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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 | |
|---|---|---|
| .. | ||
| __init__.py | 5 months ago | |
| test_allocator.py | 4 months ago | |
| test_artifacts.py | 4 months ago | |
| test_attention.py | 4 months ago | |
| test_calendar.py | 5 months ago | |
| test_domain.py | 4 months ago | |
| test_earnings_calendar.py | 4 months ago | |
| test_earnings_runup.py | 3 months ago | |
| test_event_gen.py | 5 months ago | |
| test_execution.py | 4 months ago | |
| test_experiments.py | 4 months ago | |
| test_macro_gen.py | 5 months ago | |
| test_manifests.py | 4 months ago | |
| test_metrics.py | 5 months ago | |
| test_non_core_allocator_v2.py | 4 months ago | |
| test_peer_sympathy.py | 3 months ago | |
| test_price_gen.py | 5 months ago | |
| test_run_volatility_crush.py | 4 months ago | |
| test_run_window_extension.py | 4 months ago | |
| test_scenario_robustness.py | 5 months ago | |
| test_scoring.py | 4 months ago | |
| test_selector.py | 4 months ago | |
| test_snapshot_store.py | 4 months ago | |
| test_snapshots.py | 4 months ago | |
| test_splits.py | 5 months ago | |
| test_store_builder.py | 5 months ago | |
| test_tracker.py | 4 months ago | |
| test_vol_breakout_52w.py | 3 months ago | |