I Luk Kim
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85c4d98987
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Add v6new experiment suite: scoring v8/v9/v9g, cross-event drift, coverage engines
Scoring additions (libs/backtest/scoring.py):
- v8: conditional financial bonus (eps_growth_qoq/revenue_growth_qoq)
- v9: cross-event drift momentum (+/-10% from prior same-ticker 5d return)
- v9g: gated variant — reject events with negative prior drift
Snapshot export (libs/export/snapshot_export.py):
- _enrich_prior_event_drift: computes prior_event_fwd5d for all snapshots
- smallcap-liquid-long-v1 universe profile ($500M-$2B)
- market_cap_max support in screener and filtering
8 experiment configs (v6new.1-v6new.8):
- v6new.1: unknown event reclassification (neutral)
- v6new.2: financial features (neutral, EPS growth is noise)
- v6new.3: small-cap (blocked, survivorship bias)
- v6new.4-6: cross-event drift variants (rejected)
- v6new.7: engine pruning (quality up, count down)
- v6new.8: coverage expansion with 2 new post-market engines (best result)
Best result: v6new.8 SQS 41.5 vs v6.29 control 32.3 on same conditions.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
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5 months ago |
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I Luk Kim
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2395a0c0c3
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feat: PEAD mid-cap strategy + pipeline hardening + README cleanup
- 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>
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5 months ago |