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.
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{"format_version":1,"blueprint":{"name":"always_long","nodes":[{"primitive":{"type":"Const","name":"always_long","bound":[{"pos":0,"name":"value","kind":"F64","value":{"F64":1.0}}]}}],"input_roles":[{"name":"close","targets":[{"node":0,"slot":0}],"source":"F64"}],"output":[{"node":0,"field":0,"name":"bias"}]}}
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# Arc 2 — do Arc 1's findings survive costs, and what does the stop regime do to them?
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**Date:** 2026-07-13
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**Engine:** aura @ `84e1075` (release build)
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**Campaigns:** `research/campaign-arc2-net-*.json`, `research/campaign-arc2b-stopgeom-*.json`,
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`research/campaign-arc2c-kladder-*.json`
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## Hypothesis
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Arc 1 closed with "all of it is gross of costs" as its biggest open flank. Arc 2
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charges the exact Arc 1 matrix (both variants, same axes {24,48,96}², same seed,
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same window 2018-01-01..2026-06-30) with a cost model (#234) and asks three
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questions in sequence:
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1. **arc2-net** — does anything survive realistic retail costs at Arc 1's stop
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regime (vol{3, k2})?
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2. **arc2b-stopgeom** — is cost fragility a stop-geometry artifact? (regimes
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vol{60, k2}, vol{240, k3})
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3. **arc2c-kladder** — the corrected geometry lever: k ∈ {6, 12} on the smoothed
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EMA-60 estimator.
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## Cost model (labelled stress parameters, not claims)
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`ConstantCost.cost_per_trade` is in **price units**, charged in R as
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`cost / |entry − stop|` — it does not transfer across instruments, so constant
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costs run in four per-instrument campaigns (process = the Arc 1 pipeline minus
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generalize, `research/process-screen-nogen.json`), while the cross-instrument
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generalize leg carries vol-proportional slippage only (the one scale-free factor):
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| instrument | constant round-trip (price units) | rationale |
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|---|---|---|
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| GER40 | 1.5 | index CFD spread ~1–2 pts |
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| US500 | 0.5 | ~0.4–0.6 pts |
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| EURUSD | 0.00012 | ~1.2 pips incl. commission |
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| XAUUSD | 0.25 | ~0.2–0.3 $ |
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plus `vol_slippage { slip_vol_mult: 0.1 }` everywhere.
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## Findings
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### 1. At Arc 1's stop regime, nothing survives net (arc2-net)
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Constant + slippage costs consume **0.35–0.67 R per trade** (GER40 0.35, US500
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0.40–0.44, XAUUSD 0.44–0.50, EURUSD 0.61–0.67) against full-window gross
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expectancies of at most +0.44. Across all 72 members (2 variants × 9 cells × 4
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instruments), exactly **one** is net-positive full-window: XAUUSD `bo_h1`
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hi=96/lo=96 at **+0.0038** — zero for practical purposes. The root cause is
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churn: the vol{3, k2} stop is a *minute*-scale stop under an *hourly* signal, so
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members trade 2 600–5 900 times in 8.5 y and pay the spread against a tiny
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R-denominator.
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Slippage alone (the generalize leg) costs a uniform ~0.17 R/trade — by
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construction, since both the stop and the slippage scale with local vol — and
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leaves a few full-window net positives (XAUUSD +0.27, GER40 +0.08, US500 up to
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+0.21), but the walk-forward OOS picture stays the Arc 1 picture and the
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cross-instrument floors stay deeply negative (worst-case −0.19…−0.75, sign
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agreement 0/4).
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### 2. The screen is cost-blind
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Selection stays on gross `sqn_normalized` (Arc 1 methodology, kept for
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comparability), and the sweep winner is often not the best net member (US500:
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winner hi=48/lo=96 net −0.19 vs best-net hi=96/lo=96 at −0.05) — the gross
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screen systematically prefers churny configurations that costs then punish
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hardest. With full-window net>0 members this rare (1/72), a net-aware selection
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metric cannot rescue this signal family, but the observation stands as
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methodology: a costed campaign should be able to *select* on net. See the
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engine-gap notes below.
