Adds overlay strategy backtesting, flexible date parsing, --no-trades flag,
--rank range selection, session management improvements, circuit breaker
for screener failures, and bars_cache passthrough for 10x speed gain.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Phase 1-4 of engine unification to eliminate research/live divergence.
Phase 1 — Scoring (event_detector.py):
EventDetector now uses config's scoring_model (v5/v9 etc.) when
event_v1 features are present (parse_confidence_overall not null).
Falls back to compute_entry_score only for incomplete events.
Phase 2 — Execution config (execution.py):
Extracted build_effective_execution_config() as shared function.
BacktestRunner delegates to it. PaperTradingEngine can now use
identical per-engine overrides, adaptive exit, tiered targets.
Phase 3 — Attention filtering (attention.py):
New AttentionFilterService class extracted from BacktestRunner.
Provides: engine_requires_attention, apply_filters, rescoring.
BacktestRunner now delegates to this service.
PaperTradingEngine can import and use the same service.
Phase 4 — Gap cap (execution.py):
check_next_open_gap_cap() shared function for next-open gap rejection.
All 450 unit tests pass. Paper backtest verified working.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
The DB-first approach (prefer feature_json over Oracle recalculation) caused:
- LMND (+$782) and M (+$1,052) trades to disappear
- TEM loss to increase from -$321 to -$535
- Overall PnL drop from +$5,948 to +$3,078
Root cause: DB features were computed at a different time with different
Oracle data. When paper trader used DB values, the feature values didn't
match what the backtester's Parquet snapshot had, causing different
engine gate outcomes.
Paper trader must use Oracle real-time enrichment as primary source
(same as the original design). The volume_ratio_20d field name fix
is retained as that was a genuine bug.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
The _compute_score → v5 dispatch caused v5's hard gates to reject almost
all events (v5 requires specific direction/guidance combos). This killed
all 2025 trades in paper backtest.
Root cause: BacktestRunner and PaperTradingEngine use different flows.
BacktestRunner applies scoring AFTER engine selection (engines have
score_threshold_override=0.0 that bypasses score gates). But EventDetector
applied scoring BEFORE engine matching, causing v5's hard gates to reject
events that engines would have accepted.
Fix: revert to compute_entry_score for EventDetector. Score is ranking-only
in paper trading; engine gates (reaction_min, close_min, etc.) handle filtering.
The volume_ratio_20d fix and DB-first feature fix remain in place.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
Three critical inconsistencies between BacktestRunner and PaperTradingEngine
that caused gate fixes to not work in paper trading:
1. DB feature values now take priority over Oracle recalculation
- Previously: Oracle bars always recomputed reaction_day_return etc.
- Now: if DB feature_json has the value, Oracle fallback is skipped
- Root cause of PII bug: DB had react=-5.3% but Oracle recomputed +13.9%
due to different date alignment, bypassing engine reaction_min gate
2. Scoring now uses config's scoring_model (v5/v8/v9/v10 etc.)
- Previously: always used compute_entry_score() regardless of config
- Now: _compute_score() dispatches to the correct scoring function
- Ensures hard gates and weights match between backtest and paper trading
3. volume_ratio_20d field name consistency (from prior commit)
These fixes ensure paper trading results match backtester behavior,
making engine gate changes (reaction_min, close_min, etc.) effective
in both systems.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
EventDetector computed volume_ratio as fallback but selector checks
volume_ratio_20d. When DB feature_json was missing this field, the
volume gate was silently bypassed in paper trading — allowing trades
like LKQ (vol=0.8) that the backtest correctly blocks.
Now sets both volume_ratio_20d and volume_ratio for consistency.
Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
I Luk Kim