65 lines
2.8 KiB
JSON
65 lines
2.8 KiB
JSON
{
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"archive_files": [
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"C:\\Users\\kunth\\Gitea\\SET Trade system\\data\\raw\\siamchart\\set-archive_EOD_1970-LAST.zip",
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"C:\\Users\\kunth\\Gitea\\SET Trade system\\data\\raw\\siamchart\\set-archive_EOD.zip",
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"C:\\Users\\kunth\\Gitea\\SET Trade system\\data\\raw\\siamchart\\set-archive_EOD_LAST.zip"
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],
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"evaluation_start": "2026-01-01",
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"evaluation_end_exclusive": "2026-09-29",
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"daily_sessions_loaded": 643,
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"equity_like_symbols": 307,
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"action_symbols_with_dividend_history": 118,
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"cash_dividend_events_loaded": 2966,
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"split_events_price_confirmed_or_inferred": 1,
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"archive_read_issues": [],
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"universe": "top 100 symbols by trailing 20-session average value turnover, at least THB 20m/day, price >= THB 2, as-of each signal close",
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"primary_union": {
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"models": [
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"donchian_55_20",
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"ema50_200_cross"
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],
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"entry_rule": "hold a symbol selected by either model",
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"weighting": "equal weight across unique active symbols; overlapping selections count once",
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"maximum_positions": 20
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},
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"known_non_stock_tickers_excluded": [
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"1DIV",
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"3BBIF",
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"ABFTH",
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"BSET100",
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"BTSGIF",
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"CHINA",
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"DIF",
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"EBANK",
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"ECOMM",
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"EFOOD",
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"ENERG",
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"ESET50",
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"GLD",
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"JASIF",
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"JDF",
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"JPF",
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"MAI",
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"SET",
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"SET100",
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"SET50",
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"SETCLMV",
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"SETESG",
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"SETHD",
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"SETWB",
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"SSET",
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"TDEX",
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"TFFIF"
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],
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"notes": [
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"Universe membership is constructed from contemporaneous market-wide EOD records; no current-constituent list is backfilled.",
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"A small ticker exclusion list removes indices and known funds; the archive has no instrument-type field, so other equity-like symbols can remain.",
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"Cash dividends are applied where SiamChart sidecars exist, with covered-period SET reference values overriding sidecars.",
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"Par-value share ratios are used only when price data corroborates a split; missing corporate-action histories remain a data risk.",
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"Portfolio weights are fractional and daily value marks are adjusted; board lots and market impact are not modeled in this screening pass.",
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"The low-volatility momentum, EMA 50/200 and Donchian finalists also have a separate validation using 100-share board lots, raw prices, split-adjusted quantities, and dividend cash where available.",
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"A security with no daily bar cannot be sold in the simulator; its last observed close is carried forward and stale_position_days is reported for board-lot validation.",
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"A separate conservative board-lot sensitivity writes the entire position value to zero after 60 consecutive sessions without a bar; this is a delisting-risk stress, not an assumed exchange settlement rule.",
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"One unreadable daily archive entry is omitted and listed in archive_read_issues; the source archive is not modified."
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]
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} |