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83 lines
3.1 KiB
JSON
83 lines
3.1 KiB
JSON
{
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"experiment_name": "earnings_runup_poc_v1",
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
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"description": "Standalone EarningsRunup engine isolation backtest. Buys 3-7 trading days before scheduled earnings when attention z-score >= 1.5 AND dollar-volume z-score >= 1.0; exits before the print. No PEAD engines, no parking, no idle alpha — pure standalone EV measurement.",
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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": 3,
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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": 7,
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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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"earnings_runup_preevent": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 7
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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": "earnings_runup_preevent_long",
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"event_types": ["earnings_runup_preevent"],
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"timing_class": "after_close",
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"direction": "long_only",
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"entry_timing_policy": "next_open",
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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": 7,
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"earnings_runup_enabled": true,
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"earnings_runup_days_to_earnings_min": 3,
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"earnings_runup_days_to_earnings_max": 7,
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"earnings_runup_attention_zscore_20d_min": 1.5,
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"earnings_runup_dollar_volume_zscore_20d_min": 1.0,
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"earnings_runup_min_avg_dollar_volume": 50000000.0,
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"earnings_runup_stop_pct": 0.04,
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"earnings_runup_target_pct": 0.08,
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"earnings_runup_trailing_activate_pct": 0.05,
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"earnings_runup_trailing_giveback_pct": 0.03,
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"earnings_runup_calendar_buffer_days": 1,
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"enabled": true
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}
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],
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"tags": ["earnings_runup", "preevent_drift", "poc"],
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"version_family": "earnings_runup",
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"status": "draft",
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"changelog": "Initial PoC: standalone EarningsRunup engine, 3-7 day pre-print window, attention_z>=1.5, dvol_z>=1.0, -4%/+8%/3%-trail/forced-flat T-1.",
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"parent": null,
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"performance_summary": null
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}
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