- New: libs/backtest/xsmom_cache.py — disk cache for xsmom ranked-universe
per rebalance date; keyed by snapshot fingerprint + param hash; top_n is
NOT in key so v9.3.1 (top20) and v9.3.2c (top10) share one cache file
- libs/backtest/cross_sectional_momentum.py — add cache= param to
build_candidates(); hit path skips 900-symbol scan; miss path writes ranked
rows post-quality-gate to cache buffer
- libs/backtest/snapshot_store.py — expose snapshot_dir attribute; propagate
through slice_by_date_range() so runner always has the path
- apps/backtester/run.py — wire up XsmomRankCache per engine (lazy init,
flush after simulation loop); cache is no-op when snapshot_dir is None
- configs: add return_max_long_v9.3.2b_fc.json (SQS 93.5 champion,
ER days[2,8]); remove all other v9 sweep variants from .index.json
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
New engines (configurable but not promoted by default):
- libs/backtest/earnings_runup.py: pre-earnings drift entry (T-7 to T-3, attention+volume z-scores)
- libs/backtest/peer_sympathy.py: peer reaction trade after leader earnings, with reaction_close variant
- libs/backtest/vol_breakout_52w.py: 52-week high volume breakout
- libs/backtest/cross_sectional_momentum.py: 12-1 momentum with VIX/SPY-50dma regime filter
Pipeline additions:
- libs/parser/event_type_normalizer.py: normalize Oracle fallback raw vocab to strategy
vocabulary (earnings_result→earnings_release, regulation_fd→guidance_update, etc.).
Wired into apps/pipeline/event_parser/main.py oracle-fallback path.
- libs/labeler/label_generator.py: preserve future entry_dates as label_status='pending'
instead of dropping as 'unavailable'.
- libs/export/snapshot_export.py: include 'pending' labels in snapshot export.
- libs/parser/rule_parser.py: harden 8-K item-code classifier against dirty input strings.
Infrastructure:
- libs/backtest/snapshot_store.py: _PRICE_FEATURE_WARMUP_DAYS 120→400 (needed for
xsmom 12-1 lookback of 273 trading days).
- apps/backtester/run.py + apps/paper_trader/backtest_sim.py: disable auto-refresh
of snapshots (user request — auto-refresh was silently rebuilding snapshots with
current code, making historical backtests irreproducible across DB mutations).
Engine config support:
- libs/backtest/domain.py: add fields for ER/PS/VolBO/xsmom engine configs.
- libs/backtest/execution.py: wire pct-trailing for EarningsRunup.
- libs/backtest/scoring.py: synthetic candidate scoring for new engines.
Configs (POC + sweeps, none promoted as active strategy):
- Phase A-E PEAD baseline comparisons (no PEAD / +ER / +xsmom / +sleeves variants)
- Phase F1-F8 silo allocation sweep (v7.356 + ER/xsmom silos 15-60%)
- xsmom_poc_v1, xsmom_v2_regime_mdd
- v7.356_plus_er_silo_05/10/15/20/25/30 ranges
- earnings_runup_* / peer_sympathy_* / vol_breakout_52w_* POCs
Tests: 16-tests-each for each new engine + event_type_normalizer tests.
Note: backtest reproducibility infrastructure remains broken — see
_backup_2026-05-10/HANDOFF.md for details on the +12,592% reference run that
cannot be reproduced after rebuilds. Followup work needed before trusting any
specific backtest number.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
I Luk Kim