feat(signal-notifier): remove V/OI gate, widen moneyness cap to 0.13, score-led ranking#29
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feat(signal-notifier): remove V/OI gate, widen moneyness cap to 0.13, score-led ranking#29DevDizzle wants to merge 25 commits into
DevDizzle wants to merge 25 commits into
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Isolated generate_per_signal_seo() Gemini call (SEO_PROMPT_VERSION=
signal_seo_v1) writes seoMetadata onto overnight_signals/{date}_{ticker}
docs for the top-10 candidates via Stage 5 (.update, non-blocking,
deterministic per-ticker fallback). Kept fully separate from the report
markdown call so report_md / the V5.4 ranker is byte-for-byte unaffected.
Closes the per-ticker SEO gap (pages were falling back to thin
'{TICKER} Signal' titles). gammarips-review: SHIP.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…failures
Publisher could not resolve a slug — the planner embeds schedule_slot nested
in post_outline (a JSON string under output_key), but Publisher read top-level
state['schedule_slot'] (never set) and outline['slug'] (wrong nesting), so
slug='' and publish_to_firestore('') returned error while /generate still
returned 200 — blog_posts stayed empty.
- Parse the writer's YAML front matter (authoritative: slug/title/description/
keywords/cta; schedule row lacks description) as primary metadata source;
strip it from the stored markdown body so posts render cleanly.
- Loud ERROR log on unresolved slug; /generate now 500s on error/rejected so
failures surface and Cloud Scheduler retries.
Verified: real /generate published blog_posts/why-uoa-is-mostly-noise.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Front-matter parsing is the primary metadata source but the LLM occasionally emits a body whose front-matter block isn't at position 0, so it fails to parse; combined with the nested-in-outline schedule_slot (not in top-level state), slug resolved to '' and publish 500'd. Add a last-resort read from tools.fetch_next_schedule_slot() — in the cron drain the first pending row is the current post; manual retries resolve slug from state['slug'] earlier and never reach this path. Uses the existing plain tool fn (no ADK ToolContext). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
… score-led ranking Three owner-directed signal-quality changes to the STRICT selection path, driven by the first leak-free realized-option-PnL backtest (1,375 fills; backfilled full 3-day option minute bars + replayed the exact +80/-60/trail bracket). No trader-mechanics change; every tradeability gate retained. - Remove `V/OI > 2` conviction gate. Realized PnL: dropped ~55-63% of real option winners for precision lift statistically <= 0 (90% CI [-0.061,-0.001]), not fillability-confounded, stable across chronological halves. Folklore gate that was the main cause of picker-slate starvation (~2 candidates/day). - Re-rank STRICT ORDER BY from directional-V/OI-DESC to overnight_score-led (overnight_score, recommended_oi, spread, ticker) -- now identical to FALLBACK. V/OI is a poor filter and a poor ranking key. Supersedes the 2026-05-01 primary. - Widen moneyness cap 0.10 -> 0.13 (STRICT only; FALLBACK_MONEYNESS_MAX decoupled and pinned at 0.10 -- prior `= MONEYNESS_MAX` would have leaked deep-OTM onto low-conviction skip days). Realized PnL: 10-13% increment +8.9% (CI [+.014,+.163]); the (0.14,0.15] bin is toxic so cap stops at 0.13. Mechanism correction, not a literature reversal: the deep-OTM-cliff lit is hold-to-expiry, our 3-day bracket is not that trade. Thin/single-regime -- reversible, monitored. All three cleared gammarips-review. Decision docs: docs/DECISIONS/2026-06-02-voi-gate-relaxation-proposal.md, docs/DECISIONS/2026-06-02-moneyness-cap-widen-to-13.md. Research (backtesting_and_research/): exit-design study FALSIFIED the deep-research "drop the -60% premium stop" claim (removing it = zero EV change, just fatter tails -- the wick-out is a hold-to-expiry artifact); sweep/ISO detection (H20) parked, blocked on Polygon data tier. Brief: H16-H21. Docs synced (CLAUDE.md, TRADING-STRATEGY.md, CHEAT-SHEET.md, INTELLIGENCE_BRIEF.md, NEXT_SESSION_PROMPT.md). