momentum devandClaude Opus 4.8
092d6072e8
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>
65 lines
627 B
Plaintext
65 lines
627 B
Plaintext
# Environment variables
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.env
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.env.local
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.env.*.local
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# Python
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__pycache__/
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*.py[cod]
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*$py.class
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*.so
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.Python
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build/
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develop-eggs/
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dist/
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downloads/
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eggs/
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.eggs/
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lib/
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lib64/
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parts/
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sdist/
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var/
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wheels/
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*.egg-info/
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.installed.cfg
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*.egg
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MANIFEST
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.venv
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venv/
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ENV/
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env/
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# Testing
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.pytest_cache/
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.coverage
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htmlcov/
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# IDE
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.vscode/
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.idea/
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*.swp
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*.swo
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*~
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# OS
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.DS_Store
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Thumbs.db
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# Ruff
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.ruff_cache/
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# Data that may contain sensitive info — never version runtime data/DBs
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data/
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*.wal
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# Large artifacts / legacy — do not version
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momentum-rebuilt.zip
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*.zip
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archive/
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uv.lock
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.firecrawl/
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# large research PDFs (local only)
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books/
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