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>
Definitive test, n=2191 real deployed exit: ask-overhang separates +0.083R
(high -0.676 vs low -0.759, direction held sniff->scale = genuinely real) but
fails the random-gate null — it shrinks losses, never creates profit. Live
gap>=10% band n=13/74 = no signal. Same shape as regime gate on a negative-EV
base. 13 conversion levers + regime + depth tested, zero make it positive.
Real-money rec: NO. Depth edge argues for a broader-population redesign as
future research, not a live fix.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 017 Phase 0->3. Databento depth backfilled for 602 fires across 21
sessions -> depth_features table. Reweighted to true 23% population win rate,
gating on ask-overhang-above-break (keep>=0.034) lifts win rate 23->28% and
clears the random-gate null (+0.057 vs +0.05 on the conservative +1/-1
bracket). iv_depth_overhang_gate = keep-or-zero, skip-on-no-coverage (the
dilution-v1 lesson). This commit registers the REAL-exit harness run
(simulate_exit asymmetric trail) for the true live delta. Counter-intuitive
mechanism: more resting supply above the break = MORE likely to win
(absorption/fuel), invisible in bar data — the owner's 'size stacked above'
instinct, proven.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Null (the H2 lesson): zeroing share f of a negative baseline mechanically
yields expR_delta = f*|mean baseline|; a PASS on expR_delta_min now also
requires expR_delta_vs_null >= the same margin whenever zeroed_share >= 5%.
Exposure-shrinking can no longer masquerade as selection; non-gate
experiments unaffected. Honest disclosure: regime_meta_v1's FIRE-weighted
pass would not clear this bar either — its standing rests on the session-
level walk-forward OOS evidence, which no random gate reproduces.
H6: CKS order-flow-imbalance from quote_snapshots bid/ask SIZES —
size-weighted book imbalance over the 10-min pre-trigger window, zero
ask-tilted books; skip-on-no-coverage; judged under the null from day one.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
H4 (3-book): keep-or-zero on trigger-bar volume concentration vs prior 5-bar
sum (>1.0 = completed one-shot burst). H3 (5-book, direction disputed):
fragility-camp primary — zero fires whose fill-time relative spread exceeds
2x the name's own 10-min median from quote_snapshots (which carry bid/ask
SIZES since 07-02 — the note's data-upgrade #1 was already satisfied).
Coverage design learns the dilution_veto_v1 lesson: no-quote fires are
SKIPPED (variant None, excluded from n), so thin coverage cannot false-FAIL.
H5 deliberately deferred until H1's verdict (its incremental value is defined
net of H1's catches). 6 tests.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
From docs/research/orderflow_notes.md — the order-flow shelf distillation.
H1 (5-book convergence): exit on first post-fill 1-min close back below the
trigger within 5 bars — the transitory-impact/recross signature — else the
standing exit stack. H2 (4-book): keep-or-zero on pre-trigger volume-weighted
bar-sign persistence (<0.30 over 15 bars = choppy one-shot burst, zeroed);
strictly-before-entry window, fail-open on thin history. Both pre-registered
at the house bar (+0.05R, n>=300, standard fidelity); nightly adjudication
decides. 7 tests.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
premarket_eval's shadow enrichment call site queried session_date = current_date
(wrong on UTC-server Postgres at night, so it never matched any symbols) and
shared one try-block for float_cache + dilution filings (a float_cache failure
silently skipped the dilution refresh too). Fix: compute the ET session date
in Python, split into two independent try-blocks, lift into a testable
_refresh_shadow_enrichment(con, session_date). float_cache now applies its own
DDL unconditionally on use instead of only when an API key is present.
Adds iv_dilution_gate (additive, mirrors iv_regime_gate's keep-or-zero shape
keyed on symbol instead of session_date, fail-open on unfetched symbols) plus
its once-per-run preload, and registers the pre-registered dilution_veto_v1
experiment via the existing experiments/*.json self-registering cohort. Live
veto stays OFF; this only wires the shadow measurement.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
research/regime.py: Step 0 probe (labelable-session/SPY-coverage STOP gate),
Step 1 build-features (regime_features: pre-open breadth/tape + prior-close
SPY momentum/vol + trailing bot expR, label = mean _sim_baseline_r over the
session's setup fires) + walk-forward threshold_v1 rule, Step 2 walk-forward
meta_v1 (shallow sklearn GBM), Step 4 OOS/leakage-audit helpers
(oos_split/sequential_folds/session_expr_delta/full_sample_fit_threshold).
Step 3 (HMM) deferred per scope — statsmodels stays absent.
replay.py: new iv_regime_gate intervention (keep-or-zero a fire on a
pre-computed session regime score, fail-open on no score row) wired into
_compute_fire + run(), mirroring rank_one_bullet's shape.
experiments/regime_threshold_v1.json + regime_meta_v1.json register the two
model variants against the shared population/bars/fidelity contract.
All new code is unit-tested against isolated EventStore(":memory:") schemas
only — no production DB read or written. Live-trading paths untouched.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
iv_exit_config replays ANY target/breakeven/trail combo through the shared exit
engine vs the live-exit baseline — reusable way to adjudicate exit numbers.
Counterfactual over setup fires: v1 (slow, 1.37R median winners) gains most from
prior_low trailing (win 17->24%, +0.036R); pm1 (fast, 2.64R median, 10R tail)
gains most from NO target + step0.5 (+0.273R, win 24->34%) — the fixed target
throws away pm1's fat tail. Registered both as tracked experiments. +test.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
The live loop fills resting-limit brackets via position-snapshot diffing and
emits NO order_filled (verified: 0 all-time in prod), so reconstruct_fires
skipped every fire and the ENTIRE harness replayed nothing (0 run rows).
Reconstruction now falls back to the order_submitted timestamp for entry timing
and reads entry/stop/exit from position_closed — restores the whole flagship
(0 -> 324 run rows on prod; pm1's overdue FAIL verdict now posts).
Adds the volume_fade intervention (exit to lock the gain when a bar's volume
drops below fade_frac x the entry-burst average, once in profit; original stop
still caps downside; adverse-tick fills on entry AND exit) + volume_fade_exit_v1
(pre-registered bars/futility/fidelity). Interim n=15 read: -0.68R vs baseline
(INCONCLUSIVE, min_n=100) — the harness answers 'does volume-fade help?' from
data before any live change. +6 tests.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
Plan 006 step 4. experiments/*.json for time_stop_10m_v1, probe_add_v1,
asym_exit_v1, rank_one_bullet_v1, pm1_v1 — bars verbatim from the plan table,
production population, fidelity floors {0.25, 3, 1} from the research doc. Also
hardened evaluate(): n==0 and any uncomputable bar metric -> INCONCLUSIVE (not a
false FAIL). Cohort registers + survives run->adjudicate end-to-end. 25 tests green.
Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
