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
869 B
JSON
9 lines
869 B
JSON
{
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"id": "orderflow_h1_erasure_v1",
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"hypothesis": "Trigger-erasure fast invalidation (orderflow_notes.md H1, 5-book convergence): a post-fill 1-min bar CLOSING back below the ORB trigger within 5 bars is the transitory-impact/balance-re-entry signature — exiting at that close instead of riding to the stop shrinks the loser tail and lifts fire-weighted expR. Kill criteria beyond the bar: lost-winner rate >15% of eventual +1R trades exited by the rule (measure from detail.erased x baseline_r>0), or redundancy with the BE@+5% ratchet.",
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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": "trigger_erasure", "window_bars": 5, "condition": "close_below"},
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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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