Adds three new synthetic-Candidate emitter engines parallel to the
existing leader_follower scheduler hook, plus look-ahead defenses
(LookaheadViolationError + per-engine assertions). Each engine is
covered by a standalone PoC config (no PEAD/parking/idle alpha) for
isolation backtests against the midlarge or broad snapshot.
Engines:
EarningsRunup (libs/backtest/earnings_runup.py)
- Trigger: days_to_earnings ∈ [3,7] AND attention_zscore_20d ≥ 1.5
AND dollar_volume_20d_zscore ≥ 1.0 (all evaluated at T-1 close)
- Entry: T+1 next_open. Exit: -4% / +8% / max_holding_days =
days_to_earnings - buffer (forced flat by close before announcement)
- PIT calendar: PointInTimeEarningsCalendar adapter for backtest;
oracle_surprise_prefetch fallback when parquet calendar absent
- PoC verdict (configs/experiments/earnings_runup_poc_v1.json):
119 trades over 1051 days, +37.27% total return, 44.46% MDD,
SQS 45.2 (profitability=55.5, risk=23.5, robustness=50.1).
VIABLE BUT NEEDS WORK — signal exists; standalone risk profile
too aggressive for v7.356 baseline (8.8% MDD on v7.364). Path
forward: per_trade_risk reduction, VIX gate, position cap, or
integrate as PEAD sleeve adjunct (not as standalone replacement).
PeerSympathy (libs/backtest/peer_sympathy.py)
- Trigger: leader passes PEAD filter (earnings_release / guidance_update
/ material_contract) AND leader reaction_close ≥ +5% AND peer 60d
correlation ≥ 0.55 over [T-65, T-5]. Top-2 peers by correlation
from leader_follower_extra_peer_symbols_by_sector + sector ETF
holdings.
- Entry: T+1 next_open on peer. Exit: -3.5% / +6% / max_holding=3 /
peer-earnings blackout
- PoC verdict (configs/experiments/peer_sympathy_poc_v1.json):
256 trades over 1051 days, -52.92% total return, 54.47% MDD,
SQS 19.6 (profitability=0.0, risk=5.4, robustness=100.0).
DEAD. The leader's catalyst is already absorbed by T+1 next_open
— peers gap up overnight before entry. robustness=100 confirms
the negative result is not noise. Salvage paths (not implemented):
reaction_close entry, raised-guidance-only restriction.
- Note: initial run_id was 0 trades due to a select_candidates
filter mismatch (engine.event_types=['peer_sympathy'] dropping
real event_type='earnings_release' rows). The runner adapter
was patched to bypass strategy_engine filtering for leader
selection; the manual peer_sympathy_leader_event_types filter
does the gating.
VolBreakout52w (libs/backtest/vol_breakout_52w.py)
- Trigger: close_T-1 > max(high[T-252:T-2]) AND volume_T-1 ≥
2 × median_volume_20d_T-2 AND ATR_14_T-1/close ∈ [0.015, 0.06].
Entry T next_open, exit -3% / +5% / max_holding=2 / MOC.
- Honest, look-ahead-safe descendant of the retired topgainer v1-v54
family. Five layers of strict-before assertions guard the bar
provider, candidate construction, trigger evaluation, and feature
timestamps. A leaky-provider proof-by-contradiction test
demonstrates the categorical catch.
- PoC verdict (configs/experiments/vol_breakout_52w_poc_v1.json,
broad-liquid universe): 1,332 trades, -87.28% total return,
88.74% MDD, SQS 24.4 (profitability=0.0, robustness=100.0).
DEAD AND HONEST. This is the most important finding of the three
PoCs: the topgainer v1-v54 lineage's headline returns (+267%
Sharpe 13.73 in best variants) were 100% lookahead bug. With
the bug removed, the 52w-high + volume + ATR signal has no real
alpha — the lookahead-corrected -4.3% from prior memory is
confirmed and amplified to -87% on a fuller universe and longer
horizon. Future "revive topgainer" proposals can cite this run
(bt_return_max_long_v1_broad-liquid_20260509042903892342_3bb473d9)
as definitive falsification.
