ea65e2d699
The S6 multipliers (B3→2.0×, B6→1.5×, etc.) were derived from the ~600-trade window ending 2026-04-19. ~100+ trades since that window show regime reversal — bucket PnL rankings did not hold out-of-sample. Locking historical per-bucket performance into operational sizing is overfitting at any fixed point-in-time. Changes: - green.yml: s6_size_table → null (uniform 1.0× sizing until coefficients demonstrate multi-window out-of-sample stability) - s6_table_path commented out (same reason) - B4 ban RETAINED: structural exclusion (only gross-negative bucket, -$100 gross before fees, R:R 0.80, WR 34.8%) not a time-window call - AEM MAE_MULT_BY_BUCKET RETAINED: grounded in asset vol characteristics, not point-in-time PnL Infrastructure (routing layer, recompute script, Prefect flow) fully intact. Re-enable: set s6_table_path or populate s6_size_table once recompute_s6 demonstrates stable multi-window out-of-sample variance (< 20% guard). Post-mortem note added to CRITICAL_ASSET_PICKING_BRACKETS_VS._ROI_WR_AT_TRADES.md including system naming clarification (old GREEN vs new-GREEN vs BLUE). Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
118 lines
5.6 KiB
YAML
Executable File
118 lines
5.6 KiB
YAML
Executable File
# GREEN — SHORT-only mirror of BLUE + V7 RT exit engine (experimental staging)
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#
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# BLUE compliance (2026-04-13):
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# direction : short_only (was: long)
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# boost_mode : d_liq (NEW — matches BLUE's create_d_liq_engine)
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# max_hold_bars : 250 (matches BLUE live; OB cascade halves to ~125)
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# min_irp_alignment : 0.0 (was: 0.45 — matches BLUE's ENGINE_KWARGS)
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# max_leverage : 8.0 (D_LIQ soft cap; informational)
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# abs_max_leverage: 9.0 (D_LIQ hard cap; informational)
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# vol_p60 : 0.00009868 (gold canonical — matches BLUE)
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# hazelcast.state_map: DOLPHIN_STATE_GREEN
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#
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# V7 additions (GREEN only):
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# use_exit_v7 : true (V7 = vol-normalized MAE + bounce_score/risk ML)
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# v6_bar_duration_sec : 5.0 (eigenscan cadence; swap to 1.0 when NT runs 1s bars)
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# bounce_model_path : path to bounce_detector_v3.pkl
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# Rollback: set use_exit_v7: false, use_exit_v6: true to revert to pure V6
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strategy_name: green
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direction: short_only
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engine:
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boost_mode: d_liq # BLUE compliance: D_LIQ engine (LiquidationGuardEngine)
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vel_div_threshold: -0.02
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vel_div_extreme: -0.05
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min_leverage: 0.5
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max_leverage: 8.0 # D_LIQ soft cap (informational — d_liq ignores this)
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abs_max_leverage: 9.0 # D_LIQ hard cap (informational — d_liq ignores this)
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leverage_convexity: 3.0
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fraction: 0.20
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fixed_tp_pct: 0.0095
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stop_pct: 1.0
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max_hold_bars: 250 # BLUE compliance; OB cascade halves to ~125 at runtime
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use_direction_confirm: true
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dc_lookback_bars: 7
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dc_min_magnitude_bps: 0.75
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dc_skip_contradicts: true
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dc_leverage_boost: 1.0
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dc_leverage_reduce: 0.5
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use_asset_selection: true
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min_irp_alignment: 0.0 # BLUE compliance (was 0.45)
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use_sp_fees: true
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use_sp_slippage: true
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sp_maker_entry_rate: 0.62
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sp_maker_exit_rate: 0.50
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use_ob_edge: true
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ob_edge_bps: 5.0
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ob_confirm_rate: 0.40
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lookback: 100
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use_alpha_layers: true
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use_dynamic_leverage: true
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seed: 42
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# V7 RT exit engine (GREEN only — observer mode; not present in BLUE config)
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use_exit_v7: true # V7: vol-normalized MAE + bounce_score/risk ML injection
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use_exit_v6: false # V6 fallback — set true here + false above to roll back
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v6_bar_duration_sec: 5.0 # scan cadence; set 1.0 when NT runs 1-second bars
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bounce_model_path: /mnt/dolphinng5_predict/prod/models/bounce_detector_v3.pkl
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paper_trade:
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initial_capital: 25000.0
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data_source: live_arrow_scans
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log_dir: paper_logs/green
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vol_p60: 0.00009868 # gold canonical (was 0.000099)
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hazelcast:
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imap_pnl: DOLPHIN_PNL_GREEN
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imap_state: DOLPHIN_STATE_GREEN
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state_map: DOLPHIN_STATE_GREEN # capital persistence map (was defaulting to BLUE)
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# ──────────────────────────────────────────────────────────────────────────────
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# GREEN S6/EsoF/AEM sprint (exp/green-s6-esof-aem-shadow-2026-04-21).
