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Commit Graph

72 Commits

Author SHA1 Message Date
jgrusewski
11ded748bf docs(spec): warehouse->TimescaleDB consolidation (hypertable+compression; we already run timescaledb-pg16) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-23 16:05:33 +02:00
jgrusewski
0fa36ca454 docs(spec): Bybit ingestion + carry re-validation on the live venue (funding/klines/universe, MiCA note) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-23 15:51:32 +02:00
jgrusewski
5563f772b5 docs(spec): interactive simulator cockpit + multi-track wiring (configurable sim, slider, 2/3-edge+carry tracks) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-23 14:15:16 +02:00
jgrusewski
dfe58fbd9c docs(spec): combined risk stack — K(D*) sizing + WEH structural-retirement + killswitch backstop 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-23 01:29:51 +02:00
jgrusewski
0149de2535 docs(spec): drawdown controller v1 design (ex-ante DD budget + per-sleeve edge-health, replace whipsaw killswitch) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-23 00:02:12 +02:00
jgrusewski
dd83251933 docs(carry): tail data-acquisition design (workflow research output, fact-checked) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 17:12:10 +02:00
jgrusewski
931dce4a8a docs(audit): A6 converge-to-2-edge spec (carry live-only + gross-cap + warmup + cycle-validate) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 16:52:59 +02:00
jgrusewski
39362263a7 docs(audit): paper-book foundation audit (going-in-circles pause) 
Maps the 5-layer architecture + 6 confirmed issues (carry P&L not in equity,
gross-not-net leverage cap=6x, no warmup, 1yr-bull overfit -98.9% multi-year,
unreliable offline sweep, unmodellable carry tail) + architectural decisions.

Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 16:44:24 +02:00
jgrusewski
3d23efd2a8 docs(carry): A5 faithful delta-neutral carry plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 14:56:54 +02:00
jgrusewski
ffe62307ad docs(carry): A5 faithful delta-neutral carry (spot ingest + basis) design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 14:55:44 +02:00
jgrusewski
449007018e docs(funding): A4 addendum — xsfunding carry return-source (price-MTM can't see funding) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 12:42:17 +02:00
jgrusewski
66fa02b0cc docs(funding): A4 funding-ingest + xsfunding-replay plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 12:19:45 +02:00
jgrusewski
104cc19774 docs(funding): A4 funding-history ingest + replayable xsfunding design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 12:18:00 +02:00
jgrusewski
a66c5eb7e0 docs(paper): A3h adaptive vol budget plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 11:13:51 +02:00
jgrusewski
6661e987d2 docs(paper): A3h ISV-adaptive vol budget design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 11:11:49 +02:00
jgrusewski
20cafc21fd docs(paper): A3g overlay re-tune plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 10:56:41 +02:00
jgrusewski
d5f867adea docs(paper): A3g overlay re-tune design (30% full-Kelly, dormant wide kill, drop gate) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 10:55:48 +02:00
jgrusewski
f5d0e7f31c docs(paper): A3f compounding equity-accounting fix plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 09:58:01 +02:00
jgrusewski
833cec0d6a docs(paper): A3f compounding equity-accounting fix design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 09:55:49 +02:00
jgrusewski
6c9dc00a54 docs(paper): A3e marginal-gate + cleanup implementation plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 09:15:27 +02:00
jgrusewski
a01875b7be docs(paper): A3e marginal-gate + cleanup design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 09:13:13 +02:00
jgrusewski
638bfde86f docs(paper): A3d vol-target + killswitch implementation plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 08:04:52 +02:00
jgrusewski
f52d893163 docs(paper): A3d vol-target leverage + drawdown killswitch design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-22 07:56:27 +02:00
jgrusewski
5ed54a5ea4 docs(paper): A3c implementation plan + spec return-fn signature fix 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 23:27:01 +02:00
jgrusewski
fdc721e6d8 docs(paper): A3c spec fixes from critical review (disjoint regime signal, two-sided water-fill, shared return fn, mixed-history rule) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 23:21:29 +02:00
jgrusewski
4bbae5cacc docs(paper): A3c ISV-adaptive sleeve weighting design (state-derived meta-params) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 22:47:07 +02:00
jgrusewski
27accf0458 docs(paper): A3c dynamic inverse-vol sleeve weighting design 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 22:37:42 +02:00
jgrusewski
d726d058c7 docs: plan — equal-weight replayable sleeves + wire unlock to warehouse (Phase 2F-A3b) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 22:17:34 +02:00
jgrusewski
cdcb0f747a docs: spec — paper book equal-weight replayable sleeves + wire unlock to warehouse (Phase 2F-A3b) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 22:15:36 +02:00
jgrusewski
8f7ffd39ba docs: plan — paper replay (paper_nav + backfill + /paper/replay scrubber) Phase 2F-A3 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 21:03:57 +02:00
jgrusewski
a5493d71cd docs: spec — paper replay (backfill + paper_nav + /paper/replay scrubber) Phase 2F-A3 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 21:02:09 +02:00
jgrusewski
6cc9aafae4 docs: plan — paper-snapshot job (current_weights per sleeve + service + dagster asset) Phase 2F-2 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 20:10:44 +02:00
jgrusewski
aad97c2b27 docs: spec — paper-snapshot job feeds /paper real positions (Phase 2F-2) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 20:08:51 +02:00
jgrusewski
d816d2d709 docs: plan — paper-trading cockpit MVP (TDD: persist positions/trades + live MTM view) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 19:21:39 +02:00
jgrusewski
672570e079 docs: spec — paper-trading cockpit live MTM (Phase 2F MVP: persist positions/trades + live view) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 19:19:09 +02:00
jgrusewski
4825866ac6 docs(2E): include alertmanager (useful) — operator brings it up; receivers a follow-up 2026-06-21 18:50:43 +02:00
jgrusewski
df1b3409b5 docs: plan — re-enable observability + expose grafana/dagster (Phase 2E), inline+gated 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 18:46:11 +02:00
jgrusewski
afd07d75d5 docs: spec — re-enable observability (prometheus+grafana) + expose dagster.fxhnt.ai (Phase 2E) 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 18:43:23 +02:00
jgrusewski
0867544ada docs: stablecoin-rotation sleeve spec + implementation plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 10:12:55 +02:00
jgrusewski
d702f2b081 docs: sync tstrend spec to recalibrated lam=0.20 + dropped last_day/clock 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 01:04:06 +02:00
jgrusewski
33d9bd3d03 docs: crypto TS-trend sleeve spec + implementation plan 
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
 2026-06-21 00:25:31 +02:00
jgrusewski
bad0c6accd docs: edge-discovery sprint plan (crypto XS factors + TS-trend + cross-asset trend, gauntlet-gated) 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-19 19:33:10 +02:00
jgrusewski
e7c9946aac docs(xsfunding): paper-forward track implementation plan 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-19 07:38:51 +02:00
jgrusewski
178ac665c4 docs(xsfunding): spot-perp basis-modeling implementation plan 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-19 00:12:47 +02:00
jgrusewski
549a21f660 docs(xsfunding): cross-sectional funding-dispersion implementation plan (6 tasks → verdict matrix) 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-18 22:58:52 +02:00
jgrusewski
31aa746369 docs(xsfunding): cross-sectional crypto funding-dispersion strategy design (spike PASSED — survivorship-free panel on disk) 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-18 22:53:40 +02:00
jgrusewski
e254ca02ef docs(b3b): walk-forward equity-factor backtest implementation plan 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-17 12:17:39 +02:00
jgrusewski
8d363e14b5 docs(b3): spec — survivorship-free price-only equity-factor backtest (PIT ingest + walk-forward + gauntlet) 
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-17 00:05:01 +02:00
jgrusewski
c033607317 docs(b2): implementation plan — equity-factor sleeve (7 tasks) 
Ports → domain (z-score/composite/3 constructions, full code) → Tiingo fundamentals+universe adapters →
3 ForwardStrategy services → registry+assets → deploy. TDD, deterministic domain + fake-port tests.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-16 17:19:08 +02:00
jgrusewski
5f292deb45 docs(b2): spec — equity-factor sleeve (value+quality+momentum, 3 construction variants) 
Cross-sectional multi-factor book on broad liquid US universe (Tiingo fundamentals + 30yr EOD); long-only /
long-short / long-tilt as 3 ForwardStrategy paper-tracks through the gate. Deterministic domain+fake-port
tests. Backtest/DSR layer = separate increment.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
 2026-06-16 10:32:00 +02:00