Add daily_budget_reset mode for research backtesting

New mode (risk.daily_budget_reset=True) where cash_available and sizing
equity reset to initial_equity at the start of each day, regardless of
how many open positions or realized P&L exist. Unlike fixed_capital_sizing
(단리, sizing only), this also treats buying power as if no positions are
held — useful for evaluating signal quality independent of capital constraints.

- domain.py: daily_budget_reset field on RiskConfig
- run.py: _daily_budget_reset flag; _sizing_equity / _sleeve_equity_est /
  _build_portfolio_state all honor the new flag
- backtest_sim.py: daily_budget_reset param threaded through
- direct_runner.py: --daily-budget-reset CLI flag
- routers/backtest.py: BacktestRequest field + cmd arg
- client.ts: BacktestParams / BacktestTask types updated
- Backtest.tsx: checkbox in form + DBR badge in task list

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>

apps/backtester/run.py

@@ -211,6 +211,7 @@ class BacktestRunner:
         self._equity_curve: list[DailyPortfolioState] = []
         self._candidate_map: dict[str, Candidate] = {}  # trade_id → candidate
         self._fixed_capital_sizing = config.risk.fixed_capital_sizing
+        self._daily_budget_reset = config.risk.daily_budget_reset
         self._primary_candidate_slate_stats: dict[dt.date, dict[str, int]] = {}
 
         # Cash parking (idle cash → SPY/QQQ/SGOV)
@@ -315,20 +316,19 @@ class BacktestRunner:
 
     @property
     def _sizing_equity(self) -> float:
-        """Equity used for position sizing. Returns initial_capital when fixed_capital_sizing is enabled."""
+        """Equity used for position sizing. Returns initial_capital when fixed_capital_sizing or daily_budget_reset is enabled."""
-        if self._fixed_capital_sizing:
+        if self._fixed_capital_sizing or self._daily_budget_reset:
             return self.initial_equity
         return self._equity
 
     def _sleeve_equity_est(self, date: dt.date) -> float:
         """Equity estimate for sleeve budget calculations.
 
-        When ``fixed_capital_sizing`` is enabled, returns ``initial_equity`` so
+        When ``fixed_capital_sizing`` or ``daily_budget_reset`` is enabled, returns
-        that sleeve allocations (parking, form4, ownership, risk-off, idle-alpha)
+        ``initial_equity`` so that sleeve allocations stay proportional to the
-        stay proportional to the starting capital rather than compounding with
+        starting capital rather than compounding with portfolio growth.
-        portfolio growth.
         """
-        if self._fixed_capital_sizing:
+        if self._fixed_capital_sizing or self._daily_budget_reset:
             return float(self.initial_equity)
         market_value = self._compute_positions_market_value(date)
         return self._cash + market_value + self._get_parking_value(date)
@@ -7396,7 +7396,11 @@ class BacktestRunner:
             date=date,
             equity=self._equity,
             sizing_equity=self._sizing_equity,
-            cash_available=self._compute_buying_power(self._equity, gross_exposure),
+            cash_available=(
+                self._compute_buying_power(float(self.initial_equity), 0.0)
+                if self._daily_budget_reset
+                else self._compute_buying_power(self._equity, gross_exposure)
+            ),
             gross_exposure=gross_exposure,
             net_exposure=net_exposure,
             reserved_risk_budget=self._daily_new_risk_used,

apps/paper_trader/backtest_sim.py

@@ -42,6 +42,7 @@ def run_backtest_session_sync(
     non_core_allocator_v2_mode: str | None = None,
     snapshot_id_override: str | None = None,
     fixed_capital_sizing: bool = False,
+    daily_budget_reset: bool = False,
 ) -> dict[str, Any]:
     """Run a single strategy using BacktestRunner (same as research backtester).
 
