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hybrid DD tier와 Option C 2차(+1000%) 검증을 추가하고 실거래 사이징을 정합한다.

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인과 GT leg 엔진·drawdown tier·train 캘리브레이션, Phase 2 Go/No-Go 및 시뮬 리포트를 반영한다.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
xavis
2026-06-01 16:09:18 +09:00
parent 9b00ef34c6
commit d385456867
21 changed files with 3315 additions and 1178 deletions
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76
docs/04_matching/hybrid_dd_calibration.json Normal file
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{
"best_params": {
"dd_large_pct": 5.0,
"dd_medium_pct": 2.0
},
"best_metrics": {
"dd_large_pct": 5.0,
"dd_medium_pct": 2.0,
"train_pnl_pct": 681.36,
"holdout_pnl_pct": 62.36,
"full_pnl_pct": 1120.97,
"max_drawdown_pct": 19.22,
"wf_positive_months": 11,
"wf_months": 12,
"large_tier_buys": 1598
},
"grid_size": 18,
"top5": [
{
"dd_large_pct": 5.0,
"dd_medium_pct": 2.0,
"train_pnl_pct": 681.36,
"holdout_pnl_pct": 62.36,
"full_pnl_pct": 1120.97,
"max_drawdown_pct": 19.22,
"wf_positive_months": 11,
"wf_months": 12,
"large_tier_buys": 1598
},
{
"dd_large_pct": 5.0,
"dd_medium_pct": 3.0,
"train_pnl_pct": 681.36,
"holdout_pnl_pct": 62.36,
"full_pnl_pct": 1120.97,
"max_drawdown_pct": 19.22,
"wf_positive_months": 11,
"wf_months": 12,
"large_tier_buys": 1598
},
{
"dd_large_pct": 5.0,
"dd_medium_pct": 4.0,
"train_pnl_pct": 681.36,
"holdout_pnl_pct": 62.36,
"full_pnl_pct": 1120.97,
"max_drawdown_pct": 19.22,
"wf_positive_months": 11,
"wf_months": 12,
"large_tier_buys": 1598
},
{
"dd_large_pct": 12.0,
"dd_medium_pct": 2.0,
"train_pnl_pct": 671.91,
"holdout_pnl_pct": 62.36,
"full_pnl_pct": 1106.19,
"max_drawdown_pct": 15.64,
"wf_positive_months": 11,
"wf_months": 12,
"large_tier_buys": 1531
},
{
"dd_large_pct": 12.0,
"dd_medium_pct": 3.0,
"train_pnl_pct": 671.91,
"holdout_pnl_pct": 62.36,
"full_pnl_pct": 1106.19,
"max_drawdown_pct": 15.64,
"wf_positive_months": 11,
"wf_months": 12,
"large_tier_buys": 1531
}
],
"holdout_start": "2026-04-11 05:33:00"
}