I Luk Kim
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b3ba914a8d
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Optimize v7 strategy: v7.356 achieves CW 2159% + SQS 90.7 (Pareto improvement over v7.314)
Key changes from v7.314 baseline (CW 2012%, SQS 90.0):
- max_position_value_pct 15→25, non_a_tier_target_1_fraction 0.2→0
- max_daily_new_risk_pct 30→50 (via v7.330, CW champion 2148%)
- bullish_raised_recovery per_trade_risk_pct 0.71→0.55 (DD improvement)
- bullish_raised_recovery max_holding_days 12→10 (sweet spot, +98pp CW)
Result: v7.356 CW 2159% (+147pp), SQS 90.7 (+0.7), risk 66.2 (+2.9), robustness 94.3 (+0.5)
All metrics improved simultaneously — return increase AND DD reduction achieved.
Also includes: web UI updates, pipeline scripts, v16/v17/v18/v19 experiment pruning,
Form4 preset additions, snapshot registry updates, domain.py enhancements.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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4 months ago |
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I Luk Kim
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0471018dd8
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feat: implement ACE-F v1 Phase 1 -- Stock Oracle 기반 이벤트 파이프라인
Stock Oracle (localhost:18001)을 단일 데이터 소스로 사용하는 미국 주식
이벤트 스윙 트레이딩 시스템의 Phase 1 구현체.
주요 구성:
- libs/oracle_client/: Stock Oracle REST 클라이언트 (filings, price, financial, fred, finra)
- libs/common/: config, logging, time_utils, ids, retries, file_store
- libs/db/: SQLAlchemy 2.0 모델 12개 + Alembic 마이그레이션 0001
- libs/parser/: 규칙 기반 파서 (텍스트 정규화, JSON Schema 검증, LLM 스텁)
- libs/features/: 시장/이벤트 피처 계산기
- apps/pipeline/: filing_poller → filing_fetcher → event_parser → feature_builder
- apps/sync/: macro_sync (FRED), short_volume_sync (FINRA), issuer_sync
- tests/: 단위 81개 + 리플레이 5개 전체 통과, lint clean
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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5 months ago |