I Luk Kim
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1e66b67c7a
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Add technical/scientific feature experiments (v6new.106-173) and v6new.122 SQS 72.4
Tier 1: Vol/RSI/BB/OBV features — sizing scalers hurt public SQS, scoring
adjustments ineffective on 28-30 trades. Only doc_quality gate lowering
(0.66→0.55) improved results (+2 trades, +0.8 SQS).
Tier 2: Hurst exponent, Shannon entropy, sector momentum — entropy bonus
CW +10.7pp but SQS equivalent (72.3 vs 72.4). Sector momentum hurt badly.
Tier 3: OU theta, gravitational pull, market temperature — all caused
large CW return drops (-80 to -103pp). Physics-based indicators don't
fit event-driven PEAD.
Best result: v6new.122 (SQS 72.4, #3 leaderboard) = v6new.29 + doc quality
gate 0.66→0.55. Single parameter change outperformed all feature engineering.
New code:
- libs/features/market_features.py: 9 new features (vol, RSI, BB, OBV,
Hurst, entropy, OU theta, gravitational pull, market temperature)
- libs/backtest/scoring.py: v12-v14 scoring models with technical gates
- libs/backtest/allocator.py: volatility + conviction size scalers
- libs/backtest/domain.py: volatility_size_scaler + conviction_boost config
- scripts/enrich_*.py: snapshot enrichment scripts
- 68 experiment configs (v6new.106-173)
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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5 months ago |
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I Luk Kim
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0471018dd8
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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>
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5 months ago |