@@ -89,6 +90,7 @@ def run_backtest_session_sync(
         config.non_core_allocator_v2.enabled = True
         config.non_core_allocator_v2.mode = non_core_allocator_v2_mode
     config.risk.fixed_capital_sizing = fixed_capital_sizing
+    config.risk.daily_budget_reset = daily_budget_reset
 
     # Use merged store (train+valid+test) to cover the full date range.
     store = _build_merged_snapshot_store(manifest, config, snapshot_dir_override=None)
@@ -609,9 +611,26 @@ def load_snapshot_store_for_session(
                 asyncio.run(_refresh_snapshot(snapshot_id, universe_profile, manual=False))
             except Exception as exc:
                 logger.warning("snapshot_store_refresh_failed", error=str(exc))
+                # Write the marker so we don't retry the (failing) refresh on
+                # every engine init throughout the day.
+                _snap_path_for_marker = _resolve_snapshot_path(snapshot_id)
+                if _snap_path_for_marker:
+                    try:
+                        (_snap_path_for_marker / ".last_refresh").write_text(
+                            dt.date.today().isoformat()
+                        )
+                    except Exception:
+                        pass
                 if not _snapshot_has_required_coverage(snapshot_id, dt.date.today()):
-                    logger.warning("snapshot_store_no_coverage_after_refresh_failure")
+                    # Snapshot is stale (missing recent days) but may still contain
-                    return None
+                    # lookback candidates from earlier dates (e.g. an event filed
+                    # 1-2 weeks ago that we haven't entered yet).  Use it anyway —
+                    # the engine will fall back to EventDetector for today's fresh
+                    # events; the stale snapshot is better than nothing for lookback.
+                    logger.warning(
+                        "snapshot_store_stale_using_anyway",
+                        snapshot_id=snapshot_id,
+                    )
 
         snapshot_path = _resolve_snapshot_path(snapshot_id)
         if snapshot_path is None:

apps/web/direct_runner.py

@@ -44,6 +44,7 @@ def main():
     non_core_allocator_v2_mode = None
     snapshot_id_override = None
     fixed_capital = False
+    daily_budget_reset = False
     remaining = sys.argv[7:]
     i = 0
     while i < len(remaining):
@@ -71,6 +72,9 @@ def main():
         elif remaining[i] == "--fixed-capital":
             fixed_capital = True
             i += 1
+        elif remaining[i] == "--daily-budget-reset":
+            daily_budget_reset = True
+            i += 1
         else:
             i += 1
 
@@ -82,7 +86,8 @@ def main():
           (f" · risk_off={risk_off_alpha_sleeve_preset}" if risk_off_alpha_sleeve_preset else "") +
           (f" · ncav2={non_core_allocator_v2_mode}" if non_core_allocator_v2_mode else "") +
           (f" · snapshot={snapshot_id_override}" if snapshot_id_override else "") +
-          (" · fixed_capital" if fixed_capital else ""))
+          (" · fixed_capital" if fixed_capital else "") +
+          (" · daily_budget_reset" if daily_budget_reset else ""))
     sys.stdout.flush()
 
     from apps.paper_trader.backtest_sim import run_backtest_session_sync
@@ -101,6 +106,7 @@ def main():
         non_core_allocator_v2_mode=non_core_allocator_v2_mode,
         snapshot_id_override=snapshot_id_override,
         fixed_capital_sizing=fixed_capital,
+        daily_budget_reset=daily_budget_reset,
     )
 
     result_file.parent.mkdir(parents=True, exist_ok=True)

apps/web/routers/backtest.py

@@ -396,6 +396,7 @@ class BacktestRequest(BaseModel):
     non_core_allocator_v2_mode: str | None = None  # shadow|live
     snapshot_id: str | None = None  # override dataset_snapshot_id (e.g. for OOT periods)
     fixed_capital: bool = False     # non-compounding: size positions using initial capital
+    daily_budget_reset: bool = False  # research mode: buying power resets to initial_equity each day
 
 
 class BatchBacktestRequest(BaseModel):
@@ -433,6 +434,7 @@ def _make_task(
     non_core_allocator_v2_mode: str | None = None,
     snapshot_id: str | None = None,
     fixed_capital: bool = False,
+    daily_budget_reset: bool = False,
 ) -> dict[str, Any]:
     return {
         "task_id": str(uuid.uuid4()),
@@ -450,6 +452,7 @@ def _make_task(
         "error": None,
         "pid": None,
         "fixed_capital": fixed_capital,
+        "daily_budget_reset": daily_budget_reset,
         "mode": mode,
         "has_direct_result": False,
         "parking": parking,
@@ -930,6 +933,7 @@ def _launch_direct_backtest(req: BacktestRequest) -> dict[str, Any]:
         non_core_allocator_v2_mode=eff_non_core_allocator_v2_mode,
         snapshot_id=req.snapshot_id,
         fixed_capital=req.fixed_capital,
+        daily_budget_reset=req.daily_budget_reset,
     )
     task_id = task["task_id"]
 
