momentum devandClaude Opus 5.5
f2c7e52c79
A gradient-boosted model scores burst / micro-pullback / whole-dollar signals on
squeeze stocks from tick data, and only its top-scored regular-hours signals
are traded. Validated in data/ticksim before any live use:
- v1 on a fresh 600-day sample: real ranking (AUC 0.63), thin edge. FAIL.
- v2 (trained on Jun-Jul of samples 1+2), pre-registered, on 500 NEW Aug-Sep
symbol-days: +1.11%/trade after the spread (day-block 90% lo +0.54%),
n=332 over 38 days. PASS. It held at 2 s latency and +0.2% extra cost.
- judge/engine.py: the validated signals, execution gates and features, as one
shared source.
- judge/model.py: trains and freezes v2 (cutoff = the training top 20%).
- judge/decide.py: pure decision logic.
- judge/replay.py: a live-style replay of recorded days. Parity: 40 of 41 research
trades matched with identical model scores.
- judge/live.py: the paper trader. Watchlist from the snapshot scan with
backfill, SIP trade/quote websocket, decisions each second, a limit at the ask
with a broker OTO stop (cancelled if unfilled in 3 s), trail 6% after +1R,
20-min time stop, flat by 15:55. $20 risk and $1,000 max notional per trade.
Everything is journalled and the day's ticks are kept for paper-vs-simulation
review. Weekends and holidays exit.
- Runs from the workstation (Task Scheduler, weekdays 09:10 ET) with the
research venv. Paper only.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01E3S5EFKThFVrjmN4HHsHMN
5 lines
349 B
Python
5 lines
349 B
Python
"""Learned-judgement scalping strategy (v2): a gradient-boosted model scores burst / micro-pullback /
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whole-dollar signals on squeeze stocks from tick data, and only the top-scored ones are traded.
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Research and validation: data/ticksim (PREREG_v2.md, results.md). Paper trial first; never live money
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without a matched paper-vs-simulation review."""
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