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Add S/R v2 research and validation harness

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dennisthiessen
2026-07-12 21:15:18 +02:00
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@@ -430,6 +430,10 @@ Research-only flags, all off by default (the default report is byte-identical to
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| `BACKTEST_HOLDOUT_SPLIT=YYYY-MM-DD` | Adds a `holdout` section: train (entries before) vs test (entries on/after), as disjoint books |
| `BACKTEST_MIN_RR_SWEEP=1` | Sweeps the activation R:R floor against portfolio Sharpe. Combine with `BACKTEST_HOLDOUT_SPLIT` to sweep out-of-sample |
| `BACKTEST_SR_VARIANT=<arm>` | Research-only S/R arm: `production_control`, `rr_aligned_control`, `rewrite`, `soft_zones`, `confirmed_rounds`, or `gate_v2` |
| `BACKTEST_ENTRY_START=YYYY-MM-DD` | Restrict candidate entry dates to a validation window |
| `BACKTEST_ENTRY_END=YYYY-MM-DD` | Restrict candidate entry dates to a training window |
| `BACKTEST_SR_AUDIT=1` | Add momentum-slice candidate rows for paired S/R cohort comparison |
| `BACKTEST_RESEARCH_EXITS=1` | Adds the rejected take-profit exit rows to the exit comparison |
| `BACKTEST_ATR_TARGET_FALLBACK=k` | Synthesizes a k×ATR target where S/R offers none |
| `BACKTEST_FALLBACK_CLEAR_AIR_ONLY=1` | Restricts that fallback to setups with genuinely no structure ahead |