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### 3. Stop geometry: `length` smooths, `k` scales (arc2b)
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The stop rule is `k · Sqrt(EMA(Δ², length))` over **engine cycles (m1)** — so
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vol{60} / vol{240} do *not* produce hourly/4-hourly stops, they produce
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*smoother minute-vol* stops of the same magnitude. arc2b therefore measured the
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estimator-smoothing and k=2→3 effects, not timescale-matched stops (that is
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arc2c's k-ladder). Drag falls ∝ 1/k as expected (EURUSD 0.66 → 0.48 R/trade at
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k=3); net stays negative everywhere (0/9 members net>0 per cell) except XAUUSD
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at vol{240, k3} with 1/9 at +0.027.
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Analytically, both gross E[R] and cost drag scale as 1/stop, so **the sign of
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net expectancy is k-invariant unless the trade population itself changes**
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(fewer noise stop-outs, longer holds). The k-ladder tests exactly that
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population effect.
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### 4. One cell survives deflation, gross: XAUUSD breakout (arc2b)
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XAUUSD `bo_h1` at vol{60, k2}, hi=24/lo=96 is the only cell in the whole
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project so far with a **positive deflated score** (+0.009, overfit probability
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0.044) and a near-significant pooled WF-OOS bootstrap (**gross** mean +0.254,
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P(E[R]≤0) = 0.052, n=5228). At stress costs it nets to −0.0006 — the signal is
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real-ish and the costs eat precisely all of it at this stop scale. The trend
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gate *hurts* XAUUSD under every regime tested (replicating Arc 1's
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instrument-dependence finding).
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### 5. The k-ladder (arc2c)
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The k-ladder confirms drag ∝ 1/k (XAUUSD: 0.52 R/trade at k2 → 0.18 at k6 →
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0.09 at k12) and shrinks the trade population as intended (XAUUSD `bo_h1`
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4 173 → 1 763 → 1 027 trades). The population effect is real but
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instrument-selective:
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- **GER40, EURUSD:** null at every k. Gross shrinks in lockstep with drag;
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net stays negative (0/9 members net>0 in every cell).
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- **US500:** thin full-window net positives appear (best +0.045 at k12, 1/9
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members) but the WF-OOS bootstrap stays noise (P(≤0) 0.3–0.4).
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- **XAUUSD `bo_h1`:** the arc2b thread strengthens monotonically with k.
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At vol{60, k6}: deflated +0.019 (overfit-p 0.040), full-window net **+0.26**
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(3/9 members net>0), WF-OOS gross +0.141 (P(≤0) 0.089). At vol{60, k12}:
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deflated **+0.074** (overfit-p **0.026**), full-window net **+0.29** (5/9
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net>0, n=1027), WF-OOS gross +0.118 (P(≤0) 0.081). The winning cell is
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hi=24/lo=96 under *every* regime tested (k2, k3, k6, k12) — fast long
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entries, slow short entries — and the trend gate hurts it everywhere.
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## Verdict
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As a cross-instrument, deployable proposition the Arc 1 breakout is an
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**honest null, now net-of-costs and stop-geometry-robust**: generalize floors
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stay deeply negative with 0–1/4 sign agreement under every regime and cost
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treatment, and three of four instruments never produce a net-positive member.
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One thread survives every within-arc filter: **XAUUSD `bo_h1` at wide stops**
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— positive deflated score (up to +0.074, overfit-p 0.026), net-positive
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full-window at stress costs (+0.29 R/trade), borderline WF-OOS gross bootstrap
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(P(≤0) ≈ 0.08), and parameter-stable (hi=24/lo=96) across four stop regimes.
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The thread died at the beta control
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(`research/campaign-control-always-long.json`, arc 4): an always-long bias
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on XAUUSD under the same regimes and costs produces WF-OOS gross means of
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+0.78 to +1.45 R/trade with P(E[R]≤0) = 0.002–0.003 — several times the
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breakout's +0.12–0.25 at P ≈ 0.08. The channel logic *dilutes* long-gold
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beta rather than adding to it. Verdict: the XAUUSD cell was beta in a
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secular bull market, surfaced by a pipeline that (correctly) has no
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benchmark-relative stage to catch it — see the engine-gap list. What
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survives Arc 2 is methodology, not signal: the cost/stop mechanics above and
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the always-long control as a mandatory rung for every future candidate.
