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1e66b67c7a
Tier 1: Vol/RSI/BB/OBV features — sizing scalers hurt public SQS, scoring adjustments ineffective on 28-30 trades. Only doc_quality gate lowering (0.66→0.55) improved results (+2 trades, +0.8 SQS). Tier 2: Hurst exponent, Shannon entropy, sector momentum — entropy bonus CW +10.7pp but SQS equivalent (72.3 vs 72.4). Sector momentum hurt badly. Tier 3: OU theta, gravitational pull, market temperature — all caused large CW return drops (-80 to -103pp). Physics-based indicators don't fit event-driven PEAD. Best result: v6new.122 (SQS 72.4, #3 leaderboard) = v6new.29 + doc quality gate 0.66→0.55. Single parameter change outperformed all feature engineering. New code: - libs/features/market_features.py: 9 new features (vol, RSI, BB, OBV, Hurst, entropy, OU theta, gravitational pull, market temperature) - libs/backtest/scoring.py: v12-v14 scoring models with technical gates - libs/backtest/allocator.py: volatility + conviction size scalers - libs/backtest/domain.py: volatility_size_scaler + conviction_boost config - scripts/enrich_*.py: snapshot enrichment scripts - 68 experiment configs (v6new.106-173) Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com> |
5 months ago | |
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| .. | ||
| enrich_technical_features.py | 5 months ago | |
| enrich_tier2_features.py | 5 months ago | |
| enrich_tier3_features.py | 5 months ago | |