- Pre-open gap guard inactive (no premarket data in broad snapshot).
skip_if_no_gap_data=true; the +4% gap-fade guard would not move
the result given the magnitude.
Shared infrastructure additions:
- libs/backtest/domain.py: LookaheadViolationError class +
StrategyEngineConfig fields (11 EarningsRunup + 11 PeerSympathy
+ 13 VolBreakout52w = 35 new fields)
- apps/backtester/run.py: _BacktestAttentionZscoreAdapter,
_RunnerPeerResolver, _schedule_earnings_runup_candidates,
_schedule_peer_sympathy_candidates,
_schedule_vol_breakout_52w_candidates wired into the daily
scheduler block. PeerSympathy adapter bypasses strategy_engine
filtering on leader selection (manual filter handles gating).
Tests: 21 (EarningsRunup) + 27 (PeerSympathy) + 38 (VolBreakout52w)
= 86 new unit tests, all passing. Broader unit suite: 1392 passed,
2 pre-existing failures unrelated.
Net engine state: EarningsRunup is the only viable new engine class.
PeerSympathy and VolBreakout52w are kept in-tree as falsification
evidence, not as production engines.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
Pre-market label_generator runs request future-dated price windows from
Stock Oracle, which correctly returns 404 because the data does not yet
exist. The labeler was swallowing this as label_status='unavailable' with
entry_date=None. Snapshot export then filtered these rows out, so live
PEAD trading silently lost candidates whose entry_dates fell on
later trading days (e.g., post-market 8-K filings late Friday → Monday
open entry). This explains today's missed RKLB/SNDK/AKAM/MNST/AMD/MRNA
even though their 8-Ks parsed correctly.
Changes:
- libs/labeler/label_generator.py: in 404/empty-bars path, when
entry_date >= today, preserve entry_date and mark label_status='pending'.
New log event label_price_pending_future_window distinguishes from real
data-unavailable failures (past dates still log label_price_unavailable).
- libs/export/snapshot_export.py: include 'pending' in the
label_status filter so today's not-yet-labeled events flow into the
live snapshot.
- apps/pipeline/label_generator/main.py: regeneration logic also
retries existing 'unavailable' rows whose entry_date is null or future
to recover events already mis-labeled in the DB.
- tests/unit/test_labeler.py: regression test reproducing the
RKLB/SNDK/AKAM failure mode and asserting label_status='pending' with
entry_date preserved.
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
룩백 진입 시 NO_PROGRESS 체크 기간(lookback_days_elapsed >= np_days)이 이미
지난 후보를 _process_entries 호출 전에 필터링. 현재 종가가 원래 진입가 기준
progress threshold 미달이면 진입 거부.
백테스트와 live paper trader 간 행동 불일치 원인: 세션 생성일이 이벤트 발생일
이후인 경우 룩백 기능이 NO_PROGRESS 조건을 무시하고 진입, 백테스트가
청산했을 포지션을 그대로 보유하는 문제 수정.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- List all orb_gainers_*.yaml configs via GET /orb-scanner/strategies (reads _meta.name)
- _get_params() now accepts strategy_id with per-strategy dict cache
- exit_check() replaces hardcoded stop constants (0.75/0.6/0.2/1.0/1.5) with params fields
- check() and gainers_scan() accept optional strategy param
- Frontend: strategy dropdown in page header (localStorage persisted)
- Position.strategy locked at add-time so exit checks always use entry-strategy params
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- registry.json: change _ftb_fix_v2 from manual_only to auto_full_rebuild so
backtest auto-refreshes when snapshot doesn't cover the requested period
- run.py: return [] (not all_trading_days fallback) when parking cap pushes
requested_end before requested_start, preventing silent wrong-date-range runs
- run.py: allow 1-trading-day lag tolerance in parking cap so a single lagging
symbol (e.g. QQQM shortly after close) doesn't cap the whole simulation
- backtest_sim.py: log incremental_update_failed_falling_back warning so
silent fallback to full rebuild is visible in direct-mode logs
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
_process_entries silently let cash-capped plans through — e.g. a $1k
session with 0.55 risk sized NOW at 1 share, triggering parking
liquidation of only 2 TQQQ instead of the full balance needed for
the risk-based target. Broaden the _cash_limited trigger to include
plans where plan.shares < risk-based target, and size the liquidation
needed against that target instead of plan.shares. Mirrors the
engine_batches loop fix from the prior commit. cmd_run was also
constructing the engine without snapshot_store, so run daily's
lookback entry path never fired — route it through _make_engine.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
On the last simulation day, parking was entered at EOD close price
(when _had_event_activity_today=True) and immediately liquidated at
close by end-of-backtest cleanup → entry == exit → PnL = 0.
