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261f67dfde
Threshold sweep over PeerSympathy v2 reaction_close found a viable config.
After 10 ablation runs (correlation_min, leader_reaction_min, top_n_peers,
event_types, VIX gate), the dominant lever is correlation_min:
baseline 0.55: -2.35% / MDD 24.5% / SQS 30.2 / PF 0.977
sweep01 0.65: +11.10% / MDD 16.1% / SQS 50.2 / PF 1.204
sweep02 0.75: +15.76% / MDD 9.1% / SQS 62.5 / PF 1.835
sweep07 0.80: +14.11% / MDD 3.8% / SQS 80.2 / PF 2.198
sweep10 0.80 + top_n 1: +15.35% / MDD 3.83% / SQS 81.5 / PF 2.46
sweep09 0.85: +0.98% / MDD 3.8% / SQS 21.4 / PF 1.156 (cliff)
Mechanical insight: pushing correlation gate from 0.55 → 0.80 trims
coincidental ETF-shared peers and concentrates on structurally-clean
pairs where the leader's print is new information for the peer's
fundamentals — NOT the noisy NVDA/AVGO/AMD/MU semis cluster (their
mutual corr usually 0.55-0.70 with high cross-noise from competing
product cycles).
Sympathy pairs that surfaced in sweep10:
Utilities VST → CEG (independent power generators)
Ag equipment AGCO → DE
Industrials DAL → CAT, HWM → GE
Software DT → CRM, IT → INTU
Datacenter VRT → PWR (electrification)
Energy OVV/OXY/EOG/COP cluster
Hits all PROMOTE thresholds: SQS 81.5 > 50, return +15.35% > +5%,
MDD 3.83% < 25%. Sub-scores: profitability 100, risk 62.9, consistency
84.3, robustness 59.3 (lowest — sample-size discount). Sharpe 0.721,
Calmar 0.906, expectancy 0.072 R, avg holding 3.56 days, win rate 55.6%.
CAVEATS:
- N=27 trades is thin. Bootstrap PF 95% CI is [0.68, 10.82]. Treat as
directional candidate, not production. Robustness 59.3 reflects this.
- corr_min cliff at 0.85 (universe runs out). 0.80 is at the inside edge
of viable; re-baseline on snapshot shifts.
- macro_vix_max=30 was a no-op in sweep08. Either no candidates on
VIX>30 days, or gate not wired to peer_sympathy in selector.py.
Falsified hypothesis; not promoted as a lever.
Run: bt_return_max_long_v1_midlarge-liq_20260509072637244341_e1c62252.
Parent: peer_sympathy_poc_v2_reaction_close (commit
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3 months ago | |
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| .. | ||
| backtest | 4 months ago | |
| experiments | 3 months ago | |
| intraday | 4 months ago | |
| ranking_models | 5 months ago | |
| snapshots | 4 months ago | |
| app.yaml | 5 months ago | |
| fred_series.yaml | 5 months ago | |
| symbols.yaml | 5 months ago | |
| symbols_backup_largecap.yaml | 5 months ago | |
| symbols_broad_snapshot_3408.yaml | 4 months ago | |
| symbols_largecap.yaml | 5 months ago | |
| symbols_midcap.yaml | 5 months ago | |
| symbols_midcap_smallmid.yaml | 4 months ago | |
| symbols_midlarge_snapshot_exact.yaml | 4 months ago | |
| symbols_orb_smoke.yaml | 4 months ago | |
| symbols_smallmid.yaml | 5 months ago | |