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642 lines
22 KiB
JSON
642 lines
22 KiB
JSON
{
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"experiment_name": "P_composite_v2",
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
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"description": "v7.118 + 6 per-engine exit/veto optimizations. 12\uac1c \uc5d4\uc9c4. Standalone SQS 92.4 (493% return).\nBEST conservative: tqqq_calm_v2 + sleeves = 3029.38% CW, SQS 89.2\nBEST aggressive: tqqq_active_v2 + sleeves = 3245.24% CW, SQS 89.2\nParking v3: gate_vol 0.35, TQQQ vol 0.22, temp 1.0, entropy 1.45 (1.15\u21921.45)\nLineage: v7.70\u2192v7.110\u2192v7.113\u2192v7.114\u2192v7.115\u2192v7.116\u2192v7.117\u2192v7.118\u2192v7.119",
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"base_config": "configs/backtest/return_max_long_v1.json",
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"overrides": {
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"signal": {
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"scoring_model": "return_max_long_v13e",
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"score_threshold": 0.45,
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"max_candidates_per_day": 18,
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"a_tier_score_threshold": 0.58
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},
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"risk": {
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"per_trade_risk_pct": 0.65,
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"per_trade_risk_pct_a_tier": 0.715,
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"max_daily_new_risk_pct": 50,
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"max_positions": 30,
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"max_positions_per_sector": 5,
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"max_position_value_pct": 25,
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"max_adv_fraction": 0.3,
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"macro_regime_neutral_size_scaler": 1,
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"macro_regime_risk_off_size_scaler": 1,
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"veto_unknown_direction": false,
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"macro_regime_risk_off_a_tier_only": false,
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"stop_atr_multiplier": 3,
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"allow_budget_downsizing": true,
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"cash_parking_preset": "composite_v2",
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"fixed_capital_sizing": false
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},
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"execution": {
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"a_tier_target_1_r": 3.5,
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"a_tier_target_1_fraction": 0,
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"non_a_tier_target_1_r": 2.25,
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"non_a_tier_target_1_fraction": 0,
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"trailing_warmup_days": 7,
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"max_holding_days": 12,
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"early_failure_no_progress_days": 1,
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"early_failure_no_progress_r": 0.15,
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"early_failure_no_progress_fraction": 1,
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"lookback_entry_enabled": true
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},
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"event_type_profiles": {
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"material_contract": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 20
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},
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"other_material_event": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 20
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},
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"unknown": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 12
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}
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},
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"idle_alpha_sleeve_preset": "micro_event_alpha_plus_event_plus_cash_convex_microcap8_guarded",
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"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high_maxval500m",
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"ownership_capture_sleeve_preset": "ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95",
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"risk_off_alpha_sleeve_preset": "risk_off_alpha_gld_crisis65_heavy"
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},
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"strategy_engines": [
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{
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"engine_id": "next_open_long_unknown_material_patient",
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"_disabled_reason": "LOO: removing adds +234pp CW on ftb_fix_v2",
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"event_types": [
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"material_contract"
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],
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"event_directions": [
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"unknown"
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],
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"guidance_statuses": [
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"not_provided"
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],
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"filing_time_buckets": [
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"post_market"
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],
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"timing_class": "after_close",
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"direction": "long_only",
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"entry_timing_policy": "next_open",
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"max_holding_days": 12,
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"engine_risk_budget_pct": 0.25,
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"reaction_day_return_min": 0,
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"reaction_day_return_max": 0.15,
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"close_location_min": 0.5,
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"close_location_max": 0.85,
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"gap_size_min": 0,
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"gap_size_max": 0.02,
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"volume_ratio_min": 0.8,
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"volume_ratio_max": 2,
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"max_market_cap_proxy": 10000000000,
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"document_quality_score_min": 0.5,
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"parse_confidence_overall_min": 0.45,
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"score_threshold_override": 0,
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"residual_reserve_selected": true,
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"veto_parse_confidence_min_override": 0.45,
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"next_open_gap_cap_pct": 0.02,
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"early_failure_close_below_entry_and_reaction_close_override": true,
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"early_failure_no_progress_days_override": 15,
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"early_failure_no_progress_r_override": 0,
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"early_failure_no_progress_fraction_override": 1,
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"target_1_r_override": 5,
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"target_1_fraction_override": 0.1,
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"trailing_warmup_days_override": 12,
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"enabled": false,
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"min_market_cap_proxy": 5000000000,
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"macro_vix_max": 30
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},
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{
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"engine_id": "reaction_close_long_core",
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"event_types": [
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"earnings_release",
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"guidance_update"
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],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 12,
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"engine_risk_budget_pct": 1,
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"reaction_day_return_min": 0,
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"reaction_day_return_max": 0.18,
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"close_location_min": 0.45,
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"volume_ratio_min": 1,
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"gap_size_min": 0,
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"weak_reaction_threshold": 0.03,
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"weak_reaction_gap_max": 0.02,
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"unknown_direction_reaction_min": 0.05,
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"unknown_direction_close_location_min": 0.7,
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"attention_max_wiki_spike_10d": 6,
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"score_threshold_override": 0.42,
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"enabled": true,
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"residual_reserve_selected": true,
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"mixed_inline_close_location_max": 0.88,
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"mixed_inline_gap_size_max": 0.1,
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"unknown_inline_exit_close_location_min": 0.9,
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"unknown_inline_exit_gap_size_max": 0.04,
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"unknown_inline_early_failure_no_progress_days_override": 2,
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"unknown_inline_early_failure_no_progress_r_override": 0.1,
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"unknown_inline_early_failure_no_progress_fraction_override": 1,
