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New features: - _enrich_macro_features() in snapshot_export: adds macro_vix, macro_hy_spread from FRED - compute_return_max_long_score_v10: +12% bonus in favorable regime (VIX>18+HY>3.25) - _macro_regime_score(): regime-aware scoring component Findings: - VIX signal is statistically strong: 62.3% WR (VIX>18+HY>3.25) vs 50.8% (other) - But scoring bonus promotes marginal trades, diluting OOS quality - Same pattern as eps_growth, drift bonus: raw signal ≠ scoring improvement - v6new.17 SQS 59.1 < v6new.9 SQS 63.3 v6new.9 remains best at SQS 63.3 after 17 experiments. Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com> |
5 months ago | |
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| LEADERBOARD.md | 5 months ago | |
| attention_probe_20260317.md | 5 months ago | |
| experiment_registry.json | 5 months ago | |
| improvement_journal.jsonl | 5 months ago | |