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	d7bfda039b	Add expanded ORB simulator features and metrics - orb_simulator.py: min_abs_gap_pct filter, premarket dollar vol filter, rolling_loss circuit breaker, drawdown_governor, streak_sizing, trailing_tighten_at_r, allow_doji/red_to_green breakout, abs_gap scoring for gainers_leader, ORBSimulationState, run_orb_simulation_with_state API - metrics.py: loss_containment_score and related metrics - features.py: enrich_daily_bars with gap_zscore, ATR ratio, range compression - domain.py: extended ORBStrategyParams with new fields - cache.py: DailyBarCache with merged parquet storage and coverage metadata - simulator.py: base simulator updates for new entry/exit mechanics - configs/intraday: updated orb_gainers_v23.yaml with canonical params - Added BLD to midlarge symbol snapshot 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

d7bfda039b

Add expanded ORB simulator features and metrics

- orb_simulator.py: min_abs_gap_pct filter, premarket dollar vol filter,
  rolling_loss circuit breaker, drawdown_governor, streak_sizing,
  trailing_tighten_at_r, allow_doji/red_to_green breakout, abs_gap scoring
  for gainers_leader, ORBSimulationState, run_orb_simulation_with_state API
- metrics.py: loss_containment_score and related metrics
- features.py: enrich_daily_bars with gap_zscore, ATR ratio, range compression
- domain.py: extended ORBStrategyParams with new fields
- cache.py: DailyBarCache with merged parquet storage and coverage metadata
- simulator.py: base simulator updates for new entry/exit mechanics
- configs/intraday: updated orb_gainers_v23.yaml with canonical params
- Added BLD to midlarge symbol snapshot

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 (4b8a157a673d2c421852eadd2187ab95bf33a091)