chore: consolidate post-stop research artifacts
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@@ -24,7 +24,7 @@ score, Structural S/R, the Gate Target Ladder, sentiment, fundamentals) is
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| 80/20 residual-momentum / 6m-volatility rank | Ranking tilt | Buys ~2pp CAGR over momentum-only; costs ~6pp drawdown |
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| 1.5× ATR initial stop | Real exit | Cuts losers fast |
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| 3× ATR trailing stop, 30-day max hold | Real exit | Best Sharpe of every exit tested |
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| Post-stop normal gate reset | Re-entry policy | Stop always closes; a later gate failure and subsequent fresh qualification define the next signal episode. Sharpe 1.67 → 1.77 and CAGR 45.2% → 48.3% at production capacity 10. [Full study](post-stop-reentry.md) |
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| Post-stop normal gate reset | Re-entry policy | Stop always closes; a later gate failure and subsequent fresh qualification define the next signal episode. The selected study arm reached Sharpe 1.77 / CAGR 48.3% at capacity 10; live scan-before-outcome timing is stricter (Sharpe 1.68 / CAGR 44.8% analogue). [Full study](post-stop-reentry.md) |
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| Max 10 concurrent positions, 1% risk per trade | Sizing | Cap never binds in practice |
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| Structural S/R | Human-facing product context | Clean, capped zones for charts and alerts; not read by the scanner |
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| Gate Target Ladder | Screening machinery | Volume-free transient proposals preserve the production candidate set exactly; never an exit |
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@@ -29,7 +29,26 @@ cannot revive an older stop episode.
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This replaces the previously proposed fixed five-session lockdown. The normal
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reset counts an unqualified stop-day close when that close is observed after the
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stop. The stricter experiment, which required a failed close on a later session,
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was not promoted.
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was not promoted as the research policy.
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### Live scheduling boundary
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The live daily pipeline runs the R:R scan **before** Outcome Eval. A trade that
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is closed at its initial stop by that Outcome Eval—or by an intraday evaluation
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after the full scan—was therefore still open when the day's gate observation
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ran. Its stop-day state cannot establish the failure. The earliest possible
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failure is the next successful full scan, and a fresh qualification requires a
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subsequent full scan.
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The study simulator closes positions before checking same-session re-entry
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state, so its normal `gate_reset` arm can count the stop-day close. At this first
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transition boundary, current live ordering is instead analogous to
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`strict_gate_reset`. The distinction is material: the strict full-period row
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recorded Sharpe 1.68, CAGR 44.8%, and 23.4% drawdown; its disjoint 2025+ row
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recorded Sharpe 1.38, CAGR 32.9%, and 21.0% drawdown. The selected normal-reset
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result (Sharpe 1.77) is therefore policy-study evidence, not exact live
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scheduler-order parity. Changing that ordering would be a separate production
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decision.
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## Experiment design
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