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"per_trade_risk_pct_override": 1.39,
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"trailing_warmup_days_override": 8,
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"macro_vix_max": 30,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_r_override": 0.2
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},
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{
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"engine_id": "reaction_close_long_residual_lowclose_gap_d3",
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"event_types": [
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"earnings_release",
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"guidance_update"
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],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 12,
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"engine_risk_budget_pct": 0.12,
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"reaction_day_return_min": 0.03,
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"reaction_day_return_max": 0.2,
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"close_location_min": 0.35,
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"close_location_max": 0.45,
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"volume_ratio_min": 1.25,
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"gap_size_min": 0.05,
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"gap_size_max": 0.1,
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"max_market_cap_proxy": 10000000000,
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"score_threshold_override": 0.35,
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"target_1_r_override": 3,
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"target_1_fraction_override": 0,
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"residual_reserve_selected": true,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": 3,
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"early_failure_no_progress_r_override": 0.25,
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"early_failure_no_progress_fraction_override": 1,
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"enabled": true,
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"macro_vix_max": 30
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},
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{
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"engine_id": "reaction_close_long_residual_smallcap_gap",
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"event_types": [
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"earnings_release",
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"guidance_update"
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],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 12,
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"engine_risk_budget_pct": 0.12,
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"reaction_day_return_min": 0.03,
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"reaction_day_return_max": 0.2,
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"close_location_min": 0.45,
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"volume_ratio_min": 1.25,
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"gap_size_min": 0.05,
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"gap_size_max": 0.1,
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"max_market_cap_proxy": 10000000000,
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"score_threshold_override": 0.35,
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"target_1_r_override": 3,
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"target_1_fraction_override": 0,
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"enabled": true,
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"macro_vix_max": 30
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},
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{
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"engine_id": "reaction_close_long_extreme_orderly",
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"event_types": [
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"earnings_release",
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"guidance_update"
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],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 12,
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"engine_risk_budget_pct": 0.35,
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"reaction_day_return_min": 0.2,
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"reaction_day_return_max": 0.4,
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"close_location_min": 0.83,
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"volume_ratio_min": 6,
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"gap_size_min": 0,
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"gap_size_max": 0.15,
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"attention_max_wiki_spike_10d": 6,
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"score_threshold_override": 0.65,
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"enabled": true,
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"target_1_r_override": 99,
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"target_1_fraction_override": 0,
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"trailing_warmup_days_override": 8,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": null,
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"early_failure_no_progress_r_override": null,
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"early_failure_no_progress_fraction_override": null,
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"per_trade_risk_pct_override": 1.5,
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"macro_vix_max": 30
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},
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{
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"engine_id": "next_open_long_unknown_inline_hivol",
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"event_types": [
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"earnings_release"
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],
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"event_directions": [
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"unknown"
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],
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"guidance_statuses": [
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"inline_or_maintained"
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],
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"filing_time_buckets": [
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"post_market"
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],
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"timing_class": "after_close",
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"direction": "long_only",
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"entry_timing_policy": "next_open",
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"max_holding_days": 12,
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"engine_risk_budget_pct": 0.1,
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"reaction_day_return_min": 0,
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"reaction_day_return_max": 0.06,
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"close_location_min": 0.74,
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"close_location_max": 0.86,
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"gap_size_min": 0,
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"gap_size_max": 0.04,
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"volume_ratio_min": 2.1,
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"volume_ratio_max": 2.8,
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"document_quality_score_min": 0.5,
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"parse_confidence_overall_min": 0.5,
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"score_threshold_override": 0,
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"residual_reserve_selected": true,
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"veto_oneoff_penalty_override": 1,
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"next_open_gap_cap_pct": 0.04,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": 15,
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"early_failure_no_progress_r_override": 0,
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"early_failure_no_progress_fraction_override": 1,
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"target_1_r_override": 5,
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"target_1_fraction_override": 0.1,
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"trailing_warmup_days_override": 12,
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"enabled": true,
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"per_trade_risk_pct_override": 1.95,
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"macro_vix_max": 30
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},
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{
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"engine_id": "next_open_long_guidance_unknown_orderly",
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"event_types": [
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"guidance_update"
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],
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"event_directions": [
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"unknown"
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],
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"guidance_statuses": [
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"not_provided"
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],
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"filing_time_buckets": [
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"post_market"
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],
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"timing_class": "after_close",
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"direction": "long_only",
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"entry_timing_policy": "next_open",
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"max_holding_days": 12,
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"engine_risk_budget_pct": 0.0675,
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"reaction_day_return_min": -0.03,
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"reaction_day_return_max": 0.05,
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"close_location_min": 0.9,
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"gap_size_min": -0.02,
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"gap_size_max": 0.03,
