Gahow Wang
d945624601
Under quant-trading's PIT research engine (S&P 500 members 2006-2026, 10 bp), overnight_recovery_top10 filled at the next close beat the daily UpCap+MomGap by 10.5%/yr (paired Newey-West t 2.44) at 3x instead of 29x yearly turnover. UpCap+MomGap was a CN champion there, and its daily variant was never picked for the US book. - strategy: overnight-return momentum (12m skip 1m) + distance from the 126-day low, ported from strategies/robust_momentum.py; top 10 equal weight, a held name stays while ranked within 30. Scores and picks match RobustMomentumStrategy on the IB bars (25 rebalances, 0 diffs). - rebalance: every 10 sessions from strategy.anchor (2026-09-29), on completed sessions through yesterday's close, MOC at today's close; other sessions do nothing and weights drift. - backtest trades only on rebalance sessions, like the live loop. Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
18 lines
586 B
Desktop File
18 lines
586 B
Desktop File
[Unit]
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Description=ibkr-quant daily run: today's bars, then MOC orders on rebalance sessions
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After=ibgateway.service
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# make gateway restarts a Gateway that has lost IBKR. Retries cover today's bar
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# arriving late (delayed data) and Gateway restarts; make submit refuses to
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# double-submit while orders are open.
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StartLimitIntervalSec=7200
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StartLimitBurst=6
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[Service]
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Type=oneshot
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WorkingDirectory=%h/projects/ibkr-quant
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Environment=PATH=%h/.local/bin:/usr/local/bin:/usr/bin:/bin
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ExecStartPre=/usr/bin/make gateway
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ExecStart=/usr/bin/make bars submit
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Restart=on-failure
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RestartSec=300
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