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## Engine friction / gaps (filed in the aura tracker)
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Filed 2026-07-13 as Brummel/Aura#259 (net-R bootstrap), #260 (per-instrument
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cost factors), #261 (Session node reachability), #262 (timescale-matched stop
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regime), #263 (reference strategy), #264 (archive inventory verb), #265
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(cost/risk knob units), #266 (engine commit in --version), #267 (agent
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bootstrap card).
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1. **`std::monte_carlo` bootstraps gross R only.** With a cost model attached,
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the pooled-OOS bootstrap numbers are bit-identical to the uncosted Arc 1 run
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— there is no net-R path through the walk-forward/MC evidence chain, so a
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costed campaign's headline (net WF-OOS distribution) cannot be produced by
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the process pipeline. Net evidence exists only as full-window family
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metrics (`net_expectancy_r`).
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2. **The campaign `cost` list cannot vary per instrument.** `ConstantCost` is
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price-unit-scaled, so any multi-instrument campaign with a constant cost is
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unit-inconsistent; this forces per-instrument campaign splits and makes
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"generalize under constant costs" inexpressible.
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3. **No session/time-of-day node is rostered** (`session.rs` exists in
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aura-std but is not in the vocabulary), so Arc 1's proposed time-of-day
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conditioner is not constructible data-only.
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4. **The risk-regime vocabulary has one variant** (minute-Δ vol EMA); a
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timescale-matched stop (vol over resampled bars, ATR-style range) is not
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expressible, and the `length`-smooths / `k`-scales semantics deserve a
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doc note near the `risk` section.
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5. **No benchmark-relative evaluation.** The pipeline measures a candidate
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against zero, not against a baseline strategy on the same matrix; a
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secular-trend instrument lets pure beta sail through every stage with
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spectacular scores (the always-long control's overfit-p is 0.001 — the
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deflation guards against *selection* luck, not *confound* luck). A
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campaign-level notion of "reference strategy" whose per-cell stats are
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reported beside (or subtracted from) every candidate's would make the
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beta control structural instead of a hand-authored convention.
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{
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"format_version": 1,
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"kind": "campaign",
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"name": "arc2-net-eurusd",
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"description": "Arc 2 gross-to-net stress: the Arc 1 matrix on EURUSD alone, charged with a constant round-trip cost (0.00012 price units, a labelled stress parameter approximating typical retail spread+commission) plus vol-proportional slippage (slip_vol_mult 0.1). Single instrument, so the process drops the generalize stage.",
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"seed": 0,
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"data": {
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"instruments": ["EURUSD"],
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"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
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},
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"risk": [ { "vol": { "length": 3, "k": 2.0 } } ],
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"cost": [
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{ "constant": { "cost_per_trade": 0.00012 } },
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{ "vol_slippage": { "slip_vol_mult": 0.1 } }
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],
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"strategies": [
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{
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"ref": { "content_id": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d" },
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"axes": {
