I Luk Kim
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126445ae0e
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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>
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3 months ago |
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I Luk Kim
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e38c314a09
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Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure
New features:
- Ownership 13D/13G residual-cash sleeve with PIT calendar and quality filters
- Risk-off alpha sleeve (GLD/DBC rotation on crisis regime signals)
- Crisis relay target in parking: evaluates before defensive relay
- Bearish symbol allocation split (bearish_alloc_pct + sgov remainder)
- Alternative defensive ETF candidate (cash_parking_defensive_alt_symbol)
- Composite eval and engine ablation tools
- experiment and overfit CLI apps
New experiments:
- v17.x series (v17.1 champion SQS 78.4; v17.5–v17.129 exhausted)
- v18.x and v19.x families from v12.8 OOT defense branch
- v7.119 composed variants (idle alpha + ownership + risk-off sleeves)
- parking_only configs: bufb, jepq, merix, regime_tiered
- empty_strategy baseline config
Web app:
- Restructured into routers/services modules (experiments, leaderboard, runs, sqs, docs)
- Ownership sleeve and risk-off sleeve controls in backtest UI
- Frontend: ComposeStrategy page, tradeSleeves lib, idle decomposition display
Research tools:
- Ownership 13D/13G probe and PIT cache builder
- Dividend capture probe and cache builder
- Insider Form4 idle alpha probe
- Alternative ETF parking probe, put-spread overlay probe
- Wikimedia low-attention and peer-relative idle alpha probes
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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bbe0e31150
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feat: implement Phase 3 -- LLM enrichment, labeler, review queue, dataset export
- libs/llm/: OllamaClient (httpx async, retry), LLMCacheStore (SHA-256 DB cache),
prompt registry (event_classifier_v1), LLMParser (cache→prompt→validate→repair)
- libs/parser/merger.py: rule+LLM canonical merge with provenance tracking,
conflict detection (both confident + disagree), should_queue_for_review()
- libs/db/models.py: LLMCallCache, ReviewItem, EventLabel 3개 ORM 모델 추가
- libs/db/migrations/versions/0002_phase3_tables.py: Phase 3 Alembic migration
- libs/labeler/: filing_time_bucket→reaction_date, 1D/3D/5D fwd return, MFE/MAE
- libs/review/queue.py: create(dedup)/resolve/list ReviewItem
- libs/export/snapshot_export.py: temporal split + Parquet + manifest.json
- apps/: label_generator, dataset_export, review CLI, gold set evaluator
- 42개 신규 테스트 추가 (unit 32 + integration 4 + replay 1) — 152/152 통과
- libs/common/config.py: OLLAMA_URL/MODEL/TIMEOUT 설정 추가
- libs/common/logging.py: bugfix — add_logger_name incompatible with PrintLoggerFactory
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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5 months ago |