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8bd4dba89c
V32 parametric sweep on V24 base (4 variants — all failed): - risk6 (0.05→0.06): -1.93pp 200d FAIL - trail_loose (0.8→1.0): +7.69pp 200d but -6.72pp 400d FAIL (regime-specific) - breakeven_early (1.0→0.75R): -7.39pp 200d FAIL - trail_09 (0.8→0.9): -14.83pp 400d FAIL (non-monotonic; 0.8 is global optimum) V33 QQQ ORB candle quality diagnostic (new script): - qqq_orb_body_pct/return/close_loc: Pearson ~0.001–0.022, day-level ρ ≈ 0 - QQQ daily gap filter already captures all market-level regime signal - All 3 features fail G1 and G2 completely All improvement axes now exhausted: 7 signal axes + exit sweep + market intraday. V24 (OBV-slope w=0.05, 200d +95% / 400d +162%) is the absolute final champion. Next R&D cycle requires new data source: sector ETF ORB / options flow / architecture. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com> |
4 months ago | |
|---|---|---|
| .. | ||
| __init__.py | 4 months ago | |
| diag_afternoon_momentum.py | 4 months ago | |
| diag_fixed_pct_exit.py | 4 months ago | |
| diag_gapdown_catalyst_short.py | 4 months ago | |
| diag_gapdown_short.py | 4 months ago | |
| diag_gapdown_short_v2.py | 4 months ago | |
| diag_orb_momentum_features.py | 4 months ago | |
| diag_orb_qqq_quality.py | 4 months ago | |
| diag_orb_quality_features.py | 4 months ago | |
| diag_orb_short_volume.py | 4 months ago | |
| diag_orb_softday_quality_gates.py | 4 months ago | |
| diag_orb_structural_features.py | 4 months ago | |
| diag_orb_tape_ignition.py | 4 months ago | |
| diag_orb_trending_features.py | 4 months ago | |
| diag_orb_volatility_features.py | 4 months ago | |
| run_slippage_ladder.py | 4 months ago | |