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momentum-system/research
momentum devandClaude Fable 5 054405dbdf feat: pyramid_1r_v1 experiment — add-into-strength, pre-registered
New 'pyramid' intervention kind in the replay engine: at +add_at_r on
initial risk, add add_frac x size (+adverse fill), whole-position stop to
blended breakeven; scratch there if a later bar trades through, else both
legs exit at the baseline exit. variant_r is per unit DEPLOYED
(P&L / ((1+add_frac) x risk)) so leverage alone cannot fake a pass.

Spec pyramid_1r_v1: add 0.5x at +1R, bar expR_delta >= +0.05 at n >= 300,
futility kill at n >= 500 below -0.02. Hypothesis notes the known failure
mode (median winners scratched at blended BE on first pullback). Shadow
only — no live-path changes; cohort self-registers on the next nightly
experiments run.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-07-31 11:33:59 -05:00
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