Feat/strategy development#9
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- Add engineering standards (CLAUDE.md) and methodology doc (APPROACH.md) - Add Makefile with check, lint, test, validate, run, sweep targets - Add ruff linting and pytest config to pyproject.toml - Add static fee sweep script and baseline strategy template - Fix .gitignore: track strategies/, ignore .claude/ and .solc-select/ - Commit uv.lock for reproducible builds Phase 1 results: static fee sweep (10-100 bps) shows 80 bps as optimal static fee (edge 380) vs normalizer baseline of 344 at 30 bps.
Systematic search across 18 candidates in 4 strategy families using paired-seed evaluation (same seeds, per-seed deltas) found that a dual-EWMA volatility ratio (lambda=0.90/0.98) with ±3 bps regime adjustment beats static 80 bps by +27.92 edge points (t=127.91, 100% win rate, 1000 sims). Key findings: - Static asymmetry: zero effect - Absolute EWMA vs nominal variance: badly miscalibrated (delta -45) - Directional adjustment: harmful (delta -1 to -5) - Dual-EWMA ratio: self-calibrating, +28 delta across all variantsv
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