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"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
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"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
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}
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},
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{
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"ref": { "content_id": "82d61d13bf21984068d6fd3ae9de9766fe99edb5163ea50ffb3485bfae9f56bc" },
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"axes": {
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"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
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"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
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}
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}
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],
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"process": { "ref": { "content_id": "d568fe9b8a82b7f1862816680de2498b6e045deb47f9941ca991a62baa4c8fe3" } },
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"presentation": { "persist_taps": [], "emit": ["selection_report"] }
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}
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@@ -0,0 +1,33 @@
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{
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"format_version": 1,
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"kind": "campaign",
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"name": "arc2-net-generalize",
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"description": "Arc 2 cross-instrument leg: the exact Arc 1 matrix (both variants, 4 instruments) charged with vol-proportional slippage only (slip_vol_mult 0.1) — the one cost factor that scales per instrument, so a shared cost model stays unit-consistent. Constant spread costs live in the per-instrument arc2-net-* campaigns.",
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"seed": 0,
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"data": {
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"instruments": ["GER40", "US500", "EURUSD", "XAUUSD"],
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"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
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},
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"risk": [ { "vol": { "length": 3, "k": 2.0 } } ],
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"cost": [
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{ "vol_slippage": { "slip_vol_mult": 0.1 } }
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],
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"strategies": [
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{
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"ref": { "content_id": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d" },
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"axes": {
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"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
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"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
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}
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},
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{
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"ref": { "content_id": "82d61d13bf21984068d6fd3ae9de9766fe99edb5163ea50ffb3485bfae9f56bc" },
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"axes": {
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"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
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"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
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}
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}
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],
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"process": { "ref": { "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4" } },
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"presentation": { "persist_taps": [], "emit": ["selection_report"] }
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}
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@@ -0,0 +1,34 @@
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{
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"format_version": 1,
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"kind": "campaign",
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"name": "arc2-net-ger40",
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"description": "Arc 2 gross-to-net stress: the Arc 1 matrix on GER40 alone, charged with a constant round-trip cost (1.5 price units, a labelled stress parameter approximating typical retail spread+commission) plus vol-proportional slippage (slip_vol_mult 0.1). Single instrument, so the process drops the generalize stage.",
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"seed": 0,
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"data": {
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"instruments": ["GER40"],
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"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
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},
