Optimize · Find better weights and thresholds
Two questions: (1) what lens-weight mix maximises composite IC vs forward S&P returns? (2) at what entry threshold does each strategy hit its best Sharpe? Both run against cached backtest data — no look-ahead, no source re-fetches.
Backtest cadence: every 14d · IC horizon: 20d
Lens-weight optimization
Random simplex search (~2,000 candidates) over weights ≥ 0 summing to 1. Sign-aware variant additionally tries every per-lens flip combination — reveals which lenses the data wants to be flipped.
Searching simplex (~2,000 candidates × 64 sign vectors)… takes 30–60 s on first load.
Threshold sweep
Sweeps the entry threshold for each strategy and reports the full risk-return curve. The optimum is picked by Sharpe; ties by CAGR. Buy-and-hold Sharpe shown as the dashed reference.
Long when score ≥ T
Sweeping thresholds for Directional…