momentum devandClaude Fable 5
46f80eccf2
From docs/research/orderflow_notes.md — the order-flow shelf distillation. H1 (5-book convergence): exit on first post-fill 1-min close back below the trigger within 5 bars — the transitory-impact/recross signature — else the standing exit stack. H2 (4-book): keep-or-zero on pre-trigger volume-weighted bar-sign persistence (<0.30 over 15 bars = choppy one-shot burst, zeroed); strictly-before-entry window, fail-open on thin history. Both pre-registered at the house bar (+0.05R, n>=300, standard fidelity); nightly adjudication decides. 7 tests. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
9 lines
940 B
JSON
9 lines
940 B
JSON
{
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"id": "orderflow_h2_persistence_v1",
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"hypothesis": "Pre-trigger flow-persistence gate (orderflow_notes.md H2, 4-book convergence): fires whose 15-bar pre-trigger volume-weighted bar-sign persistence is below 0.30 (choppy/balanced run-up = one-shot burst, not an ongoing metaorder) convert worse; zeroing them lifts kept-population expR. Fixed 0.30 threshold approximates the note's bottom-tercile rule. Kill criteria beyond the bar: persistence-tercile monotonicity fails, or the effect collapses within gap%/RVOL strata (selection lever in disguise) — check at adjudication from detail.persistence.",
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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": "flow_persistence_gate", "lookback_bars": 15, "min_persistence": 0.30},
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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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