Document S/R findings and isolate legacy gate features

2026-07-12 23:38:09 +02:00
parent ce0df6a126
commit 93403b4d3a
7 changed files with 144 additions and 23 deletions
@@ -452,6 +452,52 @@ than a pristine holdout; do not sweep variants on it. No deployment follows
 automatically. A lower validation Sharpe or higher drawdown remains a no-ship
 result even when CAGR rises.

+## 8. Final detector-only result: no rewritten gate arm advances
+
+The last matrix froze production's effective gate (`primary min_rr=1.5`,
+activation `min_rr=2.0`) and varied only level detection/zone policy on entries
+through 2024-06-30. Corrected portfolio calendars end after the last position can
+resolve; there is no flat-cash tail.
+
+| arm | Sharpe | CAGR | MaxDD | qualified | net avg R | ex-top-5% |
+|---|---:|---:|---:|---:|---:|---:|
+| production control | **1.28** | **28.8%** | 21.4% | 676 | **0.230** | **0.066** |
+| rewrite + legacy primary | 0.96 | 21.0% | 22.2% | 1,200 | 0.037 | -0.102 |
+| soft zones + legacy primary | 1.08 | 25.1% | **17.8%** | 1,161 | 0.045 | -0.096 |
+| confirmed rounds + legacy primary | 1.14 | 22.1% | 20.2% | 570 | 0.189 | 0.045 |
+| gate v2 + legacy primary | 0.87 | 16.7% | 20.7% | 604 | 0.187 | 0.041 |
+
+No arm advances to validation. The raw rewrite retains only 249 of 676 production
+setups, removes 427 good setups, and adds 951 setups with negative expectancy.
+Round confirmation repairs the added cohort but still removes 430 production
+setups whose 30-day average (+0.680R) exceeds the additions (+0.511R). Uncapping
+recovers only 16 of those missing setups. The old detector averages 43.3 gate
+levels versus 15.0 rewritten and 24.0 rewritten-uncapped levels.
+
+**Standing no-ship decision:** keep both the deployed detector and the legacy 1.5
+primary-selection behavior in the trading path. The rewritten structure may only
+proceed as a separately computed display model. Do not merge this research branch
+into production as-is.
+
+### Hidden-feature isolation
+
+The remaining hypothesis is that the deployed detector accidentally measures
+long-memory historical price traffic rather than genuine S/R. A dedicated matrix
+holds the complete gate fixed and changes one legacy component at a time:
+
+- `legacy_geometry_neutral`: old locations, every merged strength fixed at 50;
+- `legacy_pivots_only`: unfiltered full-history pivots, no VP grid;
+- `legacy_traffic_grid_only`: old range-volume price grid, no pivots.
+
+Run on macOS:
+
+```bash
+.venv/bin/python scripts/run_sr_v2_matrix.py traffic --workers 14
+```
+
+Do not validate any traffic arm yet. First establish whether geometry, pivots, or
+the range-occupancy grid reproduces production on pre-2024 training data.
+
 **Next runs, if picked back up:**

 - A **per-name target model** for clear-air setups instead of a constant k×ATR. This