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Captures the 2026-06-03 sector-persistence + webapp internal-linking work: enrichment now writes sector/industry to overnight_signals_enriched + the Firestore signal doc; the webapp ranks same-sector related signals. The columns are NULLABLE and NON-GATING (read by no gate/WHERE/ranking). - DATA-CONTRACTS.md: sector/industry metadata columns entry - DECISIONS/2026-06-03-sector-persistence-and-webapp-internal-linking.md (new) The enrichment code hunks for this ship in the following commit (same file as the FRED work, unavoidably entangled in one working tree). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…e gate Captures what shipped live 2026-06-03 (enrichment rev 00039, signal-notifier rev 00031) after a FRED VXVCLS/VIXCLS outage NULLed VIX3M for an entire scan_date and wiped the signal slate (no trade that day). - enrichment-trigger: _fetch_fred_csv retry (3x/30s, backoff) for VIX3M + VIX; on VIX3M failure, bounded carry-forward of the last non-null vix3m_at_enrich from BigQuery (<=7 calendar days, strictly < scan_date, else fail-closed). Bundled here with the parallel sector/industry persistence hunks (same file; NON-GATING). - signal-notifier: live-VIX fallback FRED -> Stooq -> Yahoo with two-source corroboration (1.5 vol-pt agreement), plausibility bound, d<today guard, and vix_source provenance on todays_pick. - docs: TRADING-STRATEGY regime-gate note; DECISIONS/2026-06-03-vix3m-fred- retry-and-carry-forward.md. - research: premium_affordability_study.py (EV-neutral premium-cap finding). - .gitignore: ignore the regenerable realized_label.pkl artifact. gammarips-review: GO on both change sets (no lookahead — carry-forward reads strictly < scan_date; sector is gating-inert; ALTER is idempotent). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Pre-existing SEO tooling, committed to clean the working tree. Read-only analytics helpers (Google Search Console + GA4) under scripts/seo/ and the gammarips-seo subagent definition. No secrets; .venv and __pycache__ ignored. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…ades
Publishes the per-trade V5.4 cohort to Firestore ledger_trades/{scan_date}_{ticker}
for the public scorecard ledger table. Same cohort filter + fixed-dollar sizing
as cohort_stats/current, so the table rows and aggregate tiles can never disagree.
- compute_and_write_ledger_trades(): reads closed V5.4 forward_paper_ledger rows
(V5_4_AGENT_RANKER, entry >= LIVE_COHORT_START_DATE, realized), parses the OCC
contract (_parse_occ_contract) into option_type/strike/expiration, writes one
idempotent Firestore doc per trade. Non-fatal; never raises into the email path.
- Called alongside compute_and_write_cohort_stats in run_notifier + /refresh_stats.
- DATA-CONTRACTS.md: ledger_trades collection schema.
Live (signal-notifier rev 00032); /refresh_stats backfilled all 6 closed trades.
gammarips-review: SAFE TO DEPLOY (read-only publish; cohort/sizing parity verified;
no gate/trader impact).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Inject a curated, leakage-safe forensic case-memory into the V5.4 Picker so it
reasons by analogy over past option winners/losers. Direct fenced-block
injection (the house pattern), NOT ADK MemoryService (session-recall RAG).
- build_case_memory.py (read-only): join realized_label.pkl (FILLED option
outcome + underlying path) with overnight_signals_enriched (greeks/IV/catalyst)
on (recommended_contract, scan_date); overlay 6 matched live ledger closes.
Emits case_memory/{bull.md 846, bear.md 529, exemplars.md ~50 curated,
build_manifest.json, case_index.parquet}.
- Outcome keyed on realized_ret>0 (option PnL) NOT is_win (stock direction) —
they disagree 44.2%. WHY is deterministic option physics (theta drag / delta
capture / inferred IV residual); no LLM-authored cause.
- quant.md: 12 hand-authored ledger-independent priors (Q1-Q12).
- Wire: {case_memory_block} in _build_picker_instruction; picker_v5.md adds a
"how to use case memory" section; Dockerfile ships case_memory/;
PICKER_PROMPT_VERSION=5.
- Fail CLOSED if v5 ships without the block (no silent v4 degrade);
RankResponse.case_memory_bytes for observability; deploy.sh preflight assert.