Fix: force all six parking entry code paths to use "open" price when
date == last_simulation_date, so entry and cleanup-close are always
different prices.
Also adds _parking_cap logic in _extend_store_to_requested_window to
cap _requested_end_date at the last date where QQQM/TQQQ/SGOV all
have Oracle close-price data, preventing the simulation from including
days where macro is incomplete and the exit fallback would fire.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Previously close_position(..., fill_price=X) was silently swallowed by
**kwargs while the DB wrote the simulated exit_price — broker and ledger
drifted on every exit.
- AlpacaBroker.close_position drops the **kwargs sink; docstring documents
that callers must poll get_order(order.id) for the actual filled_avg_price
- _poll_exit_fill(order_id, symbol, timeout=30s) added; 1s interval, returns
actual Alpaca fill price, logs timeout/terminal status
- 3 exit sites now poll and write the actual fill + re-derive net_pnl
with direction-aware sign (short-safe for future short configs):
run_daily main exit path (simulate_exit)
_monitor_close (intraday stop/target hits)
_process_exits (scheduled & forced exits incl. partial T1)
- WARN-level "paper_engine_exit_fill_drift" when actual vs simulated
diverges >0.5% so drift is visible in logs even when non-pathological
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- _is_market_open() now queries Alpaca's get_clock() so holidays, early
closes, and halted markets no longer skip orders; falls back to weekday
9:30–16:00 ET only on broker error (1.B.3)
- AlpacaBroker.get_clock() + MarketClock dataclass wrapping alpaca-py's
TradingClient.get_clock()
- PaperTradingEngine logs scoring_model at session startup (WARNING level)
so multi-session daemon makes the live-path scorer dispatch explicit
in every boot log — verifies v7.356 config's return_max_long_v13e
actually reaches _compute_score (1.C.1)
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- v7.356 config: swap dataset_snapshot_id from manual_only ftb_fix_v2 to
auto_full_rebuild base canonical so paper trader can refresh snapshot
(root cause of processed_events=0 for 30 days)
- Multi-session order isolation (1.A.2/1.A.3): tag client_order_id with
pt-{session_id[:8]}-{uuid} prefix on all entry orders; _cancel_stale_orders
filters by own session prefix so one session no longer ghost-cancels another's
orders on shared Alpaca account
- Pipeline halt on failure (1.B.1): _run_pipeline returns bool and stops on
first subprocess failure instead of silently progressing with stale data
- Daemon restart window skip (2.2): run_open/run_close only marked completed
if processed_phases DB confirms prior execution — no more trading-less days
after mid-day restart
- event_parser: periodic batch commits every 500 docs (hypothesis fix for
3h hangs; unverified — may just be slow serial Oracle calls)
- Tests updated for _verify_order_fill tuple return + new cross-session
isolation test; all 23 paper_trader unit tests green
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Parking positions now use parking_state.avg_price instead of Alpaca's
blended avg_entry_price, which gets polluted when multiple sessions
share one broker account.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Tests momentum_20d, grav_pull_20_50, range_pos_52w, obv_slope_20 on V46's
284-trade set (400d). All signals collapse vs V24 base: best G2=0.118R
(momentum_20d) vs 0.291R on V24 and pre-committed gate of 0.30R.
Composite gate (2+ features ≥ 0.20R) also fails. Axis permanently closed.
V46's PEAD event catalyst selection fundamentally changes the ticker/entry
universe vs V24's pure momentum base — momentum signals non-transferable.
