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I Luk Kim 261f67dfde Promote PeerSympathy v2 reaction_close sweep10 — corr 0.80 + top_n 1 
Threshold sweep over PeerSympathy v2 reaction_close found a viable config.
After 10 ablation runs (correlation_min, leader_reaction_min, top_n_peers,
event_types, VIX gate), the dominant lever is correlation_min:

  baseline 0.55:  -2.35% / MDD 24.5% / SQS 30.2 / PF 0.977
  sweep01 0.65: +11.10% / MDD 16.1% / SQS 50.2 / PF 1.204
  sweep02 0.75: +15.76% / MDD  9.1% / SQS 62.5 / PF 1.835
  sweep07 0.80: +14.11% / MDD  3.8% / SQS 80.2 / PF 2.198
  sweep10 0.80 + top_n 1: +15.35% / MDD 3.83% / SQS 81.5 / PF 2.46
  sweep09 0.85:  +0.98% / MDD  3.8% / SQS 21.4 / PF 1.156 (cliff)

Mechanical insight: pushing correlation gate from 0.55 → 0.80 trims
coincidental ETF-shared peers and concentrates on structurally-clean
pairs where the leader's print is new information for the peer's
fundamentals — NOT the noisy NVDA/AVGO/AMD/MU semis cluster (their
mutual corr usually 0.55-0.70 with high cross-noise from competing
product cycles).

Sympathy pairs that surfaced in sweep10:
  Utilities      VST → CEG (independent power generators)
  Ag equipment   AGCO → DE
  Industrials    DAL → CAT, HWM → GE
  Software       DT → CRM, IT → INTU
  Datacenter     VRT → PWR (electrification)
  Energy         OVV/OXY/EOG/COP cluster

Hits all PROMOTE thresholds: SQS 81.5 > 50, return +15.35% > +5%,
MDD 3.83% < 25%. Sub-scores: profitability 100, risk 62.9, consistency
84.3, robustness 59.3 (lowest — sample-size discount). Sharpe 0.721,
Calmar 0.906, expectancy 0.072 R, avg holding 3.56 days, win rate 55.6%.

CAVEATS:
- N=27 trades is thin. Bootstrap PF 95% CI is [0.68, 10.82]. Treat as
  directional candidate, not production. Robustness 59.3 reflects this.
- corr_min cliff at 0.85 (universe runs out). 0.80 is at the inside edge
  of viable; re-baseline on snapshot shifts.
- macro_vix_max=30 was a no-op in sweep08. Either no candidates on
  VIX>30 days, or gate not wired to peer_sympathy in selector.py.
  Falsified hypothesis; not promoted as a lever.

Run: bt_return_max_long_v1_midlarge-liq_20260509072637244341_e1c62252.
Parent: peer_sympathy_poc_v2_reaction_close (commit 68102f1).

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
 		3 months ago
..
.id_lock Remove momentum breakout sleeve (overfitting, valid -31%) and revert related code 4 months ago
.index.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
earnings_runup_poc_v1.json Add 3 candidate engine classes beyond PEAD: EarningsRunup, PeerSympathy, VolBreakout52w 3 months ago
earnings_runup_poc_v2_tuned.json Wire pct-trailing end-to-end for EarningsRunup; tune v2 risk profile 3 months ago
empty_strategy.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
pead_step14_diag.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
peer_sympathy_poc_v1.json Add 3 candidate engine classes beyond PEAD: EarningsRunup, PeerSympathy, VolBreakout52w 3 months ago
peer_sympathy_poc_v2_reaction_close.json Add reaction_close salvage variant to PeerSympathy engine 3 months ago
peer_sympathy_poc_v2_reaction_close_sweep10_corr080_topn1.json Promote PeerSympathy v2 reaction_close sweep10 — corr 0.80 + top_n 1 3 months ago
return_max_long_v7.1.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
return_max_long_v7.2.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
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return_max_long_v7.69.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
return_max_long_v7.70.json Remove momentum breakout sleeve (overfitting, valid -31%) and revert related code 4 months ago
return_max_long_v7.70_midwide.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
return_max_long_v7.71.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
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return_max_long_v7.94.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
return_max_long_v7.95.json Fix cash parking phantom-money bug + live engine parking liquidation for events 5 months ago
return_max_long_v7.96.json Fix cash parking phantom-money bug + live engine parking liquidation for events 5 months ago
return_max_long_v7.97.json Fix cash parking phantom-money bug + live engine parking liquidation for events 5 months ago
return_max_long_v7.98.json Fix cash parking phantom-money bug + live engine parking liquidation for events 5 months ago
return_max_long_v7.120_composed_gld.json Add v7.120 composed GLD experiment updates 4 months ago
return_max_long_v7.121.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
return_max_long_v7.122.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
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return_max_long_v7.126.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
return_max_long_v7.127.json Add ownership/risk-off sleeves, v17-v19 experiments, and web app restructure 4 months ago
return_max_long_v7.128_composed_gld.json Add v7.120 composed GLD experiment updates 4 months ago
return_max_long_v7.267_composed_gld_cp_guarded.json Optimize v7 strategy: v7.356 achieves CW 2159% + SQS 90.7 (Pareto improvement over v7.314) 4 months ago
return_max_long_v7.268_composed_gld_cp_guarded_temp100.json Clean up: reduce Oracle timeout, fix company endpoint, archive old v7/v15/v16 experiments 4 months ago
return_max_long_v7.356-mod1_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod2_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod3_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod4_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod5_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod9_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod11_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod12_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod17_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356-mod18_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.356_composed_gld.json Optimize v7 strategy: v7.356 achieves CW 2159% + SQS 90.7 (Pareto improvement over v7.314) 4 months ago
return_max_long_v7.356_composed_gld_compound.json Paper trader Phase 1 fixes: multi-session isolation, pipeline halt, snapshot refresh unblock 4 months ago
return_max_long_v7.356_plus_earnings_runup_v1.json Add v7.356+EarningsRunup composite config (NEUTRAL — not promoted) 3 months ago
return_max_long_v7.359_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.360_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.361_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.362_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.363_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
return_max_long_v7.364_composed_gld.json Investigate compound mode: V23 is absolute champion in all modes 4 months ago
vol_breakout_52w_poc_v1.json Add 3 candidate engine classes beyond PEAD: EarningsRunup, PeerSympathy, VolBreakout52w 3 months ago