claude
ee1c15885b
Runs the two surviving threads (H1 breakout, vol-normalized H1 momentum) across the 21-instrument gapless universe under the wide-stop regimes, beside an always-long beta control on the same matrix. The breakout dies everywhere (beta on trending assets, significantly negative on FX); momentum shows a one-sided positive cross-sectional tail with five double-regime flags, of which FRA40 (both regimes) and NatGas (k6) beat the no-signal baseline outright — the only control-beating cells of the whole program. Includes the engine performance envelope (single run 2.97 s vs Arc-0 ~3 s; 11-13 s/cell; executor fan-out findings refs Brummel/Aura#268, data-gap abort refs Brummel/Aura#264).
85 lines
1.7 KiB
JSON
85 lines
1.7 KiB
JSON
{
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"format_version": 1,
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"kind": "campaign",
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"name": "control-always-long-breadth",
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"description": "Beta control for the arc4 breadth tests: the constant bias=+1 strategy on the full 21-instrument universe under the arc4 regimes (vol{60,k6}, vol{60,k12}) and slippage cost. Every arc4 candidate cell is read against this baseline: a candidate whose pooled-OOS statistics do not clearly beat always-long on the same instrument and regime is long-beta, not signal.",
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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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"US30",
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"NAS100",
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"UK100",
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"JPN225",
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"HK50",
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"FRA40",
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"GBPUSD",
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"USDJPY",
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"AUDUSD",
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"USDCAD",
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"USDCHF",
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"NZDUSD",
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"EURAUD",
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"XAGUSD",
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"NatGas",
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"BTCUSD",
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"ETHUSD"
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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": 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": "198ca420039925af330f120376836d9c49a167b26e81324cb4857f5c20f81a44"
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},
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"axes": {
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"always_long.value": {
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"kind": "F64",
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"values": [
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1.0
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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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} |