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Commit Graph

Author	SHA1	Message	Date
I Luk Kim	08e41831bc	Promote ORB Gainers V46: PEAD prior-event signal (D-7 lookback, w=0.12) V24 → V46 via PEAD (Post-Earnings Announcement Drift) signal. Stocks with earnings_release or guidance_update in prior 7 calendar days show +14.5pp win rate improvement and +0.348R advantage on ORB breakouts. Phase 1 diagnostic (291 V24 200d trades): Pearson=+0.135, Δ=+0.348R, WR gap=+14.5pp — all gates pass. Phase 2 validation (w=0.12, Pareto-optimal from sweep): 200d: V46 +114.60% / -11.83% / 3.21 vs V24 +94.78% / -11.29% / 2.83 400d: V46 +173.78% / -14.11% / 2.60 vs V24 +162.1% / -13.70% / 2.471 Code changes: - libs/intraday/domain.py: add prior_event_lookback_days: int = 0 param - libs/intraday/orb_simulator.py: fix bug — weight_event_catalyst now wired for gainers_leader engine (was restricted to stocks_in_play_dual_regime only) - apps/intraday_bt/run.py: _prefetch_prior_event_features_db() helper + DB routing in both catalyst trigger blocks when prior_event_lookback_days>0 V24 → status: superseded. V46 → status: live_champion. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>	4 months ago
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	b98442b28a	Add paper trader improvements, web GUI updates, and experiment registry cleanup - Paper trader: Alpaca broker fixes, catchup-thread state improvements - Web GUI: intraday backtest duplicate run button, paper trading fixes - Experiment registry: cleanup old v15/v16 experiments, update index - Tests: Oracle client test additions Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>	4 months ago

Author

SHA1

Message

Date

I Luk Kim

08e41831bc

Promote ORB Gainers V46: PEAD prior-event signal (D-7 lookback, w=0.12)

V24 → V46 via PEAD (Post-Earnings Announcement Drift) signal. Stocks with
earnings_release or guidance_update in prior 7 calendar days show +14.5pp
win rate improvement and +0.348R advantage on ORB breakouts.

Phase 1 diagnostic (291 V24 200d trades):
  Pearson=+0.135, Δ=+0.348R, WR gap=+14.5pp — all gates pass.

Phase 2 validation (w=0.12, Pareto-optimal from sweep):
  200d: V46 +114.60% / -11.83% / 3.21  vs  V24 +94.78% / -11.29% / 2.83
  400d: V46 +173.78% / -14.11% / 2.60  vs  V24 +162.1% / -13.70% / 2.471

Code changes:
- libs/intraday/domain.py: add prior_event_lookback_days: int = 0 param
- libs/intraday/orb_simulator.py: fix bug — weight_event_catalyst now wired
  for gainers_leader engine (was restricted to stocks_in_play_dual_regime only)
- apps/intraday_bt/run.py: _prefetch_prior_event_features_db() helper +
  DB routing in both catalyst trigger blocks when prior_event_lookback_days>0

V24 → status: superseded. V46 → status: live_champion.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

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

b98442b28a

Add paper trader improvements, web GUI updates, and experiment registry cleanup

- Paper trader: Alpaca broker fixes, catchup-thread state improvements
- Web GUI: intraday backtest duplicate run button, paper trading fixes
- Experiment registry: cleanup old v15/v16 experiments, update index
- Tests: Oracle client test additions

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

3 Commits (92840b857a7f5a941c16a94b63192901a8c518be)