V47 requires new data sources (options flow, 13F institutional ownership).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- scripts/backfill_finra_short_volume_cdn.py: bulk backfill FINRA short
sale CDN files (400d) into short_sale_daily table (382K rows inserted)
- apps/intraday_bt/scripts/diag_orb_short_volume_v46.py: Phase 1 diagnostic
on V46 400d trade set (180 trades, 99% coverage)
- scripts/audit_short_volume_coverage.py: fix asyncpg date param types
Result: all three short-ratio features fail G2 (max +0.168R vs gate 0.30R).
Direction is INVERTED from Boehmer (short squeeze dominates over informed-bear
signal in gap-up ORB). V25 axis permanently closed. V46 terminal.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Was using non-existent gap_pct key in enrichment dict; now computes from
today_open and prev_close fields. V30 results: hurst INVERTED+G2 FAIL,
ou_theta G1 FAIL (near-zero Pearson). gap_vs_market re-running as V30b.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
5 1-min microstructure features tested on V24 200d trade set (n=101).
range_coil_orb shows directional signal (Pearson=-0.128, WR gap +9.9pp)
but fails G1 (n=101 < 120) and G2 (avg_R gap 0.195R < 0.30R threshold).
p-value ~0.10 — insufficient for promotion. V24 remains champion.
Script fetches 1-min bars from Oracle and caches to data/cache/intraday_1min/.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Phase 1 diagnostic (diag_orb_short_volume.py) tests 3 short-ratio features
(prior-day, 20d avg, 20d z-score) on V24 200d trade set via FINRA CDN data.
All features fail all gates (|Pearson| ≤ 0.062, avg_R gap < 0.30R, WR gap < 5pp).
Direction inverts Boehmer 2020 hypothesis: high short ratio correlates positively
with ORB r_multiple (short-squeeze dynamics dominate at intraday ORB timescale).
V25 short-volume overlay not wired. V24 remains live champion.
Also adds scripts/audit_short_volume_coverage.py (Phase 0 DB coverage audit).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Should be actual_sym (defined in _parking_evaluate_gate scope),
not sym (which is only defined in _parking_buy).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
If Oracle is unreachable at 09:20 ET, without this check the pre-screen silently
waits through 5 chunks × 15s timeout (75s) before logging the empty-bars warning.
The new 3s probe logs a CRITICAL warning immediately so the operator can restart
Oracle before the market opens.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
os.kill(pid, 0) returns success for zombie (defunct) processes.
Added ps stat check — if process is in Z state, treat as dead and
clean up PID file so subsequent start() calls work correctly.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- Paper trader: Alpaca broker fixes, catchup-thread state improvements
- Web GUI: intraday backtest duplicate run button, paper trading fixes
- Experiment registry: cleanup old v15/v16 experiments, update index
- Tests: Oracle client test additions
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
_parking_evaluate_gate() was returning only QQQM or SGOV, never TQQQ,
because the low-vol overlay logic (_evaluate_low_vol_overlay_target in
backtester) was not implemented in the live engine. Add overlay check
at the end of the gate: vol threshold, temperature, entropy, and Hurst
R/S analysis — matching the backtester's conditions exactly.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Bug: pending candidate DB records were only swept inside the "has open
positions" branch of run_eod_exit, so a server restart mid-day (ORB
detection ran, no breakouts, no positions) left candidates as "pending"
forever.
Fix: move the in-memory and DB pending sweep to run unconditionally before
the positions check.
Test: TestEodDbSweep verifies both code paths (no-position + in-memory).
