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Add oversold bounce engine experiments (v6new.259-264) — blocked by architecture

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Bounce engine (buy negative reaction, bet on mean reversion) could not
execute: system architecture ties scoring to single model per backtest,
and selector/store indexes are optimized for positive-reaction PEAD.
Negative-reaction candidates get score=0 from PEAD scoring, blocking
engine selection regardless of engine-level threshold overrides.

Implementing bounce trades requires: dual scoring model support,
selector changes for negative-reaction candidate routing, and
store indexing changes. Deferred to future refactor.

Current best CW return: 293.2% (v6new.255)

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
main
I Luk Kim 5 months ago
parent 74244b15d2
commit e2229646e6
8 changed files with 3662 additions and 0 deletions
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3
apps/backtester/run.py
Unescape Escape View File

@ -2141,6 +2141,9 @@ def _build_store(
elif config.signal.scoring_model == "return_max_long_v14e":
from libs.backtest.scoring import compute_return_max_long_score_v14e
scoring_fn = compute_return_max_long_score_v14e
elif config.signal.scoring_model == "oversold_bounce":
from libs.backtest.scoring import compute_oversold_bounce_score
scoring_fn = compute_oversold_bounce_score
elif config.signal.scoring_model == "patient_drift":
from libs.backtest.scoring import compute_patient_drift_score

845
configs/experiments/return_max_long_v6new.259.json
Unescape Escape View File

@ -0,0 +1,845 @@
{
"experiment_name": "return_max_long_v6new.259",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
"description": "v255 + oversold bounce engine (risk 0.015, mhd=7, large-cap)",
"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"
],
"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
},
{
"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": 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": 15,
"early_failure_no_progress_r_override": 0.0,
"early_failure_no_progress_fraction_override": 1.0,
"target_1_r_override": 5.0,
"target_1_fraction_override": 0.1,
"trailing_warmup_days_override": 12,
"enabled": true,
"veto_parse_confidence_min_override": 0.5,
"veto_oneoff_penalty_override": 0.25,
"per_trade_risk_pct_override": 0.015,
"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": 12,
"early_failure_no_progress_r_override": 0.0,
"early_failure_no_progress_fraction_override": 1.0,
"target_1_r_override": 5.0,
"target_1_fraction_override": 0.1,
"trailing_warmup_days_override": 12,
"enabled": true,
"veto_parse_confidence_min_override": 0.4,
"per_trade_risk_pct_override": 0.008,
"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": 12,
"early_failure_no_progress_r_override": 0.0,
"early_failure_no_progress_fraction_override": 1.0,
"target_1_r_override": 5.0,
"target_1_fraction_override": 0.1,
"trailing_warmup_days_override": 12,
"enabled": true,
"veto_parse_confidence_min_override": 0.4,
"per_trade_risk_pct_override": 0.015,
"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,
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"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,
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"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,
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"early_failure_no_progress_fraction_override": 1.0,
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"target_1_fraction_override": 0.1,
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"per_trade_risk_pct_override": 0.008,
"stop_atr_multiplier_override": 3.0,
"use_reaction_day_low_stop_override": false,
"enabled": true
},
{
"engine_id": "next_open_long_other_material_unknown_orderly",
"event_types": [
"other_material_event"
],
"event_directions": [
"unknown"
],
"guidance_statuses": [
"not_provided"
],
"filing_time_buckets": [
"post_market"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 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": 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": 0.003,
"stop_atr_multiplier_override": 3.0,
"use_reaction_day_low_stop_override": false
},
{
"engine_id": "next_open_long_oversold_bounce_largecap",
"event_types": [
"earnings_release"
],
"event_directions": [
"mixed",
"unknown",
"bearish"
],
"timing_class": "any",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 7,
"engine_risk_budget_pct": 0.08,
"reaction_day_return_min": -0.2,
"reaction_day_return_max": -0.05,
"close_location_min": 0.2,
"volume_ratio_min": 1.5,
"min_market_cap_proxy": 20000000000.0,
"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": 3,
"early_failure_no_progress_r_override": 0.0,
"early_failure_no_progress_fraction_override": 1.0,
"target_1_r_override": 2.0,
"target_1_fraction_override": 0.3,
"trailing_warmup_days_override": 4,
"per_trade_risk_pct_override": 0.015,
"stop_atr_multiplier_override": 2.5,
"use_reaction_day_low_stop_override": false,
"veto_parse_confidence_min_override": 0.35,
"veto_oneoff_penalty_override": 0.7,
"allow_unknown_direction_override": true,
"enabled": true
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"bounce-engine"
],
"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."
}

