Dragon Formal Strategy Memo

Strategy Identity

Instrument scope: 399673 only
Current strongest branch: alpha_first_glued_refined_hot_cap
Control branch: alpha_first_selective_veto
Reconstruction branch: workbook_preserving

Official Objective

Build an explainable, robust alpha strategy on 399673 where:

robustness is more important than perfect workbook resemblance
useless short trades are removed first
large trend profits are preserved
annualized return is a secondary consequence, not the first optimization target

Current Strategy Judgment

Quant Best Branch

alpha_first_glued_refined_hot_cap

Why:

better avg return
better profit factor
better win rate
better drawdown profile
better execution-aware stress behavior
better short-loss clustering than control

Conservative Governance Branch

alpha_first_selective_veto

Why:

smaller workbook divergence
easier bridge from reconstruction to alpha-first research

Edge Source

The current edge is not broad and diffuse. It is concentrated in:

glued_buy as the main alpha engine
preserved medium and long holding winners
deletion of weak short-holding glued trades
support from early_crash_probe_buy
secondary support from oversold_recovery_buy and dual_gold_resonance_buy

The branch does not mainly improve by:

adding many new trade paths
aggressive curve-fit threshold searching
deleting profitable samples

Known Weak Points

weak deep-oversold subtypes remain fragile
secondary rebound families are not strong edge sources
worst loss family is still glued_buy, even though refined has improved it
governance still needs to decide whether workbook overlap is a hard gate or a cost metric

What Is Already Proven

removed trades vs control are low quality
refined is locally stable under nearby threshold perturbations
refined remains ahead under transaction cost pressure
refined remains ahead under next-open and next-close execution assumptions
refined has better loss clustering and drawdown duration than control

What Must Not Be Done

do not resume workbook-style micro-alignment as the main optimization path
do not blind-tune predictive bridge exits
do not change glued selective veto thresholds inside the formal branch without opening a new research branch
do not treat auxiliary signal cleanup as the main alpha frontier

Current Operating Rule

forward default: alpha_first_glued_refined_hot_cap
benchmark control: alpha_first_selective_veto
reconstruction audit baseline: workbook_preserving

Next Research Focus

execution-aware robustness should remain the live validation layer
future optimization should target weak secondary families, not the core glued alpha trunk
any new candidate must beat refined on both quality and robustness, not just workbook resemblance

Bottom Line

alpha_first_glued_refined_hot_cap is now the best strategy branch in the workspace from a quant point of view.

If it is not promoted, that should be treated as a governance choice. It should no longer be treated as an unresolved research question.