtest
|
|
||||||
2. shadow mode
|
|
||||||
3. paper short
|
|
||||||
4. micro capital
|
|
||||||
5. limited capital
|
|
||||||
|
|
||||||
## live 전 필수 확인
|
|
||||||
|
|
||||||
* borrow availability hit rate
|
|
||||||
* locate latency
|
|
||||||
* fill slippage
|
|
||||||
* upward gap risk
|
|
||||||
* short squeeze 리스크
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 14. 지금 인프라에서 바로 재사용 가능한 것
|
|
||||||
|
|
||||||
이미 만들어둔 걸 대부분 그대로 쓸 수 있습니다.
|
|
||||||
|
|
||||||
## 그대로 쓰는 것
|
|
||||||
|
|
||||||
* SEC ingestion
|
|
||||||
* parser
|
|
||||||
* event taxonomy
|
|
||||||
* feature store
|
|
||||||
* backtester
|
|
||||||
* portfolio engine
|
|
||||||
* attribution
|
|
||||||
* runbook / incident 체계
|
|
||||||
|
|
||||||
## 조금 바꾸는 것
|
|
||||||
|
|
||||||
* score model
|
|
||||||
* entry/exit policy
|
|
||||||
* short risk policy
|
|
||||||
* borrow/locate checks
|
|
||||||
* regime gate
|
|
||||||
|
|
||||||
즉, 이 전략은 **새 시스템이 아니라 새 전략 모듈**입니다.
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 15. 개발 우선순위
|
|
||||||
|
|
||||||
제가 바로 개발한다면 순서는 이렇게 갑니다.
|
|
||||||
|
|
||||||
## Step 1
|
|
||||||
|
|
||||||
**long avoidance filter**부터 구현
|
|
||||||
현재 continuation 전략에서
|
|
||||||
|
|
||||||
* 과열 반응
|
|
||||||
* D+1 약세 확인
|
|
||||||
인 종목을 long에서 제외
|
|
||||||
|
|
||||||
이건 가장 빠르게 효과를 확인할 수 있습니다.
|
|
||||||
|
|
||||||
## Step 2
|
|
||||||
|
|
||||||
reversal short를 backtest로 구현
|
|
||||||
|
|
||||||
* D+2 open 진입
|
|
||||||
* 1~3일 보유
|
|
||||||
* D+1 high stop
|
|
||||||
* fixed target/time exit
|
|
||||||
|
|
||||||
## Step 3
|
|
||||||
|
|
||||||
paper short 운영
|
|
||||||
borrow/locate 문제와 execution 품질 확인
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
# 16. 제 최종 판단
|
|
||||||
|
|
||||||
이 전략은 꽤 합리적입니다.
|
|
||||||
특히 지금까지의 결과를 보면, continuation보다 **오히려 더 데이터 친화적인 가설**일 가능성이 있습니다.
|
|
||||||
|
|
||||||
왜냐하면 현재 결과가 말하는 건 사실상 이거였기 때문입니다.
|
|
||||||
|
|
||||||
* 강한 이벤트를 따라 사면 잘 안 된다
|
|
||||||
* 높은 점수일수록 더 별로다
|
|
||||||
* D+1 follow-through가 자주 깨진다
|
|
||||||
|
|
||||||
그렇다면 자연스러운 다음 가설은
|
|
||||||
**“좋은 뉴스 + 과열 반응 + D+1 실패 = 단기 되돌림”** 입니다.
|
|
||||||
|
|
||||||
즉, 이건 억지 피벗이 아니라
|
|
||||||
**지금 데이터가 직접 제안하는 다음 전략**이라고 보겠습니다.
|
|
||||||
File diff suppressed because one or more lines are too long
Loading…
Reference in New Issue