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cdf6ae3493
Fix core strategy flaws identified from academic research and Phase 4
backtest results (23% win rate, 0% target hits, 77% stop exits).
5A — Exit mechanics: ATR-based targets (reachable ~4.5% vs unreachable ~6-8%),
partial profit-taking at target with breakeven stop on remainder,
wider catastrophic stop (3.0 ATR), trailing stop enabled by default.
5B — Event-type-specific logic: EventTypeProfile with per-type overrides
for holding days, ATR multipliers, score thresholds, direction filter.
Disabled management_change and other_material_event (low evidence).
5C-1 — Expanded universe from 15 to 97 symbols across sectors including
mid-cap growth where PEAD is stronger.
5C-3 — Bootstrap 95% confidence intervals for key trade metrics.
5D — SUE integration: earnings surprise scoring (eps_growth_qoq) at 10%
weight, entry gate blocks negative EPS surprise for earnings events.
5F — Extended label horizons to 10D/20D with Alembic migration.
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
|
5 months ago | |
|---|---|---|
| .. | ||
| backtest | 5 months ago | |
| __init__.py | 5 months ago | |
| test_config.py | 5 months ago | |
| test_db_models.py | 5 months ago | |
| test_event_features.py | 5 months ago | |
| test_file_store.py | 5 months ago | |
| test_financial_features.py | 5 months ago | |
| test_fred_service.py | 5 months ago | |
| test_ids.py | 5 months ago | |
| test_labeler.py | 5 months ago | |
| test_llm_cache.py | 5 months ago | |
| test_llm_client.py | 5 months ago | |
| test_llm_parser_stub.py | 5 months ago | |
| test_logging.py | 5 months ago | |
| test_market_features.py | 5 months ago | |
| test_merger.py | 5 months ago | |
| test_oracle_client.py | 5 months ago | |
| test_retries.py | 5 months ago | |
| test_review_queue.py | 5 months ago | |
| test_rule_parser.py | 5 months ago | |
| test_schema_validator.py | 5 months ago | |
| test_snapshot_export.py | 5 months ago | |
| test_text_normalizer.py | 5 months ago | |
| test_time_utils.py | 5 months ago | |