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8 Commits (main)

Author SHA1 Message Date
I Luk Kim 126445ae0e Promote v9.5.36 PEAD champion + prune experiments to 3-tier set; ORB soft-day parity; TGTC infra 
- v9.5.36 promoted: megacap reaction_min 0.02→0.03 on v9.5.20 cap=0.70 base; Full 13,244%/MDD 11.67%/Sharpe 3.579/OOT 304%; clean Pareto win
- Pruned 130 experiment configs → keep 3 (v9.4.5 max-return, v9.5.36 balanced/champion, v9.5.18 cap=0.55 conservative); rebuilt index
- PEAD engine probes: low_vol anomaly + breakout_52w (retained as falsification probes; not promoted)
- Risk analysis: 11.67% MDD confirmed structurally HYMC (6-day giveback, not controllable); per-name cap sweep on next_open_long/reaction_close falsified (0 MDD impact)
- ORB: port soft-day primary-trigger filter to live engine (6-gate parity with simulator)
- TGTC trader infrastructure + advisor service (new)
- ORB v46/v49 sweep configs, intraday scripts, docs

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 3 months ago
I Luk Kim 236148de2e Remove momentum breakout sleeve (overfitting, valid -31%) and revert related code 
- Delete v7.360-v7.363 experiment configs (rotation/momentum tests)
- Remove _schedule_momentum_breakout_candidates() from backtester run.py
- Remove MomentumBreakoutConfig from domain.py
- Delete momentum_calendar.py, momentum_screener.py, build_momentum_calendar.py
- Delete data/momentum_calendar/ parquet data

Valid period performance was -31.36% vs +152.4% baseline — sleeve is not viable
without walk-forward validation. Abandoning for now.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 4 months ago
I Luk Kim 5496059b6c Add v7.120 composed GLD experiment updates 4 months ago
I Luk Kim 72681e69e5 Add Form4 residual-cash sleeve and UI support 4 months ago
I Luk Kim b507fbf499 Add attention client and continue PEAD research 5 months ago
I Luk Kim 2395a0c0c3 feat: PEAD mid-cap strategy + pipeline hardening + README cleanup 
- Implement PEAD 7% Long+Short strategy with mid-cap universe expansion
- Add Stock Oracle screener/company clients, text sentiment features
- Enhance backtest engine: short-side execution, walk-forward CV, MFE/MAE analysis
- Harden pipeline: sequential Oracle API calls, scoring recalibration (event_quality 65%)
- Add experiment configs for 60+ strategy variants and journal tracking
- Add review/analysis CLI tools
- Remove obsolete dev/phase0-4 design documents and analysis scripts
- Clean README to reflect only implemented features (remove unbuilt adapters/engines)

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
 5 months ago
I Luk Kim 7fed850fbf test: Phase 1/2 체크리스트 재작성 및 Oracle 실연동 통합 테스트 
- Oracle 서비스 어댑터 5개를 실제 API 포맷에 맞게 수정
  - 모든 경로에 /api/v1/ prefix 추가
  - price: data[] → bars 매핑, volume float→int
  - filings: accession_number→accession_no, total_count→total
  - financial: financial_data[] → periods, period_date 파싱
  - finra: entries[] → data 매핑
  - fred: data.observations 언패킹, value string→float (버그 수정 포함)
- fixtures 6개를 실제 Oracle 응답 포맷으로 전면 교체
- 통합 테스트에서 httpx_mock 완전 제거 → 실제 Oracle 직접 호출
- 신규 단위 테스트 3개 파일 추가 (logging, fred_service, llm_parser_stub)
- test_retries.py에 exhaustion 테스트 추가
- test_oracle_client.py에 connection/timeout/no-ctx 테스트 추가
- Phase 1/2 testing_checklist.md 실제 구현 기준으로 전면 재작성
- 전체 114 tests pass (unit 100 + replay 5 + integration 9)

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 5 months ago
I Luk Kim 0471018dd8 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>
 5 months ago