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3 Commits (16f49411cb855ae1f04908269b1a53ac719d12db)

Author SHA1 Message Date
I Luk Kim 4b8a157a67 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 V23 marked superseded.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- configs: orb_gainers_v23.yaml status → superseded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>
 4 months ago
I Luk Kim cccbf88067 Document V23 TRUE 400d result and fix Safe v9 framing 
V23 400d TRUE (correct pipeline, 2026-04-21): +146.09%, DD -13.66%, Sharpe 2.33.
Prior result (+120.87%, DD -23.97%) was from buggy AH-close pipeline; data fix
improved DD by 10.31pp. V23 now strictly dominates Safe v9 on ALL 400d metrics
(+45pp return, +3.5pp DD, +0.34 Sharpe). Updated Safe v9 status to
validated_200d_only and clarified Korean framing to remove the misleading
"최종 검증 전략" without qualification.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 4 months ago
I Luk Kim d7bfda039b Add expanded ORB simulator features and metrics 
- orb_simulator.py: min_abs_gap_pct filter, premarket dollar vol filter,
  rolling_loss circuit breaker, drawdown_governor, streak_sizing,
  trailing_tighten_at_r, allow_doji/red_to_green breakout, abs_gap scoring
  for gainers_leader, ORBSimulationState, run_orb_simulation_with_state API
- metrics.py: loss_containment_score and related metrics
- features.py: enrich_daily_bars with gap_zscore, ATR ratio, range compression
- domain.py: extended ORBStrategyParams with new fields
- cache.py: DailyBarCache with merged parquet storage and coverage metadata
- simulator.py: base simulator updates for new entry/exit mechanics
- configs/intraday: updated orb_gainers_v23.yaml with canonical params
- Added BLD to midlarge symbol snapshot

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 4 months ago