refine strategy variant lab

2026-07-02 16:47:58 +02:00
parent 80b4113280
commit 849489a4b5
4 changed files with 54 additions and 93 deletions
@@ -65,7 +65,7 @@ Corollaries: never let an unvalidated score gate setups; the outcome evaluator m
 ### Highest-value next experiments (in order)

 1. **Residual momentum portfolio variants** — compare raw vs beta-adjusted 12-1 momentum in the strategy-variant simulator before changing production ranking.
-2. **Regime/risk scaling** — test whether SPY-200 risk scaling reduces drawdown enough to justify lower exposure.
+2. **Capacity checks for promising variants** — compare max-position variants for raw 90 and residual 80 so a good-looking row is not just a book-slot artifact.
 3. **Signal context snapshots** — accumulate point-in-time composite/sentiment/fundamental context for every new setup so the discretionary overlay can be tested forward-only.
 4. **More breadth, not more history** — widening the ranked universe (e.g. `nasdaq_all`) strengthens each week's cross-section and the IC t-stat, even if only the top slice is traded. (Deeper history was considered and declined.)