momentum devandClaude Fable 5
46d3460d5c
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>
9 lines
1011 B
JSON
9 lines
1011 B
JSON
{
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"id": "depth_overhang_v1",
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"hypothesis": "L2 order-book overhang (plan 017): resting ask size within 1% ABOVE the ORB break, normalized to bid depth, from Databento depth. Sniff+reweighted analysis (n=602, 21 sessions) cleared the bar AND the random-gate null: keep fires with overhang>=0.034, zero the rest, lifts win rate 23%->28%. Counter-intuitive direction (more overhang above = MORE likely to win = absorption/fuel). This runs it under the REAL deployed asymmetric exit (simulate_exit, winners trail to +3R) which should exceed the conservative +1/-1 estimate. Coverage: only the 602 depth-backfilled fires have data; the rest SKIP (variant None, excluded from n). Random-gate null applies.",
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"population": {"min_entry_gap_pct": 0.10, "min_day_volume": 300000, "price_min": 2.0, "price_max": 20.0},
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"intervention": {"kind": "depth_overhang_gate", "min_overhang": 0.034},
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"bars": {"expR_delta_min": 0.05, "min_n": 300},
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"fidelity": {"atr_frac": 0.25, "spread_mult": 3, "adverse_ticks": 1}
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}
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