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4b8a157a67
Phase 1 diagnostic (diag_orb_quality_features.py) on V23 200d trade set found obv_slope_20 passes all edge gates: Pearson=+0.2349 with r_multiple, top-tercile WR 75% vs bottom 59.4% (+15.6pp), avg_R gap +0.394R. Hurst_60 and OU-θ_60 failed. Weight sweep: 0.05 is Pareto-dominant (0.10/0.15 blow DD). 200d (same window): V24 +94.8% DD-11.3% Sharpe 2.83 vs V23 +85.0% DD-11.6% Sharpe 2.66 400d (same window): V24 +162.1% DD-13.7% Sharpe 2.47 vs V23 +149.4% DD-13.7% Sharpe 2.36 V24 Pareto-dominates V23 on both windows. V23 marked superseded. Code changes: - libs/intraday/features.py: add compute_obv_slope_approx() + enrich_daily_bars field - libs/intraday/domain.py: add weight_obv_slope field to ORBStrategyParams - libs/intraday/orb_simulator.py: wire obv_slope_20 read/store/score in gainers_leader branch - configs: orb_gainers_v24_quality_overlay.yaml (new champion, live_readiness: experimental) - configs: orb_gainers_v23.yaml status → superseded Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com> |
4 months ago | |
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| .. | ||
| backtest | 4 months ago | |
| common | 4 months ago | |
| db | 5 months ago | |
| export | 4 months ago | |
| features | 4 months ago | |
| intraday | 4 months ago | |
| labeler | 4 months ago | |
| llm | 5 months ago | |
| oracle_client | 4 months ago | |
| parser | 5 months ago | |
| review | 5 months ago | |
| schemas | 5 months ago | |
| __init__.py | 5 months ago | |