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90 lines
3.9 KiB
JSON
90 lines
3.9 KiB
JSON
{
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"experiment_name": "peer_sympathy_poc_v2_reaction_close",
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
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"description": "PeerSympathy salvage variant: enter peers at peer's reaction_close on T (same trading day as the leader's print) instead of T+1 next_open. Hypothesis: peers move in the SAME intraday session as the leader (NVDA prints BMO -> AVGO/AMD rally same day's market hours), not on T+1 gap which already absorbed the news overnight. Filing-time bucket allow-list restricts to BMO + regular_hours leader prints; AMC filings are excluded because their reaction_date = T+1 means peer's reaction_close on T+1 is already ~20 trading hours after the news, defeating the same-session sympathy thesis. All other parameters identical to v1 baseline.",
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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": "return_max_long_v13e",
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"score_threshold": 0.0,
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"max_candidates_per_day": 18,
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"a_tier_score_threshold": 0.99
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},
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"risk": {
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"per_trade_risk_pct": 0.65,
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"per_trade_risk_pct_a_tier": 0.65,
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"max_daily_new_risk_pct": 50,
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"max_positions": 30,
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"max_positions_per_sector": 30,
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"max_position_value_pct": 25,
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"max_adv_fraction": 0.3,
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"macro_regime_neutral_size_scaler": 1,
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"macro_regime_risk_off_size_scaler": 1,
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"veto_unknown_direction": false,
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"veto_bearish_direction": false,
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"macro_regime_risk_off_a_tier_only": false,
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"stop_atr_multiplier": 1.75,
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"allow_budget_downsizing": true,
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"cash_parking_preset": null,
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"fixed_capital_sizing": false
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},
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"execution": {
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"trailing_warmup_days": 7,
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"max_holding_days": 3,
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"early_failure_no_progress_days": 1,
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"early_failure_no_progress_r": 0.0,
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"early_failure_no_progress_fraction": 0,
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"lookback_entry_enabled": false
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},
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"event_type_profiles": {
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"peer_sympathy": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 3
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}
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},
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"idle_alpha_sleeve_preset": null,
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"form4_capture_sleeve_preset": null,
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"ownership_capture_sleeve_preset": null,
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"risk_off_alpha_sleeve_preset": null,
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"dividend_capture_sleeve_preset": null
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},
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"strategy_engines": [
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{
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"engine_id": "peer_sympathy_long_reaction_close",
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"event_types": ["peer_sympathy"],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"engine_risk_budget_pct": 1.0,
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"score_threshold_override": 0.0,
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"max_holding_days": 3,
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"peer_sympathy_enabled": true,
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"peer_sympathy_entry_timing_policy": "reaction_close",
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"peer_sympathy_leader_filing_time_buckets": ["pre_market", "regular_hours"],
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"peer_sympathy_leader_event_types": [
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"earnings_release",
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"guidance_update",
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"material_contract"
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],
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"peer_sympathy_leader_reaction_min": 0.05,
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"peer_sympathy_correlation_min": 0.55,
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"peer_sympathy_correlation_window_start": 65,
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"peer_sympathy_correlation_window_end_skip": 5,
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"peer_sympathy_top_n_peers": 2,
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"peer_sympathy_blackout_days_to_peer_event": 3,
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"peer_sympathy_stop_pct": 0.035,
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"peer_sympathy_target_pct": 0.06,
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"peer_sympathy_max_holding_days": 3,
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"leader_follower_min_days_to_event": 3,
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"enabled": true
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}
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],
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"tags": ["peer_sympathy", "sympathy_rally", "poc", "salvage_v2", "reaction_close"],
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"version_family": "peer_sympathy",
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"status": "draft",
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"changelog": "v2 salvage variant of peer_sympathy_poc_v1: same-day reaction_close entry on T (peer's 16:00 ET close) instead of T+1 next_open, restricted to BMO + regular_hours leader filings. Tests this hypothesis: peers move in the SAME session as the leader's print, not on T+1 gap which already absorbed the news overnight.",
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"parent": "peer_sympathy_poc_v1",
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"performance_summary": null
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}
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