chore: consolidate post-stop research artifacts
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2026-07-17 20:46:21 +02:00
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@@ -24,7 +24,7 @@ score, Structural S/R, the Gate Target Ladder, sentiment, fundamentals) is
| 80/20 residual-momentum / 6m-volatility rank | Ranking tilt | Buys ~2pp CAGR over momentum-only; costs ~6pp drawdown |
| 1.5× ATR initial stop | Real exit | Cuts losers fast |
| 3× ATR trailing stop, 30-day max hold | Real exit | Best Sharpe of every exit tested |
| 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) |
| 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) |
| Max 10 concurrent positions, 1% risk per trade | Sizing | Cap never binds in practice |
| Structural S/R | Human-facing product context | Clean, capped zones for charts and alerts; not read by the scanner |
| 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.
This replaces the previously proposed fixed five-session lockdown. The normal
reset counts an unqualified stop-day close when that close is observed after the
stop. The stricter experiment, which required a failed close on a later session,
was not promoted.
was not promoted as the research policy.
### Live scheduling boundary
The live daily pipeline runs the R:R scan **before** Outcome Eval. A trade that
is closed at its initial stop by that Outcome Eval—or by an intraday evaluation
after the full scan—was therefore still open when the day's gate observation
ran. Its stop-day state cannot establish the failure. The earliest possible
failure is the next successful full scan, and a fresh qualification requires a
subsequent full scan.
The study simulator closes positions before checking same-session re-entry
state, so its normal `gate_reset` arm can count the stop-day close. At this first
transition boundary, current live ordering is instead analogous to
`strict_gate_reset`. The distinction is material: the strict full-period row
recorded Sharpe 1.68, CAGR 44.8%, and 23.4% drawdown; its disjoint 2025+ row
recorded Sharpe 1.38, CAGR 32.9%, and 21.0% drawdown. The selected normal-reset
result (Sharpe 1.77) is therefore policy-study evidence, not exact live
scheduler-order parity. Changing that ordering would be a separate production
decision.
## Experiment design