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dragon_short_holding_experiments.md

dragon_short_holding_experiments.md 2.5 KB
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Dragon Short Holding Experiments

  • Baseline branch: alpha_first_selective_veto.
  • Goal: reduce the main short-holding drag with the smallest possible extra complexity.

Summary

  • baseline_alpha_first: trades 103, avg_return 2.81%, profit_factor 3.96, short_avg_return -1.15%, 00-05d -1.72%, 06-10d -0.69%, real BUY / SELL 102/101
  • disable_post_sell_rebound_buy: trades 101, avg_return 2.76%, profit_factor 3.89, short_avg_return -1.16%, 00-05d -1.72%, 06-10d -0.70%, real BUY / SELL 99/99
  • glued_veto_hot_positive_b1: trades 96, avg_return 3.11%, profit_factor 4.42, short_avg_return -1.08%, 00-05d -1.79%, 06-10d -0.58%, real BUY / SELL 94/93
  • glued_veto_low_weak_range: trades 99, avg_return 3.02%, profit_factor 4.38, short_avg_return -1.06%, 00-05d -1.61%, 06-10d -0.69%, real BUY / SELL 98/97
  • glued_veto_hot_and_low: trades 92, avg_return 3.35%, profit_factor 4.95, short_avg_return -0.99%, 00-05d -1.67%, 06-10d -0.58%, real BUY / SELL 90/89
  • glued_veto_hot_low_and_disable_post_sell: trades 90, avg_return 3.30%, profit_factor 4.87, short_avg_return -1.00%, 00-05d -1.67%, 06-10d -0.58%, real BUY / SELL 87/87

Delta Vs Alpha-First Baseline

  • disable_post_sell_rebound_buy: delta_avg_return -0.05%, delta_profit_factor -0.07, delta_short_avg_return -0.01%, delta_glued_short_avg_return 0.00%, real BUY / SELL 99/99
  • glued_veto_hot_positive_b1: delta_avg_return 0.30%, delta_profit_factor 0.45, delta_short_avg_return 0.06%, delta_glued_short_avg_return 0.04%, real BUY / SELL 94/93
  • glued_veto_low_weak_range: delta_avg_return 0.21%, delta_profit_factor 0.42, delta_short_avg_return 0.08%, delta_glued_short_avg_return 0.12%, real BUY / SELL 98/97
  • glued_veto_hot_and_low: delta_avg_return 0.54%, delta_profit_factor 0.98, delta_short_avg_return 0.16%, delta_glued_short_avg_return 0.20%, real BUY / SELL 90/89
  • glued_veto_hot_low_and_disable_post_sell: delta_avg_return 0.50%, delta_profit_factor 0.91, delta_short_avg_return 0.15%, delta_glued_short_avg_return 0.20%, real BUY / SELL 87/87

Quant Judgment

  • Best branch in this pack: glued_veto_hot_and_low with avg_return 3.35% and profit_factor 4.95.
  • Compare the winning branch to the audit: if glued short trades fall materially while overlap loss stays controlled, the next optimization should stay on the glued-entry side.
  • If disabling post_sell_rebound_buy contributes little, that family is secondary for this stage.