(a) learn_params.per_setup_report: permanent per-setup P&L/earliness breakdown
in the harness (forces all-setups so the ORB-vs-rest comparison is visible).
(b) nightly_tune.py + nightly_tune.sh: backfill latest bars, sweep ORB params
over accumulated gapper sessions, write the best PROFITABLE config to
data/learned_params.json. run_live_paper reads it on boot and applies the
tuned ready_score / min_bars (explicit env still wins); won't overwrite with
a losing or thin-sample config. Cron-scheduled after the close.
Verified: 75/75 tests; boot logs the learned params and applies them.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Sweep over 172 real gapper sessions (16 days) with a per-setup breakdown found
the opening-range breakout is the ONLY profitable setup (+0.25R); every slow
pattern loses (bull_flag -$78k @ ~42min is the worst). Running ORB-ONLY flips
the book from -$95k to +$7.4k AND enters ~11 min earlier (23 vs 34 min avg).
- classify_setup prefers the ORB when valid and honors STRATEGY_SETUPS env
(comma-sep setup values) to restrict active setups; .env defaults to
STRATEGY_SETUPS=opening_range_break (ORB-only).
- BacktestEngine Trade.setup_type captured for per-setup attribution.
- learn_params load_sessions filters to gapper sessions (mimics live scanner) so
the backtest trades the same universe the system would.
75/75 tests green.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
- learn_params.py: grid-search the strategy timing/threshold knobs over stored
sessions, ranking by total P&L AND 'entry_min' (minutes after the open the
entry fires) — a learning method to find params that enter earlier while
staying green.
- evaluate_setup(min_bars=...) + BacktestEngine(ready_score_pct/criteria/min_bars)
now tunable; watcher passes WATCHER_MIN_BARS through (was a no-op: evaluator
hard-coded 10).
Sweep finding: even the earliest params enter ~28-30 min after the open
(baseline ~33) because the first-pullback setup waits for a pullback to FORM.
Cadence/min_bars are not the bottleneck — the setup design is. Genuine earliness
needs a fast opening-breakout trigger + more historical sessions to learn from.
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
