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.
38 lines
1.7 KiB
JSON
38 lines
1.7 KiB
JSON
{
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"format_version": 1,
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"kind": "campaign",
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"name": "arc2c-kladder-us500",
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"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?",
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"seed": 0,
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"data": {
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"instruments": ["US500"],
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"windows": [ { "from_ms": 1514764800000, "to_ms": 1782863999999 } ]
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},
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"risk": [
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{ "vol": { "length": 60, "k": 6.0 } },
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{ "vol": { "length": 60, "k": 12.0 } }
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],
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"cost": [
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{ "constant": { "cost_per_trade": 0.5 } },
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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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"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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