Originally один setup: gap≥10% × px<5 × MOO→11:00 SHORT. Pre-period 2023 PF 2.17 ✅. Это единственный edge переживший все аудиты.
в M14 deploy PF 2.17
Топ-1 эдж gap_le-10 × px_20_50 LONG +1.69% REJECTED — pre-PF 0.64 (2024-born). Все rvol_*x также REJECTED (per-trade Sh inflation от catalyst-day concentration).
edge rejected
5 параллельных расследований × 3 аудитора. Tier 1 (ALL 5 PASS) = v1 same. HEDGE STACK: LONG gap_-10_-5 × pmd_-5_-2 + SHORT gap_ge10 × px_lt5 → daily Sh 8.01, MaxDD -3.9%, 4/4 quarters +.
Sh 8.01 DD -3.9%
151 layers passed (32 indicator + 112 cross-asset + 7 positioning). TOP indicator: MACD hist > 0 ΔSh +3.07. TOP cross-asset: DXY 5d ≤-0.34% ΔSh +4.63, VIX [34,45]. v5 audit revealed permutation failure.
layers exposed
Joint stacks Sh ≥9. Top 3-layer: gap_ge10×c5_le-10 + nz_gt200 + DXY_5d_LO + pos52_b=lo20 → Sh 14.99. H4 MONDAY×gap_ge10 Sh 13.81 N=191. AUDIT: 0/12 stacks robust permutation — within-ticker shuffle preserves Sh 14 → edge sits в asymmetric payoff DISTRIBUTION SHAPE, не в layer specificity. PAPER ONLY.
illusion disabled in scorer
Refactored monolithic v1 → plugin engine: 4 plugins (organic/reports × pump/dump), 1%SL/7%TP/11:00 hard exit, M14-style 6-layer risk gates, full audit pipeline. organic_pump enabled, остальные 3 = paper-only.
23/23 plan tasks 87/87 tests
A1 exit 10:00 (79% TPs до 10:00) + A6 ORB filter (skip 33%) + A7 sweep bonus + B universe ADV 500K+. Stream D: g3a SHORT (ATR-stretch). Stream C: first5_directional (orthogonal).
×2-3 lift cache extension required
ADV 1M+ universe для N≥200/fold. Fix DIRTY features (sector snapshot, H4 eoq future-leak, halt_today, VIX_VIXY proxy decay-ETF). Quarterly re-audit cadence.
backlog post v2.5 deploy
| # | Version | Setup | Direction | Trigger (rule) | Sharpe | PF / DD | Status | Verdict |
|---|---|---|---|---|---|---|---|---|
| 1 | v1 / v3 Tier 1 | sub5_pump | SHORT | gap≥10 × px<5 | — (PF 2.17) | DD -3.9% | LIVE M14 | ✅ Single proven edge — pre-period verified |
| 2 | v3 hedge stack LONG | gap-down dump bounce | LONG | gap_-10_-5 × pmd_-5_-2 | 8.01 daily | DD -3.9% | paper | ✅ Combined with #1 = hedge stack |
| 3 | v3 Tier 2 | c5 fade SHORT | SHORT | gap≥10 × c5_-10_-5 | ~3.99→7.06 (+v4) | PF 3.13 | paper | 🟡 v4 layer base — without layers WF unstable |
| 4 | v3 Tier 2 | extreme c5 fade | SHORT | gap≥10 × c5_le-10 | ~stable 3y | — | paper | 🟡 mean_3m 2.25× baseline UP |
| 5 | v3 Tier 2 | day-high fade | SHORT | gap≥10 × dh_-20_-10 | ~stable 3y | — | paper | 🟡 distance-from-high signal |
| 6 | v2 | mid-cap LONG bounce | LONG | gap_le-10 × px_20_50 | +1.69% mean | pre-PF 0.64 | REJECTED | ❌ 2024-born edge, no pre-period evidence |
| 7 | v4 indicator | + MACD hist > 0 layer | SHORT | gap≥10 × c5_-10_-5 × MACD_pos | 7.06 (ΔSh +3.07) | PF 3.13 | audit failed | 🔴 v5 perm test 0/12 robust |
| 8 | v4 cross-asset | + DXY 5d weak | SHORT | gap≥10 × DXY_5d ≤-0.34% | +4.63 ΔSh | — | audit failed | 🔴 same — perm illusion |
| 9 | v4 cross-asset | + VIX panic regime | SHORT | gap≥10 × VIX [34,45] | +4.16 ΔSh | — | audit failed | 🔴 same — perm illusion |
| 10 | v5 joint 3-layer | mega stack | SHORT | gap≥10 × c5_le-10 × nz_gt200 × DXY_5d_LO × pos52_b=lo20 | 14.99 per-trade | cap 18.5% | BLOCKED | 🔴 illusion — within-ticker shuffle preserves Sh |
| 11 | v5 H4 seasonality | MONDAY tilt | SHORT | MONDAY × gap≥10 × px<5 | 13.81 N=191 WF 9/9 | — | BLOCKED | 🔴 1 cut 2025-09 used; needs 2024-09 cut |
| 12 | v2.5 / Stream A | v1 + A1 exit 10:00 | SHORT | v1 + force-close 10:00 | +18% perf | — | research | ✅ 79% TPs до 10:00 — code-only |
| 13 | v2.5 / Stream A | v1 + A6 ORB filter | SHORT | v1 + skip if ORB break PM-high | +0.49 Sh | — | research | ✅ skip 33% trades, quality up |
| 14 | v2.5 / Stream A | v1 + A7 sweep bonus | SHORT | v1 + size 1.25× if sweep&reverse | +5% | — | research | ✅ liquidity-sweep institutional flow |
| 15 | v2.5 / Stream B | universe expansion | SHORT | v1 + ADV 500K+ (от 2M) | WR 52→53.7% | ×2 cap | research | ✅ counterintuitive — small fades cleaner |
| 16 | v2.5 / Stream D | g3a SHORT (ATR-stretch) | SHORT | open ≥ prev+2×ATR(14), no ADR | ~4.5 daily | all 4y + | research | ✅ vol-normalized vs raw gap% |
| 17 | v2.5 / Stream C | first5_directional | L+S | flat-open + first5 move >2% | ~4.0 daily | WR 82.3% | research | ✅ orthogonal — institutional flow signal |
| 18 | Engine plugin | organic_pump | SHORT | v1 setup в plugin form | ~1.5-3 daily | PF 2.17 | live | ✅ enabled в strategy.yaml |
| 19 | Engine plugin | org_dump (LONG bounce) | LONG | gap ≤-10% × px<5 × bounce | TBD | est PF 1.8 | paper | 🟡 needs audit driver run |
| 20 | Engine plugin | reports_pump (earnings fade) | SHORT | earnings AMC + next-day pump >+10% | TBD | est PF 1.5 | paper | 🟡 needs audit driver run |
| 21 | Engine plugin | reports_dump (earnings bounce) | LONG | earnings AMC + next-day dump <-10% | TBD | est PF 1.5 | paper | 🟡 needs audit driver run |