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02f7b9f8d4
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 | |
|---|---|---|
| .. | ||
| backtest | 3 months ago | |
| common | 4 months ago | |
| db | 5 months ago | |
| export | 3 months ago | |
| features | 4 months ago | |
| intraday | 4 months ago | |
| labeler | 3 months ago | |
| llm | 5 months ago | |
| oracle_client | 4 months ago | |
| parser | 3 months ago | |
| review | 5 months ago | |
| schemas | 5 months ago | |
| __init__.py | 5 months ago | |