fithia2

Commit Graph

Author	SHA1	Message	Date
I Luk Kim	02f7b9f8d4	Fix capital_bucket propagation in synthetic engine candidates + ER silo sweep Bug: synthetic Candidate builders in earnings_runup.py / peer_sympathy.py / vol_breakout_52w.py did not propagate engine_capital_bucket_id / engine_capital_bucket_allocation_pct from StrategyEngineConfig onto the emitted Candidate. The selector path (libs/backtest/selector.py:371-383) correctly sets these for selector-built candidates, but the synthetic- candidate paths used by the new engine classes silently dropped them. Cascade: apps/backtester/run.py:_active_capital_bucket_ids_for_candidates scans candidate.engine_capital_bucket_id; when empty, the silo allocator (run.py:790-791) short-circuits and the engine sizes against the full equity pool — making capital_bucket fields a no-op for the new engines. Fix: 3-line addition to each builder mirroring selector.py convention. 108 unit tests pass across the 3 engines. ER silo sweep result (4y midlarge-liquid-long-v1, --split all): config trades er_tr return% mdd% sharpe er_pnl$ v7.356_baseline 390 0 +2356.28 23.55 2.69 0 phase6_shared_0.20 464 77 +2746.21 25.21 2.63 -7589 silo_05 519 89 +2343.02 22.56 2.69 215 silo_10 508 86 +2450.62 23.51 2.73 321 silo_15 516 88 +2489.91 23.48 2.74 389 silo_20 508 84 +2538.27 23.48 2.76 511 silo_25 503 77 +2566.34 23.46 2.77 466 silo_30 513 88 +2589.80 23.45 2.77 560 Phase 6 shared budget's headline +390pp gain was portfolio-luck distributed (ER's 30 cancelled trades freed cash for other sleeves to make ~+30k pnl). With proper silo, ER fires those trades within its dedicated bucket, sizing correctly relative to the 5-30% pool — flipping ER engine PnL from -$7,589 (Phase 6) to +$215..+$560 (silos). silo_30 is the recommended variant: - Return +2589.80% vs baseline +2356.28% (+233pp, structural not luck) - MDD 23.45% vs baseline 23.55% (slightly better) - Sharpe 2.77 vs baseline 2.69 (+0.08, real improvement) - ER PnL +$560 (engine actually contributing) - Higher silos (40%+) likely starve PEAD; 30% appears near optimal. Per-split validation of silo_30 NOT yet run — flagged for follow-up before any live deployment. Files: - libs/backtest/earnings_runup.py:494-499 (3-line fix) - libs/backtest/peer_sympathy.py:771-776 (3-line fix) - libs/backtest/vol_breakout_52w.py:654-659 (3-line fix) - configs/experiments/return_max_long_v7.356_plus_er_silo_{05,10,15,20,25,30}.json Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>	3 months ago
I Luk Kim	68102f1b3a	Add reaction_close salvage variant to PeerSympathy engine Add peer_sympathy_entry_timing_policy ("next_open"\|"reaction_close") and peer_sympathy_leader_filing_time_buckets to StrategyEngineConfig. The reaction_close variant enters peers at peer's T 16:00 ET close on the SAME trading day as the leader's print, addressing the v1 hypothesis failure where T+1 gap had already absorbed the news overnight. Lookahead defenses tightened for the new branch: cutoff is T 16:00 ET (_bar_close_timestamp(decision_date)) instead of T+1 09:30 ET; bucket allow-list excludes AMC filings (which under PEAD's reaction_date=T+1 convention pass the timestamp check but defeat same-session sympathy). LeaderPrint now carries filing_time_bucket from the runner. Runner: split _schedule_peer_sympathy_candidates into two phases. reaction_close fires BEFORE _select_candidates_for_date(date) and emits into _scheduled_add_ons[date]; next_open keeps the existing tail-of-loop position emitting into _scheduled_delayed_entries[next_date]. v2 backtest (1052 trading days, midlarge-liquid-long-v1 snapshot): trades 256→120, return -52.9%→-2.4%, MDD 61.6%→24.5%, SQS 19.6→30.2. Sample sympathy plays: GOOGL on META +7.7%, AVGO on COHR +6.3%, SLB on HAL +5.5%, GE on HWM +5.1%. Profit factor 0.977 (one tweak from breakeven). Verdict: VIABLE BUT WEAK — salvage hypothesis empirically validated, near breakeven, not promoted yet. 35/35 peer_sympathy unit tests pass (29 pre-existing + 6 new for reaction_close path). Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>	3 months ago
