36d263eb91
prod/configs/green.yml: - asset_bucket_ban_set: [4] (B4 banned at selector level) - s6_size_table: inline bootstrap multipliers (B0→0.4, B1→0.3, B3→2.0, B5→0.5, B6→1.5) matching CRITICAL_ASSET_PICKING S6 scenario - esof_sizing_table: FAV→1.2, MILD_POS→0.6, UNKNOWN→0.25, MILD_NEG→0.0, UNFAV→0.0 - use_int_leverage: true (1x fixed pending winrate analysis) - s6_table_path: pointer to generated YAML (recompute updates this) BLUE (blue.yml) carries none of these keys → BLUE math unchanged. prod/configs/green_s6_table.yml: bootstrap stub with frontmatter (generated_at, source_branch, n_trades). Regenerated by recompute script. prod/scripts/recompute_s6_coefficients.py: Queries trade_events, maps assets to KMeans buckets, derives per-bucket sizing mults. Variance guard: >20% net-PnL move flags bucket in dolphin.s6_recompute_log for manual review before promote. prod/s6_recompute_flow.py: Prefect flow wrapping the recompute script. Cadence via S6_RECOMPUTE_INTERVAL_DAYS env (default 30). Kill-switch: S6_RECOMPUTE_DISABLED=1. prod/scripts/analyze_leverage_winrate.py: Read-only walk of CH trade_events; bins trades by leverage_raw, emits per-bin WR/net-PnL/avg-MAE. Output informs the int-leverage rounding rule choice (Option 1 round-half-up vs Option 2 banker's round vs stay-at-1x). Does not auto-apply a rule change. Plan refs: Tasks 3, 8, 10. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
35 lines
1.8 KiB
YAML
35 lines
1.8 KiB
YAML
# GREEN S6 bucket sizing table
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# ────────────────────────────────────────────────────────────────────────────
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# Auto-generated by prod/scripts/recompute_s6_coefficients.py.
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# Bucket → per-entry notional multiplier applied at the orchestrator single-site
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# (`nautilus_dolphin/nautilus_dolphin/nautilus/esf_alpha_orchestrator.py`).
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#
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# Semantics:
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# value == 1.0 → no-op (same as BLUE)
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# value < 1.0 → size down (fractional)
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# value > 1.0 → size up (leaned-into bucket)
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# absent bucket → 1.0 (no-op)
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# value == 0.0 → prefer banning via `asset_bucket_ban_set` in green.yml
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# (selector-ban reroutes to next-ranked asset;
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# sizer 0× would waste the slot)
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#
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# Regeneration cadence: env S6_RECOMPUTE_INTERVAL_DAYS (default 30).
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# If any bucket's net-PnL moves > ~20% between runs, the recompute flow flags
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# the change in CH `dolphin.s6_recompute_log` for manual review before apply.
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# ────────────────────────────────────────────────────────────────────────────
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meta:
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generated_at: "2026-04-21T00:00:00Z" # replaced on each recompute
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source_branch: "exp/green-s6-esof-aem-shadow-2026-04-21"
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n_trades: 0 # populated by recompute script
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note: "Bootstrap stub — regenerate with prod/scripts/recompute_s6_coefficients.py before staging"
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# Bucket → multiplier. B4 excluded (banned at selector). B2 omitted (= 1.0 no-op).
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# Seeded from the S6 scenario in prod/docs/CRITICAL_ASSET_PICKING_BRACKETS_VS._ROI_WR_AT_TRADES.md.
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buckets:
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0: 0.40
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1: 0.30
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3: 2.00
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5: 0.50
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6: 1.50
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