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3c13c9e1b5
New in allocator.py: - vix_pead mode: boosts sizing at VIX>18 (PEAD favorable), penalizes VIX 15-18 - Fixed vix_scaler application to support boost (scaler > 1.0) Results: - v6new.19 (spy_qqq risk_off=0.55): SQS 62.8 — reduces size in favorable PEAD regime - v6new.21 (vix_pead boost+penalty): SQS 46.9 — penalty too aggressive, kills trades VIX signal is real (62.3% vs 48.2% WR) but sizing alone can't capture it: - Boosting doesn't help because same trades just get bigger - Penalizing shrinks or drops trades, losing count - Need the signal in TRADE SELECTION, not just sizing v6new.9 (SQS 63.3) remains best. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com> |
5 months ago | |
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| .. | ||
| backtest | 5 months ago | |
| common | 5 months ago | |
| db | 5 months ago | |
| export | 5 months ago | |
| features | 5 months ago | |
| labeler | 5 months ago | |
| llm | 5 months ago | |
| oracle_client | 5 months ago | |
| parser | 5 months ago | |
| review | 5 months ago | |
| schemas | 5 months ago | |
| __init__.py | 5 months ago | |