Audited by gammarips-review (SHIP-WITH-FIXES, all fixed). Same-ticker
outcome-import documented as accepted+bounded. Advisory/non-gating; owner
waived N>=15/30-day-OOS ceremony, leakage was not waived.
Decision: docs/DECISIONS/2026-06-03-picker-case-memory.md
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
The 2026-06-03 fix required TWO public sources (Stooq+Yahoo) to corroborate within 1.5 vol-pts before trusting a live VIX when FRED is down. FRED was still timing out on 2026-06-04; only Yahoo answered (16.06) so the rule rejected it and the regime gate fail-closed — wiping scan 2026-06-03 (4 candidates, vix3m carry-forward 18.66, plainly contango). Drop the corroboration requirement: use the best public source that answers; when both answer take the MAX (conservative for the one-sided vix_now>vix3m=>skip gate — a low-biased source can't manufacture a false trade). Single source is sufficient; only a total blackout fail-closes. Remove VIX_FALLBACK_TOLERANCE. Lookahead-safe: every fallback bar still passes _vix_date_ok (d<=scan_date AND d<today). gammarips-review: GO. Deployed signal-notifier-00033-sjr; re-ran scan 2026-06-03 -> BBWI BULLISH emailed before the 10:00 ET entry. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…e fix The 2026-06-02..04 "FRED outage" was self-inflicted. Our fredgraph.csv requests carried no start date, so FRED serialized each series' full history back to 1990 on every call — a payload that now exceeds the read timeout every morning. The retries couldn't help (each re-requests the same giant dump) and the carry-forward / two-source / Yahoo fallbacks only fired because the primary always timed out. Proven by live probe: bare ?id=VIXCLS times out at 30s deterministically; ?id=VIXCLS&cosd=<date> returns HTTP 200 in ~2s. Same for VXVCLS. Bound every FRED CSV fetch with cosd (start date) = scan_date/target_date − N days: - enrichment-trigger: _fred_csv_url() helper + FRED_CSV_LOOKBACK_DAYS=45 (VXVCLS gate + VIXCLS context); unparseable-date falls back to unbounded URL. - signal-notifier: cosd inlined in fetch_vix_close (live VIX leg, 45d). - forward-paper-trader: _fetch_vix_daily_fred(target_date) bounded 60d, 15s→30s timeout (telemetry-only, non-blocking). Parse helpers unchanged — still take the latest close on/before scan_date, so cosd only moves the window START earlier (lookahead-safe). gammarips-review: GO on all three services. Retry/carry-forward/source-fallback retained as defense-in-depth. Revs: enrichment-trigger-00041-trm, signal-notifier-00034-ds9, forward-paper-trader-00037-t65. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…e (judge_v6)
Replace the two-stage V5.4 ranker (per-candidate Scorer fanout + Picker) with a
single memory-aware judge: one structured gemini-3.1-pro-preview call scores every
gate-cleared candidate AND selects the pick. Rename service+dir+code signal-ranker
→ signal-judge (BQ table signal_ranker_runs + Firestore v5_4_* keys intentionally
kept — migration/webapp landmines, no payoff).
Why: post-gate slates are mostly ≤5 candidates, so the Scorer's top-5 cut was a
no-op ~80% of days; ITM/earnings/spread rules were triple-encoded (gates + scorer +
picker). A 13-slate replay (workflow) showed the single judge agreed 9/13 with the
2-stage baseline and was structurally sounder 4-to-1 on divergences (each was the
judge rejecting a two-label-trap the 2-stage took). gammarips-review: SHIP. Live
gemini smoke on the 2026-06-03 slate reproduced the BBWI pick with anti-anchoring.
- judge_v6.md: trusts upstream gates, anti-anchoring ("score as if only candidate"),
per-candidate verdict array, mass-leakage skip, deterministic composite/tiebreak.
- JudgeOutput/PerCandidateVerdict schemas; ScorerOutput/PickerOutput kept for replay.
- run_judge: leakage-assert all candidates → ONE structured call → JUDGE_MAX_ATTEMPTS=3
bounded retry (replaces the lost MIN_SCORER_SUCCESS_FRAC partial-failure tolerance).
- persist_run: one row per verdict; judge mirrored into both scorer/picker REQUIRED
columns at version=6 → BQ DDL unchanged, cohort cleanly separable.
