yirugi
/
fithia2
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
You cannot select more than 25 topics Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
main
Branches Tags
${ item.name }
Create tag ${ searchTerm }
Create branch ${ searchTerm }
from '557d54921a'
${ noResults }
fithia2/configs
History
I Luk Kim 4b8a157a67 Promote V24 ORB Gainers: add OBV-slope(20d) accumulation quality weight 
Phase 1 diagnostic (diag_orb_quality_features.py) on V23 200d trade set found
obv_slope_20 passes all edge gates: Pearson=+0.2349 with r_multiple, top-tercile
WR 75% vs bottom 59.4% (+15.6pp), avg_R gap +0.394R. Hurst_60 and OU-θ_60 failed.

Weight sweep: 0.05 is Pareto-dominant (0.10/0.15 blow DD).

200d (same window): V24 +94.8% DD-11.3% Sharpe 2.83 vs V23 +85.0% DD-11.6% Sharpe 2.66
400d (same window): V24 +162.1% DD-13.7% Sharpe 2.47 vs V23 +149.4% DD-13.7% Sharpe 2.36
V24 Pareto-dominates V23 on both windows. V23 marked superseded.

Code changes:
- libs/intraday/features.py: add compute_obv_slope_approx() + enrich_daily_bars field
- libs/intraday/domain.py: add weight_obv_slope field to ORBStrategyParams
- libs/intraday/orb_simulator.py: wire obv_slope_20 read/store/score in gainers_leader branch
- configs: orb_gainers_v24_quality_overlay.yaml (new champion, live_readiness: experimental)
- configs: orb_gainers_v23.yaml status → superseded

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
 		4 months ago
..
backtest Optimize v7 strategy: v7.356 achieves CW 2159% + SQS 90.7 (Pareto improvement over v7.314) 4 months ago
experiments Investigate compound mode: V23 is absolute champion in all modes 4 months ago
intraday Promote V24 ORB Gainers: add OBV-slope(20d) accumulation quality weight 4 months ago
ranking_models Add overlay engine, ranking models, snapshot pipelines, and research tools 5 months ago
snapshots Optimize v7 strategy: v7.356 achieves CW 2159% + SQS 90.7 (Pareto improvement over v7.314) 4 months ago
app.yaml feat: PEAD mid-cap strategy + pipeline hardening + README cleanup 5 months ago
fred_series.yaml
…
symbols.yaml feat: PEAD mid-cap strategy + pipeline hardening + README cleanup 5 months ago
symbols_backup_largecap.yaml feat: PEAD mid-cap strategy + pipeline hardening + README cleanup 5 months ago
symbols_broad_snapshot_3408.yaml Investigate compound mode: V23 is absolute champion in all modes 4 months ago
symbols_largecap.yaml feat: PEAD mid-cap strategy + pipeline hardening + README cleanup 5 months ago
symbols_midcap.yaml feat: PEAD mid-cap strategy + pipeline hardening + README cleanup 5 months ago
symbols_midcap_smallmid.yaml Investigate compound mode: V23 is absolute champion in all modes 4 months ago
symbols_midlarge_snapshot_exact.yaml Add expanded ORB simulator features and metrics 4 months ago
symbols_orb_smoke.yaml Investigate compound mode: V23 is absolute champion in all modes 4 months ago
symbols_smallmid.yaml feat: PEAD mid-cap strategy + pipeline hardening + README cleanup 5 months ago