@@ -962,6 +966,8 @@ def _launch_direct_backtest(req: BacktestRequest) -> dict[str, Any]:
         cmd += ["--snapshot-id", req.snapshot_id]
     if req.fixed_capital:
         cmd += ["--fixed-capital"]
+    if req.daily_budget_reset:
+        cmd += ["--daily-budget-reset"]
 
     with open(log_file, "wb") as log_fp:
         proc = subprocess.Popen(

apps/web/static/index.html

@@ -5,7 +5,7 @@
     <link rel="icon" type="image/svg+xml" href="/favicon.svg" />
     <meta name="viewport" content="width=device-width, initial-scale=1.0" />
     <title>Fithia2</title>
-    <script type="module" crossorigin src="/assets/index-DAmIlbXo.js"></script>
+    <script type="module" crossorigin src="/assets/index-CuJd8vEh.js"></script>
     <link rel="stylesheet" crossorigin href="/assets/index-AVDbFxMk.css">
   </head>
   <body>

apps/web_frontend/src/api/client.ts

@@ -222,6 +222,7 @@ export interface BacktestRequest {
   non_core_allocator_v2_mode?: 'shadow' | 'live' | null;
   snapshot_id?: string | null; // override dataset snapshot
   fixed_capital?: boolean;
+  daily_budget_reset?: boolean;
 }
 
 export interface BacktestLastParams {
@@ -248,6 +249,7 @@ export interface BacktestTask {
   mode?: 'cli' | 'direct';
   has_direct_result?: boolean;
   fixed_capital?: boolean;
+  daily_budget_reset?: boolean;
   parking?: string | null;
   idle_alpha?: string | null;
   form4_sleeve?: string | null;
@@ -336,6 +338,7 @@ export interface IntradayTask {
   config: string;
   days: number;
   universe: string;
+  universe_label?: string | null;
   year: string | null;
   start_date: string | null;
   end_date: string | null;
@@ -410,23 +413,37 @@ export interface IntradayStrategy {
   description: string;
   days: number;
   universe: string;
+  universe_label?: string | null;
+  universe_symbols_file?: string | null;
+  strategy_mode?: 'momentum' | 'orb';
+  output_dir?: string;
   initial_capital: number;
-  risk_per_trade_pct: number;
+  risk_per_trade_pct?: number | null;
-  max_position_pct: number;
+  max_position_pct?: number | null;
-  atr_stop_multiplier: number;
+  atr_stop_multiplier?: number | null;
-  min_rvol: number;
+  min_rvol?: number | null;
-  max_candidates: number;
+  max_candidates?: number | null;
-  daily_max_loss_pct: number;
+  daily_max_loss_pct?: number | null;
-  max_stops_per_day: number;
+  max_stops_per_day?: number | null;
-  breakeven_at_r: number;
+  breakeven_at_r?: number | null;
-  trailing_at_r: number;
+  trailing_at_r?: number | null;
-  trailing_stop_atr_multiplier?: number;
+  trailing_stop_atr_multiplier?: number | null;
-  order_timeout_minutes: number;
+  order_timeout_minutes?: number | null;
-  settlement_days?: number;
+  settlement_days?: number | null;
   max_gap_pct?: number | null;
   sim_bar_minutes?: number;
   orb_minutes?: number;
   compound_returns?: boolean;
+  entry_minutes_after_open?: number | null;
+  exit_minutes_before_close?: number | null;
+  top_n?: number | null;
+  min_morning_gain_pct?: number | null;
+  max_morning_gain_pct?: number | null;
+  min_entry_volume?: number | null;
+  stop_loss_pct?: number | null;
+  trailing_stop_pct?: number | null;
+  ticker_cooldown_days?: number | null;
+  market_regime_spy_threshold?: number | null;
 }
 
 export type CreateStrategyPayload = Omit<IntradayStrategy, 'slug'>;
@@ -567,6 +584,7 @@ export interface PaperTrade {
   exit_price: number;
   exit_reason: string;
   shares: number;
+  entry_shares: number | null;
   net_pnl: number;
   r_multiple: number;
   holding_days: number;

