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2459 lines
113 KiB
Python
2459 lines
113 KiB
Python
"""Core domain models for the ACE-F backtester."""
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from __future__ import annotations
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import datetime as dt
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from enum import Enum
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from typing import Any
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from pydantic import BaseModel, ConfigDict, Field
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class PositionStatus(str, Enum):
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PLANNED = "PLANNED"
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ENTERED = "ENTERED"
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PARTIALLY_EXITED = "PARTIALLY_EXITED"
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OPEN = "OPEN"
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EXIT_PENDING = "EXIT_PENDING"
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CLOSED = "CLOSED"
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ARCHIVED = "ARCHIVED"
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class ExitReason(str, Enum):
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STOP = "STOP"
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TARGET = "TARGET"
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TIME = "TIME"
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DECAY = "DECAY"
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TRAILING = "TRAILING"
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KILL_SWITCH = "KILL_SWITCH"
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END_OF_BACKTEST = "END_OF_BACKTEST"
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MISSING_BAR = "MISSING_BAR"
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NO_FOLLOW_THROUGH = "NO_FOLLOW_THROUGH"
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EARLY_FAILURE = "EARLY_FAILURE"
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NO_PROGRESS = "NO_PROGRESS"
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GIVEBACK = "GIVEBACK"
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RECYCLE = "RECYCLE"
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ROTATION = "ROTATION"
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PARKING = "PARKING"
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DIVIDEND_CAPTURE = "DIVIDEND_CAPTURE"
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class BacktestMode(str, Enum):
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RESEARCH = "research"
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LIVE = "live"
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class Candidate(BaseModel):
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"""An eligible trade candidate derived from a Parquet snapshot row."""
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model_config = ConfigDict(frozen=True)
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event_id: str
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symbol: str
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source_symbol: str | None = None
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issuer_id: str | None = None
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score: float
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sector: str # "UNKNOWN" if unavailable
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event_type: str
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event_timestamp: dt.datetime # must be timezone-aware
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event_date: dt.date | None = None
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filing_time_bucket: str
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timing_class: str = "unknown" # "same_day", "after_close", "unknown"
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reaction_date: dt.date
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execution_date: dt.date # mapped from Parquet entry_date at SnapshotStore boundary
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entry_price_est: float # reaction-day close price
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avg_dollar_volume: float # 20-day mean(volume * close)
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atr_14: float | None = None
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score_bucket: str
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engine_id: str = "default"
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entry_timing_policy: str = "next_open"
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shadow_only: bool = False
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engine_min_entry_price: float | None = None
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engine_max_entry_price: float | None = None
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engine_max_holding_days: int | None = None
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engine_max_positions_per_sector: int | None = None
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engine_max_position_value_pct: float | None = None
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engine_max_adv_fraction: float | None = None
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engine_risk_budget_pct: float = 1.0
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engine_capital_bucket_id: str | None = None
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engine_capital_bucket_allocation_pct: float | None = None
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engine_per_trade_risk_pct: float | None = None
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engine_macro_vix_size_scaler_low: float | None = None
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engine_macro_vix_size_scaler_high: float | None = None
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engine_macro_vix_size_scaler_min: float | None = None
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engine_macro_hy_spread_size_scaler_low: float | None = None
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engine_macro_hy_spread_size_scaler_high: float | None = None
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engine_macro_hy_spread_size_scaler_min: float | None = None
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engine_score_size_scaler_low: float | None = None
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engine_score_size_scaler_high: float | None = None
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engine_score_size_scaler_min: float | None = None
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engine_entropy_size_scaler_low: float | None = None
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engine_entropy_size_scaler_high: float | None = None
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engine_entropy_size_scaler_min: float | None = None
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engine_target_atr_multiplier: float | None = None
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engine_stop_atr_multiplier: float | None = None
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engine_target_1_r: float | None = None
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engine_target_1_fraction: float | None = None
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engine_trailing_model: str | None = None
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engine_trailing_warmup_days: int | None = None
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engine_use_reaction_day_low_stop: bool | None = None
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engine_early_failure_close_below_entry_and_reaction_close: bool | None = None
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engine_early_failure_no_progress_days: int | None = None
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engine_early_failure_no_progress_r: float | None = None
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engine_early_failure_no_progress_fraction: float | None = None
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engine_dynamic_hold_checkpoints: list[list[float]] | None = None
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engine_dynamic_hold_extend_day: int | None = None
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engine_dynamic_hold_extend_r: float | None = None
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engine_dynamic_hold_extend_to: int | None = None
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engine_veto_oneoff_penalty: float | None = None
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engine_allow_oneoff_downsizing: bool | None = None
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engine_oneoff_downsize_floor: float | None = None
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engine_veto_parse_confidence_min: float | None = None
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engine_allow_unknown_direction: bool | None = None
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engine_next_open_gap_cap_pct: float | None = None
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engine_add_on_max_count: int | None = None
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engine_add_on_size_fraction: float | None = None
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trade_symbol_mode: str = "event" # "event", "sector_etf", "peer_proxy"
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trade_direction: str = "long" # "long" or "short"
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engine_forced_trade_direction: str | None = None # explicit engine override, e.g. contrarian long on bearish
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parent_position_id: str | None = None
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is_add_on: bool = False
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forced_shares: int | None = None
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features: dict[str, Any] = Field(default_factory=dict)
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class PlannedOrder(BaseModel):
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"""A sized, gated order plan for a candidate."""
