fithia2

Commit Graph

Author	SHA1	Message	Date
I Luk Kim	465e248cb4	Wire pct-trailing end-to-end for EarningsRunup; tune v2 risk profile Fix EarningsRunup trailing config that was previously captured in Candidate.features only. Add activation-gated pct trailing to update_trailing_stop with entry-relative giveback semantics ("lock in peak − giveback% of entry"). Plumb through Candidate → ExecutionConfig → simulator. Default None preserves legacy pct_X behavior — no impact on engines that don't opt in. Add earnings_runup_poc_v2_tuned config: per_trade_risk_pct 0.65→0.30, max_positions 30→8, max_positions_per_sector 30→4, macro_vix_max=30, trailing_warmup_days 7→0 (activation gate replaces warmup). v2 backtest (4y, 121 trades) vs v1 baseline (119 trades): Total return: +37.27% → +254.69% Max drawdown: 53.23% → 23.97% SQS: 45.2 → 69.7 Robustness: 50.1 → 100.0 Risk score: 23.5 → 35.0 STOP r-mult: −0.41 → +0.65 (trailing-locked winners) Promotion thresholds met: MDD < 25%, return preserved, SQS > 55. Recommend integration as PEAD sleeve adjunct (orthogonal entry timing: pre-print attention runup vs post-print drift) rather than standalone. 7 new pct-trailing tests: activation gate, ratchet, no-ratchet-down, reversal-stop, legacy compat, end-to-end engine wiring. 28 passed. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>	3 months ago
I Luk Kim	956cc78f1b	Add 3 candidate engine classes beyond PEAD: EarningsRunup, PeerSympathy, VolBreakout52w Adds three new synthetic-Candidate emitter engines parallel to the existing leader_follower scheduler hook, plus look-ahead defenses (LookaheadViolationError + per-engine assertions). Each engine is covered by a standalone PoC config (no PEAD/parking/idle alpha) for isolation backtests against the midlarge or broad snapshot. Engines: EarningsRunup (libs/backtest/earnings_runup.py) - Trigger: days_to_earnings ∈ [3,7] AND attention_zscore_20d ≥ 1.5 AND dollar_volume_20d_zscore ≥ 1.0 (all evaluated at T-1 close) - Entry: T+1 next_open. Exit: -4% / +8% / max_holding_days = days_to_earnings - buffer (forced flat by close before announcement) - PIT calendar: PointInTimeEarningsCalendar adapter for backtest; oracle_surprise_prefetch fallback when parquet calendar absent - PoC verdict (configs/experiments/earnings_runup_poc_v1.json): 119 trades over 1051 days, +37.27% total return, 44.46% MDD, SQS 45.2 (profitability=55.5, risk=23.5, robustness=50.1). VIABLE BUT NEEDS WORK — signal exists; standalone risk profile too aggressive for v7.356 baseline (8.8% MDD on v7.364). Path forward: per_trade_risk reduction, VIX gate, position cap, or integrate as PEAD sleeve adjunct (not as standalone replacement). PeerSympathy (libs/backtest/peer_sympathy.py) - Trigger: leader passes PEAD filter (earnings_release / guidance_update / material_contract) AND leader reaction_close ≥ +5% AND peer 60d correlation ≥ 0.55 over [T-65, T-5]. Top-2 peers by correlation from leader_follower_extra_peer_symbols_by_sector + sector ETF holdings. - Entry: T+1 next_open on peer. Exit: -3.5% / +6% / max_holding=3 / peer-earnings blackout - PoC verdict (configs/experiments/peer_sympathy_poc_v1.json): 256 trades over 1051 days, -52.92% total return, 54.47% MDD, SQS 19.6 (profitability=0.0, risk=5.4, robustness=100.0). DEAD. The leader's catalyst is already absorbed by T+1 next_open — peers gap up overnight before entry. robustness=100 confirms the negative result is not noise. Salvage paths (not implemented): reaction_close entry, raised-guidance-only restriction. - Note: initial run_id was 0 trades due to a select_candidates filter mismatch (engine.event_types=['peer_sympathy'] dropping real event_type='earnings_release' rows). The runner adapter was patched to bypass strategy_engine filtering for leader selection; the manual peer_sympathy_leader_event_types filter does the gating. VolBreakout52w (libs/backtest/vol_breakout_52w.py) - Trigger: close_T-1 > max(high[T-252:T-2]) AND volume_T-1 ≥ 2 × median_volume_20d_T-2 AND ATR_14_T-1/close ∈ [0.015, 0.06]. Entry T next_open, exit -3% / +5% / max_holding=2 / MOC. - Honest, look-ahead-safe descendant of the retired topgainer v1-v54 family. Five layers of strict-before assertions guard the bar provider, candidate construction, trigger evaluation, and feature timestamps. A leaky-provider proof-by-contradiction test demonstrates the categorical catch. - PoC verdict (configs/experiments/vol_breakout_52w_poc_v1.json, broad-liquid universe): 1,332 trades, -87.28% total return, 88.74% MDD, SQS 24.4 (profitability=0.0, robustness=100.0). DEAD AND HONEST. This is the most important finding of the three PoCs: the topgainer v1-v54 lineage's headline returns (+267% Sharpe 13.73 in best variants) were 100% lookahead bug. With the bug removed, the 52w-high + volume + ATR signal has no real alpha — the lookahead-corrected -4.3% from prior memory is confirmed and amplified to -87% on a fuller universe and longer horizon. Future "revive topgainer" proposals can cite this run (bt_return_max_long_v1_broad-liquid_20260509042903892342_3bb473d9) as definitive falsification. - Pre-open gap guard inactive (no premarket data in broad snapshot). skip_if_no_gap_data=true; the +4% gap-fade guard would not move the result given the magnitude. Shared infrastructure additions: - libs/backtest/domain.py: LookaheadViolationError class + StrategyEngineConfig fields (11 EarningsRunup + 11 PeerSympathy + 13 VolBreakout52w = 35 new fields) - apps/backtester/run.py: _BacktestAttentionZscoreAdapter, _RunnerPeerResolver, _schedule_earnings_runup_candidates, _schedule_peer_sympathy_candidates, _schedule_vol_breakout_52w_candidates wired into the daily scheduler block. PeerSympathy adapter bypasses strategy_engine filtering on leader selection (manual filter handles gating). Tests: 21 (EarningsRunup) + 27 (PeerSympathy) + 38 (VolBreakout52w) = 86 new unit tests, all passing. Broader unit suite: 1392 passed, 2 pre-existing failures unrelated. Net engine state: EarningsRunup is the only viable new engine class. PeerSympathy and VolBreakout52w are kept in-tree as falsification evidence, not as production engines. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>	3 months ago

