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65b8db7a12
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research: 50%-target search — conservative book, daily quick checks, Alpaca intraday
- 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>
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2026-10-09 00:58:47 -07:00 |
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