I Luk Kim
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08e41831bc
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Promote ORB Gainers V46: PEAD prior-event signal (D-7 lookback, w=0.12)
V24 → V46 via PEAD (Post-Earnings Announcement Drift) signal. Stocks with
earnings_release or guidance_update in prior 7 calendar days show +14.5pp
win rate improvement and +0.348R advantage on ORB breakouts.
Phase 1 diagnostic (291 V24 200d trades):
Pearson=+0.135, Δ=+0.348R, WR gap=+14.5pp — all gates pass.
Phase 2 validation (w=0.12, Pareto-optimal from sweep):
200d: V46 +114.60% / -11.83% / 3.21 vs V24 +94.78% / -11.29% / 2.83
400d: V46 +173.78% / -14.11% / 2.60 vs V24 +162.1% / -13.70% / 2.471
Code changes:
- libs/intraday/domain.py: add prior_event_lookback_days: int = 0 param
- libs/intraday/orb_simulator.py: fix bug — weight_event_catalyst now wired
for gainers_leader engine (was restricted to stocks_in_play_dual_regime only)
- apps/intraday_bt/run.py: _prefetch_prior_event_features_db() helper +
DB routing in both catalyst trigger blocks when prior_event_lookback_days>0
V24 → status: superseded. V46 → status: live_champion.
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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4b8a157a67
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Promote V24 ORB Gainers: add OBV-slope(20d) accumulation quality weight
Phase 1 diagnostic (diag_orb_quality_features.py) on V23 200d trade set found
obv_slope_20 passes all edge gates: Pearson=+0.2349 with r_multiple, top-tercile
WR 75% vs bottom 59.4% (+15.6pp), avg_R gap +0.394R. Hurst_60 and OU-θ_60 failed.
Weight sweep: 0.05 is Pareto-dominant (0.10/0.15 blow DD).
200d (same window): V24 +94.8% DD-11.3% Sharpe 2.83 vs V23 +85.0% DD-11.6% Sharpe 2.66
400d (same window): V24 +162.1% DD-13.7% Sharpe 2.47 vs V23 +149.4% DD-13.7% Sharpe 2.36
V24 Pareto-dominates V23 on both windows. V23 marked superseded.
Code changes:
- libs/intraday/features.py: add compute_obv_slope_approx() + enrich_daily_bars field
- libs/intraday/domain.py: add weight_obv_slope field to ORBStrategyParams
- libs/intraday/orb_simulator.py: wire obv_slope_20 read/store/score in gainers_leader branch
- configs: orb_gainers_v24_quality_overlay.yaml (new champion, live_readiness: experimental)
- configs: orb_gainers_v23.yaml status → superseded
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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4 months ago |