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research: ORB (STOP), overnight-only momentum (STOP), Alpaca paper forward test

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- orb_stocks_in_play: 5-min bounds -70%/yr (conservative) vs +71%/yr
  (optimistic); the optimistic bound breaks even at 3.6 bp slippage a side.
- overnight_only: the momentum sleeve's names earn their return overnight
  (Sharpe 1.57) and nothing intraday; held close->open only, net Sharpe
  1.29-1.42 at 1 bp a side, below the 1.5 gate.
- overnight_paper.py + systemd unit: MOC buy / MOO sell of the top 10 on the
  Alpaca paper account from 2026-10-12, with a fills-vs-prints report.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-10-09 20:06:34 -07:00
parent 65b8db7a12
commit c34367161d
6 changed files with 804 additions and 2 deletions
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CLAUDE.md
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@@ -43,6 +43,12 @@ uv run python agent_review.py candidates # after the US close: top-50 pack
uv run python agent_review.py submit data/agent/us/draft_<as_of>.json # before 16:00 New York of the next session
uv run python agent_review.py evaluate # score IC, veto outcomes, book vs overnight_recovery_top10
# Overnight-only momentum book on Alpaca PAPER (MOC buy top 10 at close-20 min, MOO sell at open-20 min; refuses non-paper endpoints)
uv run python overnight_paper.py signal # next session's top 10, no orders
uv run python overnight_paper.py buy|sell --dry-run # show the orders it would send
uv run python overnight_paper.py report # paper fills vs official open/close prints, nightly returns
uv run python overnight_paper.py daemon # the scheduler (service quant-trading-overnight-paper)
# Precompute the strategy page's backtests (writes data/precomputed/)
uv run python precompute_backtest.py
@@ -90,7 +96,8 @@ PYTHONPATH=. uv run python -m research.lab.turn_of_month # turn-of-mo
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)
PYTHONPATH=. uv run python -m research.lab.orb_stocks_in_play # 5-min opening-range breakout on the top-20 stocks in play (preregistered; STOP 2026-10-09: 5-min bounds -70%/yr vs +71%/yr, optimistic breakeven slippage 3.6 bp/side)
PYTHONPATH=. uv run python -m research.lab.overnight_only # momentum names held close->open only, MOC/MOO costs (preregistered; STOP 2026-10-09: net Sharpe 1.29-1.42 < 1.5, but the sleeve's whole return is overnight)
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)
@@ -190,7 +197,7 @@ The comparison writes its fixed budget and acceptance rule before running and re
## Server Deployment
Three `systemd --user` services, defined in `deploy/systemd/`, run from `/home/gahow/projects/quant-trading`:
Four `systemd --user` services, defined in `deploy/systemd/`, run from `/home/gahow/projects/quant-trading`:
| Service | Script | Role |
|---|---|---|
@@ -200,6 +207,7 @@ Three `systemd --user` services, defined in `deploy/systemd/`, run from `/home/g
```bash
cp deploy/systemd/*.service ~/.config/systemd/user/
| `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) |
systemctl --user daemon-reload
systemctl --user enable --now quant-trading-monitor quant-trading-api quant-trading-vite
journalctl --user -u quant-trading-monitor -f