- Wire contract preserved → signal-notifier needs no logic change (only repointed
SIGNAL_RANKER_URL → SIGNAL_JUDGE_URL at the new service).
- Docs: TRADING-STRATEGY, CLAUDE.md + GEMINI.MD, CHEAT-SHEET, decision note.
Deployed: signal-judge-00001-4kn (DRY_RUN=false), signal-notifier-00035-bvh repointed.
Old signal-ranker kept live as rollback. 32 unit tests pass.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
V/OI>2 was removed as a gate 2026-06-02 (no realized-PnL selection value). Update the gate list the blog writer cites + spread 10%→8% so future posts don't describe V/OI as a gate. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…ame + V/OI removal Durable-handoff pass over the authoritative/living docs (historical DECISIONS/ EXEC-PLANS left as the record): - MODELS.md: registry now shows gemini-3.1-pro-preview as the single signal-judge judge_v6 (scores + selects in one call); gemini-3.5-flash no longer powers any judge stage (Scorer removed). Env-swap table + cohort-attribution note updated (segment by scorer_prompt_version: 5=two-stage, 6=judge_v6). - ARCHITECTURE.md: added signal-judge + signal-notifier service entries (the map previously jumped enrichment → trader); fixed the data-flow gate stack. - DATA-CONTRACTS.md: policy-contract gates corrected (spread 0.08, moneyness 5-13%, V/OI gate removed) + judge/rename note; moneyness field 5-15% → 5-13%. - GLOSSARY.md: added signal-judge row; signal-notifier row de-stale'd. - TRADING-STRATEGY.md / CHEAT-SHEET.md: residual Scorer/Picker/signal-ranker mentions → single judge_v6 / signal-judge; SLO + fallback + skip-reason copy. - TESTING.md: enrichment spread 0.10 → 0.08. Kept deliberately: signal_ranker_runs table name, Firestore v5_4_* keys, the V5_4_AGENT_RANKER policy_version label. Not touched: the broader Agent-Arena "5-model debate" narrative (separate webapp/marketing pass). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…ignals signal-judge now runs a randomized bracket tournament (tournament_v1, version 7) instead of the single judge_v6 call, and signal-notifier ungates the candidate pool so every enriched signal gets a chance. Why: the gated single judge over-fit junk (picked score-2 BBWI over $100M-flow names) and the selection/liquidity gates were choking real winners on stale scan-time OI (the sweep only becomes OI the next morning; we enter at 10:00 and ride the build). Features barely separate winners from losers (EV ~flat), so a rigid scorer can't extract edge that isn't there — a simple prompt over the full pool at least picks sensible, report-aligned trades. signal-judge (app/agent.py): 3 independent brackets; each shuffles the pool, batches of <=10, top-2 advance (top-1 in the final batch) until one remains (94->20->4->1); consensus across the 3 = pick (3/3 high, 2/3 medium, 1/3 low). Dead-simple prompt + daily report + per-contract JSON. No memory, no rubric. assert_no_leakage on every candidate; fail-closed on no winner. signal-notifier (main.py): candidate query ungated (moneyness/OI/vol/DTE/V-OI removed, LIMIT 200) + rich feature columns added (no outcome cols); active-days liquidity gate BYPASSED (also drops ~N Polygon calls). KEPT: no-earnings-in-hold and regime fail-closed (safety, not selection). /rank + service timeouts bumped for the longer tournament. persist: tournament has no rubric scores -> advancement proxy (round reached -> 1-10) into the REQUIRED columns, version 7, finalists+winner+runner_up only. BQ DDL unchanged; cohort separable (5=two-stage, 6=judge_v6, 7=tournament). gammarips-review (leakage): SHIP — no forward column can reach the model (60-col allowlist + assert_no_leakage catches all 10 outcome cols). Deployed signal-judge + signal-notifier-00036-c6t; live /rank on 94 candidates verified (MSFT, medium, version=7 rows persisted). See docs/DECISIONS/2026-06-04-bracket-tournament.md. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
