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118 lines
3.9 KiB
JSON
118 lines
3.9 KiB
JSON
{
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"experiment_name": "short_bearish_v1",
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit",
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"description": "Pure short-only bearish PEAD: short stocks with strong negative reaction (-5% to -18%), testing if bearish drift continues.",
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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": "pead",
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"score_threshold": 0.4,
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"max_candidates_per_day": 12,
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"a_tier_score_threshold": 0.65,
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"pead_reaction_threshold": 0.05,
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"pead_volume_threshold": 1.2
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},
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"risk": {
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"per_trade_risk_pct": 0.015,
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"per_trade_risk_pct_a_tier": 0.018,
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"max_daily_new_risk_pct": 0.15,
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"max_positions": 10,
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"max_positions_per_sector": 3,
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"max_position_value_pct": 0.2,
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"max_adv_fraction": 0.05,
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"macro_regime_enabled": false,
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"veto_unknown_direction": false,
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"veto_bearish_direction": false,
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"stop_atr_multiplier": 2.0
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},
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"execution": {
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"trailing_warmup_days": 3,
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"max_holding_days": 10,
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"early_failure_no_progress_days": 2,
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"early_failure_no_progress_r": 0.15,
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"early_failure_no_progress_fraction": 1.0
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},
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"event_type_profiles": {
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"earnings_release": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 12
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},
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"guidance_update": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 10
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},
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"other_material_event": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 10
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}
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}
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},
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"strategy_engines": [
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{
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"engine_id": "reaction_close_short_bearish",
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"event_types": [
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"earnings_release",
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"guidance_update",
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"other_material_event"
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],
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"timing_class": "same_day",
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"direction": "short_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 10,
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"engine_risk_budget_pct": 0.5,
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"reaction_day_return_min": -0.18,
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"reaction_day_return_max": -0.05,
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"close_location_max": 0.4,
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"volume_ratio_min": 1.5,
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"score_threshold_override": 0.4,
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"per_trade_risk_pct_override": 0.015,
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"target_1_r_override": 2.0,
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"target_1_fraction_override": 0.25,
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"trailing_warmup_days_override": 3,
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"early_failure_no_progress_days_override": 2,
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"early_failure_no_progress_r_override": 0.15,
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"early_failure_no_progress_fraction_override": 1.0,
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"enabled": true
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},
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{
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"engine_id": "next_open_short_bearish",
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"event_types": [
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"earnings_release",
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"guidance_update",
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"other_material_event"
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],
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"timing_class": "any",
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"direction": "short_only",
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"entry_timing_policy": "next_open",
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"max_holding_days": 10,
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"engine_risk_budget_pct": 0.5,
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"reaction_day_return_min": -0.18,
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"reaction_day_return_max": -0.05,
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"close_location_max": 0.4,
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"volume_ratio_min": 1.5,
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"next_open_gap_cap_pct": 0.1,
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"score_threshold_override": 0.4,
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"per_trade_risk_pct_override": 0.015,
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"target_1_r_override": 2.0,
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"target_1_fraction_override": 0.25,
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"trailing_warmup_days_override": 3,
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"early_failure_no_progress_days_override": 2,
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"early_failure_no_progress_r_override": 0.15,
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"early_failure_no_progress_fraction_override": 1.0,
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"enabled": true
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}
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],
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"strategy_engine_selection_mode": "global_score",
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"version_family": "v1",
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"created_at": "2026-03-26T20:16:35-07:00",
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"created_by": "human",
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"status": "retired",
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"generation": 0,
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"changelog": "Pure short-only bearish PEAD: short stocks with strong negative reaction (-5% to -18%), testing if bearish drift continues.",
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"id": 317,
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"retirement_reason": "Superseded by v7.70 (current champion, SQS 76.9, Sharpe 3.13, CW +468.26%)"
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}
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