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| { | |
| "experiment": "C21_oldwang_rules", | |
| "description": "Dry run of Old Wang style MA, institutional guard, volume-bar, and gap-guard rules.", | |
| "stocks": [ | |
| "2330", | |
| "0050", | |
| "2317", | |
| "2454", | |
| "2881" | |
| ], | |
| "with_institutional": true, | |
| "pass_criterion": { | |
| "every_stock_accuracy_delta_pp_at_least": 3.0, | |
| "min_signal_ratio_vs_baseline": 0.7 | |
| }, | |
| "candidate_oldwang_features": [ | |
| "oldwang_triple_bull", | |
| "oldwang_triple_bear", | |
| "oldwang_ma5_hold", | |
| "oldwang_trust_ma10_guard", | |
| "oldwang_trust_ma10_broken", | |
| "oldwang_foreign_ma20_guard", | |
| "oldwang_foreign_ma20_broken", | |
| "oldwang_volume_spike", | |
| "oldwang_volume_high_break", | |
| "oldwang_volume_low_guard", | |
| "oldwang_volume_low_break", | |
| "oldwang_gap_guard", | |
| "oldwang_gap_filled", | |
| "oldwang_bull_score", | |
| "oldwang_bear_score" | |
| ], | |
| "strategies": [ | |
| "oldwang_features", | |
| "oldwang_veto", | |
| "oldwang_long_gate", | |
| "oldwang_features_veto" | |
| ], | |
| "aggregate": { | |
| "baseline": { | |
| "accuracy": 36.9, | |
| "dir_accuracy": 40.3, | |
| "up_precision": 52.8, | |
| "dn_precision": 31.3, | |
| "n_signals": 178.6, | |
| "n_predictions": 210.0 | |
| }, | |
| "oldwang_features": { | |
| "accuracy": 39.1, | |
| "dir_accuracy": 42.9, | |
| "up_precision": 55.1, | |
| "dn_precision": 32.0, | |
| "n_signals": 179.8, | |
| "n_predictions": 210.0, | |
| "accuracy_delta_pp": 2.2, | |
| "signal_ratio_vs_baseline": 1.007 | |
| }, | |
| "oldwang_veto": { | |
| "accuracy": 26.4, | |
| "dir_accuracy": 34.9, | |
| "up_precision": 47.2, | |
| "dn_precision": 31.3, | |
| "n_signals": 128.0, | |
| "n_predictions": 210.0, | |
| "accuracy_delta_pp": -10.5, | |
| "signal_ratio_vs_baseline": 0.717 | |
| }, | |
| "oldwang_long_gate": { | |
| "accuracy": 28.8, | |
| "dir_accuracy": 37.3, | |
| "up_precision": 53.1, | |
| "dn_precision": 31.3, | |
| "n_signals": 136.8, | |
| "n_predictions": 210.0, | |
| "accuracy_delta_pp": -8.1, | |
| "signal_ratio_vs_baseline": 0.766 | |
| }, | |
| "oldwang_features_veto": { | |
| "accuracy": 27.1, | |
| "dir_accuracy": 37.4, | |
| "up_precision": 52.7, | |
| "dn_precision": 32.0, | |
| "n_signals": 123.4, | |
| "n_predictions": 210.0, | |
| "accuracy_delta_pp": -9.8, | |
| "signal_ratio_vs_baseline": 0.691 | |
| } | |
| }, | |
| "best_strategy": "oldwang_features", | |
| "passing_strategies": [], | |
| "per_stock": { | |
| "2330": { | |
| "baseline": { | |
| "accuracy": 32.4, | |
| "dir_accuracy": 35.8, | |
| "up_precision": 55.4, | |
| "dn_precision": 24.1, | |
| "n_signals": 173, | |
| "n_predictions": 210 | |
| }, | |
| "oldwang_features": { | |
| "accuracy": 32.9, | |
| "dir_accuracy": 36.9, | |
| "up_precision": 56.2, | |
| "dn_precision": 22.1, | |
| "n_signals": 168, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": 0.5, | |
| "signal_ratio_vs_baseline": 0.971, | |
| "passed": false | |
| }, | |
| "oldwang_veto": { | |
| "accuracy": 25.2, | |
| "dir_accuracy": 31.6, | |
| "up_precision": 60.7, | |
| "dn_precision": 24.1, | |
| "n_signals": 136, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -7.2, | |
| "signal_ratio_vs_baseline": 0.786, | |
| "passed": false | |
| }, | |
| "oldwang_long_gate": { | |
| "accuracy": 25.7, | |
| "dir_accuracy": 32.4, | |
