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Add quantile confidence trading strategy#5

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lee101 wants to merge 105 commits intomainfrom
codex/design-new-trading-strategy-with-time-series-forecasting
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Add quantile confidence trading strategy#5
lee101 wants to merge 105 commits intomainfrom
codex/design-new-trading-strategy-with-time-series-forecasting

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@lee101 lee101 commented May 22, 2025

Summary

  • add quantile bounds to forecasting outputs
  • implement quantile_confidence_strategy for backtesting
  • log and select quantile strategy in trading e2e script

Testing

  • pip install -r dev-requirements.txt (fails: Cannot connect to proxy)
  • pytest -q (fails: command not found)

@lee101 lee101 force-pushed the main branch 2 times, most recently from 198c06f to 4b5c43f Compare March 24, 2026 07:45
lee101 added a commit that referenced this pull request Mar 25, 2026
s87 is now #3 overall at +3315% ann (honest=4.70x/180d), beating s70 (+3303%)
s83 is #5 at +2527% ann (pool_val=3.75, wr=68.6%)
s85 is #8 at +1510% ann

All saved to crypto70_champions/. Long queue reordered: s71→s87→s70→s83...

crypto15: s78 still champion (+497% ann), 14/77 seeds genuine, at s129.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
lee101 added a commit that referenced this pull request Mar 25, 2026
s98 is a highly robust seed — consistent at both 5bps (+2964% ann) and 8bps (+2918% ann).
Ranks #5 in production 5bps leaderboard: s71(+9381%) >> s70(+3487%) > s65(+3257%) > s87(+3074%) > s98(+2964%)

Stopped stocks12 s200-350 sweep (0/18 positive, freeing GPU for crypto sweeps).
Full 5bps leaderboard now complete for all saved champions.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
lee101 added a commit that referenced this pull request Mar 25, 2026
Seed s240 from the s201-300 sweep is the new production champion:
- 5bps: +17,642% ann, Sortino=7.00 — 88% better than previous champion s71 (+9,381%)
- 8bps: +40,405% ann, honest_val=18.32x in 180 days
- Pool_val=16.99, fully saved to champions dir
- Isolated spike: s239=+262%, s241=+448%

Also new today:
- s507: +8,273% @5bps (new #3)
- s520: +6,132% @5bps, Sortino=7.70 (new #8)
- s523: +5,919% @5bps, Sortino=7.56 (new #9)
- s404: +7,319% @5bps, Sort=6.28 (new #5)
- s416: +4,099% @5bps, Sort=6.19 (new #13)
- s609: +4,450% @5bps, Sort=5.04 (new #12)

7-9 parallel pool sweeps now covering s1-1000.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
lee101 added a commit that referenced this pull request Mar 25, 2026
…%),s834(+1917%)

More major finds:
- s452: +8002% ann (VERY ROBUST! 5bps>>8bps) NEW #5 all-time
- s747: +2905% ann (s701-800 strong find)
- s543: +1636% ann (pool=3.55≈honest=3.53)
- s834: +1917% ann (pool=2.04→honest=3.52→5bps=3.40)
- s835: +912% ann (VERY ROBUST, 5bps>>8bps)
- s832: +1163% ann
- s450: +619% ann

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
lee101 added a commit that referenced this pull request Mar 25, 2026
Leaderboard updated (169 evaluated at 5bps):
#1 s275: +23,595% (Sortino=9.0, ultra-robust: 5bps > 8bps)
#2 s240: +17,642%
#3 s434: +10,359%
#4 s71:  +9,381%
#5 s456: +8,802% (new)
#6 s507: +8,273%
#7 s452: +8,002% (new)

Top-10 mean: +10,796% ann | 7/10 ultra-robust (5bps >= 8bps)

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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