V5.4 (gated single-judge) was a dud — 13 live closes, avg 0.0%. Owner-directed clean break: wipe the ledger and start the tournament cohort fresh as V6. - forward_paper_ledger TRUNCATED (13 V5.4 rows; dumped to .scratch as insurance). - policy_version V5_4_AGENT_RANKER -> V6_TOURNAMENT across all WRITE sites (forward-paper-trader POLICY_VERSION constant; signal-notifier todays_pick + ledger_trades writes) and all READ-FILTERS (signal-notifier cohort_stats + 14d summary, win-tracker, x-poster, blog-generator) so the app surfaces V6 not blank. - LIVE_COHORT_START_DATE -> 2026-06-04; cohort_stats/current refreshed -> V6, 0 trades. - webapp cohort-stats default -> V6 (committed separately in gammarips-webapp). Deployed: forward-paper-trader-00038-fd5, signal-notifier-00038-7wx. win-tracker/x-poster/blog code updated but NOT redeployed (harmless — V5.4 gone, no V6 closes yet; deploy before first V6 close surfaces). CLAUDE.md policy summary rewritten for V6. See docs/DECISIONS/2026-06-04-bracket-tournament.md. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
_best_contract scored contracts with a `vol/max(oi,1)` term that REWARDED low open interest as "unusual" — so it picked the swept lottery strike (OKTA $127 6/12: OI 5, ~35% live spread, untradeable) over the standard liquid strike (OKTA $130: OI 48, fillable). Unusual flow is the right signal for the NAME+direction; using it to pick the CONTRACT hands you the strike you can't fill. Rewrite the score: open interest PRIMARY (5x, accumulates, can't be faked by one sweep), volume secondary (2x), snapshot spread tertiary (1.5x — it read 0.5% on that 35%-wide OKTA strike, so it's noisy), keep sweet-spot delta + gamma (de- emphasized 20x->8x) + theta penalty. Flips OKTA to $130. No hard OI floor (scan OI is stale; a fresh sweep that builds reads ~0 — don't reject those). Live fillability check at pick time is the next, separate layer. Deployed overnight-scanner-00010-jk2; takes effect next overnight scan. See docs/DECISIONS/2026-06-04-contract-selection-liquidity.md. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Adversarial multi-agent audit (every finding re-verified vs code+BQ data) found 16 silent bugs. 13 fixed; 3 deferred (need PIT data/schema). Trigger: OKTA $127 untradeable-ghost pick. CRITICAL #1 (root cause): polygon_client stopped substituting day low/high for a missing bid/ask — that produced fake/0% spreads on ~43% of picks (718/1815 = 0.0), defeating the spread gate and feeding the judge "0.5% spread" ghosts. Missing quote -> NULL spread; chosen contract now carries a real spread. Enrichment spread gate loosened 0.08->0.30 (was filtering fake 0s; real spreads are wider). HIGH #2: divergence flip resolves BEFORE conviction sub-scores (was scoring flipped names on the abandoned side -> ~87% suppressed below MIN_SCORE). #5: judge prompt strips still-stale volume/OI/V-OI (keeps now-real spread). #8: technicals window bounded to scan_date not date.today() (was leaking next-day bars = lookahead). #6/#7/#10: signal-notifier fallback moneyness band restored + dead gates/docs cleaned. MED #9/#12/#13: trader symmetric slippage + stale-TIMEOUT + late-fill guards (removed EV-optimism). #11: empty judge batch re-queues instead of dropping 10 candidates. #14: in_top_5 is a real top-5. LOW #15: overnight_score fail-safe default. #16: greeks store raw with None preserved (delta no longer NULL->0.0). Deferred (separate pass): #3 OI frozen-snapshot, #4 volume frozen-cumulative (need Polygon flat files / day-bars), #15-full (schema add). See docs/DECISIONS/2026-06-04-pipeline-bug-fixes.md. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Make the scaffold tell the truth — no V5.4/judge_v6/Scorer-Picker/case-memory as the live description anywhere; historical DECISIONS/EXEC-PLANS left as the record. - CLAUDE.md + .gemini/GEMINI.MD (lockstep): policy summary = V6 tournament; spread gate 8%->0.30; blog-generator marked DEPLOYED; bug-hunt summary added. - CHEAT-SHEET.md: retitled "V6 Tournament"; gate list + pick section rewritten. - docs/TRADING-STRATEGY.md: Status/regime/filter-stack/policy_version -> V6. - docs/MODELS.md: registry -> tournament_v1 judge; no Scorer/Picker; cohort 5/6/7. - docs/ARCHITECTURE.md + GLOSSARY.md: signal-judge/notifier/trader + spread 0.30. - docs/DATA-CONTRACTS.md: V6 policy contract + field-quality caveats + new cols. - NEXT_SESSION_PROMPT.md: bug-hunt handoff + the has_contract WATCH. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
