momentum devandClaude Opus 5.5
e2e9687c45
Pre-registers the real-money test that starts 2026-09-24, the first session
without commission drag. PASS needs at least 80 round trips with a positive
mean R and positive P&L. FAIL is any session the equity floor halts. Changing
any strategy setting in live_test_freeze.json restarts the count, and the
scorecard reports that drift.
The settings were frozen, not tuned, because a study of 239 real fills
re-simulated under the current exit found nothing worth changing:
- Capping how far above the trigger an entry may fill lost R at every cap
from 0.25% to 10%, with either skip or resting-limit handling. Fills more
than 5% above the trigger were the best bucket (+0.66R).
- No break-time factor (spread, price, VWAP distance, stop width, L1
bid/ask size, premarket range) kept its sign across both date halves and
both accounts.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
69 lines
2.6 KiB
JSON
69 lines
2.6 KiB
JSON
{
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"frozen_on": "2026-09-24",
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"source": "config_overrides on the tradier live DB (port 5434), snapshotted 2026-09-25",
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"note": "Strategy knobs only. Safety knobs (equity floor, default equity) may change without resetting the test.",
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"settings": {
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"NEWS_CATALYST_SCORE_ENABLED": "1",
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"NEWS_DILUTION_VETO_ENABLED": "1",
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"NEWS_RANK_BOOST": "1.0",
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"TRADING_AUTO_APPROVE": "1",
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"TRADING_BACKOUT_COOLDOWN_SECONDS": "180",
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"TRADING_BLOCK_REENTRY_AFTER_EXIT": "1",
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"TRADING_DEFAULT_EQUITY": "200",
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"TRADING_ENTRY_CONFIRM_BY_MINUTE": "0",
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"TRADING_ENTRY_FILL_MODEL": "marketable",
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"TRADING_ENTRY_INVALIDATE_PCT": "0.015",
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"TRADING_ENTRY_ORDER_TYPE": "limit",
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"TRADING_ENTRY_TIMEOUT_BARS": "2",
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"TRADING_EOD_FLATTEN_ENABLED": "1",
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"TRADING_EOD_FLATTEN_TIME": "15:55",
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"TRADING_EQUITY_FLOOR": "215",
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"TRADING_EXECUTION_ENABLED": "1",
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"TRADING_EXIT_BREAKEVEN_PCT": "0.0",
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"TRADING_EXIT_BREAKEVEN_R": "1.0",
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"TRADING_EXIT_MANAGE_INTERVAL_SECONDS": "4",
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"TRADING_EXIT_PROFIT_TIERS": "",
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"TRADING_EXIT_THREAD_ENABLED": "1",
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"TRADING_EXIT_THREAD_INTERVAL_SECONDS": "1.0",
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"TRADING_EXIT_TRAIL_AFTER_R": "1.0",
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"TRADING_EXIT_TRAIL_MODE": "pct",
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"TRADING_EXIT_TRAIL_PCT": "0.12",
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"TRADING_EXIT_TRAIL_R_STEP": "0.0",
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"TRADING_LIQUIDITY_MAX_VOLUME_PCT": "0.025",
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"TRADING_MAX_BACKOUTS_PER_SYMBOL": "3",
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"TRADING_MAX_CONCURRENT_POSITIONS": "10",
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"TRADING_MAX_DAILY_LOSS_PCT": "0.05",
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"TRADING_MAX_FRESH_ENTRIES_PER_DAY": "5",
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"TRADING_MAX_GROSS_NOTIONAL_PCT": "0.60",
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"TRADING_MAX_ORDERS_PER_TICK": "1",
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"TRADING_MAX_POSITION_PCT": "0.16",
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"TRADING_MAX_RISK_DOLLARS": "1000",
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"TRADING_MIN_DAY_VOLUME": "300000",
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"TRADING_MIN_ENTRY_GAP_PCT": "0.10",
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"TRADING_MIN_QUALITY_SCORE": "0.20",
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"TRADING_PRICE_MAX": "20.0",
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"TRADING_PRICE_MIN": "2.0",
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"TRADING_REENTRY_MIN_LOSS_PCT": "0.01",
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"TRADING_REGIME_GATE_ENABLED": "0",
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"TRADING_REGIME_GATE_P_MIN": "0.5",
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"TRADING_REQUIRE_ABOVE_VWAP": "1",
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"TRADING_REWARD_MULTIPLE": "10.0",
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"TRADING_RISK_PER_TRADE_PCT": "0.015",
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"TRADING_SESSION_ONLY": "1",
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"TRADING_TRIGGER_SLIP_PCT": "0.004",
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"TRADING_UNIFIED_ENTRY": "1",
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"TRIGGER_ENABLED": "1",
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"TRIGGER_GAP_MAX": "35",
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"TRIGGER_GAP_MIN": "10.0",
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"TRIGGER_GAP_SQUEEZE_MIN": "150",
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"TRIGGER_GAP_SQUEEZE_RVOL": "5.0",
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"TRIGGER_INTERVAL_SECONDS": "2",
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"TRIGGER_MAX_ARMED": "10",
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"TRIGGER_MIN_DOLLAR_VOL": "8000",
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"TRIGGER_PRICE_MAX_AGE": "12",
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"TRIGGER_RVOL_MIN": "2.0",
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"WATCHER_PRICE_MAX": "20",
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"WATCHER_PRICE_MIN": "2"
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}
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}
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