Test clean S/R as production rank overlay

2026-07-13 10:33:42 +02:00
parent 2e9afeec0f
commit 01e6f7e2c3
6 changed files with 327 additions and 13 deletions
@@ -642,6 +642,39 @@ This is an apples-to-apples full-history diagnostic against the current live
 production path. It is not a new untouched holdout because the post-2024 data
 was already inspected while isolating the range factor.

+Full-period results reject the clean range-gated candidate as a replacement:
+it improves robust setup expectancy and drawdown, but cuts the qualified set
+from 1,086 to 290 and the live-path book from 321 to 170 trades. Its 73 unique
+qualified symbols are also concentrated (36.2% of setups in the top ten names),
+so overlapping setup expectancy does not translate into independent portfolio
+opportunity.
+
+### Structural confirmation as a ranking overlay
+
+The next experiment preserves the production detector, setup geometry,
+qualified universe, activation gate, and live exit. For each production setup,
+the clean detector is evaluated point-in-time only to attach a binary feature:
+whether `rewrite_range504_structural_legacy_primary` also clears its core gate.
+That confirmation receives a single pre-registered 5% weight:
+
+```text
+overlay_rank = 95% * production_80_20_rank + 5% * structural_confirmation
+```
+
+There is deliberately no weight sweep and no union with clean-only setups. The
+report must first reproduce the production qualified count and production book;
+otherwise the comparison is invalid. Run the one-arm full-period diagnostic:
+
+```bash
+.venv/bin/python scripts/run_sr_v2_matrix.py overlay --workers 14
+```
+
+Output: `reports/backtest-sr-overlay-full.json`. The candidate advances only if
+the overlay improves full-period Sharpe, does not worsen drawdown, and retains
+at least 90% of production CAGR. The 1-year and 6-month rows must not both
+deteriorate. This remains contaminated full-history research, not promotion
+validation.
+
 The post-2024 window has been opened and is now analysis data, not a valid final
 promotion holdout. These arms can isolate mechanism, but neither may ship without
 new future data or a separately pre-registered walk-forward protocol.