apps/web_frontend/src/pages/Backtest.tsx

@@ -98,6 +98,7 @@ interface DupState {
   end: string | null;
   no_trades: boolean;
   fixed_capital: boolean;
+  daily_budget_reset: boolean;
   parking: string | null;
   idle_alpha: string | null;
   form4_sleeve: string | null;
@@ -116,6 +117,7 @@ function makeDupState(task: BacktestTask): DupState {
     end: !isYear ? task.end_date ?? null : null,
     no_trades: task.no_trades ?? false,
     fixed_capital: task.fixed_capital ?? false,
+    daily_budget_reset: task.daily_budget_reset ?? false,
     parking: task.parking ?? null,
     idle_alpha: task.idle_alpha ?? null,
     form4_sleeve: task.form4_sleeve ?? null,
@@ -212,6 +214,7 @@ export function BacktestPage() {
   const [capital, setCapital] = useState('10000');
   const [noTrades, setNoTrades] = useState(false);
   const [fixedCapital, setFixedCapital] = useState(false);
+  const [dailyBudgetReset, setDailyBudgetReset] = useState(false);
   const [directMode, setDirectMode] = useState(true);
   const [parking, setParking] = useState('');
   const [idleAlpha, setIdleAlpha] = useState('');
@@ -244,6 +247,7 @@ export function BacktestPage() {
     setNoTrades(s.no_trades ?? false);
     dupFixedCapitalRef.current = s.fixed_capital ?? false;
     setFixedCapital(s.fixed_capital ?? false);
+    setDailyBudgetReset(s.daily_budget_reset ?? false);
     setParking(s.parking ?? '');
     setIdleAlpha(s.idle_alpha ?? '');
     setForm4Sleeve(s.form4_sleeve ?? '');
@@ -386,6 +390,7 @@ export function BacktestPage() {
           : (endDate || null),
         no_trades: noTrades,
         fixed_capital: fixedCapital,
+        daily_budget_reset: dailyBudgetReset,
         parking: parking || null,
         idle_alpha: idleAlpha || null,
         form4_sleeve: form4Sleeve || null,
@@ -828,6 +833,10 @@ export function BacktestPage() {
               <input type="checkbox" checked={fixedCapital} onChange={e => setFixedCapital(e.target.checked)} style={{ width: 13, height: 13 }} />
               <span style={{ fontFamily: 'var(--font-mono)', fontSize: 12, color: fixedCapital ? 'var(--orange)' : 'var(--text3)' }}>Fixed Capital (Simple Return)</span>
             </label>
+            <label style={{ display: 'flex', alignItems: 'center', gap: 6, cursor: 'pointer' }}>
+              <input type="checkbox" checked={dailyBudgetReset} onChange={e => setDailyBudgetReset(e.target.checked)} style={{ width: 13, height: 13 }} />
+              <span style={{ fontFamily: 'var(--font-mono)', fontSize: 12, color: dailyBudgetReset ? 'var(--purple)' : 'var(--text3)' }}>Daily Budget Reset</span>
+            </label>
             <label style={{ display: 'flex', alignItems: 'center', gap: 6, cursor: selectedExps.length === 1 ? 'pointer' : 'not-allowed', opacity: selectedExps.length === 1 ? 1 : 0.4 }}>
               <input
                 type="checkbox"
@@ -1080,7 +1089,7 @@ export function BacktestPage() {
                         <td style={{ padding: '11px 14px', fontFamily: 'var(--font-mono)', fontSize: 13, color: 'var(--cyan)', whiteSpace: 'nowrap' }}>
                           ${task.capital?.toLocaleString() ?? '—'}
                         </td>
-                        <td style={{ padding: '11px 14px', whiteSpace: 'nowrap' }}>
+                        <td style={{ padding: '11px 14px', whiteSpace: 'nowrap', display: 'flex', gap: 4, alignItems: 'center' }}>
                           {task.fixed_capital && (
                             <span style={{
                               fontFamily: 'var(--font-mono)', fontSize: 10,
@@ -1090,6 +1099,15 @@ export function BacktestPage() {
                               borderRadius: 3, padding: '1px 5px',
                             }}>FC</span>
                           )}
+                          {task.daily_budget_reset && (
+                            <span style={{
+                              fontFamily: 'var(--font-mono)', fontSize: 10,
+                              color: 'var(--purple)',
+                              background: 'color-mix(in srgb, var(--purple) 12%, transparent)',
+                              border: '1px solid color-mix(in srgb, var(--purple) 25%, transparent)',
+                              borderRadius: 3, padding: '1px 5px',
+                            }}>DBR</span>
+                          )}
                         </td>
                         <td style={{ padding: '11px 14px', fontFamily: 'var(--font-mono)', fontSize: 12, color: 'var(--text2)' }}>
                           {task.start_date ? (