I Luk Kim	956cc78f1b	Add 3 candidate engine classes beyond PEAD: EarningsRunup, PeerSympathy, VolBreakout52w Adds three new synthetic-Candidate emitter engines parallel to the existing leader_follower scheduler hook, plus look-ahead defenses (LookaheadViolationError + per-engine assertions). Each engine is covered by a standalone PoC config (no PEAD/parking/idle alpha) for isolation backtests against the midlarge or broad snapshot. Engines: EarningsRunup (libs/backtest/earnings_runup.py) - Trigger: days_to_earnings ∈ [3,7] AND attention_zscore_20d ≥ 1.5 AND dollar_volume_20d_zscore ≥ 1.0 (all evaluated at T-1 close) - Entry: T+1 next_open. Exit: -4% / +8% / max_holding_days = days_to_earnings - buffer (forced flat by close before announcement) - PIT calendar: PointInTimeEarningsCalendar adapter for backtest; oracle_surprise_prefetch fallback when parquet calendar absent - PoC verdict (configs/experiments/earnings_runup_poc_v1.json): 119 trades over 1051 days, +37.27% total return, 44.46% MDD, SQS 45.2 (profitability=55.5, risk=23.5, robustness=50.1). VIABLE BUT NEEDS WORK — signal exists; standalone risk profile too aggressive for v7.356 baseline (8.8% MDD on v7.364). Path forward: per_trade_risk reduction, VIX gate, position cap, or integrate as PEAD sleeve adjunct (not as standalone replacement). PeerSympathy (libs/backtest/peer_sympathy.py) - Trigger: leader passes PEAD filter (earnings_release / guidance_update / material_contract) AND leader reaction_close ≥ +5% AND peer 60d correlation ≥ 0.55 over [T-65, T-5]. Top-2 peers by correlation from leader_follower_extra_peer_symbols_by_sector + sector ETF holdings. - Entry: T+1 next_open on peer. Exit: -3.5% / +6% / max_holding=3 / peer-earnings blackout - PoC verdict (configs/experiments/peer_sympathy_poc_v1.json): 256 trades over 1051 days, -52.92% total return, 54.47% MDD, SQS 19.6 (profitability=0.0, risk=5.4, robustness=100.0). DEAD. The leader's catalyst is already absorbed by T+1 next_open — peers gap up overnight before entry. robustness=100 confirms the negative result is not noise. Salvage paths (not implemented): reaction_close entry, raised-guidance-only restriction. - Note: initial run_id was 0 trades due to a select_candidates filter mismatch (engine.event_types=['peer_sympathy'] dropping real event_type='earnings_release' rows). The runner adapter was patched to bypass strategy_engine filtering for leader selection; the manual peer_sympathy_leader_event_types filter does the gating. VolBreakout52w (libs/backtest/vol_breakout_52w.py) - Trigger: close_T-1 > max(high[T-252:T-2]) AND volume_T-1 ≥ 2 × median_volume_20d_T-2 AND ATR_14_T-1/close ∈ [0.015, 0.06]. Entry T next_open, exit -3% / +5% / max_holding=2 / MOC. - Honest, look-ahead-safe descendant of the retired topgainer v1-v54 family. Five layers of strict-before assertions guard the bar provider, candidate construction, trigger evaluation, and feature timestamps. A leaky-provider proof-by-contradiction test demonstrates the categorical catch. - PoC verdict (configs/experiments/vol_breakout_52w_poc_v1.json, broad-liquid universe): 1,332 trades, -87.28% total return, 88.74% MDD, SQS 24.4 (profitability=0.0, robustness=100.0). DEAD AND HONEST. This is the most important finding of the three PoCs: the topgainer v1-v54 lineage's headline returns (+267% Sharpe 13.73 in best variants) were 100% lookahead bug. With the bug removed, the 52w-high + volume + ATR signal has no real alpha — the lookahead-corrected -4.3% from prior memory is confirmed and amplified to -87% on a fuller universe and longer horizon. Future "revive topgainer" proposals can cite this run (bt_return_max_long_v1_broad-liquid_20260509042903892342_3bb473d9) as definitive falsification. - Pre-open gap guard inactive (no premarket data in broad snapshot). skip_if_no_gap_data=true; the +4% gap-fade guard would not move the result given the magnitude. Shared infrastructure additions: - libs/backtest/domain.py: LookaheadViolationError class + StrategyEngineConfig fields (11 EarningsRunup + 11 PeerSympathy + 13 VolBreakout52w = 35 new fields) - apps/backtester/run.py: _BacktestAttentionZscoreAdapter, _RunnerPeerResolver, _schedule_earnings_runup_candidates, _schedule_peer_sympathy_candidates, _schedule_vol_breakout_52w_candidates wired into the daily scheduler block. PeerSympathy adapter bypasses strategy_engine filtering on leader selection (manual filter handles gating). Tests: 21 (EarningsRunup) + 27 (PeerSympathy) + 38 (VolBreakout52w) = 86 new unit tests, all passing. Broader unit suite: 1392 passed, 2 pre-existing failures unrelated. Net engine state: EarningsRunup is the only viable new engine class. PeerSympathy and VolBreakout52w are kept in-tree as falsification evidence, not as production engines. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>	3 months ago

