fithia2

Commit Graph

Author	SHA1	Message	Date
I Luk Kim	9e622c6614	Investigate compound mode: V23 is absolute champion in all modes - 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
I Luk Kim	190f7a47fa	Fix V23 live engine: regime filter, sizing fidelity, trailing tighten - screener.py: add min_atr_pct/max_atr_pct filters to live_pre_screen - engine.py: prepend regime ticker (QQQ) to bar fetch so regime filter works - engine.py: add rolling loss + account circuit breaker at run_orb_detection - engine.py: patch today_open from first 1-min bar so regime gap is real - engine.py: explicit regime + breadth filter before compute_orb_candidates - engine.py: max_simultaneous_entries guard in run_breakout_check - engine.py: _compute_sizing_capital with daily_budget_reset (fixed $10k base), drawdown governor, and streak sizing (win bonus / loss penalty) - engine.py: trailing_tighten_at_r in run_stop_check (tight multiplier at 2R) Bug fixes in _compute_sizing_capital: - streak direction: remove reversed() so outcomes[0] = newest trade - daily reset: use initial_equity as base (not growing equity), matching V23 Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>	4 months ago
I Luk Kim	564bcba27c	Add ORB pre-market screening and fix Oracle/Alpaca reliability bugs - Add run_pre_screen() at 9:20 ET: fetch daily bars + enrichment + quality filter before market open, narrowing universe for faster orb_detect intraday fetch - run_orb_detection() uses cached pre-screen data when available; falls back to full pipeline if pre_screen missed (late start, failure) - Add _last_trading_day() helper to skip weekends/holidays for bars_end, preventing Alpaca 502 on Mondays (today-1 = Sunday was causing failures) - Fix Oracle client chunk_size 300→75: Alpaca rejects 100+ ticker URL requests - Add pre_screen event to build_schedule() at 9:20 ET and dispatch in _run_trading() - run_session_now() runs pre_screen before orb_detect for efficiency - Add ORB daemon, engine, models, state, screener, and intraday strategy configs - Add intraday library (libs/intraday/) and web routes for ORB/intraday trading Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>	4 months ago

Author

SHA1

Message

Date

I Luk Kim

9e622c6614

Investigate compound mode: V23 is absolute champion in all modes

- 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>

I Luk Kim

190f7a47fa

Fix V23 live engine: regime filter, sizing fidelity, trailing tighten

- screener.py: add min_atr_pct/max_atr_pct filters to live_pre_screen
- engine.py: prepend regime ticker (QQQ) to bar fetch so regime filter works
- engine.py: add rolling loss + account circuit breaker at run_orb_detection
- engine.py: patch today_open from first 1-min bar so regime gap is real
- engine.py: explicit regime + breadth filter before compute_orb_candidates
- engine.py: max_simultaneous_entries guard in run_breakout_check
- engine.py: _compute_sizing_capital with daily_budget_reset (fixed $10k base),
  drawdown governor, and streak sizing (win bonus / loss penalty)
- engine.py: trailing_tighten_at_r in run_stop_check (tight multiplier at 2R)

Bug fixes in _compute_sizing_capital:
- streak direction: remove reversed() so outcomes[0] = newest trade
- daily reset: use initial_equity as base (not growing equity), matching V23

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

I Luk Kim

564bcba27c

Add ORB pre-market screening and fix Oracle/Alpaca reliability bugs

- Add run_pre_screen() at 9:20 ET: fetch daily bars + enrichment + quality filter
  before market open, narrowing universe for faster orb_detect intraday fetch
- run_orb_detection() uses cached pre-screen data when available; falls back to
  full pipeline if pre_screen missed (late start, failure)
- Add _last_trading_day() helper to skip weekends/holidays for bars_end,
  preventing Alpaca 502 on Mondays (today-1 = Sunday was causing failures)
- Fix Oracle client chunk_size 300→75: Alpaca rejects 100+ ticker URL requests
- Add pre_screen event to build_schedule() at 9:20 ET and dispatch in _run_trading()
- run_session_now() runs pre_screen before orb_detect for efficiency
- Add ORB daemon, engine, models, state, screener, and intraday strategy configs
- Add intraday library (libs/intraday/) and web routes for ORB/intraday trading

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

3 Commits (2edf0457106c24fa0705bae73266bc8d038aec6b)