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84 lines
2.7 KiB
JSON
84 lines
2.7 KiB
JSON
{
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"experiment_name": "pead_midcap_step30_balanced_sleeves_nofrac",
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"dataset_snapshot_id": "midcap-filtered",
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"description": "Step 30: Keep all earnings sleeves but downweight the weaker long-close and after-close short buckets, with full exit at target.",
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"base_config": "configs/backtest/defaults.json",
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"overrides": {
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"strategy_engine_selection_mode": "global_score",
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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": 2.0,
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"score_threshold": 0.65,
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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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"target_1_fraction": 1.0
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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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"strategy_engines": [
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{
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"engine_id": "earnings_same_day_short_step14",
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"event_types": ["earnings_release"],
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"timing_class": "same_day",
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"direction": "short_only",
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"entry_timing_policy": "next_open",
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"max_holding_days": 7,
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"engine_risk_budget_pct": 1.0,
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"shadow_only": false
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},
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{
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"engine_id": "earnings_after_close_long_step14",
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"event_types": ["earnings_release"],
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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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"max_holding_days": 7,
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"engine_risk_budget_pct": 1.0,
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"shadow_only": false
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},
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{
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"engine_id": "earnings_same_day_long_close7",
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"event_types": ["earnings_release"],
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"timing_class": "same_day",
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"direction": "long_only",
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"entry_timing_policy": "reaction_close",
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"max_holding_days": 7,
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"engine_risk_budget_pct": 0.25,
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"shadow_only": false
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},
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{
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"engine_id": "earnings_after_close_short_small",
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"event_types": ["earnings_release"],
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"timing_class": "after_close",
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"direction": "short_only",
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"entry_timing_policy": "next_open",
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"max_holding_days": 7,
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"engine_risk_budget_pct": 0.25,
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"shadow_only": false
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}
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],
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"splits": [],
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"tags": ["pead", "midcap", "step30", "balanced_sleeves", "nofrac"],
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"notes": null
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}
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