claude
36bbe76114
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.
12 lines
707 B
JSON
12 lines
707 B
JSON
{
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"format_version": 1,
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"kind": "process",
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"name": "screen-wf-mc",
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"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.",
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"pipeline": [
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{ "block": "std::sweep", "metric": "sqn_normalized", "select": "argmax", "deflate": true },
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{ "block": "std::walk_forward", "in_sample_ms": 7776000000, "out_of_sample_ms": 2592000000, "step_ms": 2592000000, "mode": "rolling", "metric": "sqn_normalized", "select": "argmax" },
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{ "block": "std::monte_carlo", "resamples": 1000, "block_len": 5 }
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]
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}
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