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research: low_svr21 combination study (STOP); daily option-chain snapshots

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svr_combo (preregistered): blending low_svr21 into overnight_recovery_top10
lifts Sharpe 0.81 -> 0.87 at w=1/3 but deepens MaxDD by 6pp (G1, G3
fail); as a fourth sleeve it dilutes the overnight book (1.49 -> 1.42).

fetch_options collects S&P 500 option chains after each close from
Alpaca's free indicative feed (quotes, day volume, OCC open interest),
solves IVs, and writes per-name iv_atm30 / skew / call-put spread /
option-stock volume summaries to data/options/us/. Forward-only history
for options-implied factors. Run by the quant-trading-options timer at
16:25 New York, Mon-Fri; it skips once the next session has opened.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-10-12 07:26:33 -07:00
parent 81f4e3b32c
commit 9287a92461
6 changed files with 642 additions and 1 deletions
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6
CLAUDE.md
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@@ -109,6 +109,8 @@ PYTHONPATH=. uv run python -m research.lab.overnight_midsmall # the overni
PYTHONPATH=. uv run --with numba python -m research.lab.dip_buying # buy-the-dip: SPY/QQQ RSI(2), trend-filtered stock RSI(2), drawdown tables (preregistered; STOP 2026-10-12: SPY 46 bp/trade t 3.4 but 14% of days, 3x Sharpe 0.57 = SPY; stocks breakeven 10 bp/side)
PYTHONPATH=. uv run python -m research.lab.dip_leverage_overlay # +1x SPY only inside SPY RSI(2) dip windows, on the overnight_book books (preregistered; STOP 2026-10-12: Sharpe 0.98->0.99 / 1.38->1.33, placebo rank 77-88%; the books already earn the bounce at ~2x SPY beta)
PYTHONPATH=. uv run --with numba python -m research.lab.factor_census [--part construction] # every lab factor (price, EDGAR, insider, Lazy Prices, EAR, SVR, FTD) measured one way on the current PIT panel: IC, quintile spread, top-20 alpha vs EW (2026-10-12: 1 A low_svr21, 2 B accruals/rev_5, 69 N; no |t|>=3)
PYTHONPATH=. uv run --with numba python -m research.lab.svr_combo # low_svr21 blended into overnight_recovery_top10 / as a fourth book sleeve, 2018-26 (preregistered; STOP 2026-10-12: blend Sharpe 0.81->0.87 but MaxDD -35%->-41%; book 1.49->1.42)
PYTHONPATH=. uv run python -m research.lab.fetch_options snapshot|status # daily S&P 500 option chains after the close (Alpaca indicative feed, forward-only from 2026-10-12; data/options/us/; timer quant-trading-options)
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)
@@ -210,7 +212,7 @@ The comparison writes its fixed budget and acceptance rule before running and re
## Server Deployment
Four `systemd --user` services, defined in `deploy/systemd/`, run from `/home/gahow/projects/quant-trading`:
Four `systemd --user` services and one timer, defined in `deploy/systemd/`, run from `/home/gahow/projects/quant-trading`:
| Service | Script | Role |
|---|---|---|
@@ -218,11 +220,13 @@ Four `systemd --user` services, defined in `deploy/systemd/`, run from `/home/ga
| `quant-trading-api` | `deploy/start-web-api.sh` | Web API on `127.0.0.1:8787` |
| `quant-trading-vite` | `deploy/start-web-vite.sh` | Vite on `127.0.0.1:5174`, behind nginx on `:5443` |
| `quant-trading-overnight-paper` | `deploy/start-overnight-paper.sh` | `overnight_paper.py daemon`: overnight-only momentum on the Alpaca paper account (from 2026-10-12) |
| `quant-trading-options` (timer, 16:25 New York Mon-Fri) | `deploy/start-options-snapshot.sh` | `research.lab.fetch_options snapshot`: S&P 500 option chains + per-name IV/skew/spread summary into `data/options/us/` (~11 MB/day) |
```bash
cp deploy/systemd/*.service ~/.config/systemd/user/
systemctl --user daemon-reload
systemctl --user enable --now quant-trading-monitor quant-trading-api quant-trading-vite
systemctl --user enable --now quant-trading-options.timer
journalctl --user -u quant-trading-monitor -f
```