| "up_precision": 61.3, | |
| "dn_precision": 24.1, | |
| "n_signals": 139, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -6.7, | |
| "signal_ratio_vs_baseline": 0.803, | |
| "passed": false | |
| }, | |
| "oldwang_features_veto": { | |
| "accuracy": 26.2, | |
| "dir_accuracy": 33.3, | |
| "up_precision": 62.2, | |
| "dn_precision": 22.1, | |
| "n_signals": 132, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -6.2, | |
| "signal_ratio_vs_baseline": 0.763, | |
| "passed": false | |
| } | |
| }, | |
| "0050": { | |
| "baseline": { | |
| "accuracy": 38.6, | |
| "dir_accuracy": 45.0, | |
| "up_precision": 67.2, | |
| "dn_precision": 31.8, | |
| "n_signals": 171, | |
| "n_predictions": 210 | |
| }, | |
| "oldwang_features": { | |
| "accuracy": 39.0, | |
| "dir_accuracy": 46.2, | |
| "up_precision": 68.5, | |
| "dn_precision": 29.2, | |
| "n_signals": 169, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": 0.4, | |
| "signal_ratio_vs_baseline": 0.988, | |
| "passed": false | |
| }, | |
| "oldwang_veto": { | |
| "accuracy": 26.2, | |
| "dir_accuracy": 37.3, | |
| "up_precision": 59.3, | |
| "dn_precision": 31.8, | |
| "n_signals": 134, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -12.4, | |
| "signal_ratio_vs_baseline": 0.784, | |
| "passed": false | |
| }, | |
| "oldwang_long_gate": { | |
| "accuracy": 28.6, | |
| "dir_accuracy": 38.5, | |
| "up_precision": 58.3, | |
| "dn_precision": 31.8, | |
| "n_signals": 143, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -10.0, | |
| "signal_ratio_vs_baseline": 0.836, | |
| "passed": false | |
| }, | |
| "oldwang_features_veto": { | |
| "accuracy": 24.8, | |
| "dir_accuracy": 37.3, | |
| "up_precision": 63.3, | |
| "dn_precision": 29.2, | |
| "n_signals": 126, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -13.8, | |
| "signal_ratio_vs_baseline": 0.737, | |
| "passed": false | |
| } | |
| }, | |
| "2317": { | |
| "baseline": { | |
| "accuracy": 37.6, | |
| "dir_accuracy": 40.5, | |
| "up_precision": 51.0, | |
| "dn_precision": 29.9, | |
| "n_signals": 195, | |
| "n_predictions": 210 | |
| }, | |
| "oldwang_features": { | |
| "accuracy": 42.9, | |
| "dir_accuracy": 43.9, | |
| "up_precision": 52.0, | |
| "dn_precision": 31.2, | |
| "n_signals": 205, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": 5.3, | |
| "signal_ratio_vs_baseline": 1.051, | |
| "passed": true | |
| }, | |
| "oldwang_veto": { | |
| "accuracy": 26.2, | |
| "dir_accuracy": 34.5, | |
| "up_precision": 43.8, | |
| "dn_precision": 29.9, | |
| "n_signals": 145, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -11.4, | |
| "signal_ratio_vs_baseline": 0.744, | |
| "passed": false | |
| }, | |
| "oldwang_long_gate": { | |
| "accuracy": 32.4, | |
| "dir_accuracy": 39.3, | |
| "up_precision": 53.0, | |
| "dn_precision": 29.9, | |
| "n_signals": 163, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -5.2, | |
| "signal_ratio_vs_baseline": 0.836, | |
| "passed": false | |
| }, | |
| "oldwang_features_veto": { | |
| "accuracy": 26.2, | |
| "dir_accuracy": 36.6, | |
| "up_precision": 44.4, | |
| "dn_precision": 31.2, | |
| "n_signals": 134, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -11.4, | |
| "signal_ratio_vs_baseline": 0.687, | |
| "passed": false | |
| } | |
| }, | |
| "2454": { | |
| "baseline": { | |
| "accuracy": 37.6, | |
| "dir_accuracy": 37.5, | |
| "up_precision": 38.2, | |
| "dn_precision": 37.0, | |