libs/backtest/domain.py

@@ -803,6 +803,40 @@ PARKING_PRESETS: dict[str, dict] = {
         "cash_parking_overlay_shock_brake_sma_buffer": 0.005,
         "cash_parking_overlay_shock_brake_rv_ratio_upper": 0.45,
     },
+    # ── Brake v2 + wider TQQQ vol threshold (0.22→0.26): more TQQQ exposure in moderate-vol regimes ──
+    "qqqm_low_dd_tqqq_active_v2_gld_brake_v2_vol026": {
+        "cash_parking_enabled": True,
+        "cash_parking_symbol": "qqqm",
+        "cash_parking_gate_mode": "volatility",
+        "cash_parking_gate_vol_lookback": 20,
+        "cash_parking_gate_vol_threshold": 0.35,
+        "cash_parking_temperature_threshold": 1.2,
+        "cash_parking_entropy_lookback": 20,
+        "cash_parking_entropy_threshold": 1.45,
+        "cash_parking_require_trend": True,
+        "cash_parking_trend_mode": "momentum",
+        "cash_parking_trend_sma_period": 20,
+        "cash_parking_trend_reentry_pct": 0.001,
+        "cash_parking_autocorr_threshold": 0.0,
+        "cash_parking_topup_max_peak_drawdown_pct": 0.02,
+        "cash_parking_reserve_pct": 0.0,
+        "cash_parking_low_vol_overlay_symbol": "tqqq",
+        "cash_parking_low_vol_overlay_vol_threshold": 0.26,       # raised from 0.22 → more TQQQ in moderate vol
+        "cash_parking_low_vol_overlay_temperature_max": 1.05,
+        "cash_parking_low_vol_overlay_entropy_max": 1.45,
+        "cash_parking_defensive_symbol": "gld",
+        "cash_parking_defensive_relay_enabled": True,
+        "cash_parking_defensive_relay_trigger_mode": "always",
+        "cash_parking_defensive_relay_risk_score_max": 100.0,
+        "cash_parking_defensive_momentum_min": 0.05,
+        "cash_parking_overlay_shock_brake_enabled": True,
+        "cash_parking_overlay_shock_brake_rv_ratio": 99.0,
+        "cash_parking_overlay_shock_brake_dd5_pct": 1.0,
+        "cash_parking_overlay_shock_brake_sma_cross": False,
+        "cash_parking_overlay_shock_brake_cooldown_days": 2,
+        "cash_parking_overlay_shock_brake_sma_buffer": 0.005,
+        "cash_parking_overlay_shock_brake_rv_ratio_upper": 0.45,
+    },
     # ── Brake v3: wider SMA trigger + longer cooldown for DD headroom ────────────
     "qqqm_low_dd_tqqq_active_v2_gld_brake_v3": {
         "cash_parking_enabled": True,
@@ -1647,6 +1681,7 @@ class RiskConfig(BaseModel):
     veto_unknown_direction: bool = True           # block if event_direction == "unknown"
     veto_bearish_direction: bool = True           # block if event_direction == "bearish"
     fixed_capital_sizing: bool = False            # when True, position sizing uses initial_capital instead of current equity
+    daily_budget_reset: bool = False              # each day, sizing and buying power reset to initial_equity regardless of open positions (for research)
     reaction_size_cap_threshold: float | None = None  # abs(reaction)% above which size scales down (e.g. 0.08)
     momentum_size_scaler_threshold: float | None = None  # pre-event mom_20d above which size scales down (e.g. 0.10)
     momentum_size_scaler_floor: float = 0.3  # minimum scaler for high-momentum entries