Asymmetric MOO→11:00 v4 — Layered Overlays

Apr 26 17:50 · 3 параллельных агента × 3 аудитора · 151 layered combinations прошли все фильтры (N_train≥100, N_test≥30, ΔSh≥+0.5, all 3 audit)

Production multi-layered SHORT pump-fade stack

🏆 Tier 1 deploy — single layer

Base: SHORT gap_ge10 × c5_-10_-5 stop -1% target +5%

Layer: MACD hist > 0 at PM 09:29

N=64, base Sh 3.99 → 7.06 (Δ +3.07), PF 3.13, WF 8/9

🥈 Capacity champion

Base: SHORT gap_ge10 × c5_le-10 stop -1% target +7%

Layer: DXY 5d ≤ -0.34% (weak USD)

N=107, base Sh 6.27 → 10.90 (Δ +4.63), PF 3.48, WF 8/8

🥉 VIX regime

Base: SHORT gap_ge10 × px_lt5 stop -2% target +7%

Layer: VIX ∈ [34, 45] medium fear

N=160, base Sh 7.36 → 11.52 (Δ +4.16), PF 2.08, WF 8/8

Production gates (deploy-ready)

SHORT gap_ge10 × c5_-10_-5 stop -1% target +5%

REQUIRED: ОДНО из regime gates

DXY 5d ≤ -0.34% (weak USD)
VIX level ∈ [34, 45] (medium fear)
TLT 5d ≥ +0.6% (bond rally → risk-off)

OPTIONAL boosts (sizing 1.25-1.5×)

MACD hist > 0 на PM 1m в 09:29
Stochastic K > 80 (overbought)
dist_20d_high < -10% (структурно слабая)
position_52w 20-50% (нижняя половина годового range)

HARD SKIP — ни в коем случае

FOMC release day (mean -0.21% vs +0.85% обычные дни)
SPY 5d return ≥ +3% (up-trending tape — mean-reversion fails)
Earnings reported в last 1 day OR scheduled in next 1 day

Top 30 layers across all families (by Δ Sharpe)

#	Family	Base	Side	Stop/Tgt	Layer	N_test	Sh base→layered	Δ Sh	PF	WF

Layers by family

#	Base	Side	Stop/Tgt	Layer	N_test	Sh base→layered	Δ Sh	PF	WF

#	Base	Side	Stop/Tgt	Layer	N_test	Sh base→layered	Δ Sh	PF	WF

#	Base	Side	Stop/Tgt	Layer	N_test	Sh base→layered	Δ Sh	PF	WF

Edges с наибольшим количеством layered survivors

Edge	# layers passed

Negative findings (НЕ работает)

LONG side не улучшается ни одним из 42 индикаторов. gap_-10_-5 × pmd_-5_-2 уже maximally extracted gap+PM-drift bins. Для LONG нужны другие feature families (sector relative strength, news/halt flags, options OI) — не PM technicals.

Earnings calendar overlay = DEAD across all 3 agents. 0 earnings-base layers passed in indicator scan, 0/6 calendar bucket layers (days_since_earn / cluster / prev_d1) in positioning scan, Δ +0.055 max in size-multiplier overlay. Подтверждение v3: earnings = primary signal только.

Sector ETF coverage 26-43% — sparse PM bars в sector ETFs (XLY/XLB/XLI/XLC). Sector-relative gates работают на ¼ событий — soft-tilt, не hard-gate.

Files

research_results/asymmetric_moo1100_v4/A_indicators/ · B_crossasset/ · C_calendar/