845
configs/experiments/return_max_long_v6new.260.json
Unescape Escape View File

@ -0,0 +1,845 @@
{
"experiment_name": "return_max_long_v6new.260",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
"description": "v255 + bounce engine broader (mcap 10B, risk 0.02)",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
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},
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"max_daily_new_risk_pct": 0.76,
"max_positions": 24,
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"max_position_value_pct": 1.5,
"max_adv_fraction": 0.2,
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"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,
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"early_failure_no_progress_days": 1,
"early_failure_no_progress_r": 0.15,
"early_failure_no_progress_fraction": 1.0
},
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"enabled": true,
"direction_filter": "any",
"max_holding_days_override": 20
},
"other_material_event": {
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}
}
},
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"earnings_release"
],
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"bullish"
],
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],
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{
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"unknown"
],
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},
{
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"mixed_inline_close_location_max": 0.88,
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{
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},
{
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{
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{
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},
{
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],
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},
{
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"event_types": [
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],
"event_directions": [
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],
"guidance_statuses": [
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],
"filing_time_buckets": [
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],
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},
{
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],
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],
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{
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{
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},
{
"engine_id": "next_open_long_other_material_mixed_orderly",
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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_ome_orderly",
"event_types": [
"other_material_event"
],
"event_directions": [
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],
"guidance_statuses": [
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],
"filing_time_buckets": [
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],
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},
{
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],
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],
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],
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"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": [
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"filing_time_buckets": [
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],
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"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"
],
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"direction": "long_only",
"entry_timing_policy": "next_open",
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"engine_risk_budget_pct": 0.045,
"reaction_day_return_min": -0.05,
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"close_location_max": 0.98,
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"score_threshold_override": 0.0,
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"next_open_gap_cap_pct": 0.05,
"early_failure_close_below_entry_and_reaction_close_override": false,
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"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,
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"per_trade_risk_pct_override": 0.003,
"stop_atr_multiplier_override": 3.0,
"use_reaction_day_low_stop_override": false
},
{
"engine_id": "next_open_long_oversold_bounce_largecap",
"event_types": [
"earnings_release"
],
"event_directions": [
"mixed",
"unknown",
"bearish"
],
"timing_class": "any",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 7,
"engine_risk_budget_pct": 0.12,
"reaction_day_return_min": -0.2,
"reaction_day_return_max": -0.05,
"close_location_min": 0.2,
"volume_ratio_min": 1.5,
"min_market_cap_proxy": 10000000000.0,
"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": 3,
"early_failure_no_progress_r_override": 0.0,
"early_failure_no_progress_fraction_override": 1.0,
"target_1_r_override": 2.0,
"target_1_fraction_override": 0.3,
"trailing_warmup_days_override": 4,
"per_trade_risk_pct_override": 0.02,
"stop_atr_multiplier_override": 2.5,
"use_reaction_day_low_stop_override": false,
"veto_parse_confidence_min_override": 0.35,
"veto_oneoff_penalty_override": 0.7,
"allow_unknown_direction_override": true,
"enabled": true
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"bounce-engine"
],
"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."
}

