126445ae0e
Promote v9.5.36 PEAD champion + prune experiments to 3-tier set; ORB soft-day parity; TGTC infra
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- v9.5.36 promoted: megacap reaction_min 0.02→0.03 on v9.5.20 cap=0.70 base; Full 13,244%/MDD 11.67%/Sharpe 3.579/OOT 304%; clean Pareto win
- Pruned 130 experiment configs → keep 3 (v9.4.5 max-return, v9.5.36 balanced/champion, v9.5.18 cap=0.55 conservative); rebuilt index
- PEAD engine probes: low_vol anomaly + breakout_52w (retained as falsification probes; not promoted)
- Risk analysis: 11.67% MDD confirmed structurally HYMC (6-day giveback, not controllable); per-name cap sweep on next_open_long/reaction_close falsified (0 MDD impact)
- ORB: port soft-day primary-trigger filter to live engine (6-gate parity with simulator)
- TGTC trader infrastructure + advisor service (new)
- ORB v46/v49 sweep configs, intraday scripts, docs
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
3 months ago
9095b376d9
Clean up superseded configs and commit accumulated R&D infrastructure
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Key changes:
- Delete superseded strategy configs: orb_gainers safe_v2-v9, orb_pullback, vwap_reclaim, hypergap, leader_safe
- Add V46 prior_event_types param to domain.py + run.py event type wiring
- Major simulator.py enhancements: sector thrust sleeve, sector proxy mapping, helper functions
- Improve screener.py with better scoring/filtering
- Add new test coverage: test_simulator.py (776 lines) + test_screener.py (313 lines)
- Add V24.1 research candidate configs (w002/w003/w004/entrycap/losscap010 variants)
- Add leader momentum research configs and sweep files
- Update configs/snapshots/registry.json with new strategy registrations
- Add docs/leader_intraday_momentum_workflow.md
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
08e41831bc
Promote ORB Gainers V46: PEAD prior-event signal (D-7 lookback, w=0.12)
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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>
4 months ago
9e622c6614
Investigate compound mode: V23 is absolute champion in all modes
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- V23 pure compound (live-equivalent): 200d +148.13% DD-14.23%, 400d +209.41% DD-17.35%
- Hybrid V2 compound tested: 200d +175.41% looks promising but 400d +181.71% DD-23.72%
loses to V23 by -27.7pp return AND -6.4pp worse DD → rejected
- Safe v9 compound 400d: +128.49% DD-14.43% — better DD but -81pp return vs V23 → rejected
- V23 tight governor compound 400d: +192.54% DD-17.32% — marginal gain, not worth config
- Live paper trader uses compound mode (engine.py:1816 session_equity = initial_equity + P&L)
- All improvement axes exhausted; V23 daily_reset declared TERMINAL
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
b98442b28a
Add paper trader improvements, web GUI updates, and experiment registry cleanup
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- Paper trader: Alpaca broker fixes, catchup-thread state improvements
- Web GUI: intraday backtest duplicate run button, paper trading fixes
- Experiment registry: cleanup old v15/v16 experiments, update index
- Tests: Oracle client test additions
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
I Luk Kim