| "n_signals": 176, | |
| "n_predictions": 210 | |
| }, | |
| "oldwang_features": { | |
| "accuracy": 37.6, | |
| "dir_accuracy": 38.9, | |
| "up_precision": 41.5, | |
| "dn_precision": 36.6, | |
| "n_signals": 175, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": 0.0, | |
| "signal_ratio_vs_baseline": 0.994, | |
| "passed": false | |
| }, | |
| "oldwang_veto": { | |
| "accuracy": 30.5, | |
| "dir_accuracy": 36.5, | |
| "up_precision": 33.3, | |
| "dn_precision": 37.0, | |
| "n_signals": 115, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -7.1, | |
| "signal_ratio_vs_baseline": 0.653, | |
| "passed": false | |
| }, | |
| "oldwang_long_gate": { | |
| "accuracy": 29.5, | |
| "dir_accuracy": 37.5, | |
| "up_precision": 41.7, | |
| "dn_precision": 37.0, | |
| "n_signals": 112, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -8.1, | |
| "signal_ratio_vs_baseline": 0.636, | |
| "passed": false | |
| }, | |
| "oldwang_features_veto": { | |
| "accuracy": 30.0, | |
| "dir_accuracy": 38.7, | |
| "up_precision": 50.0, | |
| "dn_precision": 36.6, | |
| "n_signals": 111, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -7.6, | |
| "signal_ratio_vs_baseline": 0.631, | |
| "passed": false | |
| } | |
| }, | |
| "2881": { | |
| "baseline": { | |
| "accuracy": 38.1, | |
| "dir_accuracy": 42.7, | |
| "up_precision": 52.3, | |
| "dn_precision": 33.7, | |
| "n_signals": 178, | |
| "n_predictions": 210 | |
| }, | |
| "oldwang_features": { | |
| "accuracy": 43.3, | |
| "dir_accuracy": 48.4, | |
| "up_precision": 57.1, | |
| "dn_precision": 40.8, | |
| "n_signals": 182, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": 5.2, | |
| "signal_ratio_vs_baseline": 1.022, | |
| "passed": true | |
| }, | |
| "oldwang_veto": { | |
| "accuracy": 23.8, | |
| "dir_accuracy": 34.5, | |
| "up_precision": 38.9, | |
| "dn_precision": 33.7, | |
| "n_signals": 110, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -14.3, | |
| "signal_ratio_vs_baseline": 0.618, | |
| "passed": false | |
| }, | |
| "oldwang_long_gate": { | |
| "accuracy": 27.6, | |
| "dir_accuracy": 38.6, | |
| "up_precision": 51.4, | |
| "dn_precision": 33.7, | |
| "n_signals": 127, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -10.5, | |
| "signal_ratio_vs_baseline": 0.713, | |
| "passed": false | |
| }, | |
| "oldwang_features_veto": { | |
| "accuracy": 28.1, | |
| "dir_accuracy": 41.2, | |
| "up_precision": 43.8, | |
| "dn_precision": 40.8, | |
| "n_signals": 114, | |
| "n_predictions": 210, | |
| "added_features": 15, | |
| "accuracy_delta_pp": -10.0, | |
| "signal_ratio_vs_baseline": 0.64, | |
| "passed": false | |
| } | |
| } | |
| }, | |
| "passed": false, | |
| "promotion_decision": "do_not_integrate", | |
| "integration_decision_2026_05_16": { | |
| "gate": "aggregate_accuracy_non_decrease", | |
| "decision": "integrate_oldwang_features_only", | |
| "reason": "User relaxed the gate; oldwang_features improved aggregate accuracy by +2.2pp and kept signal count at 1.007x baseline. Veto/gate strategies reduced accuracy and remain excluded." | |
| }, | |
| "validation": { | |
| "mode": "walk_forward_with_embargo", | |
| "label_horizon": 5, | |
| "train_end": "cutoff - LABEL_HORIZON", | |
| "step": 21, | |
| "min_train": 240, | |
| "leakage_guard": "rules use current-close-known and prior rolling/event levels; training excludes the label horizon before each test slice." | |
| } | |
| } | |