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84 lines
3.5 KiB
JSON
84 lines
3.5 KiB
JSON
{
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"experiment_name": "earnings_runup_poc_v2_tuned",
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
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"description": "EarningsRunup PoC v2 with risk-tuned exits. v1 baseline: +37.27% return, MDD 53.23% (raw) / 44.46% (SQS risk component), SQS 45.2. Changes: (a) wire pct-trailing end-to-end via new trailing_pct_activation/trailing_pct_giveback fields → trailing only arms after +5% peak P&L, then locks in (peak_pnl - 3%) of entry; (b) per_trade_risk_pct 0.65 → 0.30 (halve sizing); (c) max_positions 30 → 8 (concentration cap); (d) macro_vix_max 30 (skip earnings runup setups in macro stress). Goal: cut MDD from ~53% to <25% while preserving the +37% return signal.",
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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": 0.0,
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"max_candidates_per_day": 18,
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"a_tier_score_threshold": 0.99
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},
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"risk": {
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"per_trade_risk_pct": 0.30,
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"per_trade_risk_pct_a_tier": 0.30,
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"max_daily_new_risk_pct": 50,
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"max_positions": 8,
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"max_positions_per_sector": 4,
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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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"veto_bearish_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": null,
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"fixed_capital_sizing": false
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},
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"execution": {
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"trailing_warmup_days": 0,
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"max_holding_days": 7,
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"early_failure_no_progress_days": 1,
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"early_failure_no_progress_r": 0.0,
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"early_failure_no_progress_fraction": 0,
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"lookback_entry_enabled": false
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},
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"event_type_profiles": {
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"earnings_runup_preevent": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 7
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}
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},
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"idle_alpha_sleeve_preset": null,
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"form4_capture_sleeve_preset": null,
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"ownership_capture_sleeve_preset": null,
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"risk_off_alpha_sleeve_preset": null,
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"dividend_capture_sleeve_preset": null
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},
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"strategy_engines": [
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{
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"engine_id": "earnings_runup_preevent_long",
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"event_types": ["earnings_runup_preevent"],
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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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"engine_risk_budget_pct": 1.0,
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"score_threshold_override": 0.0,
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"max_holding_days": 7,
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"macro_vix_max": 30.0,
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"earnings_runup_enabled": true,
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"earnings_runup_days_to_earnings_min": 3,
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"earnings_runup_days_to_earnings_max": 7,
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"earnings_runup_attention_zscore_20d_min": 1.5,
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"earnings_runup_dollar_volume_zscore_20d_min": 1.0,
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"earnings_runup_min_avg_dollar_volume": 50000000.0,
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"earnings_runup_stop_pct": 0.04,
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"earnings_runup_target_pct": 0.08,
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"earnings_runup_trailing_activate_pct": 0.05,
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"earnings_runup_trailing_giveback_pct": 0.03,
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"earnings_runup_calendar_buffer_days": 1,
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"enabled": true
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}
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],
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"tags": ["earnings_runup", "preevent_drift", "poc", "risk_tuned"],
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"version_family": "earnings_runup",
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"status": "draft",
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"changelog": "v2: wire pct-trailing end-to-end (5% activation / 3% entry-relative giveback); cut per_trade_risk 0.65→0.30; cap max_positions 30→8; add macro_vix_max=30.",
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"parent": "earnings_runup_poc_v1",
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"performance_summary": null
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}
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