0e62b01c89
Add v6new.10 (engine pruning) — SQS 61.9, confirms v6new.9 remains best at 63.3
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Pruned bullish_raised_strong (OOS -16.7%) and unknown_ome (OOS 0% WR) from v6new.9.
Result: trade count dropped 118->105, activity penalty offset the quality gain.
v6new.9 (SQS 63.3) confirmed as new #1 over v6.29 (62.8).
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
7 months ago
5d728298cf
Add v6new.9: coverage expansion with tuned risk — SQS 63.3 beats v6.29 (62.8)
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v6new.9 adds 2 post-market engines with conservative risk sizing:
- bullish_raised_strong: 1.5% risk, 3.0 ATR stop, 10% budget
- mixed_notprovided_postmarket: 1.0% risk, 3.0 ATR stop, 5% budget
Results vs v6.29 (same OOT conditions, 252d windows):
- SQS: 62.8 -> 63.3 (+0.5)
- Trades: 111 -> 118 (+7), test 23 -> 28 (+5)
- WFV: 91.7% positive (same), gap 12.35% -> 10.35%
- Train DD: 6.79% -> 6.34%
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
7 months ago
85c4d98987
Add v6new experiment suite: scoring v8/v9/v9g, cross-event drift, coverage engines
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Scoring additions (libs/backtest/scoring.py):
- v8: conditional financial bonus (eps_growth_qoq/revenue_growth_qoq)
- v9: cross-event drift momentum (+/-10% from prior same-ticker 5d return)
- v9g: gated variant — reject events with negative prior drift
Snapshot export (libs/export/snapshot_export.py):
- _enrich_prior_event_drift: computes prior_event_fwd5d for all snapshots
- smallcap-liquid-long-v1 universe profile ($500M-$2B)
- market_cap_max support in screener and filtering
8 experiment configs (v6new.1-v6new.8):
- v6new.1: unknown event reclassification (neutral)
- v6new.2: financial features (neutral, EPS growth is noise)
- v6new.3: small-cap (blocked, survivorship bias)
- v6new.4-6: cross-event drift variants (rejected)
- v6new.7: engine pruning (quality up, count down)
- v6new.8: coverage expansion with 2 new post-market engines (best result)
Best result: v6new.8 SQS 41.5 vs v6.29 control 32.3 on same conditions.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
7 months ago
02542248b7
Add attention-aware PEAD caps and promote step75
7 months ago
b507fbf499
Add attention client and continue PEAD research
7 months ago
c646303423
Recalibrate public SQS and exposure-aware tracking
7 months ago
9ec0b26e10
Implement multi-engine PEAD strategy research workflow
7 months ago
2395a0c0c3
feat: PEAD mid-cap strategy + pipeline hardening + README cleanup
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- 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>
7 months ago
I Luk Kim