847
configs/experiments/return_max_long_v6new.261.json
Unescape Escape View File

@ -0,0 +1,847 @@
{
"experiment_name": "return_max_long_v6new.261",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
"description": "v255 + bounce all event types (earnings+guidance+OME)",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
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"score_threshold": 0.45,
"max_candidates_per_day": 18,
"a_tier_score_threshold": 0.58
},
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"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,
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"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,
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"early_failure_no_progress_days": 1,
"early_failure_no_progress_r": 0.15,
"early_failure_no_progress_fraction": 1.0
},
"event_type_profiles": {
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"enabled": true,
"direction_filter": "any",
"max_holding_days_override": 20
},
"other_material_event": {
"enabled": true,
"direction_filter": "any",
"max_holding_days_override": 20
}
}
},
"strategy_engines": [
{
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"earnings_release"
],
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"bullish"
],
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],
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},
{
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],
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"unknown"
],
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],
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"enabled": true,
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},
{
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],
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"enabled": true,
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"mixed_inline_close_location_max": 0.88,
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"unknown_inline_exit_gap_size_max": 0.04,
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},
{
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"engine_id": "next_open_long_bullish_raised_recovery_oneoff_largecap_tight",
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},
{
"engine_id": "next_open_long_bullish_raised_recovery",
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],
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],
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],
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],
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{
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},
{
"engine_id": "next_open_long_oversold_bounce_largecap",
"event_types": [
"earnings_release",
"guidance_update",
"other_material_event"
],
"event_directions": [
"mixed",
"unknown",
"bearish"
],
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"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 7,
"engine_risk_budget_pct": 0.1,
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"target_1_r_override": 2.0,
"target_1_fraction_override": 0.3,
"trailing_warmup_days_override": 4,
"per_trade_risk_pct_override": 0.015,
"stop_atr_multiplier_override": 2.5,
"use_reaction_day_low_stop_override": false,
"veto_parse_confidence_min_override": 0.35,
"veto_oneoff_penalty_override": 0.7,
"allow_unknown_direction_override": true,
"enabled": true
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"bounce-engine"
],
"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."
}

846
configs/experiments/return_max_long_v6new.262.json
Unescape Escape View File

@ -0,0 +1,846 @@
{
"experiment_name": "return_max_long_v6new.262",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
"description": "v255 + bounce + allow bearish direction",
"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": {
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"per_trade_risk_pct_a_tier": 0.0759,
"max_daily_new_risk_pct": 0.76,
"max_positions": 24,
"max_positions_per_sector": 5,
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"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": 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": 0.003,
"stop_atr_multiplier_override": 3.0,
"use_reaction_day_low_stop_override": false
},
{
"engine_id": "next_open_long_oversold_bounce_largecap",
"event_types": [
"earnings_release"
],
"event_directions": [
"mixed",
"unknown",
"bearish"
],
"timing_class": "any",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 7,
"engine_risk_budget_pct": 0.08,
"reaction_day_return_min": -0.2,
"reaction_day_return_max": -0.05,
"close_location_min": 0.2,
"volume_ratio_min": 1.5,
"min_market_cap_proxy": 20000000000.0,
"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": 3,
"early_failure_no_progress_r_override": 0.0,
"early_failure_no_progress_fraction_override": 1.0,
"target_1_r_override": 2.0,
"target_1_fraction_override": 0.3,
"trailing_warmup_days_override": 4,
"per_trade_risk_pct_override": 0.015,
"stop_atr_multiplier_override": 2.5,
"use_reaction_day_low_stop_override": false,
"veto_parse_confidence_min_override": 0.35,
"veto_oneoff_penalty_override": 0.7,
"allow_unknown_direction_override": true,
"enabled": true
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"bounce-engine"
],
"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."
}

105
configs/experiments/return_max_long_v6new.263.json
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@ -0,0 +1,105 @@
{
"experiment_name": "return_max_long_v6new.263",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
"description": "PURE bounce scoring (oversold_bounce model) \u2014 test only",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
"signal": {
"scoring_model": "oversold_bounce",
"score_threshold": 0.0,
"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,
"veto_bearish_direction": false
},
"execution": {
"a_tier_target_1_r": 3.5,
"a_tier_target_1_fraction": 0.0,
"non_a_tier_target_1_r": 2.25,
"non_a_tier_target_1_fraction": 0.2,
"trailing_warmup_days": 6,
"max_holding_days": 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": "bounce_only",
"event_types": [
"earnings_release",
"guidance_update"
],
"timing_class": "any",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 7,
"engine_risk_budget_pct": 1.0,
"reaction_day_return_min": -0.2,
"reaction_day_return_max": -0.03,
"min_market_cap_proxy": 10000000000.0,
"volume_ratio_min": 1.0,
"score_threshold_override": 0.1,
"per_trade_risk_pct_override": 0.02,
"stop_atr_multiplier_override": 2.5,
"target_1_r_override": 2.0,
"trailing_warmup_days_override": 3,
"veto_parse_confidence_min_override": 0.3,
"veto_oneoff_penalty_override": 0.7,
"allow_unknown_direction_override": true,
"enabled": true
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"bounce-test"
],
"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."
}

