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>
5 months ago
cdf6ae3493
feat: Phase 5 fundamental strategy improvements
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Fix core strategy flaws identified from academic research and Phase 4
backtest results (23% win rate, 0% target hits, 77% stop exits).
5A — Exit mechanics: ATR-based targets (reachable ~4.5% vs unreachable ~6-8%),
partial profit-taking at target with breakeven stop on remainder,
wider catastrophic stop (3.0 ATR), trailing stop enabled by default.
5B — Event-type-specific logic: EventTypeProfile with per-type overrides
for holding days, ATR multipliers, score thresholds, direction filter.
Disabled management_change and other_material_event (low evidence).
5C-1 — Expanded universe from 15 to 97 symbols across sectors including
mid-cap growth where PEAD is stronger.
5C-3 — Bootstrap 95% confidence intervals for key trade metrics.
5D — SUE integration: earnings surprise scoring (eps_growth_qoq) at 10%
weight, entry gate blocks negative EPS surprise for earnings events.
5F — Extended label horizons to 10D/20D with Alembic migration.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
5 months ago
bbe0e31150
feat: implement Phase 3 -- LLM enrichment, labeler, review queue, dataset export
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- 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>
5 months ago
I Luk Kim