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"risk": [ { "vol": { "length": 3, "k": 2.0 } } ],
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"cost": [
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{ "constant": { "cost_per_trade": 1.5 } },
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{ "vol_slippage": { "slip_vol_mult": 0.1 } }
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],
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"strategies": [
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|
{
|
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|
"ref": { "content_id": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d" },
|
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"axes": {
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"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
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"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
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||||||
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}
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},
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{
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||||||
|
"ref": { "content_id": "82d61d13bf21984068d6fd3ae9de9766fe99edb5163ea50ffb3485bfae9f56bc" },
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||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
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"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
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}
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}
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],
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|
"process": { "ref": { "content_id": "d568fe9b8a82b7f1862816680de2498b6e045deb47f9941ca991a62baa4c8fe3" } },
|
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|
"presentation": { "persist_taps": [], "emit": ["selection_report"] }
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||||||
|
}
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||||||
@@ -0,0 +1,34 @@
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{
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"format_version": 1,
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"kind": "campaign",
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|
"name": "arc2-net-us500",
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||||||
|
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{ "vol_slippage": { "slip_vol_mult": 0.1 } }
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"kind": "campaign",
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"name": "arc2-net-xauusd",
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||||||
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"description": "Arc 2 gross-to-net stress: the Arc 1 matrix on XAUUSD alone, charged with a constant round-trip cost (0.25 price units, a labelled stress parameter approximating typical retail spread+commission) plus vol-proportional slippage (slip_vol_mult 0.1). Single instrument, so the process drops the generalize stage.",
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"cost": [
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||||||
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{ "constant": { "cost_per_trade": 0.25 } },
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{ "vol_slippage": { "slip_vol_mult": 0.1 } }
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@@ -0,0 +1,37 @@
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|||||||
|
{
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|
"format_version": 1,
|
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|
"kind": "campaign",
|
||||||
|
"name": "arc2b-stopgeom-eurusd",
|
||||||
|
"description": "Arc 2b stop-geometry test on EURUSD: the Arc 1 matrix under two wider vol-stop regimes (EMA-60 k=2 hourly-scale, EMA-240 k=3 multi-hour-scale) instead of Arc 1 minute-scale vol{3,k2}. Same constant round-trip cost (0.00012 price units, stress parameter) + vol slippage. Question: does the cost drag collapse and leave a net-positive signal once the stop matches the H1 signal timescale?",
|
||||||
|
"seed": 0,
|
||||||
|
"data": {
|
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"instruments": ["EURUSD"],
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{ "vol": { "length": 60, "k": 2.0 } },
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{ "vol": { "length": 240, "k": 3.0 } }
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|
],
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|
"cost": [
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||||||
|
{ "constant": { "cost_per_trade": 0.00012 } },
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{ "vol_slippage": { "slip_vol_mult": 0.1 } }
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}
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@@ -0,0 +1,101 @@
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{
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"format_version": 1,
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|
"kind": "campaign",
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|
"name": "arc2b-stopgeom-generalize",
|
||||||
|
"description": "Arc 2b cross-instrument leg: the Arc 1 matrix under the two wider vol-stop regimes (EMA-60 k=2, EMA-240 k=3), vol slippage only, with the generalize floor.",