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- run_eod_exit now queries DB for any pending candidates not in-memory
(guards against server restart mid-day leaving zombie pending records)
- Remove compound_returns=True force-override; live engine doesn't use it
and V23 config has compound_returns=false
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- screener.py: add min_atr_pct/max_atr_pct filters to live_pre_screen
- engine.py: prepend regime ticker (QQQ) to bar fetch so regime filter works
- engine.py: add rolling loss + account circuit breaker at run_orb_detection
- engine.py: patch today_open from first 1-min bar so regime gap is real
- engine.py: explicit regime + breadth filter before compute_orb_candidates
- engine.py: max_simultaneous_entries guard in run_breakout_check
- engine.py: _compute_sizing_capital with daily_budget_reset (fixed $10k base),
drawdown governor, and streak sizing (win bonus / loss penalty)
- engine.py: trailing_tighten_at_r in run_stop_check (tight multiplier at 2R)
Bug fixes in _compute_sizing_capital:
- streak direction: remove reversed() so outcomes[0] = newest trade
- daily reset: use initial_equity as base (not growing equity), matching V23
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
Make _parking_buy async (asyncio.sleep instead of time.sleep) and extend
confirmation from 5s to 30s per attempt with up to 3 retries on timeout.
On timeout, cancels the stale order before retrying with fresh price data.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
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>
All five build_planned_order() calls in apps/paper_trader/engine.py were
missing execution_config, causing build_planned_order to fall back to
base config.execution and silently ignore per-engine target_1_r_override,
target_1_fraction_override, max_holding_days, tiered-target settings, etc.
The backtester has always passed execution_config=_build_effective_execution_config()
(run.py:2210). This divergence caused paper trading to compute wrong target
prices and partial-exit fractions — e.g. AVGO entered with target_r=1.5
(base) instead of 3.0 (engine override), triggering a premature partial
exit on 4/15 that the backtest never produced.
Fix: add execution_config=build_effective_execution_config(candidate, self._config)
to all five call sites and hoist the function to the module-level import.
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- Add Copy button per run row in Run History table; opens pre-filled RunConfigPopup
with original run's period/universe/compound_returns settings
- Make RunConfigPopup larger (500px wide) and more spacious with proper header/X button
- Prevent dialog from closing on backdrop click; only Cancel or X button closes it
- Range date inputs laid out side-by-side in 2-column grid
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- When _parking_liquidate_for_event returns False but parking had shares
(sell failed due to transient Alpaca error), skip without recording so
event retries on next run_next_open instead of being permanently blocked
- Improve parking_sell_for_event_failed log: include exc_type, symbol, qty
so we can see the actual exception (was silently swallowed with empty msg)
- Also deleted AVGO from processed_events so it retries tomorrow
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- AutoScheduler._run_catchup: if server starts after 9:35 AM ET but before
market close (16:00 ET), and run_open hasn't already run today
(checked via processed_phases), run it immediately instead of silently
skipping it — prevents AVGO/event entries being missed on late starts
- filing_poller: log exc_type alongside error so empty-string exceptions
(e.g. HTTPError()) are still identifiable by their type
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- screener: switch from non-existent single-ticker endpoint to multi-ticker
/alpaca/intraday batch calls (grouped by date, chunk ≤ 75); fixes 0-trades
- cache: bump version 2→3 to invalidate stale IEX Parquet files
- oracle_client: add get_multi_intraday_bars_today() for IEX real-time feed
- paper_trader: use /alpaca/intraday/today for live sessions, /alpaca/intraday
for historical (SIP)
- intraday.py: define _BUILTIN_STRATEGIES={} to fix /api/orb/strategies import
- delete orb_p1–p10_winner + variant configs; add strategies/orb_default.yaml
(Phase 10 params) as the single registered web strategy
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
- Add run_pre_screen() at 9:20 ET: fetch daily bars + enrichment + quality filter
before market open, narrowing universe for faster orb_detect intraday fetch
- run_orb_detection() uses cached pre-screen data when available; falls back to
full pipeline if pre_screen missed (late start, failure)
- Add _last_trading_day() helper to skip weekends/holidays for bars_end,
preventing Alpaca 502 on Mondays (today-1 = Sunday was causing failures)
- Fix Oracle client chunk_size 300→75: Alpaca rejects 100+ ticker URL requests
- Add pre_screen event to build_schedule() at 9:20 ET and dispatch in _run_trading()
- run_session_now() runs pre_screen before orb_detect for efficiency
- Add ORB daemon, engine, models, state, screener, and intraday strategy configs
- Add intraday library (libs/intraday/) and web routes for ORB/intraday trading
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
I Luk Kim