feat: pyramid_1r_v1 experiment — add-into-strength, pre-registered

New 'pyramid' intervention kind in the replay engine: at +add_at_r on
initial risk, add add_frac x size (+adverse fill), whole-position stop to
blended breakeven; scratch there if a later bar trades through, else both
legs exit at the baseline exit. variant_r is per unit DEPLOYED
(P&L / ((1+add_frac) x risk)) so leverage alone cannot fake a pass.

Spec pyramid_1r_v1: add 0.5x at +1R, bar expR_delta >= +0.05 at n >= 300,
futility kill at n >= 500 below -0.02. Hypothesis notes the known failure
mode (median winners scratched at blended BE on first pullback). Shadow
only — no live-path changes; cohort self-registers on the next nightly
experiments run.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
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momentum devandClaude Fable 5 committed 2026-07-31 11:33:59 -05:00
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{
"id": "pyramid_1r_v1",
"hypothesis": "Adding 0.5x size when an open trade reaches +1R (whole-position stop to blended breakeven) beats hold-initial-size per unit of deployed risk. The trader's 'add into strength' pattern; known failure mode is converting median winners into breakeven scratches on the first pullback (his NWE giveback, 2026-07-30).",
"population": {"min_entry_gap_pct": 0.10, "min_day_volume": 300000, "price_min": 2.0, "price_max": 20.0},
"intervention": {"kind": "pyramid", "add_at_r": 1.0, "add_frac": 0.5},
"bars": {"expR_delta_min": 0.05, "min_n": 300},
"futility": {"min_n": 500, "expR_delta_max": -0.02},
"fidelity": {"atr_frac": 0.25, "spread_mult": 3, "adverse_ticks": 1}
}