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dennisthiessen 29b1a9a28c
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feat: net-of-cost backtest, gate ablation + time-exit sweeps, longer tails
Phase 1 of the strategy-measurement plan — report-only, no production
trading behavior changes:

- Cost haircut: every bucket/sweep now reports net_avg_r/net_total_r
  alongside gross (COST_PER_SIDE=0.1% of notional, converted to R via
  each setup's stop distance); params carry cost_per_side_pct.
- Gate ablation table: re-qualifies candidates at the current momentum
  cutoff with one floor removed per row (confidence / R:R / NEUTRAL /
  momentum-only) to show which floors earn their keep.
- Time-based exit sweep: hold 5/10/21/30 days with the initial ATR stop,
  exit at the day-N close — the classic momentum implementation, to
  disambiguate the wide-trailing result.
- TP sweep extended to +40/+50%, trailing to 25/30% so the optima are
  interior instead of starred at the sweep edge.
- BacktestPanel: Net Avg R columns everywhere, gate-ablation and
  time-exit tables, stars now mark best net avg R; stale cached reports
  still render (all new fields optional/guarded).

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-07-02 07:50:37 +02:00

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