|
||||||
|
"seed": 0,
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|
"data": {
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|
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|
"GER40",
|
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|
"US500",
|
||||||
|
"EURUSD",
|
||||||
|
"XAUUSD"
|
||||||
|
],
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{
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{
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"vol": {
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"length": 60,
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"k": 2.0
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}
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},
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{
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"vol": {
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"length": 240,
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"k": 3.0
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}
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],
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"cost": [
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{
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"vol_slippage": {
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"slip_vol_mult": 0.1
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"kind": "campaign",
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"name": "arc2b-stopgeom-ger40",
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|
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{ "vol": { "length": 240, "k": 3.0 } }
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"cost": [
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{ "constant": { "cost_per_trade": 1.5 } },
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{ "vol_slippage": { "slip_vol_mult": 0.1 } }
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@@ -0,0 +1,37 @@
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{
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|
"format_version": 1,
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|
"kind": "campaign",
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|
"name": "arc2b-stopgeom-us500",
|
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|
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|
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|
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{ "vol": { "length": 60, "k": 2.0 } },
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|
{ "vol": { "length": 240, "k": 3.0 } }
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|
{ "constant": { "cost_per_trade": 0.5 } },
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"presentation": { "persist_taps": [], "emit": ["selection_report"] }
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}
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@@ -0,0 +1,37 @@
|
|||||||
|
{
|
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|
"format_version": 1,
|
||||||
|
"kind": "campaign",
|
||||||
|
"name": "arc2b-stopgeom-xauusd",
|
||||||
|
"description": "Arc 2b stop-geometry test on XAUUSD: the Arc 1 matrix under two wider vol-stop regimes (EMA-60 k=2 hourly-scale, EMA-240 k=3 multi-hour-scale) instead of Arc 1 minute-scale vol{3,k2}. Same constant round-trip cost (0.25 price units, stress parameter) + vol slippage. Question: does the cost drag collapse and leave a net-positive signal once the stop matches the H1 signal timescale?",
|
||||||
|
"seed": 0,
|
||||||
|
"data": {
|
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|
"instruments": ["XAUUSD"],
|
||||||
|
"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
|
||||||
|
},
|
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|
"risk": [
|
||||||
|
{ "vol": { "length": 60, "k": 2.0 } },
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|
{ "vol": { "length": 240, "k": 3.0 } }
|
||||||
|
],
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|
"cost": [
|
||||||
|
{ "constant": { "cost_per_trade": 0.25 } },
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{ "vol_slippage": { "slip_vol_mult": 0.1 } }
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"presentation": { "persist_taps": [], "emit": ["selection_report"] }
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}
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@@ -0,0 +1,37 @@
|
|||||||
|
{
|
||||||
|
"format_version": 1,
|
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|
"kind": "campaign",
|
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|
"name": "arc2c-kladder-eurusd",
|
||||||
|
"description": "Arc 2c stop-scale ladder on EURUSD: the vol{length} knob only smooths the minute-vol estimator (stop = k*Sqrt(EMA(dP^2,length)) over m1 cycles), so timescale-matched stops require k. Ladder k in {6, 12} on the smoothed EMA-60 estimator (random-walk scaling: 1h-vol ~ 7.7x m1-vol), same constant round-trip cost (0.00012 price units, stress parameter) + vol slippage as arc2-net. Question: does drag ~ 1/k shrink faster than gross per-trade expectancy (in growing R units), leaving a net-positive region?",
|
||||||
|
"seed": 0,
|
||||||
|
"data": {
|
||||||
|
"instruments": ["EURUSD"],
|
||||||
|
"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
|
||||||
|
},
|
||||||
|
"risk": [
|
||||||
|
