I Luk Kim
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cdf6ae3493
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feat: Phase 5 fundamental strategy improvements
Fix core strategy flaws identified from academic research and Phase 4
backtest results (23% win rate, 0% target hits, 77% stop exits).
5A — Exit mechanics: ATR-based targets (reachable ~4.5% vs unreachable ~6-8%),
partial profit-taking at target with breakeven stop on remainder,
wider catastrophic stop (3.0 ATR), trailing stop enabled by default.
5B — Event-type-specific logic: EventTypeProfile with per-type overrides
for holding days, ATR multipliers, score thresholds, direction filter.
Disabled management_change and other_material_event (low evidence).
5C-1 — Expanded universe from 15 to 97 symbols across sectors including
mid-cap growth where PEAD is stronger.
5C-3 — Bootstrap 95% confidence intervals for key trade metrics.
5D — SUE integration: earnings surprise scoring (eps_growth_qoq) at 10%
weight, entry gate blocks negative EPS surprise for earnings events.
5F — Extended label horizons to 10D/20D with Alembic migration.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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5 months ago |
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I Luk Kim
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d4ae900286
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feat: expand data pipeline and integrate event features into scoring
Data expansion:
- Poll SEC 8-K filings from 2025-10-01 to 2026-03-12 (was ~2 months)
- Pipeline: 36 new filings → 24 new events → total 44 events, 15 symbols
- Re-export with merged features (market_v1+event_v1+financial_v1)
- Parquet columns: 7 → 41 (adds signal_strength, guidance_direction,
document_quality, oneoff_penalty, eps_growth_qoq, etc.)
Score model v2:
- Add event quality component (15% weight): signal_strength_score,
guidance_direction_score, document_quality_score
- Add risk penalty component (10% weight): inverted oneoff_penalty
- Rebalance market weights: reaction 25%, close 25%, volume 15%, gap 10%
- Graceful degradation when event features are absent (returns 0.5)
Export pipeline:
- Add --feature-versions CLI flag to merge multiple feature types
- export_dataset_snapshot() accepts feature_versions list parameter
- Groups features by event_id and merges feature_json dicts
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
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5 months ago |