I Luk Kim
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8bd4dba89c
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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>
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4 months ago |