claude
de92b4283d
Six confirm/refute families (vol-normalized momentum, mean-reversion z-fade, vol-regime-gated breakout, H4 EMA trend, H4 breakout port, channel-position fade) authored by engine-blind agents from a distilled reference card plus the CLI validation loop, adversarially design-reviewed, then run over 4 instruments x 3 stop regimes. Five honest nulls; one candidate (vol-normalized momentum on US500, WF-OOS P<=0.05 in all three regimes) forwarded to the Arc 4 breadth test.
84 lines
1.7 KiB
JSON
84 lines
1.7 KiB
JSON
{
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"format_version": 1,
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"kind": "campaign",
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"name": "arc3-mom-vnorm-h1",
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"description": "Arc 3 family mom-vnorm-h1: On H1 bars, the SIGN of vol-normalized momentum carries directional information: score = (close - close_{t-n}) / sqrt(mean of squared 1-bar returns over L bars) is a unit-free, risk-adjusted momentum that should be positive before up-moves and negative before down-moves, so a bias equal to sign(score) (squashed by Bias) should earn a positive net-of-cost expectancy_r on H1 and generalize across in",
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"seed": 0,
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"data": {
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"instruments": [
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"GER40",
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"US500",
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"EURUSD",
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"XAUUSD"
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],
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"windows": [
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{
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"from_ms": 1514764800000,
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"to_ms": 1782863999999
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}
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]
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},
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"risk": [
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{
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"vol": {
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"length": 3,
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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": 60,
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"k": 6.0
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}
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},
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{
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"vol": {
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"length": 60,
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"k": 12.0
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}
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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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}
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}
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],
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"strategies": [
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{
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"ref": {
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"content_id": "05045dfaa1e399c12505e21dc87c36a61b7bbfda75c0bebc2e95a9be5bfd9e42"
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},
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"axes": {
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"mom_lag.lag": {
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"kind": "I64",
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"values": [
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24,
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72,
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120
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]
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},
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"vol_avg.length": {
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"kind": "I64",
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"values": [
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24,
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72,
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120
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]
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}
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}
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}
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],
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"process": {
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"ref": {
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"content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
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}
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},
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"presentation": {
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"persist_taps": [],
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"emit": [
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"selection_report"
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]
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}
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} |