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Gahow Wang 1f50253d13 research: extensive V7 optimization and V8 (TMF) evaluation 
Research scripts exploring paths beyond V7+VT36:
- regime_stock_picker_eval: V3 regime + S&P 500 stock picking
- v7_parameter_sweep: VT range (20-48%) + adaptive PT variants
- v7_synthetic_leverage_eval: synthetic 2x/3x leveraged individual stocks
- v7_breakthrough_eval/fixed: ensemble, cross-market, alt regime engines
- v7_three_ideas_eval: TMF risk-off, PT entry reset, fast exit
- v7_trade_audit: full 10y trade log and alpha attribution
- sota_ranking: comprehensive cross-strategy ranking

Key findings:
- VT36 is optimal risk-return tradeoff (+7% vs VT28, Sharpe ~flat)
- PT30 is structural optimum for 3x ETFs (all adaptive variants worse)
- V8 (TMF risk-off) debunked: +5% was 1-day lookahead bias artifact
- V3 regime engine irreplaceable (all simplified alternatives fail)
- PT mechanism is dominant alpha source (+15.6pp ann, +0.58 Sharpe)

V8 strategy file kept for reference (not registered).

Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
2026-05-21 20:57:34 +08:00
..
__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
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
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
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
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_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