8bd4dba89c
V32 exit sweep FAILED; V33 QQQ ORB quality FAILED — V24 absolute terminal
...
V32 parametric sweep on V24 base (4 variants — all failed):
- risk6 (0.05→0.06): -1.93pp 200d FAIL
- trail_loose (0.8→1.0): +7.69pp 200d but -6.72pp 400d FAIL (regime-specific)
- breakeven_early (1.0→0.75R): -7.39pp 200d FAIL
- trail_09 (0.8→0.9): -14.83pp 400d FAIL (non-monotonic; 0.8 is global optimum)
V33 QQQ ORB candle quality diagnostic (new script):
- qqq_orb_body_pct/return/close_loc: Pearson ~0.001–0.022, day-level ρ ≈ 0
- QQQ daily gap filter already captures all market-level regime signal
- All 3 features fail G1 and G2 completely
All improvement axes now exhausted: 7 signal axes + exit sweep + market intraday.
V24 (OBV-slope w=0.05, 200d +95% / 400d +162%) is the absolute final champion.
Next R&D cycle requires new data source: sector ETF ORB / options flow / architecture.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
5c6950af9d
Fix gap_vs_market computation in diag_orb_trending_features.py
...
Was using non-existent gap_pct key in enrichment dict; now computes from
today_open and prev_close fields. V30 results: hurst INVERTED+G2 FAIL,
ou_theta G1 FAIL (near-zero Pearson). gap_vs_market re-running as V30b.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
733d8dabbd
Add V29/V30 ORB diagnostic scripts; document V29 structural axis failure
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V29 (diag_orb_structural_features.py): grav_pull G2 FAIL (+0.203R), market_temp G1 FAIL,
momentum_20d near-miss G2 FAIL (+0.291R). All 3 pass G1+G3 but miss G2 threshold.
V30 (diag_orb_trending_features.py): hurst_60d, ou_theta_60d, gap_vs_market (idiosyncratic
gap above QQQ). Running.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
5b7e17d50a
Add V28/V29 ORB diagnostic scripts; V27/V28 axis verdicts documented
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V28 (diag_orb_volatility_features.py): tests gap_zscore_20d, range_compression_10_60,
atr_ratio_10_60. At 400d: gap_zscore passes G1(n=176)+G3(+10.6pp WR)+G4+G5 but
fails G2 (avg_R gap 0.181R < 0.30R threshold). ABORT — V24 champion.
V29 (diag_orb_structural_features.py): tests grav_pull_20_50, market_temp_5_20,
momentum_20d — structural/regime axis orthogonal to OBV-slope.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
ab34c3ef1b
Diagnose RSI-14/BB%B axis for V27: ABORT — redundant with OBV-slope
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RSI-14: Pearson=+0.157, G2 passes (+0.316R gap, direction confirmed).
BUT ρ(RSI-14, obv_slope_20)=+0.726 — G5a FAIL. RSI captures same momentum
information as V24's OBV-slope. BB %B is ρ=0.889 with RSI — identical axis.
Both fail G1 (n=98 < 120 threshold). V24 remains champion.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
137b413084
Diagnose ORB tape ignition (V26): NULL result, V24 remains champion
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5 1-min microstructure features tested on V24 200d trade set (n=101).
range_coil_orb shows directional signal (Pearson=-0.128, WR gap +9.9pp)
but fails G1 (n=101 < 120) and G2 (avg_R gap 0.195R < 0.30R threshold).
p-value ~0.10 — insufficient for promotion. V24 remains champion.
Script fetches 1-min bars from Oracle and caches to data/cache/intraday_1min/.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
1e7fcde14d
Diagnose FINRA short-volume axis for V25: NULL result, V24 remains champion
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Phase 1 diagnostic (diag_orb_short_volume.py) tests 3 short-ratio features
(prior-day, 20d avg, 20d z-score) on V24 200d trade set via FINRA CDN data.
All features fail all gates (|Pearson| ≤ 0.062, avg_R gap < 0.30R, WR gap < 5pp).
Direction inverts Boehmer 2020 hypothesis: high short ratio correlates positively
with ORB r_multiple (short-squeeze dynamics dominate at intraday ORB timescale).
V25 short-volume overlay not wired. V24 remains live champion.
Also adds scripts/audit_short_volume_coverage.py (Phase 0 DB coverage audit).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
4 months ago
4b8a157a67
Promote V24 ORB Gainers: add OBV-slope(20d) accumulation quality weight
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Phase 1 diagnostic (diag_orb_quality_features.py) on V23 200d trade set found
obv_slope_20 passes all edge gates: Pearson=+0.2349 with r_multiple, top-tercile
WR 75% vs bottom 59.4% (+15.6pp), avg_R gap +0.394R. Hurst_60 and OU-θ_60 failed.
Weight sweep: 0.05 is Pareto-dominant (0.10/0.15 blow DD).
200d (same window): V24 +94.8% DD-11.3% Sharpe 2.83 vs V23 +85.0% DD-11.6% Sharpe 2.66
400d (same window): V24 +162.1% DD-13.7% Sharpe 2.47 vs V23 +149.4% DD-13.7% Sharpe 2.36
V24 Pareto-dominates V23 on both windows. V23 marked superseded.
Code changes:
- libs/intraday/features.py: add compute_obv_slope_approx() + enrich_daily_bars field
- libs/intraday/domain.py: add weight_obv_slope field to ORBStrategyParams
- libs/intraday/orb_simulator.py: wire obv_slope_20 read/store/score in gainers_leader branch
- configs: orb_gainers_v24_quality_overlay.yaml (new champion, live_readiness: experimental)
- configs: orb_gainers_v23.yaml status → superseded
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
I Luk Kim