Author

SHA1

Message

Date

I Luk Kim

02f7b9f8d4

Fix capital_bucket propagation in synthetic engine candidates + ER silo sweep

Bug: synthetic Candidate builders in earnings_runup.py / peer_sympathy.py /
vol_breakout_52w.py did not propagate engine_capital_bucket_id /
engine_capital_bucket_allocation_pct from StrategyEngineConfig onto the
emitted Candidate. The selector path (libs/backtest/selector.py:371-383)
correctly sets these for selector-built candidates, but the synthetic-
candidate paths used by the new engine classes silently dropped them.

Cascade: apps/backtester/run.py:_active_capital_bucket_ids_for_candidates
scans candidate.engine_capital_bucket_id; when empty, the silo allocator
(run.py:790-791) short-circuits and the engine sizes against the full
equity pool — making capital_bucket fields a no-op for the new engines.

Fix: 3-line addition to each builder mirroring selector.py convention.
108 unit tests pass across the 3 engines.

ER silo sweep result (4y midlarge-liquid-long-v1, --split all):

  config              trades  er_tr  return%   mdd%  sharpe  er_pnl$
  v7.356_baseline       390     0    +2356.28  23.55   2.69     0
  phase6_shared_0.20    464    77    +2746.21  25.21   2.63 -7589
  silo_05               519    89    +2343.02  22.56   2.69   215
  silo_10               508    86    +2450.62  23.51   2.73   321
  silo_15               516    88    +2489.91  23.48   2.74   389
  silo_20               508    84    +2538.27  23.48   2.76   511
  silo_25               503    77    +2566.34  23.46   2.77   466
  silo_30               513    88    +2589.80  23.45   2.77   560

Phase 6 shared budget's headline +390pp gain was portfolio-luck distributed
(ER's 30 cancelled trades freed cash for other sleeves to make ~+30k pnl).
With proper silo, ER fires those trades within its dedicated bucket, sizing
correctly relative to the 5-30% pool — flipping ER engine PnL from
-$7,589 (Phase 6) to +$215..+$560 (silos).

silo_30 is the recommended variant:
 - Return +2589.80% vs baseline +2356.28% (+233pp, structural not luck)
 - MDD 23.45% vs baseline 23.55% (slightly better)
 - Sharpe 2.77 vs baseline 2.69 (+0.08, real improvement)
 - ER PnL +$560 (engine actually contributing)
 - Higher silos (40%+) likely starve PEAD; 30% appears near optimal.