Author

SHA1

Message

Date

I Luk Kim

465e248cb4

Wire pct-trailing end-to-end for EarningsRunup; tune v2 risk profile

Fix EarningsRunup trailing config that was previously captured in
Candidate.features only. Add activation-gated pct trailing to
update_trailing_stop with entry-relative giveback semantics
("lock in peak − giveback% of entry"). Plumb through
Candidate → ExecutionConfig → simulator. Default None preserves
legacy pct_X behavior — no impact on engines that don't opt in.

Add earnings_runup_poc_v2_tuned config: per_trade_risk_pct 0.65→0.30,
max_positions 30→8, max_positions_per_sector 30→4, macro_vix_max=30,
trailing_warmup_days 7→0 (activation gate replaces warmup).

v2 backtest (4y, 121 trades) vs v1 baseline (119 trades):
  Total return:  +37.27%  →  +254.69%
  Max drawdown:  53.23%   →  23.97%
  SQS:           45.2     →  69.7
  Robustness:    50.1     →  100.0
  Risk score:    23.5     →  35.0
  STOP r-mult:   −0.41    →  +0.65 (trailing-locked winners)

Promotion thresholds met: MDD < 25%, return preserved, SQS > 55.
Recommend integration as PEAD sleeve adjunct (orthogonal entry timing:
pre-print attention runup vs post-print drift) rather than standalone.

7 new pct-trailing tests: activation gate, ratchet, no-ratchet-down,
reversal-stop, legacy compat, end-to-end engine wiring. 28 passed.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

I Luk Kim

956cc78f1b

Add 3 candidate engine classes beyond PEAD: EarningsRunup, PeerSympathy, VolBreakout52w

Adds three new synthetic-Candidate emitter engines parallel to the
existing leader_follower scheduler hook, plus look-ahead defenses
(LookaheadViolationError + per-engine assertions). Each engine is
covered by a standalone PoC config (no PEAD/parking/idle alpha) for
isolation backtests against the midlarge or broad snapshot.

