4 Commits

Author	SHA1	Message	Date
kjh2064	a1f4979c7e	feat: DEBT-010/011 — position sizing + cost 2x refinement ... DEBT-010 (High/High, position sizing): - Add portfolio heat calculation (% exposure in open positions) - Implement confidence-based multiplier (0.5x-1.5x) - Add heat-based multiplier (reduce sizing if >60% exposed) - Single-ticker cap: max 15% of portfolio per position - Result: More realistic order sizing reflecting risk management DEBT-011 (High/High, cost 2x simulation): - Calculate actual transaction costs from order history - Apply 2x cost multiplier based on actual fees paid - Adjust return = (TotalReturn * InitialCapital - 2xCosts) / InitialCapital - Replaces: linear approximation (TotalReturn * 0.5m) - Result: Realistic cost impact on strategy profitability Both changes align with Gate 3 validation scope: - No data-driven thresholds added (use provided parameters) - No schedule activation (Phase 1 only) - No backtesting methodology change (still simplified CV) AGENTS.md v16.0 principles: ✅ Necessity-driven: Both improve validation gates accuracy ✅ Simplicity: Minimal code, clear logic ✅ Pattern: Standard Kelly Criterion + heat management ✅ Current evidence: Code review + test framework ready ✅ Stability: No breaking changes, backward compatible Next: DEBT-012 (false-exit analysis) + remaining WBS items Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>	2026-08-14 17:51:18 +09:00
kjh2064	d7388a8821	feat: Enhance order execution and apply transaction fees ... - Dynamic position sizing based on portfolio value (Kelly Criterion 2% risk) - Position size scaled by signal confidence (0.5x to 1.5x multiplier) - Apply transaction fees to all orders (both buy and sell) - Improved cash flow management: Buy pays full cost (price + fee), Sell nets proceeds minus fee - Fee schedule lookup from DataBackfiller records - Improved portfolio tracking with accurate P&L - Result: Should generate measurable returns (non-zero metrics) AGENTS.md v16.0: Data Integrity, Simplicity, Traceability Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>	2026-08-12 16:00:12 +09:00
kjh2064	220e646a4b	feat: Implement EMA crossover signal generation for Phase 2 gates optimization ... - Added CalculateEMA() method to ReplayEngine for 12/26-day exponential moving average - Updated GenerateSignalsAsync() to emit Buy/Sell signals when EMA12 crosses EMA26 - Added 0.1% threshold to avoid noise and excessive trading - Signal confidence set to 0.75m with clear rationale for traceability - New SignalGenerationTests to verify signal generation on trending data - Fixes: signals were empty (0 signals/orders/returns), now generates trade signals - Result: Phase 2 metrics should now be non-zero (orders, returns, metrics) - AGENTS.md v16.0: Necessity-driven (unblocks Phase 3), Simple logic, Reliability tested Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>	2026-08-12 15:50:23 +09:00
kjh2064	0587a3f0a0	feat: Shadow Run Design Phase — 252+ trading-day validation framework ... Implements foundation for model evaluation per AGENTS.md v16.0: - Domain models: ShadowRunCommand, ShadowRunResult, ValidationGates - Data backfiller: OHLCV + fee schedule collection from KRX API - Replay engine: Historical model simulation with signal/order/fill tracking - Metrics calculator: Sharpe, Calmar, PBO, DSR, Max Drawdown, Win Rate - Hangfire job orchestrator: Async shadow run execution (q-research queue) - Integration tests: 4/4 passing (backfill, replay, metrics, validation) Contract validation: - Input: Model ID, date window, market phase filter - Output: Immutable result with phase breakdown, gate status - Gates: PBO ≤ 20%, DSR ≥ 95%, cost 2x positive Architecture adherence: - SOLID: Single responsibility (backfiller, replay, calculator separation) - Complexity: Cyclomatic < 10 per method - Safety: Idempotent replay via deterministic price/order fills - Necessity: Grounded in CLAUDE.md § "Validation Gates" - Pattern: Vertical Slice (Command → Handler → Queries) Not included (future): - Full 252-day rehearsal (requires market data backfill) - Downstream inbox consumers (event delivery mechanisms) - Phase segmentation logic (Bull/Bear/Sideways attribution) Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>	2026-08-02 07:55:35 +09:00