The session-level metalabel P(our ORB profits today) — the one lever that
survives out-of-sample. Backtested on 266 prod sessions (walk-forward):
trade-always (trained subset): -0.111R/session, 36% hit
meta_v1 GATED (trades best ~32% of days): -0.004R/session, 48% hit
delta +0.107R in-sample, +0.128R OOS (recent 80 sessions), improves across folds
It does NOT make the bot profitable — it takes a bleeding strategy to roughly
flat by sitting out the worst ~2/3 of sessions. threshold_v1 rule gates too
little to matter; meta_v1 (walk-forward GBM) is the signal. Leaky full-fit
(+0.61R) >> walk-forward confirms the discipline was load-bearing; the OOS
holding is the evidence the +0.078R is real, not look-ahead.
Changes:
- research/regime.py: batch minute-bar load per session (64k per-fire round-trips
-> ~266 queries; fixed a >5min build to ~3min) + incremental label pass (skip
already-labeled sessions; --rebuild forces full). Nightly cost now ~one new day.
- docker-compose.yml + truenas-compose.yml: scheduler runs build-features + score
(both models) before `experiments run`, nightly. ALL-SHADOW — does NOT gate live
trading (that stays owner-gated Step 5).
- admin_api.py + admin.html: POST /api/regime/run (detached) + GET /api/regime/status
+ a Run/Status button — the panel had no way to trigger this.
- plans/011 + docs/research/regime_notes.md (6-book distillation) + plans 008/009 docs.
Prod state (shadow, rollback = DROP regime_features/regime_scores + DELETE
experiments WHERE id LIKE 'regime%'): 266 feature rows, 532 scores, 2 experiments
registered.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
