100 lines
4.6 KiB
Markdown
100 lines
4.6 KiB
Markdown
# Backtest report index
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Reports dated 2026-07-11 or earlier are the historical production research
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record and are intentionally left untouched.
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The retained 2026-07-12/13 S/R reports mark a decision or provide the matching
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control for one:
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- The initial full-period clean-detector regression,
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`backtest-20260712-sr-detector-rewrite.json`, remains a local-only report and
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is intentionally not added to version control.
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- `backtest-sr-v2-train-production_control.json`: pre-July-2024 production
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control shared by the detector matrices.
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- `backtest-sr-v2-train-rewrite.json` and
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`backtest-sr-v2-train-rewrite_legacy_primary.json`: isolate detector geometry
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from the primary-target selector.
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- `backtest-sr-v2-train-rr_aligned_control.json` and
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`backtest-sr-v2-validation-rr_aligned_control.json`: show why primary target
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selection must not simply inherit the 2.0 activation floor.
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- `backtest-sr-traffic-train-legacy_traffic_grid_only.json`: reproduces the
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accidental legacy grid edge.
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- `backtest-sr-traffic-train-legacy_range_grid_neutral.json`: proves that the
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grid effect does not require volume or touch strength.
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- `backtest-sr-v2-validation-production_control.json` and
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`backtest-sr-v2-validation-legacy_range_grid_neutral.json`: the post-2024
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control and failed range-grid replication. The compact paired result remains
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in `sr-v2-validation-comparison.json` and `sr-v2-validation-cohorts.csv`.
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- `backtest-sr-range-factor-train-production_range504.json` and
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`backtest-sr-range-factor-train-rewrite_range504_legacy_primary.json`: isolate
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the explicit 504-day multiplicative-range factor.
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- `backtest-sr-range-residual-train-rewrite_range504_structural_legacy_primary.json`
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and `backtest-sr-range-residual-train-rewrite_range504_structural_primary2.json`:
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the final target-source and primary-floor decision.
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The full-period production comparison writes:
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- `backtest-sr-full-production_control.json`
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- `backtest-sr-full-rewrite_range504_structural_legacy_primary.json`
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- `sr-full-production-vs-candidate-comparison.json`
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- `sr-full-production-vs-candidate-cohorts.csv`
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Those outputs should be retained as the final decision point for this research
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branch.
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The follow-up breadth-preserving ranking experiment writes
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`backtest-sr-overlay-full.json`. Retain it only as the decision point for the
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pre-registered 5% clean-structure overlay; exploratory weight sweeps should not
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be committed.
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The Gate Target Ladder (the `explicit_target_ladder` research arm) parity run
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writes:
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- `backtest-sr-full-explicit_target_ladder.json`
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- `sr-explicit-target-ladder-comparison.json`
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- `sr-explicit-target-ladder-cohorts.csv`
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These establish the final architectural decision: the volume-free explicit
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ladder retains all 1,086 qualified setups and exactly reproduces the production
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book (Sharpe 2.03, CAGR 50.0%, max drawdown 21.4%, 321 trades). The final rerun
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after scanner integration passed: the regenerated report changed only its
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`generated_at` timestamp, confirming that the shared helper preserves exact
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parity. Nothing in this research branch deploys the change to production.
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The archived single-parameter decision point is:
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- `backtest-20260713-gtl-tuning-matrix.json`
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- `backtest-20260713-gtl-tuning-matrix.md`
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These two compact consolidated files are retained; the 20 full per-arm reports
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were removed after consolidation.
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The completed 2026-07-13 matrix found no single-parameter replacement that
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passed all robustness checks. Retain its JSON and Markdown as that decision
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point. The retained-versus-added decomposition is retained as:
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- `backtest-20260713-gtl-confirmation-matrix.json`
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- `backtest-20260713-gtl-confirmation-matrix.md`
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Detailed per-arm reports were not retained.
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The completed confirmation matrix found one near-hit but no formal winner:
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strength-1000 intersection improved full/train/post-2024 Sharpe and CAGR, while
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max drawdown worsened from 21.4% to 21.7%. Retain that matrix as the cohort-
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decomposition decision point. The final stability check is retained as:
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- `backtest-20260713-gtl-strength-sensitivity.json`
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- `backtest-20260713-gtl-strength-sensitivity.md`
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Its pre-registered decision requires at least two adjacent scales to pass all
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six unchanged checks.
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Final sensitivity result: exact control and strength-1000 replication passed.
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Scale 1500 was the sole 6/6 arm, but no adjacent scale passed, so the stable-
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plateau rule rejected it. Retain the consolidated JSON/Markdown as the closing
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GTL decision point. No confirmation or tuned strength value should be promoted
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from this snapshot.
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The temporary matrix runners and their configurable backtest hooks were removed
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after consolidation. The normal local snapshot backtester remains.
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