feat: enhance documentation and configuration for metric floor and tr…#25
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…adeoff parameters
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This pull request introduces two new configuration parameters, metric_return_tradeoff and metric_floor, to support hybrid gating checks. It updates the default configuration, API reference, architecture documentation, and gate docstrings to reflect these additions. The review feedback highlights a typo in the API reference document and suggests maintaining consistency in Markdown formatting by using single backticks instead of double backticks for inline code.
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| optionally adjusted by metric_return_tradeoff: | ||
| candidate > baseline + min_improvement - tradeoff_coeff * (cand_ret - base_ret) * 100 | ||
| where tradeoff_coeff is per-1pp (0.01) return increase. | ||
| 7. Annualized return >= baselines annualized return * min_return_ratio (default 0.5) |
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There is a typo in this line: baselines should be possessive (baseline's) to match the style used in the rest of the document (e.g., candidate's and baseline's on line 411).
| 7. Annualized return >= baselines annualized return * min_return_ratio (default 0.5) | |
| 7. Annualized return >= baseline's annualized return * min_return_ratio (default 0.5) |
| **Phase 1 — `select` (in-sample, every candidate):** | ||
| - Hard constraints on the walk-forward aggregate: max drawdown ≤ `dd_limit` (default `0.20`), `regime_passed` must be `True`, turnover ≤ `turnover_limit` (default `2.0`). | ||
| - Tie-breaker: target metric improvement over baseline (Sharpe, Sortino, or Information Ratio) by at least `min_improvement`. | ||
| - Unconditional absolute metric floor: ``metric_floor`` enforced without a baseline (config key ``metric_floor``, default ``None`` = disabled). |
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In Markdown files, single backticks are standard and used consistently throughout the rest of this document (e.g., dd_limit, regime_passed, turnover_limit, min_improvement). Using double backticks (metric_floor, None) here is inconsistent. Please use single backticks instead.
| | Turnover ≤ limit | Hard | `turnover_limit` (YAML) | `2.0` | Yes | | ||
| | PBO ≤ limit | Hard (opt) | `pbo_limit` (YAML) | `None` (disabled) | No | | ||
| | Target metric improvement (hybrid) | Soft | `min_improvement` + `metric_return_tradeoff` + `metric_floor` (YAML) | `0.0`, `0.0`, `None` | Only with baseline | | ||
| | Target metric improvement (hybrid) | Soft | `min_improvement` + `metric_return_tradeoff` + `metric_floor` (YAML) | `0.0`, `0.0`, `None` | Tradeoff needs baseline; ``metric_floor`` is unconditional | |
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For consistency with the rest of the table and document which uses single backticks for inline code, please use single backticks for metric_floor instead of double backticks.
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…adeoff parameters