momentum devandClaude Fable 5
849bd476f9
Null (the H2 lesson): zeroing share f of a negative baseline mechanically yields expR_delta = f*|mean baseline|; a PASS on expR_delta_min now also requires expR_delta_vs_null >= the same margin whenever zeroed_share >= 5%. Exposure-shrinking can no longer masquerade as selection; non-gate experiments unaffected. Honest disclosure: regime_meta_v1's FIRE-weighted pass would not clear this bar either — its standing rests on the session- level walk-forward OOS evidence, which no random gate reproduces. H6: CKS order-flow-imbalance from quote_snapshots bid/ask SIZES — size-weighted book imbalance over the 10-min pre-trigger window, zero ask-tilted books; skip-on-no-coverage; judged under the null from day one. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
9 lines
932 B
JSON
9 lines
932 B
JSON
{
|
|
"id": "orderflow_h6_ofi_v1",
|
|
"hypothesis": "Quote-size book imbalance (CKS order-flow-imbalance family — the microstructure shelf's highest-powered predictor, unlocked because quote_snapshots logs bid/ask SIZES): fires entered into an ask-tilted book (size-weighted imbalance < 0 over the 10-min pre-trigger window) face a supply overhang and convert worse; zeroing them lifts kept expR. detail.book_imbalance recorded per fire for threshold/tercile analysis. Coverage: fires without >=5 usable snapshots are SKIPPED (excluded from n); judged under the random-gate null bar from day one.",
|
|
"population": {"min_entry_gap_pct": 0.10, "min_day_volume": 300000, "price_min": 2.0, "price_max": 20.0},
|
|
"intervention": {"kind": "quote_imbalance_gate", "baseline_minutes": 10, "min_book_imbalance": 0.0},
|
|
"bars": {"expR_delta_min": 0.05, "min_n": 300},
|
|
"fidelity": {"atr_frac": 0.25, "spread_mult": 3, "adverse_ticks": 1}
|
|
}
|