research: Arc 2 — the Arc 1 matrix priced and stop-laddered

Charges the Arc 1 breakout matrix with a cost model (per-instrument
constant spread stress + vol slippage) and walks the stop geometry
(vol{3,k2} -> estimator smoothing -> k-ladder 6/12). Honest null: nothing
survives net cross-instrument; the one deflation-surviving cell (XAUUSD
bo_h1 at wide stops) dies against the always-long beta control. Adds the
control blueprint/campaign and the no-generalize process variant.

Engine gaps found along the way filed as Brummel/Aura#259-#267.
This commit is contained in:
2026-07-13 18:07:13 +02:00
parent cdd4503164
commit 36bbe76114
19 changed files with 921 additions and 0 deletions
+11
View File
@@ -0,0 +1,11 @@
{
"format_version": 1,
"kind": "process",
"name": "screen-wf-mc",
"description": "Arc 2 per-instrument methodology: identical to Arc 1's screen-wf-mc-generalize (deflated argmax on sqn_normalized, 90/30-day rolling walk-forward refit, pooled-OOS R-bootstrap) minus the generalize stage, for single-instrument campaigns.",
"pipeline": [
{ "block": "std::sweep", "metric": "sqn_normalized", "select": "argmax", "deflate": true },
{ "block": "std::walk_forward", "in_sample_ms": 7776000000, "out_of_sample_ms": 2592000000, "step_ms": 2592000000, "mode": "rolling", "metric": "sqn_normalized", "select": "argmax" },
{ "block": "std::monte_carlo", "resamples": 1000, "block_len": 5 }
]
}