Per-split validation of silo_30 NOT yet run — flagged for follow-up
before any live deployment.

Files:
 - libs/backtest/earnings_runup.py:494-499 (3-line fix)
 - libs/backtest/peer_sympathy.py:771-776 (3-line fix)
 - libs/backtest/vol_breakout_52w.py:654-659 (3-line fix)
 - configs/experiments/return_max_long_v7.356_plus_er_silo_{05,10,15,20,25,30}.json

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

I Luk Kim

68102f1b3a

Add reaction_close salvage variant to PeerSympathy engine

Add peer_sympathy_entry_timing_policy ("next_open"|"reaction_close") and
peer_sympathy_leader_filing_time_buckets to StrategyEngineConfig. The
reaction_close variant enters peers at peer's T 16:00 ET close on the
SAME trading day as the leader's print, addressing the v1 hypothesis
failure where T+1 gap had already absorbed the news overnight.

Lookahead defenses tightened for the new branch: cutoff is T 16:00 ET
(_bar_close_timestamp(decision_date)) instead of T+1 09:30 ET; bucket
allow-list excludes AMC filings (which under PEAD's reaction_date=T+1
convention pass the timestamp check but defeat same-session sympathy).
LeaderPrint now carries filing_time_bucket from the runner.

Runner: split _schedule_peer_sympathy_candidates into two phases.
reaction_close fires BEFORE _select_candidates_for_date(date) and emits
into _scheduled_add_ons[date]; next_open keeps the existing tail-of-loop
position emitting into _scheduled_delayed_entries[next_date].

v2 backtest (1052 trading days, midlarge-liquid-long-v1 snapshot):
  trades 256→120, return -52.9%→-2.4%, MDD 61.6%→24.5%, SQS 19.6→30.2.

Sample sympathy plays: GOOGL on META +7.7%, AVGO on COHR +6.3%,
SLB on HAL +5.5%, GE on HWM +5.1%. Profit factor 0.977 (one tweak
from breakeven). Verdict: VIABLE BUT WEAK — salvage hypothesis
empirically validated, near breakeven, not promoted yet.

35/35 peer_sympathy unit tests pass (29 pre-existing + 6 new for
reaction_close path).

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

I Luk Kim

956cc78f1b

Add 3 candidate engine classes beyond PEAD: EarningsRunup, PeerSympathy, VolBreakout52w

Adds three new synthetic-Candidate emitter engines parallel to the
existing leader_follower scheduler hook, plus look-ahead defenses
(LookaheadViolationError + per-engine assertions). Each engine is
covered by a standalone PoC config (no PEAD/parking/idle alpha) for
isolation backtests against the midlarge or broad snapshot.

Engines:

EarningsRunup (libs/backtest/earnings_runup.py)
 - Trigger: days_to_earnings ∈ [3,7] AND attention_zscore_20d ≥ 1.5
   AND dollar_volume_20d_zscore ≥ 1.0 (all evaluated at T-1 close)
 - Entry: T+1 next_open. Exit: -4% / +8% / max_holding_days =
   days_to_earnings - buffer (forced flat by close before announcement)
 - PIT calendar: PointInTimeEarningsCalendar adapter for backtest;
   oracle_surprise_prefetch fallback when parquet calendar absent
 - PoC verdict (configs/experiments/earnings_runup_poc_v1.json):
   119 trades over 1051 days, +37.27% total return, 44.46% MDD,
   SQS 45.2 (profitability=55.5, risk=23.5, robustness=50.1).
   VIABLE BUT NEEDS WORK — signal exists; standalone risk profile
   too aggressive for v7.356 baseline (8.8% MDD on v7.364). Path
   forward: per_trade_risk reduction, VIX gate, position cap, or
   integrate as PEAD sleeve adjunct (not as standalone replacement).