{ "vol": { "length": 60, "k": 6.0 } },
|
||||||
|
{ "vol": { "length": 60, "k": 12.0 } }
|
||||||
|
],
|
||||||
|
"cost": [
|
||||||
|
{ "constant": { "cost_per_trade": 0.00012 } },
|
||||||
|
{ "vol_slippage": { "slip_vol_mult": 0.1 } }
|
||||||
|
],
|
||||||
|
"strategies": [
|
||||||
|
{
|
||||||
|
"ref": { "content_id": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d" },
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
|
||||||
|
"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"ref": { "content_id": "82d61d13bf21984068d6fd3ae9de9766fe99edb5163ea50ffb3485bfae9f56bc" },
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
|
||||||
|
"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"process": { "ref": { "content_id": "d568fe9b8a82b7f1862816680de2498b6e045deb47f9941ca991a62baa4c8fe3" } },
|
||||||
|
"presentation": { "persist_taps": [], "emit": ["selection_report"] }
|
||||||
|
}
|
||||||
@@ -0,0 +1,101 @@
|
|||||||
|
{
|
||||||
|
"format_version": 1,
|
||||||
|
"kind": "campaign",
|
||||||
|
"name": "arc2c-kladder-generalize",
|
||||||
|
"description": "Arc 2c cross-instrument leg: both variants under the k-ladder regimes (vol{60,k6}, vol{60,k12}), vol slippage only, generalize floor.",
|
||||||
|
"seed": 0,
|
||||||
|
"data": {
|
||||||
|
"instruments": [
|
||||||
|
"GER40",
|
||||||
|
"US500",
|
||||||
|
"EURUSD",
|
||||||
|
"XAUUSD"
|
||||||
|
],
|
||||||
|
"windows": [
|
||||||
|
{
|
||||||
|
"from_ms": 1514764800000,
|
||||||
|
"to_ms": 1782863999999
|
||||||
|
}
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"risk": [
|
||||||
|
{
|
||||||
|
"vol": {
|
||||||
|
"length": 60,
|
||||||
|
"k": 6.0
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"vol": {
|
||||||
|
"length": 60,
|
||||||
|
"k": 12.0
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"cost": [
|
||||||
|
{
|
||||||
|
"vol_slippage": {
|
||||||
|
"slip_vol_mult": 0.1
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"strategies": [
|
||||||
|
{
|
||||||
|
"ref": {
|
||||||
|
"content_id": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d"
|
||||||
|
},
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": {
|
||||||
|
"kind": "I64",
|
||||||
|
"values": [
|
||||||
|
24,
|
||||||
|
48,
|
||||||
|
96
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"channel_lo.length": {
|
||||||
|
"kind": "I64",
|
||||||
|
"values": [
|
||||||
|
24,
|
||||||
|
48,
|
||||||
|
96
|
||||||
|
]
|
||||||
|
}
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"ref": {
|
||||||
|
"content_id": "82d61d13bf21984068d6fd3ae9de9766fe99edb5163ea50ffb3485bfae9f56bc"
|
||||||
|
},
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": {
|
||||||
|
"kind": "I64",
|
||||||
|
"values": [
|
||||||
|
24,
|
||||||
|
48,
|
||||||
|
96
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"channel_lo.length": {
|
||||||
|
"kind": "I64",
|
||||||
|
"values": [
|
||||||
|
24,
|
||||||
|
48,
|
||||||
|
96
|
||||||
|
]
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"process": {
|
||||||
|
"ref": {
|
||||||
|
"content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
|
||||||
|
}
|
||||||
|
},
|
||||||
|
"presentation": {
|
||||||
|
"persist_taps": [],
|
||||||
|
"emit": [
|
||||||
|
"selection_report"
|
||||||
|
]
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -0,0 +1,37 @@
|
|||||||
|
{
|
||||||
|
"format_version": 1,
|
||||||
|
"kind": "campaign",
|
||||||
|
"name": "arc2c-kladder-ger40",
|
||||||
|
"description": "Arc 2c stop-scale ladder on GER40: the vol{length} knob only smooths the minute-vol estimator (stop = k*Sqrt(EMA(dP^2,length)) over m1 cycles), so timescale-matched stops require k. Ladder k in {6, 12} on the smoothed EMA-60 estimator (random-walk scaling: 1h-vol ~ 7.7x m1-vol), same constant round-trip cost (1.5 price units, stress parameter) + vol slippage as arc2-net. Question: does drag ~ 1/k shrink faster than gross per-trade expectancy (in growing R units), leaving a net-positive region?",
|
||||||
|
"seed": 0,
|
||||||
|
"data": {
|
||||||
|
"instruments": ["GER40"],
|
||||||
|
"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
|
||||||
|
},
|
||||||
|
"risk": [
|
||||||
|
{ "vol": { "length": 60, "k": 6.0 } },
|
||||||
|
{ "vol": { "length": 60, "k": 12.0 } }
|
||||||
|
],
|
||||||
|
"cost": [
|
||||||
|
{ "constant": { "cost_per_trade": 1.5 } },
|
||||||
|
{ "vol_slippage": { "slip_vol_mult": 0.1 } }
|
||||||
|
],
|
||||||
|
"strategies": [
|
||||||
|
{
|
||||||
|
"ref": { "content_id": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d" },
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
|
||||||
|
"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"ref": { "content_id": "82d61d13bf21984068d6fd3ae9de9766fe99edb5163ea50ffb3485bfae9f56bc" },
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
|
||||||
|
"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"process": { "ref": { "content_id": "d568fe9b8a82b7f1862816680de2498b6e045deb47f9941ca991a62baa4c8fe3" } },
|
||||||
|
"presentation": { "persist_taps": [], "emit": ["selection_report"] }
|
||||||
|
}
|
||||||
@@ -0,0 +1,37 @@
|
|||||||
|
{
|
||||||
|
"format_version": 1,
|
||||||
|
"kind": "campaign",
|
||||||
|
"name": "arc2c-kladder-us500",
|
||||||
|
