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131 lines
4.8 KiB
JSON
131 lines
4.8 KiB
JSON
{
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"experiment_name": "phaseE_er_plus_xsmom_plus_sleeves",
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
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"description": "Phase E: ER + xsmom + all 5 v7.356 sleeves (cash_parking, idle_alpha, form4, ownership, risk_off). Combines best engine alpha (Phase B beat PEAD pure +199pp on regular, +72pp on OOT) with sleeve compounding (Phase A->v7.356 showed +704pp from sleeves alone). Hypothesis: ER+xsmom engine alpha + 5 sleeves should beat v7.356 in both regimes.",
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"base_config": "configs/backtest/return_max_long_v1.json",
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"overrides": {
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"signal": {
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"scoring_model": "return_max_long_v13e",
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"score_threshold": 0.0,
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"max_candidates_per_day": 18,
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"a_tier_score_threshold": 0.99
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},
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"risk": {
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"per_trade_risk_pct": 0.3,
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"per_trade_risk_pct_a_tier": 0.3,
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"max_daily_new_risk_pct": 50,
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"max_positions": 8,
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"max_positions_per_sector": 4,
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"max_position_value_pct": 25,
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"max_adv_fraction": 0.3,
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"macro_regime_neutral_size_scaler": 1,
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"macro_regime_risk_off_size_scaler": 1,
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"veto_unknown_direction": false,
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"veto_bearish_direction": false,
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"macro_regime_risk_off_a_tier_only": false,
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"stop_atr_multiplier": 3,
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"allow_budget_downsizing": true,
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"cash_parking_preset": "qqqm_low_dd_tqqq_active_v2_gld_brake_v2",
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"fixed_capital_sizing": false
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},
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"execution": {
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"trailing_warmup_days": 999,
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"max_holding_days": 21,
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"early_failure_no_progress_days": 0,
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"early_failure_no_progress_r": 0.0,
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"early_failure_no_progress_fraction": 0,
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"lookback_entry_enabled": false,
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"trailing_model": null,
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"no_follow_through_exit": false
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},
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"event_type_profiles": {
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"earnings_runup_preevent": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 7
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},
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"xsmom_12_1": {
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"enabled": true,
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"direction_filter": "any",
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"max_holding_days_override": 21
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}
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},
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"idle_alpha_sleeve_preset": "micro_event_alpha_plus_event_plus_cash_convex_microcap8_guarded",
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"form4_capture_sleeve_preset": "reserve_form4_cluster_plus_fresh_same_day_v3_aggressive_plus_cooldown180_high_maxval500m",
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"ownership_capture_sleeve_preset": "ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95",
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"risk_off_alpha_sleeve_preset": "risk_off_alpha_gld_crisis65_heavy",
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"dividend_capture_sleeve_preset": null
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},
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"strategy_engines": [
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{
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"engine_id": "earnings_runup_preevent_long",
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"event_types": [
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"earnings_runup_preevent"
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],
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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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"engine_risk_budget_pct": 1.0,
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"score_threshold_override": 0.0,
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"max_holding_days": 7,
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"macro_vix_max": 30.0,
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"earnings_runup_enabled": true,
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"earnings_runup_days_to_earnings_min": 3,
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"earnings_runup_days_to_earnings_max": 7,
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"earnings_runup_attention_zscore_20d_min": 1.5,
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"earnings_runup_dollar_volume_zscore_20d_min": 1.0,
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"earnings_runup_min_avg_dollar_volume": 50000000.0,
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"earnings_runup_stop_pct": 0.04,
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"earnings_runup_target_pct": 0.08,
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"earnings_runup_trailing_activate_pct": 0.05,
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"earnings_runup_trailing_giveback_pct": 0.03,
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"earnings_runup_calendar_buffer_days": 1,
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"enabled": true,
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"capital_bucket_id": "er_silo",
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"capital_bucket_allocation_pct": 0.5
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},
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{
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"engine_id": "xsmom_12_1_long",
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"event_types": [
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"xsmom_12_1"
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],
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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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"engine_risk_budget_pct": 1.0,
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"score_threshold_override": 0.0,
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"max_holding_days": 21,
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"xsmom_enabled": true,
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"xsmom_lookback_days": 252,
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"xsmom_skip_days": 21,
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"xsmom_top_n": 20,
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"xsmom_holding_days": 21,
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"xsmom_momentum_min": 0.0,
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"xsmom_min_avg_dollar_volume": 10000000.0,
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"xsmom_min_price": 5.0,
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"xsmom_volatility_20d_max": 0.08,
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"xsmom_stop_pct": 0.1,
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"xsmom_target_pct": 0.3,
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"xsmom_vix_max": 30.0,
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"xsmom_spy_sma_filter_period": 50,
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"enabled": true,
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"capital_bucket_id": "xsmom_silo",
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"capital_bucket_allocation_pct": 0.5
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}
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],
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"tags": [
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"earnings_runup",
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"preevent_drift",
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"poc",
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"risk_tuned"
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],
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"version_family": "earnings_runup",
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"status": "promoted",
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"changelog": "Phase E: B + 5 sleeves. Test of whether non-PEAD engine alpha + sleeves beats PEAD baseline.",
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"parent": "phaseB_er_plus_xsmom",
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"performance_summary": null,
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"aliases": [
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"Phase E TRUE CHAMPION (SQS) — ER+xsmom+5 sleeves; SQS Reg 87.5 + OOT 86.7 = avg 87.1 (best); MDD 13% both regimes"
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]
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}
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