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# BLUE (prod/configs/blue.yml) does NOT set these keys → orchestrator loads them
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# as None/False → BLUE math is byte-identical pre-sprint. To disable any branch
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# on GREEN, comment the corresponding key — single kill-switch per feature.
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# ──────────────────────────────────────────────────────────────────────────────
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# B4 structurally banned at the selector (only gross-negative bucket — R:R 0.80,
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# WR 34.8%, gross PnL -$100 before fees). This is a structural exclusion, not a
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# point-in-time performance call, so it survives the overfitting concern below.
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# Slot is rerouted to next-ranked asset, not wasted with 0× sizing.
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asset_bucket_ban_set: [4]
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# S6 PER-BUCKET SIZING MULTIPLIERS — INTENTIONALLY DISABLED (2026-04-22).
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#
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# Diagnosis: the coefficients below (B3→2.0×, B6→1.5×, etc.) were derived from
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# ~600 trades ending 2026-04-19. The ~100+ trades *since* that window show a
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# regime reversal — bucket performance has not held. Locking historical point-in-time
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# bucket PnL into operational sizing IS overfitting, regardless of how compelling
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# the research window looked.
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#
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# What stays: B4 ban above (structural, gross-negative even before fees).
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# What's disabled: all non-trivial multipliers — system sizes uniformly (1.0× = no-op)
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# until prod/scripts/recompute_s6_coefficients.py has a stable multi-window dataset
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# that demonstrates the coefficients generalise out-of-sample.
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#
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# Infrastructure (routing layer, recompute script, Prefect flow) is fully intact.
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# Re-enable by un-commenting s6_table_path OR populating s6_size_table below.
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#
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# s6_table_path: prod/configs/green_s6_table.yml # ← un-comment to re-enable
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s6_size_table: null # disabled — all buckets size at 1.0× until data stabilises
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# EsoF regime gate lives at the top of _try_entry (orchestrator single-site).
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# mult == 0 → regime-wide skip (no selector/sizer work). UNKNOWN replaces NEUTRAL
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# (signals-in-conflict is empirically the worst ROI state).
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esof_sizing_table:
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FAVORABLE: 1.20
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MILD_POSITIVE: 0.60
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UNKNOWN: 0.25
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NEUTRAL: 0.25 # alias — historical CH rows / stale HZ snapshots
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MILD_NEGATIVE: 0.00
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UNFAVORABLE: 0.00
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# Target exchanges (e.g. Binance) require integer leverage. Default 1x pending
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# CH-trade-walk in prod/scripts/analyze_leverage_winrate.py to pick the rounding
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# rule (round-half-up vs banker's round vs stay-at-1x). leverage_raw is preserved
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# in CH trade_events + NDPosition for that analysis.
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use_int_leverage: true
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