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Gahow Wang c34367161d research: ORB (STOP), overnight-only momentum (STOP), Alpaca paper forward test 
- 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>
2026-10-09 20:06:34 -07:00
..
lab
research: ORB (STOP), overnight-only momentum (STOP), Alpaca paper forward test
2026-10-09 20:06:34 -07:00
__init__.py
Add point-in-time S&P 500 backtest to expose survivorship bias
2026-04-17 16:26:02 +08:00
alpha_factors.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
alpha_research.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
dca_simulation.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
event_factors.py
feat: add regime and breakout alpha modules
2026-04-18 00:31:16 +08:00
factor_optimize.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
factor_panel_check.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
fetch_historical.py
feat: add PIT OHLCV runner and fetch support
2026-04-18 14:59:48 +08:00
interaction_alpha.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
ls_momentum_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
midsmall_rebuild.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
midsmall_scan.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
new_frameworks_eval.py
research: individual stock swing, new frameworks, literature alpha, DCA
2026-05-23 00:45:44 +08:00
optimize.py
Add point-in-time S&P 500 backtest to expose survivorship bias
2026-04-17 16:26:02 +08:00
permanent_yearly.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
pit_backtest.py
Add point-in-time S&P 500 backtest to expose survivorship bias
2026-04-17 16:26:02 +08:00
pit_comparison.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
pit_optimization.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
prod_impact.py
feat(research): Tiingo backfill of delisted names; honest PIT panels
2026-10-08 09:48:05 -07:00
regime_filters.py
feat: improve US alpha pipeline and regime filters
2026-05-14 12:54:00 +08:00
regime_stock_picker_eval.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
run_interaction.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
sharpe_blend.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
single_stock_swing.py
research: individual stock swing, new frameworks, literature alpha, DCA
2026-05-23 00:45:44 +08:00
smart_dca_eval.py
research: individual stock swing, new frameworks, literature alpha, DCA
2026-05-23 00:45:44 +08:00
sota_ranking.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
strategies_plus.py
Add point-in-time S&P 500 backtest to expose survivorship bias
2026-04-17 16:26:02 +08:00
strategy_final_report.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_improvement_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_improvement_r2.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_improvement_r3.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_improvement_r4.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_risk_managed_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_risk_managed_r2.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost_v2.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost_v3.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost_v4.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost_v5.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sharpe_boost.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
strategy_sweep.py
research: add US alpha exploration scripts
2026-05-14 12:53:50 +08:00
trade_analysis.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
trend_rider_p0.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
trend_rider_robustness.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
trend_rider_v5_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
trend_rider_v6_eval.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
us_alpha_pipeline.py
feat: improve US alpha pipeline and regime filters
2026-05-14 12:54:00 +08:00
us_alpha_report.py
feat: add PIT OHLCV runner and fetch support
2026-04-18 14:59:48 +08:00
us_combo_sweep.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
us_fundamentals.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
us_universe.py
feat: add PIT-aware tradable universe mask
2026-04-18 00:23:07 +08:00
v5_drawdown_trace.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
v5_p0_validate.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
v6_voltarget.py
research: add strategy evaluation and exploration scripts
2026-05-14 12:54:08 +08:00
v7_breakthrough_eval.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_breakthrough_fixed.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_literature_alpha.py
research: individual stock swing, new frameworks, literature alpha, DCA
2026-05-23 00:45:44 +08:00
v7_parameter_sweep.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_synthetic_leverage_eval.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_three_ideas_eval.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00
v7_trade_audit.py
research: extensive V7 optimization and V8 (TMF) evaluation
2026-05-21 20:57:34 +08:00