"description": "Arc 2c stop-scale ladder on US500: the vol{length} knob only smooths the minute-vol estimator (stop = k*Sqrt(EMA(dP^2,length)) over m1 cycles), so timescale-matched stops require k. Ladder k in {6, 12} on the smoothed EMA-60 estimator (random-walk scaling: 1h-vol ~ 7.7x m1-vol), same constant round-trip cost (0.5 price units, stress parameter) + vol slippage as arc2-net. Question: does drag ~ 1/k shrink faster than gross per-trade expectancy (in growing R units), leaving a net-positive region?",
|
||||||
|
"seed": 0,
|
||||||
|
"data": {
|
||||||
|
"instruments": ["US500"],
|
||||||
|
"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
|
||||||
|
},
|
||||||
|
"risk": [
|
||||||
|
{ "vol": { "length": 60, "k": 6.0 } },
|
||||||
|
{ "vol": { "length": 60, "k": 12.0 } }
|
||||||
|
],
|
||||||
|
"cost": [
|
||||||
|
{ "constant": { "cost_per_trade": 0.5 } },
|
||||||
|
{ "vol_slippage": { "slip_vol_mult": 0.1 } }
|
||||||
|
],
|
||||||
|
"strategies": [
|
||||||
|
{
|
||||||
|
"ref": { "content_id": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d" },
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
|
||||||
|
"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"ref": { "content_id": "82d61d13bf21984068d6fd3ae9de9766fe99edb5163ea50ffb3485bfae9f56bc" },
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
|
||||||
|
"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"process": { "ref": { "content_id": "d568fe9b8a82b7f1862816680de2498b6e045deb47f9941ca991a62baa4c8fe3" } },
|
||||||
|
"presentation": { "persist_taps": [], "emit": ["selection_report"] }
|
||||||
|
}
|
||||||
@@ -0,0 +1,37 @@
|
|||||||
|
{
|
||||||
|
"format_version": 1,
|
||||||
|
"kind": "campaign",
|
||||||
|
"name": "arc2c-kladder-xauusd",
|
||||||
|
"description": "Arc 2c stop-scale ladder on XAUUSD: the vol{length} knob only smooths the minute-vol estimator (stop = k*Sqrt(EMA(dP^2,length)) over m1 cycles), so timescale-matched stops require k. Ladder k in {6, 12} on the smoothed EMA-60 estimator (random-walk scaling: 1h-vol ~ 7.7x m1-vol), same constant round-trip cost (0.25 price units, stress parameter) + vol slippage as arc2-net. Question: does drag ~ 1/k shrink faster than gross per-trade expectancy (in growing R units), leaving a net-positive region?",
|
||||||
|
"seed": 0,
|
||||||
|
"data": {
|
||||||
|
"instruments": ["XAUUSD"],
|
||||||
|
"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
|
||||||
|
},
|
||||||
|
"risk": [
|
||||||
|
{ "vol": { "length": 60, "k": 6.0 } },
|
||||||
|
{ "vol": { "length": 60, "k": 12.0 } }
|
||||||
|
],
|
||||||
|
"cost": [
|
||||||
|
{ "constant": { "cost_per_trade": 0.25 } },
|
||||||
|
{ "vol_slippage": { "slip_vol_mult": 0.1 } }
|
||||||
|
],
|
||||||
|
"strategies": [
|
||||||
|
{
|
||||||
|
"ref": { "content_id": "82515a31bfe58ae087b4bd09eb4adb032cc2cabddd71a2761c543066bd237d3d" },
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
|
||||||
|
"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"ref": { "content_id": "82d61d13bf21984068d6fd3ae9de9766fe99edb5163ea50ffb3485bfae9f56bc" },
|
||||||
|
"axes": {
|
||||||
|
"channel_hi.length": { "kind": "I64", "values": [24, 48, 96] },
|
||||||
|
"channel_lo.length": { "kind": "I64", "values": [24, 48, 96] }
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"process": { "ref": { "content_id": "d568fe9b8a82b7f1862816680de2498b6e045deb47f9941ca991a62baa4c8fe3" } },
|
||||||
|
"presentation": { "persist_taps": [], "emit": ["selection_report"] }
|
||||||
|
}
|
||||||
@@ -0,0 +1,74 @@
|
|||||||
|
{
|
||||||
|
"format_version": 1,
|
||||||
|
"kind": "campaign",
|
||||||
|
"name": "control-always-long",
|
||||||
|
"description": "Beta control: a constant bias=+1 strategy (no signal at all) under the same regimes, window, and slippage cost as the arc2c/arc3 candidates. Any candidate whose R-statistics do not clearly beat this baseline on its instrument is long-beta in a secular bull market, not signal. The bound value param is re-opened as a single-point axis (empty axes are refused); the sweep degenerates to one member.",
|
||||||
|
"seed": 0,
|
||||||
|
"data": {
|
||||||
|
"instruments": [
|
||||||
|
"GER40",
|
||||||
|
"US500",
|
||||||
|
"EURUSD",
|
||||||
|
"XAUUSD"
|
||||||
|
],
|
||||||
|
"windows": [
|
||||||
|
{
|
||||||
|
"from_ms": 1514764800000,
|
||||||
|
"to_ms": 1782863999999
|
||||||
|
}
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"risk": [
|
||||||
|
{
|
||||||
|
"vol": {
|
||||||
|
"length": 3,
|
||||||
|
"k": 2.0
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"vol": {
|
||||||
|
"length": 60,
|
||||||
|
"k": 6.0
|
||||||
|
}
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"vol": {
|
||||||
|
"length": 60,
|
||||||
|
"k": 12.0
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"cost": [
|
||||||
|
{
|
||||||
|
"vol_slippage": {
|
||||||
|
"slip_vol_mult": 0.1
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"strategies": [
|
||||||
|
{
|
||||||
|
"ref": {
|
||||||
|
"content_id": "198ca420039925af330f120376836d9c49a167b26e81324cb4857f5c20f81a44"
|
||||||
|
},
|
||||||
|
"axes": {
|
||||||
|
"always_long.value": {
|
||||||
|
"kind": "F64",
|
||||||
|
"values": [
|
||||||
|
1.0
|
||||||
|
]
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"process": {
|
||||||
|
"ref": {
|
||||||
|
"content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
|
||||||
|
}
|
||||||
|
},
|
||||||
|
"presentation": {
|
||||||
|
"persist_taps": [],
|
||||||
|
"emit": [
|
||||||
|
"selection_report"
|
||||||
|
]
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -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 }
|
||||||
|
]
|
||||||
|
}
|
||||||
Reference in New Issue
Block a user