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40 lines
1.3 KiB
JSON
40 lines
1.3 KiB
JSON
{
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"experiment_name": "pead_midcap_step10_short",
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"dataset_snapshot_id": "midcap-filtered",
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"description": "Step 10: Combo base (10% + maxcand3) + shorter hold (7 days). Avg holding is 3.4 days, so 15-day max is unnecessary exposure. 7 days captures PEAD drift without mean reversion.",
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"base_config": "configs/backtest/defaults.json",
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"overrides": {
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"event_type_profiles": {
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"earnings_release": {"enabled": true, "direction_filter": "any", "max_holding_days_override": 7},
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"guidance_update": {"enabled": false},
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"management_change": {"enabled": false},
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"material_contract": {"enabled": false},
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"unknown": {"enabled": false},
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"other_material_event": {"enabled": false}
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},
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"signal": {
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"scoring_model": "pead",
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"pead_reaction_threshold": 0.10,
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"pead_volume_threshold": 1.5,
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"score_threshold": 0.5,
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"max_candidates_per_day": 3
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},
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"execution": {
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"max_holding_days": 7
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},
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"risk": {
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"max_positions": 8,
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"max_positions_per_sector": 8,
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"max_daily_new_risk_pct": 0.04,
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"cooldown_after_loss_streak": 0,
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"cooldown_days": 0,
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"veto_oneoff_penalty": 1.0,
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"veto_unknown_direction": false,
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"veto_bearish_direction": false
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}
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},
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"splits": [],
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"tags": ["pead", "midcap", "step10", "short", "combo"],
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"notes": null
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}
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