momentum devandClaude Fable 5
ab2810896c
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>
10 lines
708 B
JSON
10 lines
708 B
JSON
{
|
|
"id": "exit_prior_low_v1",
|
|
"hypothesis": "Adding a prior-low trailing stop (trail_after_r=1) to the live exit lifts the win rate and captures give-back that the no-trail breakeven ratchet scratches — the fix for slow small v1 winners (median 1.37R, peak 134min).",
|
|
"population": {"min_entry_gap_pct": 0.10, "min_day_volume": 300000, "price_min": 2.0, "price_max": 20.0},
|
|
"intervention": {"kind": "exit_config", "exit_cfg": {"target_r": 2.0, "breakeven_at_pct": 0.05, "trail_mode": "prior_low", "trail_after_r": 1.0}},
|
|
"bars": {"expR_delta_min": 0.03, "min_n": 300},
|
|
"futility": {"min_n": 500, "expR_delta_max": -0.03},
|
|
"fidelity": {"atr_frac": 0.25, "spread_mult": 3, "adverse_ticks": 1}
|
|
}
|