130
configs/experiments/return_max_long_v6new.264.json
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{
"experiment_name": "return_max_long_v6new.264",
"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_tier3",
"description": "v255 + bounce engines (sameday+nextopen) + oversold_bounce scoring",
"base_config": "configs/backtest/return_max_long_v1.json",
"overrides": {
"signal": {
"scoring_model": "oversold_bounce",
"score_threshold": 0.0,
"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,
"veto_bearish_direction": false
},
"execution": {
"a_tier_target_1_r": 3.5,
"a_tier_target_1_fraction": 0.0,
"non_a_tier_target_1_r": 2.25,
"non_a_tier_target_1_fraction": 0.2,
"trailing_warmup_days": 6,
"max_holding_days": 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": "bounce_reaction_close",
"event_types": [
"earnings_release",
"guidance_update"
],
"timing_class": "same_day",
"direction": "long_only",
"entry_timing_policy": "reaction_close",
"max_holding_days": 7,
"engine_risk_budget_pct": 0.1,
"reaction_day_return_min": -0.2,
"reaction_day_return_max": -0.03,
"min_market_cap_proxy": 10000000000.0,
"volume_ratio_min": 1.0,
"score_threshold_override": 0.0,
"per_trade_risk_pct_override": 0.015,
"stop_atr_multiplier_override": 2.5,
"target_1_r_override": 2.0,
"trailing_warmup_days_override": 3,
"allow_unknown_direction_override": true,
"enabled": true
},
{
"engine_id": "bounce_next_open",
"event_types": [
"earnings_release",
"guidance_update"
],
"timing_class": "after_close",
"direction": "long_only",
"entry_timing_policy": "next_open",
"max_holding_days": 7,
"engine_risk_budget_pct": 0.1,
"reaction_day_return_min": -0.2,
"reaction_day_return_max": -0.03,
"min_market_cap_proxy": 10000000000.0,
"volume_ratio_min": 1.0,
"score_threshold_override": 0.0,
"per_trade_risk_pct_override": 0.015,
"stop_atr_multiplier_override": 2.5,
"target_1_r_override": 2.0,
"trailing_warmup_days_override": 3,
"allow_unknown_direction_override": true,
"enabled": true,
"filing_time_buckets": [
"post_market"
],
"next_open_gap_cap_pct": 0.05
}
],
"splits": [
{
"kind": "named_snapshot",
"params": {
"name": "train"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "valid"
}
},
{
"kind": "named_snapshot",
"params": {
"name": "test"
}
}
],
"tags": [
"return-max",
"v6new",
"bounce-v2"
],
"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."
}

41
libs/backtest/scoring.py
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@ -1609,6 +1609,47 @@ def _text_sentiment_score(row: dict[str, Any]) -> float:
return 0.2
def compute_oversold_bounce_score(row: dict[str, Any]) -> float:
"""Score for oversold bounce after negative earnings reaction.
Designed for contrarian mean-reversion trades where:
- Large-cap stock drops on mixed/negative event
- High volume confirms institutional selling (not just noise)
- Market cap provides floor for recovery
No direction or reaction-sign gates — the whole point is negative reaction.
"""
event_type = str(row.get("event_type", "")).lower()
if event_type not in {"earnings_release", "guidance_update", "other_material_event"}:
return 0.0
reaction = _safe_float(row.get("reaction_day_return"))
if reaction is None or reaction > -0.03: # must be negative
return 0.0
if reaction < -0.25: # too extreme, might be real bad news
return 0.0
parse_conf = _safe_float(row.get("parse_confidence_overall"))
if parse_conf is not None and parse_conf < 0.30:
return 0.0
# Score components for bounce quality
# 1. Reaction magnitude (40%) — bigger drop = more bounce potential
reaction_score = min(1.0, abs(reaction) / 0.15)
# 2. Volume (30%) — high volume = institutional selling = stronger signal
vol = _safe_float(row.get("volume_ratio_20d"))
vol_score = min(1.0, (vol or 1.0) / 4.0) if vol else 0.3
# 3. Close location (30%) — higher close = buying into close = bounce starting
cl = _safe_float(row.get("close_location"))
cl_score = _normalize_linear(cl, 0.1, 0.6) if cl is not None else 0.3
raw = reaction_score * 0.40 + vol_score * 0.30 + cl_score * 0.30
return _clamp(raw * 0.8) # scale down to avoid competing with main strategy
def compute_return_max_long_score_v11_surprise(row: dict[str, Any]) -> float:
"""Legacy experimental variant: V5 + earnings surprise bonus.

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