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