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68102f1b3a
Add peer_sympathy_entry_timing_policy ("next_open"|"reaction_close") and
peer_sympathy_leader_filing_time_buckets to StrategyEngineConfig. The
reaction_close variant enters peers at peer's T 16:00 ET close on the
SAME trading day as the leader's print, addressing the v1 hypothesis
failure where T+1 gap had already absorbed the news overnight.
Lookahead defenses tightened for the new branch: cutoff is T 16:00 ET
(_bar_close_timestamp(decision_date)) instead of T+1 09:30 ET; bucket
allow-list excludes AMC filings (which under PEAD's reaction_date=T+1
convention pass the timestamp check but defeat same-session sympathy).
LeaderPrint now carries filing_time_bucket from the runner.
Runner: split _schedule_peer_sympathy_candidates into two phases.
reaction_close fires BEFORE _select_candidates_for_date(date) and emits
into _scheduled_add_ons[date]; next_open keeps the existing tail-of-loop
position emitting into _scheduled_delayed_entries[next_date].
v2 backtest (1052 trading days, midlarge-liquid-long-v1 snapshot):
trades 256→120, return -52.9%→-2.4%, MDD 61.6%→24.5%, SQS 19.6→30.2.
Sample sympathy plays: GOOGL on META +7.7%, AVGO on COHR +6.3%,
SLB on HAL +5.5%, GE on HWM +5.1%. Profit factor 0.977 (one tweak
from breakeven). Verdict: VIABLE BUT WEAK — salvage hypothesis
empirically validated, near breakeven, not promoted yet.
35/35 peer_sympathy unit tests pass (29 pre-existing + 6 new for
reaction_close path).
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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3 months ago | |
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| .. | ||
| backtest | 3 months ago | |
| intraday | 4 months ago | |
| orb_trader | 4 months ago | |
| paper_trader | 4 months ago | |
| tools | 4 months ago | |
| web | 4 months ago | |
| __init__.py | 5 months ago | |
| test_config.py | 5 months ago | |
| test_continuation_snapshot.py | 5 months ago | |
| test_db_models.py | 5 months ago | |
| test_enrich_catalyst_persistence_features.py | 4 months ago | |
| test_enrich_earnings_history_features.py | 4 months ago | |
| test_enrich_peer_surprise_features.py | 4 months ago | |
| test_enrich_tier2_features.py | 4 months ago | |
| test_ensemble_overlay_backtest.py | 4 months ago | |
| test_event_features.py | 5 months ago | |
| test_file_store.py | 5 months ago | |
| test_financial_features.py | 5 months ago | |
| test_fred_service.py | 5 months ago | |
| test_ids.py | 5 months ago | |
| test_labeler.py | 3 months ago | |
| test_llm_cache.py | 5 months ago | |
| test_llm_client.py | 5 months ago | |
| test_llm_parser_stub.py | 5 months ago | |
| test_logging.py | 5 months ago | |
| test_market_features.py | 5 months ago | |
| test_merged_snapshot.py | 5 months ago | |
| test_merger.py | 5 months ago | |
| test_oracle_client.py | 4 months ago | |
| test_retries.py | 5 months ago | |
| test_review_queue.py | 5 months ago | |
| test_rule_parser.py | 3 months ago | |
| test_schema_validator.py | 5 months ago | |
| test_snapshot_export.py | 4 months ago | |
| test_text_normalizer.py | 5 months ago | |
| test_time_utils.py | 5 months ago | |