🎯 MOO-955 M10R S1 SHORT — Entry Variant Study
S1 rule: gap_pct ∈ [-3, -1] AND prev_day_ret < -2. SHORT, exit fixed 09:55.
Window: 2025-04-15 → 2026-04-20 (1-min intraday coverage). 7,000 S1 signals total.
Matched subset: 1,700 signals где все 11 variants имеют цену (apples-to-apples сравнение).
Matched comparison (N=1700, same signals)
| Variant | Entry | WR % | mean % | std % | Sharpe_ann | vs MOO |
|---|
M1_0931 🏆 | open @ 09:31 (wait 1 min) | 73.04 | +1.200 | 2.08 | 10.89 | +0.39 |
VWAP3m | TWAP 09:30-09:32 | 72.75 | +1.178 | 2.06 | 10.83 | +0.33 |
M0_0930 | 1m-bar open @ 09:30 | 72.93 | +1.191 | 2.09 | 10.80 | +0.30 |
M2_0932 | open @ 09:32 (wait 2 min) | 73.10 | +1.173 | 2.06 | 10.79 | +0.30 |
VWAP5m | TWAP 09:30-09:34 | 72.87 | +1.133 | 2.02 | 10.59 | +0.10 |
M5_0935 | open @ 09:35 | 72.51 | +1.066 | 1.96 | 10.50 | ≈0 |
entry_930 (LIVE) | MOO auction | 72.35 | +1.067 | 1.96 | 10.50 | — |
M4_0934 | open @ 09:34 | 72.04 | +1.058 | 1.99 | 10.19 | -0.31 |
M10_0940 | open @ 09:40 | 67.81 | +0.571 | 1.47 | 7.32 | -3.18 |
M15_0945 | open @ 09:45 | 60.74 | +0.365 | 1.31 | 5.29 | -5.21 |
M20_0950 | open @ 09:50 | 58.15 | +0.215 | 1.14 | 3.76 | -6.74 |
Paired delta vs MOO auction (entry_930)
Difference-of-means на ОДНОМ и том же signal → без sample bias.
| Variant | Δmean % | Δmedian % | % trades better than MOO |
|---|
M1_0931 🏆 | +0.135 | +0.116 | 59.3% |
M0_0930 | +0.125 | +0.106 | 59.2% |
VWAP3m | +0.113 | +0.101 | 58.7% |
M2_0932 | +0.107 | +0.106 | 58.4% |
VWAP5m | +0.067 | +0.060 | 56.6% |
M5_0935 | +0.001 | +0.000 | 49.4% |
M4_0934 | -0.008 | -0.000 | 47.4% |
M10_0940 | -0.495 | -0.400 | 35.9% |
M15_0945 | -0.701 | -0.572 | 33.3% |
M20_0950 | -0.851 | -0.682 | 30.0% |
✅ VERDICT
- Optimal entry = open @ 09:31 (wait 1 minute after bell). Sharpe 10.89 vs 10.50 baseline. Mean +0.135% per trade (+13bps).
M0_0930 / VWAP3m / M2_0932 — practically equivalent (+10-13bps). Любой из этих вариантов безопасен.- После 09:32 — edge быстро выдыхается. Waiting 4-5 min = same as MOO.
- Waiting past 09:35 = destructive. M10+ теряет −0.5% до −0.85% vs MOO.
⚠️ Practical trade-offs
- MOO auction = известна цена, один fill. 09:31 market entry = spread/slippage (~1-2bps на liquid 2M+ ADV).
- Net gain ~8-12bps per trade после slippage. На 1000 trades/год = ~$4-6K на $50K position.
- If MOO execution проще операционно — оставить. Если есть автоматизация → wait 1min then market.
Mechanism (why 1 min wait помогает SHORT)
- MOO auction ловит момент максимального buying pressure (overnight imbalance closing).
- Первые 30-60 sec после 09:30 часто retrace часть gap вверх на continued buying.
- На 09:31 price чуть выше → вход SHORT по лучшей цене.
- После 2-4 min real mean-reversion начинается → entry advantage compresses → к 09:35 paritet.
Files
revalidation_apr22/moo955_entry_variants.py (full sample, N=3405-7000 per variant)revalidation_apr22/moo955_entry_variants_matched.py (N=1700 matched, verdict здесь)revalidation_apr22/moo955_entry_variants.parquet · .csvrevalidation_apr22/moo955_entry_variants_matched.parquet