version: 12.2-proposal
evidence_status: RESEARCH_CANDIDATE_NOT_PRODUCTION
as_of: '2026-08-01'
verified_data_end:
  US: '2026-03-20'
  KR: '2021-04-16'
universe:
  markets:
  - KOSPI
  - KOSDAQ
  - NYSE
  - NASDAQ
  broker_assumption: MiraeAsset Securities; tradability capability-gated
  products:
  - cash_equity
  - unlevered_index_etf
  - sector_etf
  - bond_etf
objective:
  primary: maximize after-cost expected utility subject to permanent-loss and recovery constraints
  utility: expected_return - lambda_es*ES95 - lambda_mdd*MDD - impairment_loss - costs - tax - false_exit_cost
  not_primary: maximum CAGR
execution:
  decision_frequency: daily_close + weekly evidence review
  execution_lag: next tradable session
  fee_model: PIT account/venue/asset/side schedule
  slippage: participation-rate + spread + volatility + gap
  adapter: MiraeAssetAdapter; proposal/manual approval until API capability verified
sell_engine:
  priority:
  - hard_permanent_impairment
  - portfolio_survival
  - dynamic_profit_floor
  - concentration_liquidity
  - opportunity_cost
  - reentry_option
  soft_sell:
    two_close_fraction:
    - 0.15
    - 0.25
    gap_1_5_atr_fraction:
    - 0.3
    - 0.5
    same_direction_cooldown_sessions: 5
  asset_policies:
    broad_index_etf:
      strategic_core:
      - 0.5
      - 0.7
      activation_gain: 0.15
      activation_atr: 5.0
      confirm:
      - sma200
      - breadth
      - credit_spread
      reentry_stages:
      - 0.3
      - 0.3
      - 0.4
    quality_compounder:
      strategic_core:
      - 0.3
      - 0.5
      activation_gain: 0.2
      activation_atr: 5.0
      confirm:
      - fcf
      - roic
      - earnings_revision
      - valuation_stretch
      reentry_stages:
      - 0.2
      - 0.3
      - 0.5
    cyclical_stock:
      strategic_core:
      - 0.1
      - 0.25
      activation_gain:
      - 0.15
      - 0.2
      confirm:
      - industry_price
      - inventory
      - spread
      - earnings_revision
      reentry_stages:
      - 0.15
      - 0.25
      - 0.6
    high_vol_growth:
      strategic_core:
      - 0.1
      - 0.2
      activation_gain: 0.25
      activation_atr: 4.0
      confirm:
      - dilution
      - cash_runway
      - relative_strength
      - earnings_revision
      reentry_stage: 0.2
    distressed_special_situation:
      strategic_core:
      - 0.0
      - 0.1
      automatic_reentry: false
  reentry:
    minimum_wait_sessions: 10
    minimum_spacing_sessions: 10
    watch_sessions: 126
    base_conditions:
    - close_above_rising_sma50
    - close_above_prior_20_session_high
    reset_cycle_state: true
portfolio_risk:
  drawdown_to_risky_cap:
    '-0.08': 0.9
    '-0.12': 0.75
    '-0.18': 0.55
    '-0.25': 0.35
  single_name_cap: 0.12
  sector_cap: 0.3
  correlation_cluster_cap: 0.35
  liquidity_order_adv_cap: 0.1
  risk_measures:
  - ES95
  - MDD
  - factor_exposure
  - liquidity
  - gap_risk
buy_engine:
  stock_weights:
    quality_survival: 0.25
    valuation: 0.2
    revisions_momentum: 0.2
    regime_breadth: 0.15
    liquidity_crowding: 0.1
    downside_resilience: 0.1
  minimum_score: 70
  cash_excess_return_hurdle_pp: 5
  replacement_hurdle_net_pp:
  - 4
  - 5
  entry_stages:
  - 0.4
  - 0.3
  - 0.3
  first_order_cap: min(fair_value_upper, previous_close + 0.25*ATR20)
forecast_outputs:
- P10_total_return_12m
- P50_total_return_12m
- P90_total_return_12m
- P_permanent_impairment_12m
- P_drawdown_before_recovery
- ES95
- fair_value_range
- sell_floor
- next_order_cap
validation:
  splits:
    research:
    - '2007-01-01'
    - '2013-12-31'
    validation:
    - '2014-01-01'
    - '2017-12-31'
    rolling_oos:
    - '2018-01-01'
    - '2023-12-31'
    frozen_oos:
    - '2024-01-01'
    - latest_verified
  required:
  - PIT_security_master
  - survivorship_free_universe
  - delisting_returns
  - corporate_actions
  - total_return
  - PIT_fundamentals_consensus
  - FX
  - PIT_cost_tax
  - walk_forward
  - block_bootstrap
  - CSCV_PBO
  - deflated_sharpe
  - execution_simulation
  promotion_gates:
    PBO_max: 0.2
    DSR_probability_min: 0.95
    reentry_capture_min: 0.65
    false_exit_cost_max_per_year: 0.02
    double_cost_expected_utility_positive: true
architecture:
  style:
  - Modular Monolith
  - Vertical Slice
  - FastEndpoints
  backend:
  - .NET 10
  - ASP.NET Core 10
  - PostgreSQL
  - Npgsql
  - Dapper
  - DbUp
  - Hangfire
  - SignalR
  - Outbox
  - Inbox
  frontend:
  - Vue 3
  - Vite 8
  - pnpm
  - TanStack Query
  - Pinia
  - vee-validate
  - Zod
  - PrimeVue
  - AG Grid
  quality:
  - xUnit
  - Vitest
  - Playwright
  - Gitea Actions
  - Serilog
  - OpenTelemetry
  - Telegram
  - Polly
  - Swashbuckle.AspNetCore
