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research: 50%-target search — conservative book, daily quick checks, Alpaca intraday

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- managed_futures_book: three sleeves + managed futures (DBMF, tsmom24 proxy
  before 2019-05) cuts MaxDD -37% -> -27% but CAGR 16-19%, Sharpe unchanged
  (REJECT).
- small_cap_reversal / turn_of_month / short_vol: preregistered quick checks,
  all STOP (net of spread costs, post-publication decay, post-2013 VRP 0.37).
- fetch_alpaca: resume-safe Alpaca SIP intraday bars 2016+ (1-min ETFs,
  5-min liquid S&P 1500), keys from .env and never logged.
- intraday_momentum: the SPY noise-area strategy replicates (yearly corr
  1.00 with the paper) but SPY Sharpe 0.99, ~0 after publication, and only
  QQQ of five other ETFs works (STOP).
- orb_stocks_in_play: preregistered 5-min ORB replication (not yet run).

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-10-09 00:58:47 -07:00
parent f1c1210724
commit 65b8db7a12
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@@ -84,6 +84,13 @@ PYTHONPATH=. uv run python -m research.lab.universe_midcap # overni
PYTHONPATH=. uv run --with numba python -m research.lab.stream_portfolio # risk-budgeted book of momentum/lowrisk/TrendRider/ETF TSMOM/BTC streams, 2006-26 (preregistered; REJECT 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.hedged_momentum # momentum with its beta hedged by index futures (quick check; STOP 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.futures_trend [--no-proxy] # 24-market futures TSMOM on Yahoo =F + data checks (quick check; Sharpe 0.44, DATA 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.managed_futures_book [--no-proxy] # three sleeves + managed futures (tsmom24 proxy -> DBMF), 2006-26 (preregistered; REJECT 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.small_cap_reversal # 5-day reversal on S&P 400/600, EW-hedged, spread costs (quick check; STOP 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.turn_of_month # turn-of-month premium 1928-2026, 3x in the window (quick check; STOP 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.short_vol [--no-proxy] # short VIX futures with a VIX/VIX3M filter, 2006-26 (quick check; STOP 2026-10-08)
PYTHONPATH=. uv run python -m research.lab.fetch_alpaca etfs|stocks|status # Alpaca free SIP intraday bars 2016+ (1-min ETFs, 5-min liquid S&P 1500; keys from .env, never logged)
PYTHONPATH=. uv run python -m research.lab.intraday_momentum # SPY noise-area intraday momentum replication + 5 ETFs (preregistered; STOP 2026-10-09)
PYTHONPATH=. uv run python -m research.lab.orb_stocks_in_play # 5-min opening-range breakout on the top-20 stocks in play (preregistered)
uv run python -m research.lab.fetch_us_fundamentals --universe mid # EDGAR PIT facts for S&P 400 ever-members (name-checked CIKs)
uv run python -m research.lab.fetch_us_fundamentals --universe small # the same for S&P 600 (IJR)
PYTHONPATH=. uv run python -m research.lab.midcap_sleeve [--only h1..h4] [--universe small] # S&P 400 sleeves vs IJH; S&P 600 replication vs IJR (all REJECT 2026-10-08)