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8f0f99bdda
Two fixes: 1. _rebuild_daily_from_intraday_cache now filters to regular market hours (9:30–16:00 ET) before computing OHLCV. Previously used bars[-1] which included after-hours data, distorting prev_close for gap calculations. Root cause of V23 regression: HIMS Aug-4 after-hours drop to $54.81 made it appear as a +0.89% gap on Aug 5 instead of the correct -12.85% gap (from $63.45 market close), causing it to fail min_abs_gap_pct filter. V23 with fix: +109.32%, WR 58.1%, Sharpe 3.01, DD -12.91% 2. Remove temporary debug instrumentation (HIMS/2025-08-05 trace blocks) that was left in orb_simulator.py during regression investigation. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com> |
4 months ago | |
|---|---|---|
| .. | ||
| __init__.py | 4 months ago | |
| cache.py | 4 months ago | |
| domain.py | 4 months ago | |
| features.py | 4 months ago | |
| metrics.py | 4 months ago | |
| orb_simulator.py | 4 months ago | |
| screener.py | 4 months ago | |
| simulator.py | 4 months ago | |