Engines:

EarningsRunup (libs/backtest/earnings_runup.py)
 - Trigger: days_to_earnings ∈ [3,7] AND attention_zscore_20d ≥ 1.5
   AND dollar_volume_20d_zscore ≥ 1.0 (all evaluated at T-1 close)
 - Entry: T+1 next_open. Exit: -4% / +8% / max_holding_days =
   days_to_earnings - buffer (forced flat by close before announcement)
 - PIT calendar: PointInTimeEarningsCalendar adapter for backtest;
   oracle_surprise_prefetch fallback when parquet calendar absent
 - PoC verdict (configs/experiments/earnings_runup_poc_v1.json):
   119 trades over 1051 days, +37.27% total return, 44.46% MDD,
   SQS 45.2 (profitability=55.5, risk=23.5, robustness=50.1).
   VIABLE BUT NEEDS WORK — signal exists; standalone risk profile
   too aggressive for v7.356 baseline (8.8% MDD on v7.364). Path
   forward: per_trade_risk reduction, VIX gate, position cap, or
   integrate as PEAD sleeve adjunct (not as standalone replacement).

PeerSympathy (libs/backtest/peer_sympathy.py)
 - Trigger: leader passes PEAD filter (earnings_release / guidance_update
   / material_contract) AND leader reaction_close ≥ +5% AND peer 60d
   correlation ≥ 0.55 over [T-65, T-5]. Top-2 peers by correlation
   from leader_follower_extra_peer_symbols_by_sector + sector ETF
   holdings.
 - Entry: T+1 next_open on peer. Exit: -3.5% / +6% / max_holding=3 /
   peer-earnings blackout
 - PoC verdict (configs/experiments/peer_sympathy_poc_v1.json):
   256 trades over 1051 days, -52.92% total return, 54.47% MDD,
   SQS 19.6 (profitability=0.0, risk=5.4, robustness=100.0).
   DEAD. The leader's catalyst is already absorbed by T+1 next_open
   — peers gap up overnight before entry. robustness=100 confirms
   the negative result is not noise. Salvage paths (not implemented):
   reaction_close entry, raised-guidance-only restriction.
 - Note: initial run_id was 0 trades due to a select_candidates
   filter mismatch (engine.event_types=['peer_sympathy'] dropping
   real event_type='earnings_release' rows). The runner adapter
   was patched to bypass strategy_engine filtering for leader
   selection; the manual peer_sympathy_leader_event_types filter
   does the gating.

VolBreakout52w (libs/backtest/vol_breakout_52w.py)
 - Trigger: close_T-1 > max(high[T-252:T-2]) AND volume_T-1 ≥
   2 × median_volume_20d_T-2 AND ATR_14_T-1/close ∈ [0.015, 0.06].
   Entry T next_open, exit -3% / +5% / max_holding=2 / MOC.
 - Honest, look-ahead-safe descendant of the retired topgainer v1-v54
   family. Five layers of strict-before assertions guard the bar
   provider, candidate construction, trigger evaluation, and feature
   timestamps. A leaky-provider proof-by-contradiction test
   demonstrates the categorical catch.
 - PoC verdict (configs/experiments/vol_breakout_52w_poc_v1.json,
   broad-liquid universe): 1,332 trades, -87.28% total return,
   88.74% MDD, SQS 24.4 (profitability=0.0, robustness=100.0).
   DEAD AND HONEST. This is the most important finding of the three
   PoCs: the topgainer v1-v54 lineage's headline returns (+267%
   Sharpe 13.73 in best variants) were 100% lookahead bug. With
   the bug removed, the 52w-high + volume + ATR signal has no real
   alpha — the lookahead-corrected -4.3% from prior memory is
   confirmed and amplified to -87% on a fuller universe and longer
   horizon. Future "revive topgainer" proposals can cite this run
   (bt_return_max_long_v1_broad-liquid_20260509042903892342_3bb473d9)
   as definitive falsification.
 - Pre-open gap guard inactive (no premarket data in broad snapshot).
   skip_if_no_gap_data=true; the +4% gap-fade guard would not move
   the result given the magnitude.

Shared infrastructure additions:
 - libs/backtest/domain.py: LookaheadViolationError class +
   StrategyEngineConfig fields (11 EarningsRunup + 11 PeerSympathy
   + 13 VolBreakout52w = 35 new fields)
 - apps/backtester/run.py: _BacktestAttentionZscoreAdapter,
   _RunnerPeerResolver, _schedule_earnings_runup_candidates,
   _schedule_peer_sympathy_candidates,
   _schedule_vol_breakout_52w_candidates wired into the daily
   scheduler block. PeerSympathy adapter bypasses strategy_engine
   filtering on leader selection (manual filter handles gating).

Tests: 21 (EarningsRunup) + 27 (PeerSympathy) + 38 (VolBreakout52w)
= 86 new unit tests, all passing. Broader unit suite: 1392 passed,
2 pre-existing failures unrelated.

Net engine state: EarningsRunup is the only viable new engine class.
PeerSympathy and VolBreakout52w are kept in-tree as falsification
evidence, not as production engines.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

2 Commits (465e248cb4b9653b351c5a71df0c13bde084744a)