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momentum-system/experiments
momentum devandClaude Fable 5 46d3460d5c experiments: depth_overhang_v1 — L2 order-book overhang gate (first signal to clear the bar+null)
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>
2026-07-18 11:32:06 -05:00
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