PeerSympathy (libs/backtest/peer_sympathy.py)
 - Trigger: leader passes PEAD filter (earnings_release / guidance_update
   / material_contract) AND leader reaction_close ≥ +5% AND peer 60d
   correlation ≥ 0.55 over [T-65, T-5]. Top-2 peers by correlation
   from leader_follower_extra_peer_symbols_by_sector + sector ETF
   holdings.
 - Entry: T+1 next_open on peer. Exit: -3.5% / +6% / max_holding=3 /
   peer-earnings blackout
 - PoC verdict (configs/experiments/peer_sympathy_poc_v1.json):
   256 trades over 1051 days, -52.92% total return, 54.47% MDD,
   SQS 19.6 (profitability=0.0, risk=5.4, robustness=100.0).
   DEAD. The leader's catalyst is already absorbed by T+1 next_open
   — peers gap up overnight before entry. robustness=100 confirms
   the negative result is not noise. Salvage paths (not implemented):
   reaction_close entry, raised-guidance-only restriction.
 - Note: initial run_id was 0 trades due to a select_candidates
   filter mismatch (engine.event_types=['peer_sympathy'] dropping
   real event_type='earnings_release' rows). The runner adapter
   was patched to bypass strategy_engine filtering for leader
   selection; the manual peer_sympathy_leader_event_types filter
   does the gating.

VolBreakout52w (libs/backtest/vol_breakout_52w.py)
 - Trigger: close_T-1 > max(high[T-252:T-2]) AND volume_T-1 ≥
   2 × median_volume_20d_T-2 AND ATR_14_T-1/close ∈ [0.015, 0.06].
   Entry T next_open, exit -3% / +5% / max_holding=2 / MOC.
 - Honest, look-ahead-safe descendant of the retired topgainer v1-v54
   family. Five layers of strict-before assertions guard the bar
   provider, candidate construction, trigger evaluation, and feature
   timestamps. A leaky-provider proof-by-contradiction test
   demonstrates the categorical catch.
 - PoC verdict (configs/experiments/vol_breakout_52w_poc_v1.json,
   broad-liquid universe): 1,332 trades, -87.28% total return,
   88.74% MDD, SQS 24.4 (profitability=0.0, robustness=100.0).
   DEAD AND HONEST. This is the most important finding of the three
   PoCs: the topgainer v1-v54 lineage's headline returns (+267%
   Sharpe 13.73 in best variants) were 100% lookahead bug. With
   the bug removed, the 52w-high + volume + ATR signal has no real
   alpha — the lookahead-corrected -4.3% from prior memory is
   confirmed and amplified to -87% on a fuller universe and longer
   horizon. Future "revive topgainer" proposals can cite this run
   (bt_return_max_long_v1_broad-liquid_20260509042903892342_3bb473d9)
   as definitive falsification.
 - Pre-open gap guard inactive (no premarket data in broad snapshot).
   skip_if_no_gap_data=true; the +4% gap-fade guard would not move
   the result given the magnitude.

Shared infrastructure additions:
 - libs/backtest/domain.py: LookaheadViolationError class +
   StrategyEngineConfig fields (11 EarningsRunup + 11 PeerSympathy
   + 13 VolBreakout52w = 35 new fields)
 - apps/backtester/run.py: _BacktestAttentionZscoreAdapter,
   _RunnerPeerResolver, _schedule_earnings_runup_candidates,
   _schedule_peer_sympathy_candidates,
   _schedule_vol_breakout_52w_candidates wired into the daily
   scheduler block. PeerSympathy adapter bypasses strategy_engine
   filtering on leader selection (manual filter handles gating).

Tests: 21 (EarningsRunup) + 27 (PeerSympathy) + 38 (VolBreakout52w)
= 86 new unit tests, all passing. Broader unit suite: 1392 passed,
2 pre-existing failures unrelated.

Net engine state: EarningsRunup is the only viable new engine class.
PeerSympathy and VolBreakout52w are kept in-tree as falsification
evidence, not as production engines.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

3 Commits (f1782f5fd338872a43bc130ae9a03cbedf396d2f)