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Economic value growth mission

Primary KPI : expectancy_net per fold + portfolio-level Sortino + Calmar Status : not started Scope : everything that converts a calibrated signal into realized PnL

What this mission covers

This mission validates and amplifies the value of the upstream signals (ML Boost + Filter tuning) in trading-cost space. Areas in scope :

  1. Position sizing — Kelly criterion variants (fractional Kelly, dynamic Kelly per regime), volatility-targeted sizing
  2. Portfolio allocation — across the 5 cryptos, dynamic per-crypto weights based on recent expectancy, correlation-aware sizing
  3. Dynamic SL/TP — beyond the current fixed SL0.5_TP1_H4 PTE strategy ; ATR-multiplier sweeps adapted per crypto / per regime
  4. Cost modeling refinement — slippage by venue + size, fee tier optimization, time-of-day spread variation
  5. Kill-switch tuning — beyond ADR-71 safety floor : drawdown-triggered de-leveraging, regime-change halt
  6. Fee-aware routing — venue selection per trade size

Status

No active Story yet. This mission is the natural successor to ML Boost + Filter tuning : converting signal quality into capital efficiency. Premature without a stable upstream.

The PTE envelope sweep (CVN-N001-EC Epic epics/CVN-N001-EC-pte-envelope.md) is a partial precursor — it tunes SL × TP multipliers — but is operating on the existing label space, not on a refined model.

Stories landing area

When this mission opens, Stories will be created under a new Epic (likely CVN-N002-EB — Economic value growth Sprint 1) and indexed here. Each Story will follow the same protocol as ML Boost (plan → committee → implementation → sweep → gate → results).

Cross-references