⚠️ A1 finding (exit 10:00, 79% TPs до 10:00) → INSIGHT ONLY, не operational rule. 11:00 mandate unified per Apr 27 user directive.
| # | Strategy | Status | Direction | Trigger | WR | TP/SL | Cutoff | Sharpe | $/yr Phase 1 |
|---|---|---|---|---|---|---|---|---|---|
| 1 | organic_pump v1 (sub5_pump) | LIVE M14 | SHORT | gap≥10% × px<5 | ~38% | 7%/1% | 11:00 | PF 2.17 | ~$3K |
| 2 | organic_pump v2.5 (A6+A7+B) | research | SHORT | v1 + ORB filter + sweep + ADV 500K+ | ~42% | 7%/1% | 11:00 | 4.0-5.5 | $15-19K ⚠️ |
| 3 | g3a SHORT (ATR-stretch) | research | SHORT | open ≥ prev+2×ATR(14), ex-ADR | ~40% | 7%/1% | 11:00 | 4.0-5.5 | $13K |
| 4 | v3 hedge stack | paper | L+S | L: gap_-10_-5 × pmd_-5_-2 / S: gap≥10 × px<5 | ~45% | 7%/1% | 11:00 | 8.01 daily | $18-22K |
| 5 | org_dump (engine plugin) | paper | LONG | gap ≤-10% × px<5 × bounce | ~40% | 7%/1% | 11:00 | TBD | $8-12K est |
| 6 | reports_pump (engine plugin) | paper | SHORT | earnings AMC + next-day pump >+10% | ~38% | 7%/1% | 11:00 | TBD | $5-8K est |
| 7 | reports_dump (engine plugin) | paper | LONG | earnings AMC + next-day dump <-10% | ~37% | 7%/1% | 11:00 | TBD | $4-7K est |
| 8 | v5 layered | BLOCKED | SHORT | gap≥10 + DXY/VIX/MACD layers | ~43% | 7%/1% | 11:00 | DEAD | DEAD |
Базовая asymmetric SHORT pump-fade, единственный pre-period verified edge
Gap ≥+10% pre-market на small-cap (px<$5) → SHORT MOO 09:30 → TP +7% / SL -1% / 11:00 force-close. Pre-period 2023 PF 2.17. Currently LIVE в M14 production.
Why it works: small-cap pre-market pumps (retail/news hype без fundamental support) фейдят в первый час когда инсайдеры разгружают.
v1 + 3 research-добавки (без A1 exit)
Same setup как v1 + A6 ORB filter (skip if first 5min пробил PM-high) + A7 sweep bonus (1.25× size on liquidity sweep) + B universe ADV 500K+ (×2 capacity).
Revision: A1 (exit 10:00) удалён под unified 11:00 mandate. Lift × 1.74 (vs ×2.05 с A1).
Volatility-normalized pump trigger
Open ≥ prev_close + 2 × ATR(14) (вместо raw gap%) + исключение ADR (foreign companies). Same SHORT MOO → 11:00 path, same 7:1 SL/TP.
Why it works: ATR-stretch ловит истинные 2σ events; raw gap% фейлит на high-vol тикерах гэпающих +10% штатно. ADR exclusion критична — без неё edge inflated catch-up к foreign close.
Combined dual-direction для DD reduction
LONG: gap_-10_-5 × pmd_-5_-2 (mid-dump bounce play) + SHORT: gap≥10 × px<5 (v1 setup). Daily Sh 8.01, MaxDD только -3.9% (5× lower vs v1 alone), 4/4 quarters positive.
Caveat: deploy-blocked — LONG side не прошёл pre-period audit.
Mirror v1 — capitulation bounce
Gap ≤-10% pre-market на small-cap (px<$5) → LONG MOO 09:30 → TP +7% / SL -1% / 11:00 cutoff. Mean reversion после капитуляционных дампов.
Status: paper-only, требует audit driver run на pm_history_2022_2026.parquet.
Earnings-driven pump fade
Catalyst: earnings AMC release + next-day pump ≥+10% → SHORT MOO. Fade earnings reaction overshoot. Same 7:1 / 11:00 spec.
Calendar: требует marketbeat earnings feed с EPS surprise. Skip ESS (ETF earnings season).
Earnings-driven dump bounce
Catalyst: earnings AMC release + next-day dump ≤-10% → LONG MOO. Mirror reports_pump для capitulation на miss.
Lowest expected $/yr (~$4-7K) из-за rarity setup'а — earnings dumps реже чем pumps.
Permutation audit failed — DEAD
v1 + DXY/VIX/MACD/positioning layers. Reported per-trade Sh 14.99. Audit verdict: 0/12 stacks robust permutation — within-ticker shuffle preserves Sh 14 → edge sits в payoff distribution shape, не layer specificity.
Disabled в scorer.py via `asym_tier2_live: false`. Documented для historical reference.
| Strategy | What to verify | Cache need | Effort |
|---|---|---|---|
| ① organic_pump v1 | Confirm M14 LIVE numbers под 11:00 (already implicit) | existing | 0 hr |
| ② organic_pump v2.5 | Re-run без A1, with A6+A7+B only — actual $/yr | ADV 500K+ extension | 2 hr |
| ③ g3a SHORT | Backtest ATR-stretch SHORT под 7:1 / 11:00 spec | existing + ATR backfill | 4 hr |
| ④ v3 hedge stack | Re-validate Sh 8.01 под 7:1 unified (was ~5:1 estimate) | existing | 2 hr |
| ⑤ org_dump | First audit run — TBD numbers | pm_history_2022_2026.parquet | 3 hr |
| ⑥ reports_pump | First audit + marketbeat feed integration | earnings calendar | 4 hr |
| ⑦ reports_dump | First audit + marketbeat feed (shared with #6) | earnings calendar | 2 hr |
| ⑧ v5 layered | SKIP — already BLOCKED, no re-research | — | 0 hr |