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"volume_ratio_min": 0.8,
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"min_market_cap_proxy": 9000000000,
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"document_quality_score_min": 0.52,
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"parse_confidence_overall_min": 0.48,
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"score_threshold_override": 0,
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"residual_reserve_selected": true,
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"next_open_gap_cap_pct": 0.03,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": 15,
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"early_failure_no_progress_r_override": 0,
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"early_failure_no_progress_fraction_override": 1,
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"target_1_r_override": 4,
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"target_1_fraction_override": 0.1,
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"trailing_warmup_days_override": 15,
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"enabled": true,
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"veto_parse_confidence_min_override": 0.48,
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"per_trade_risk_pct_override": 0.98,
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"stop_atr_multiplier_override": 2,
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"use_reaction_day_low_stop_override": false,
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"macro_vix_max": 30
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},
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{
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"engine_id": "next_open_long_earnings_mixed_inline_orderly",
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"event_types": [
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"earnings_release"
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],
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"event_directions": [
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"mixed"
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],
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"inline_or_maintained"
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],
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"post_market"
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],
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"timing_class": "after_close",
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"direction": "long_only",
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"engine_risk_budget_pct": 0.03,
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"close_location_min": 0.5,
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"volume_ratio_min": 1,
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"min_market_cap_proxy": 8000000000,
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"document_quality_score_min": 0.5,
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"parse_confidence_overall_min": 0.5,
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"score_threshold_override": 0,
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"residual_reserve_selected": true,
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"next_open_gap_cap_pct": 0.04,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": 15,
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"early_failure_no_progress_r_override": 0,
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"target_1_fraction_override": 0.1,
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"trailing_warmup_days_override": 12,
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"enabled": true,
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"veto_parse_confidence_min_override": 0.5,
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"per_trade_risk_pct_override": 1.34,
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"stop_atr_multiplier_override": 3,
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"use_reaction_day_low_stop_override": false,
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"macro_vix_max": 30
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},
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{
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"engine_id": "next_open_long_unknown_material_orderly",
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"event_types": [
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"material_contract"
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],
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"event_directions": [
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"unknown"
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],
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"guidance_statuses": [
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"not_provided"
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],
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"post_market"
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],
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"timing_class": "after_close",
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"direction": "long_only",
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"entry_timing_policy": "next_open",
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"close_location_min": 0.5,
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"gap_size_min": -0.02,
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"gap_size_max": 0.02,
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"volume_ratio_min": 0.9,
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"volume_ratio_max": 1.4,
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"min_market_cap_proxy": 10000000000,
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"max_market_cap_proxy": 100000000000,
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"document_quality_score_min": 0.5,
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"parse_confidence_overall_min": 0.45,
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"score_threshold_override": 0,
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"residual_reserve_selected": true,
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"next_open_gap_cap_pct": 0.03,
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"early_failure_close_below_entry_and_reaction_close_override": false,
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"early_failure_no_progress_days_override": 15,
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"early_failure_no_progress_r_override": 0,
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"early_failure_no_progress_fraction_override": 1,
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"target_1_r_override": 5,
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"target_1_fraction_override": 0.1,
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"trailing_warmup_days_override": 12,
|
|
"enabled": false,
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"veto_parse_confidence_min_override": 0.45,
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"per_trade_risk_pct_override": 0.23,
|
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"stop_atr_multiplier_override": 3,
|
|
"use_reaction_day_low_stop_override": false,
|
|
"macro_vix_max": 30,
|
|
"_disabled_reason": "LOO v7.132: +37pp delta"
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},
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|
{
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"engine_id": "next_open_long_megacap_material_contract_orderly",
|
|
"event_types": [
|
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"material_contract",
|
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"other_material_event"
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],
|
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"event_directions": [
|
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"unknown",
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"mixed"
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],
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"guidance_statuses": [
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"not_provided"
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],
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"filing_time_buckets": [
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"post_market"
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],
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}
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],
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{
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"kind": "named_snapshot",
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"params": {
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"name": "train"
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}
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},
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{
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"kind": "named_snapshot",
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{
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"params": {
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}
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],
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"tags": [
|
|
"return-max",
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|
"v6new",
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|
"de-risk"
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|
],
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"notes": "Add macro_vix_max to reaction_close_long_core on top of v6new.350 to keep current split/WFV while sharply improving matched stress OOT.",
|
|
"aliases": [
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"conviction",
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|
"v7.119 \u2014 12-engine composite champion (SQS 92.4, 493% standalone)"
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],
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"version_family": "v7",
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"created_at": "2026-04-10T09:21:41.353437+00:00",
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"created_by": "ai_agent",
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"status": "promoted",
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"generation": 45,
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"changelog": "Bullish recovery: mhd 10 only (isolate mhd effect from target_1_r)",
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|
"parent": "return_max_long_v7.349_composed_gld",
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|
"id": 1348,
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|
"performance_summary": null,
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|
"has_journal_entry": true
|
|
} |