dragon_glued_alpha_candidate_review.md 2.1 KB

Dragon Glued Alpha Candidate Review

Branches

  • workbook_preserving: official reconstruction baseline.
  • alpha_first_selective_veto: current formal alpha-first branch.
  • alpha_first_glued_selective_veto: alpha-first branch plus narrow glued hot/low veto.

Headline Comparison

  • workbook_preserving: trades 107, avg_return 2.52%, profit_factor 3.31, real BUY / SELL 106/105
  • alpha_first_selective_veto: trades 103, avg_return 2.81%, profit_factor 3.96, real BUY / SELL 102/101
  • alpha_first_glued_selective_veto: trades 92, avg_return 3.35%, profit_factor 4.95, real BUY / SELL 90/89

Short-Holding Impact

  • 00-05d: workbook -2.03%, alpha -1.72%, glued candidate -1.67%
  • 06-10d: workbook -0.81%, alpha -0.69%, glued candidate -0.58%

Walk-Forward Comparison

  • Anchored expanding: workbook 8/10 positive, avg 3.11%; alpha 8/10, avg 3.40%; glued 9/10, avg 3.86%
  • Rolling 3Y: workbook 7/8 positive, avg 3.94%; alpha 7/8, avg 4.30%; glued 7/8, avg 4.78%

Trade-Diff Summary

  • glued candidate vs alpha-first: removed 12, added 1
  • glued candidate vs workbook: removed 16, added 1
  • Removed vs alpha-first are almost entirely the intended target: 12 of 12 are glued_buy trades.
  • Added vs alpha-first is only a small fallback reroute: 2021-11-22 -> 2021-11-30 / dual_gold_resonance_buy -> small_positive_a1_declining:kdj_sell.

Quant Judgment

  • The glued candidate clearly improves in-sample trade quality and short-holding drag beyond the current alpha-first branch.
  • The cost is no longer narrow: overlap drops materially from 102/101 to 90/89, which is a much larger governance step than the current deep-oversold selective veto branch.
  • This means the glued candidate is a credible research branch, but not yet a clean replacement for the current formal alpha-first baseline.
  • Recommended governance: keep alpha_first_selective_veto as the official alpha-first baseline; treat alpha_first_glued_selective_veto as the next research branch for further residual attribution and out-of-sample stability review.