Files
momentum-system/tests
momentum devandClaude Opus 5.5 e2e9687c45 feat: live-test scorecard and frozen strategy settings
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>
2026-09-25 10:53:39 -05:00
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