Isolate residual S/R target selection

2026-07-13 09:05:28 +02:00
parent 04ef7f44a2
commit e31d1704a2
7 changed files with 109 additions and 11 deletions
@@ -585,6 +585,41 @@ Run on pre-2024 training data only:
 .venv/bin/python scripts/run_sr_v2_matrix.py factor --workers 14
 ```

+Result:
+
+| training arm | qualified | Sharpe | CAGR | MaxDD | net avg R | ex-top-5% |
+|---|---:|---:|---:|---:|---:|---:|
+| production control | 676 | 1.28 | 28.8% | 21.4% | 0.230 | 0.066 |
+| production + range504 | 180 | **1.65** | 31.4% | **15.9%** | **0.476** | **0.250** |
+| clean rewrite | 1,200 | 0.96 | 21.0% | 22.2% | 0.037 | -0.102 |
+| clean rewrite + range504 | 291 | 1.46 | **31.5%** | 18.4% | 0.292 | 0.158 |
+
+The scalar recovers most of the detector rewrite's regression. The clean arm now
+beats the original production baseline on Sharpe, CAGR, drawdown, and robust
+expectancy. Old target geometry retains a smaller edge over the equally filtered
+clean arm.
+
+The residual cohort is target selection, not another range feature. The clean arm
+retains 63 exceptionally strong common setups (+0.665R ex-top-5%), adds 228 weak
+setups (+0.018R), and misses 117 strong old-geometry setups (+0.175R). Of the
+clean-only additions, 156 have a standalone round-number primary; all 162
+round-only qualified setups have fewer than two observed rejections and return
+-0.024R ex-top-5%. Structural-only and round-confluent primaries return +0.394R
+and +0.369R.
+
+For 113 of the 117 missed setups, the clean detector does produce a target, but
+its selected primary averages 1.56R; 77 land in the 1.5-2R veto band. A final
+two-arm residual matrix therefore holds the clean detector and range factor fixed:
+
+- `rewrite_range504_structural_legacy_primary`: exclude standalone round targets,
+  retain the deployed 1.5 primary floor;
+- `rewrite_range504_structural_primary2`: identical, but select the primary from
+  targets clearing 2.0R.
+
+```bash
+.venv/bin/python scripts/run_sr_v2_matrix.py residual --workers 14
+```
+
 The post-2024 window has been opened and is now analysis data, not a valid final
 promotion holdout. These arms can isolate mechanism, but neither may ship without
 new future data or a separately pre-registered walk-forward protocol.