I Luk Kim
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b3ba914a8d
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Optimize v7 strategy: v7.356 achieves CW 2159% + SQS 90.7 (Pareto improvement over v7.314)
Key changes from v7.314 baseline (CW 2012%, SQS 90.0):
- max_position_value_pct 15→25, non_a_tier_target_1_fraction 0.2→0
- max_daily_new_risk_pct 30→50 (via v7.330, CW champion 2148%)
- bullish_raised_recovery per_trade_risk_pct 0.71→0.55 (DD improvement)
- bullish_raised_recovery max_holding_days 12→10 (sweet spot, +98pp CW)
Result: v7.356 CW 2159% (+147pp), SQS 90.7 (+0.7), risk 66.2 (+2.9), robustness 94.3 (+0.5)
All metrics improved simultaneously — return increase AND DD reduction achieved.
Also includes: web UI updates, pipeline scripts, v16/v17/v18/v19 experiment pruning,
Form4 preset additions, snapshot registry updates, domain.py enhancements.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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4 months ago |
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I Luk Kim
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e38c314a09
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Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure
New features:
- Ownership 13D/13G residual-cash sleeve with PIT calendar and quality filters
- Risk-off alpha sleeve (GLD/DBC rotation on crisis regime signals)
- Crisis relay target in parking: evaluates before defensive relay
- Bearish symbol allocation split (bearish_alloc_pct + sgov remainder)
- Alternative defensive ETF candidate (cash_parking_defensive_alt_symbol)
- Composite eval and engine ablation tools
- experiment and overfit CLI apps
New experiments:
- v17.x series (v17.1 champion SQS 78.4; v17.5–v17.129 exhausted)
- v18.x and v19.x families from v12.8 OOT defense branch
- v7.119 composed variants (idle alpha + ownership + risk-off sleeves)
- parking_only configs: bufb, jepq, merix, regime_tiered
- empty_strategy baseline config
Web app:
- Restructured into routers/services modules (experiments, leaderboard, runs, sqs, docs)
- Ownership sleeve and risk-off sleeve controls in backtest UI
- Frontend: ComposeStrategy page, tradeSleeves lib, idle decomposition display
Research tools:
- Ownership 13D/13G probe and PIT cache builder
- Dividend capture probe and cache builder
- Insider Form4 idle alpha probe
- Alternative ETF parking probe, put-spread overlay probe
- Wikimedia low-attention and peer-relative idle alpha probes
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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4 months ago |