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Pigbibi merged 1 commit into from
May 29, 2026
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[codex] docs: align SOXL volatility gate notes #55

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19 changes: 8 additions & 11 deletions README.md
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Expand Up @@ -252,17 +252,14 @@ python scripts/build_tech_communication_pullback_snapshot.py \

SOXL/SOXX trend-income 的 research backtest 可以使用本地价格数据运行。默认研究路径会构建 runtime 策略使用的 SOXX RSI 和 Bollinger-band 输入；也可以通过动态 RSI 分位、Chandelier-style delever overlay 等参数研究替代保护机制。Chandelier overlay 默认关闭，只在研究回测中把触发日的 SOXL target value reroute 到 BOXX，不改变生产 manifest。初始研究说明见 `docs/soxl-soxx-chandelier-stop-research.md`。

To research alternative SOXL delever gates without changing production, use
`--soxl-delever-overlay volatility|drawdown|momentum|dual_ma` with
`--soxl-delever-symbol`, `--soxl-delever-window`,
`--soxl-delever-fast-window`, `--soxl-delever-slow-window`,
`--soxl-delever-threshold`, `--soxl-delever-retention-ratio`, and
`--soxl-delever-redirect-symbol`. The `dual_ma` option is research-only and can
model variants such as SOXL `10/30` partial retention redirected into SOXX. The
current promoted production gate is a SOXX 10-day volatility gate at `0.50` that
redirects SOXL into SOXX. See
`docs/tqqq-soxl-optimization-research.md` for the TQQQ/SOXL no-regression
optimization sweep.
如需在不改生产配置的情况下研究替代 SOXL 降杠杆门，可以使用
`--soxl-delever-overlay volatility|drawdown|momentum|dual_ma`，并配合
`--soxl-delever-symbol`、`--soxl-delever-window`、
`--soxl-delever-fast-window`、`--soxl-delever-slow-window`、
`--soxl-delever-threshold`、`--soxl-delever-retention-ratio` 和
`--soxl-delever-redirect-symbol`。`dual_ma` 用于研究 SOXL/SOXX 双均线减仓，
例如 `10/30` 减半转 `SOXX`，默认不启用。当前实盘门槛固定为 `SOXX` 10 日年化实际波动率
`>= 55%` 时把 `SOXL` 转向 `SOXX`。

For long-history core SOXL/SOXX validation, provide a BOXX-compatible cash
proxy such as BIL under the `BOXX` symbol and add `--disable-income-layer`.
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8 changes: 7 additions & 1 deletion docs/soxl-soxx-chandelier-stop-research.md
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Expand Up @@ -3,6 +3,11 @@
Status: research-only as of 2026-05-10. Do not promote this overlay into the
runtime strategy without a separate evidence review and explicit approval.

Current-policy note: the 50% volatility-gate result below is historical
research evidence. The current runtime default redirects SOXL into SOXX when
SOXX 10d realized volatility is at least 55%. See
`docs/tqqq-soxl-optimization-research.md` for the broader optimization record.

## Question

Can a Chandelier-style stop reduce SOXL crash exposure without damaging the
Expand Down Expand Up @@ -73,7 +78,8 @@ Families tested:
- SOXL retention ratios of `0%`, `25%`, `50%`, and `75%`.
- Redirect targets of `BOXX` and `SOXX`.

The only clean common winner in the exact replay was a SOXX volatility gate:
At the time, the only clean common winner in the exact replay was a SOXX
volatility gate:

```bash
--soxl-delever-overlay volatility \
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12 changes: 6 additions & 6 deletions docs/tqqq-soxl-optimization-research.md
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Expand Up @@ -3,8 +3,7 @@
Research date: 2026-05-10

Promotion note: the current production SOXL/SOXX volatility delever gate uses
`SOXX 10d realized volatility >= 50%, SOXL -> SOXX`, promoted from the exact
real-product replay in `soxl-soxx-chandelier-stop-research.md`. The synthetic
`SOXX 10d realized volatility >= 55%, SOXL -> SOXX`. The older synthetic
long-history sweep below remains the historical optimization record.

This note records a bounded optimization sweep for the TQQQ and SOXL leveraged
Expand Down Expand Up @@ -94,10 +93,11 @@ Passing candidates:
Selected `BOXX` redirect variants improved full-sample CAGR and drawdown, but
failed the strict no-CAGR-regression rule in at least one window.

Conclusion: the strongest SOXL research candidate is the 20-day SOXX
realized-volatility gate at 50%, redirecting triggered SOXL target exposure into
SOXX. It passed this bounded sweep, but should remain research-only until a
separate PR promotes it with implementation tests and operator review.
Historical conclusion from this sweep: the strongest candidate in that older
synthetic run was the 20-day SOXX realized-volatility gate at 50%, redirecting
triggered SOXL target exposure into SOXX. Later exact-replay and income-layer
work did not promote that older 50% threshold; the current production default is
the 10-day 55% SOXX realized-volatility gate, redirecting SOXL into SOXX.

## Local Research Outputs

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