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94 lines
3.1 KiB
JSON
94 lines
3.1 KiB
JSON
{
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"experiment_name": "xsmom_v2b_vix_only",
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"dataset_snapshot_id": "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2",
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"description": "Phase 20b: VIX-only regime gate (drop SPY filter that killed test). Hypothesis: VIX>30 captures stress periods without filtering normal pullbacks. Phase 20 SPY 50dma filter caught train MDD reduction but killed test (3.1% -> -0.14%) by skipping recoverable pullbacks. Drop spy_sma_filter; keep VIX gate only.",
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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": 30,
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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": 100,
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"max_positions": 20,
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"max_positions_per_sector": 10,
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"max_position_value_pct": 5,
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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": 5.0,
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"allow_budget_downsizing": true,
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"cash_parking_preset": null,
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"fixed_capital_sizing": false
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},
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"execution": {
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"trailing_model": null,
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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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"no_follow_through_exit": false,
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"lookback_entry_enabled": false
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},
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"event_type_profiles": {
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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": null,
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"form4_capture_sleeve_preset": null,
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"ownership_capture_sleeve_preset": null,
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"risk_off_alpha_sleeve_preset": null,
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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": "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": null,
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"enabled": true
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}
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],
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"tags": [
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"xsmom",
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"phase20",
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"regime_filter",
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"mdd_reduction"
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],
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"version_family": "xsmom",
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"status": "draft",
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"changelog": "Phase 20b: VIX-only (drop SPY filter). Train MDD goal: <30% via VIX alone. Valid/test must remain >0.",
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"parent": "xsmom_v2_regime_mdd",
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"performance_summary": null,
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"missing_infrastructure": []
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} |