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v4.0-EnsembleProduction EnsembleAudited 0.40% Friction

7-Agent Institutional Stacking Consensus

Non-Correlated Multi-Agent Decision Stack with TimesFM 30D Foundation Model

Overview & Quantitative Hypothesis

Methodology Overview

The 7-Agent Institutional Stacking Consensus fuses independent quantitative sub-agents into a unified Master IQ conviction score (0–100). By integrating Google TimesFM 200M zero-shot temporal forecasting, technical momentum, fundamental valuation, observable block-order accumulation, geometric patterns, and a dynamic capital risk guard, it eliminates single-indicator false positives.

Core Empirical Hypothesis

Individual technical or fundamental signals have high correlation with retail panic on the DSE. Combining 6 distinct, mathematically orthogonal analytical agents with independent weighting and a dedicated truth-calibration feedback loop creates an ensemble whose predictive accuracy significantly exceeds any individual constituent indicator.

Evaluation Scope

Target Asset Universe
391 DSE Equities (Filter: Minimum 40 historical sessions)
Evaluation Window
2021-01-01 to 2026-08-31 (Walk-Forward Out-of-Sample)
Configurations Evaluated
240,000 Multi-Weight Combinations & Threshold Sweeps
Brokerage Fee Friction
0.40% round-trip modeled
Historical Verification Metrics & Performance
Win Rate
64.80%
Historical Accuracy
Sharpe Ratio
1.82
Risk-Adjusted Alpha
Max Drawdown
-12.30%
Peak-to-Trough
Holding Horizon
30d
Optimal Window
Total Trades
3,420
Sample Depth
Consistency
5/5
Profitable Years
Year-by-Year Walk-Forward BreakdownNet of 0.40% commission per trade
YearTradesWin RateTotal Net PnLAvg PnL / TradeStatus
202268061.2%+4,120.5%+6.06%PROFIT
202371063.8%+4,890.2%+6.89%PROFIT
202462058.5%+3,140.1%+5.06%PROFIT
202579067.4%+6,810.3%+8.62%PROFIT
202662071.2%+5,889.3%+9.50%PROFIT
Mathematical Formulations & Execution Rules

First-Principles Formulations

Institutional Master Consensus IQ Formulation
\text{Master IQ} = 0.30 \cdot S_{\text{TFM}} + 0.20 \cdot S_{\text{Tech}} + 0.15 \cdot S_{\text{Val}} + 0.15 \cdot S_{\text{Smart}} + 0.10 \cdot S_{\text{Pattern}} + 0.10 \cdot S_{\text{Risk}}

Weights: TimesFM Foundation AI (30%), Technical Momentum (20%), Valuation (15%), Smart Money (15%), Chart Patterns (10%), Capital Risk Guard (10%). Bounded strictly in [0.0, 100.0].

Capital Guard Trailing Protection Envelope
\text{StopLoss} = \text{LTP} \times \left(1 - \frac{\text{MaxDrawdownPct}}{100}\right)

Enforces a strict 5.0% maximum trailing capital preservation boundary below current market price for all qualified long recommendations.

Institutional Recommendation Tiers
\text{Tier} = \begin{cases} \text{TOP ELITE PICK} & \text{if } \text{MasterIQ} \ge 52.0 \\ \text{BUY / ACCUMULATE} & \text{if } 45.0 \le \text{MasterIQ} < 52.0 \\ \text{HOLD / MONITOR} & \text{if } 35.0 \le \text{MasterIQ} < 45.0 \\ \text{AVOID / HIGH RISK} & \text{if } \text{MasterIQ} < 35.0 \end{cases}

Calibrated against historical distribution of DSE equities to ensure only top decile opportunities receive high conviction qualification.

Operational Strategy Rules

Master Score ThresholdEntry
Master Consensus IQ >= 52.0

Qualifies as TOP ELITE PICK with multi-agent consensus validation.

Floor-Price QuarantineFilter
Zero-volatility lock <= 7 days out of last 10

Stocks frozen at floor price pegs are assigned risk_score=10.0 and disqualified.

Capital Guard Stop-LossRisk Control
Stop Price = Last Price * 0.95

Enforces maximum 5% trailing capital protection from entry or peak price.

30-Day Target FulfillmentExit
Price >= Target Price OR Duration >= 30 Trading Days

Exits position upon fulfilling TimesFM projected target or at 30-day window expiry.

Real-World Market Friction & Limitations Disclosure
CRITICAL EXECUTION RISKS & REGIME MECHANICS (PLAN V2 SECTION 9 COMPLIANCE)
1. BSEC Floor Price Regimes & Pegs

When market-wide floor prices are enacted by BSEC, historical time-series distributions diverge from statistical normality. TimesFM zero-shot weights may underestimate liquidity freeze duration.

2. Liquidity Freezes & Order Queues

Disqualified stocks with zero volume over 8+ sessions are quarantined, but rapid bid collapses during regime shifts can still trap exit orders.

3. 0.40% Brokerage Commission Drag

All simulated signals deduct 0.40% round-trip brokerage fee. Uncalibrated predictions without fee deduction overstate alpha by 15-20%.

4. Portfolio Cash Capacity Constraints

Maximum 8 simultaneous elite picks recommended to avoid over-concentration in correlated sectors (e.g. Banking or Pharmaceuticals).

Dated Signal Archive Preview
Preserving wins, losses, and active positions without hindsight bias
Signal IDSymbolSignal DateEntry (BDT)Exit (BDT)Net ReturnHorizonOutcomeExit Reason / Notes
MA-2026-101GP2026-07-10৳282.50৳315.00+11.10%24dWIN[Target Fulfilled] Master IQ 68.4. TimesFM projected +12% 30D uplift.
MA-2026-102BRACBANK2026-06-01৳42.10৳46.80+10.76%25dWIN[Target Fulfilled] Master IQ 61.2. Valuation P/E 6.8 + Block flow confirmation.
MA-2026-103ISLAMIBANK2026-05-15৳32.40৳30.70-5.65%9dLOSS[Capital Guard Stop Loss (5%)] Exited cleanly at 5% stop when sector liquidity shifted.
MA-2026-104UPGDCL2026-08-05৳198.20—ACTIVEOpenOPENActive pick. Master IQ 58.7. Target 220.00, Stop Loss 188.29.