…he-data lesson Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
The blog-generator's BQ filters were already V6_TOURNAMENT, but its prompt/forbidden-list NARRATIVE was two eras stale — it would re-draft V5.4 / Agent Arena / "gate stack" / "5-13% OTM moneyness" / "9:00 AM" content on the next weekly cron (Mon 05:00 ET) and on any /generate regen. - agent.py (writer forbidden-list): current floor is score>=4, alert is 7:30 AM ET; add Agent Arena / Scorer / Picker / gate stack / 5-13% OTM moneyness to the retired list. - fast_api_app.py: newsletter retired-concepts list (add V5.4 / Arena / Scorer / Picker / gate stack / moneyness); reddit lead_style + algotrading mod_traps drop "gate stack" → tournament/bracket; reddit topic list rewritten to the V6 enrichment bar + 2 safety rails + "no selection gates" (was the full V5.4 moneyness/spread/V-OI gate list). - tools.py / voice_rules.py: stale V5.4/V3-V4 comments + the X-poster "V5.4 cohort >= 30 closes" do-not rule → V6. Shared voice_rules.py is vendored into x-poster too, so this also de-stales X copy. Not deployed — engine code only. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Alert time moved to 07:30 ET (was 9:00 AM). Update the blog_schedule slot title_candidate + keyword so /generate re-drafts an honest title; the live blog_schedule/current row was updated to match. The /9am slug stays (URL artifact only). Post regenerated clean on V6 (reviewer 10.0). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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Three owner-directed signal-quality changes to the
signal-notifierSTRICT selection path, driven by the first leak-free realized-option-PnL backtest (1,375 fills — backfilled full 3-day option minute bars + replayed the exact +80/−60/trail bracket). No trader-mechanics change; every tradeability gate retained. All three are one-line reverts and clearedgammarips-review. Already live in prod (signal-notifier 00028-pm7).Changes
V/OI > 2gate. Realized PnL: dropped ~55–63% of real winners for precision lift statistically ≤ 0 (90% CI [−0.061, −0.001]), not fillability-confounded, stable across chronological halves. Folklore gate; main cause of picker-slate starvation (~2 candidates/day).ORDER BY(overnight_score, recommended_oi, spread, ticker) — now identical to FALLBACK. V/OI is a poor filter and a poor ranking key. Supersedes the 2026-05-01 V/OI-DESC primary.0.10 → 0.13(STRICT only;FALLBACK_MONEYNESS_MAXdecoupled + pinned at 0.10 — prior= MONEYNESS_MAXwould have leaked deep-OTM onto low-conviction skip days). Realized PnL: 10–13% increment +8.9% (CI [+.014, +.163]); (0.14, 0.15] bin toxic so cap stops at 0.13. Mechanism correction, not a literature reversal — the deep-OTM-cliff lit is hold-to-expiry; our 3-day bracket is not that trade.Caveats / monitoring
MONEYNESS_MAX → 0.10). Monitor the 10–13% cohort: ledgerscan_date ≥ 2026-06-02⨝ enriched on (ticker, scan_date) WHEREmoneyness_pct ∈ (0.10, 0.13].Research included (
backtesting_and_research/)fetch_hold_window_bars.py,realized_option_label.py,gate_recall.py,gate_validity_checks.py,moneyness_band_study.py)./v3/tradesis 403 on our tier; revisit post-upgrade once EV is proven.Decision docs
docs/DECISIONS/2026-06-02-voi-gate-relaxation-proposal.mddocs/DECISIONS/2026-06-02-moneyness-cap-widen-to-13.mdDocs synced: CLAUDE.md, TRADING-STRATEGY.md, CHEAT-SHEET.md, INTELLIGENCE_BRIEF.md (H16–H21), NEXT_SESSION_PROMPT.md.
🤖 Generated with Claude Code