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model_config = ConfigDict(frozen=True)
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candidate: Candidate
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shares: int
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entry_price_limit: float
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stop_price: float
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target_price: float
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risk_dollars: float
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event_date: dt.date | None = None
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timing_class: str = "unknown"
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engine_id: str = "default"
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entry_timing_policy: str = "next_open"
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shadow_only: bool = False
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parent_position_id: str | None = None
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is_add_on: bool = False
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skip_reason: str | None = None # non-None means the order was rejected
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class FilledTrade(BaseModel):
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"""A completed (closed) trade leg."""
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model_config = ConfigDict(frozen=True)
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trade_id: str
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position_id: str
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event_id: str
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symbol: str
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source_symbol: str | None = None
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event_date: dt.date | None = None
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event_type: str = ""
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score: float = 0.0
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timing_class: str = "unknown"
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engine_id: str = "default"
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entry_timing_policy: str = "next_open"
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shadow_only: bool = False
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parent_position_id: str | None = None
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is_add_on: bool = False
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trade_symbol_mode: str = "event"
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entry_date: dt.date
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exit_date: dt.date
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entry_price: float
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exit_price: float
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exit_reason: ExitReason
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shares: int
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commission: float
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slippage_bps: float
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gross_pnl: float
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net_pnl: float
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pnl_pct: float
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r_multiple: float
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holding_days: int
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class OpenPosition(BaseModel):
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"""A live open position (mutable throughout its lifetime)."""
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position_id: str
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plan: PlannedOrder
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entry_date: dt.date
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entry_price: float
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entry_fill_slippage_bps: float
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current_stop: float
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target_price: float
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peak_price: float
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shares_open: int
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shares_total: int
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parent_position_id: str | None = None
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is_add_on: bool = False
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days_held: int = 0
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status: PositionStatus = PositionStatus.ENTERED
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partial_fills: list[FilledTrade] = Field(default_factory=list)
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class DailyPortfolioState(BaseModel):
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"""Immutable snapshot of portfolio state at end of a trading day."""
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model_config = ConfigDict(frozen=True)
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date: dt.date
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equity: float
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sizing_equity: float | None = None # equity used for position sizing; defaults to equity when None
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cash_available: float
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gross_exposure: float
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net_exposure: float
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reserved_risk_budget: float
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unrealized_pnl: float
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realized_pnl: float
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open_positions: list[str] = Field(default_factory=list) # position_ids
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daily_new_risk_used: float
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peak_equity: float
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current_drawdown_pct: float
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# Idle capital decomposition (optional; None when not instrumented)
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raw_cash: float | None = None # self._cash (actual uninvested cash)
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parking_value: float | None = None # market value of parked ETF positions
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idle_alpha_exposure: float | None = None # notional in idle-alpha-sleeve positions
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primary_exposure: float | None = None # notional in primary engine positions
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class MetricsBundle(BaseModel):
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"""21 performance metrics for a completed backtest run."""
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# Trade metrics (7)
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trade_count: int = 0
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win_rate: float | None = None
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avg_win_pct: float | None = None
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avg_loss_pct: float | None = None
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profit_factor: float | None = None
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expectancy_r: float | None = None
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avg_r_multiple: float | None = None
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# Portfolio metrics (8)
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total_return_pct: float | None = None
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annualized_return_pct: float | None = None
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max_drawdown_pct: float | None = None
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calmar_ratio: float | None = None
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sharpe_ratio: float | None = None
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sortino_ratio: float | None = None
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avg_daily_pnl: float | None = None
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avg_positions_held: float | None = None
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avg_gross_exposure_pct: float | None = None
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avg_net_exposure_pct: float | None = None
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days_in_market_pct: float | None = None
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# Stability metrics (4)
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trade_skewness: float | None = None
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trade_kurtosis: float | None = None
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monthly_win_rate: float | None = None
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equity_curve_r_squared: float | None = None
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# Practicality metrics (4)
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avg_holding_days: float | None = None
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stop_exit_rate: float | None = None
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target_exit_rate: float | None = None
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no_follow_through_exit_rate: float | None = None
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score_bucket_hit_rate: dict[str, float] = Field(default_factory=dict)
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qqq_benchmark_return_pct: float | None = None
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excess_vs_qqq_pct: float | None = None
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long_net_pnl: float | None = None
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short_net_pnl: float | None = None
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long_pnl_contribution_pct: float | None = None
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short_pnl_contribution_pct: float | None = None
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# Simple (non-compounding) return
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simple_return_pct: float | None = None # sum(net_pnl) / initial_equity * 100
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initial_equity: float | None = None # starting capital used for simple return calc
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# Bootstrap confidence intervals (95%)
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bootstrap_cis: dict[str, tuple[float, float] | None] = Field(default_factory=dict)
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# Idle capital decomposition (populated only when raw_cash/parking_value tracked)
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avg_idle_fraction_pct: float | None = None # mean((raw_cash + parking_value) / equity)
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avg_primary_utilization_pct: float | None = None # mean(primary_exposure / equity)
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avg_ia_utilization_pct: float | None = None # mean(idle_alpha_exposure / equity)
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# ---------------------------------------------------------------------------
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# Config models (mirror JSON Schema)
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# ---------------------------------------------------------------------------
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class UniverseConfig(BaseModel):
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min_price: float = 5.0
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min_avg_dollar_volume: float = 1_000_000.0
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min_market_cap_proxy: float | None = None
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exclude_asset_types: list[str] = Field(default_factory=list)
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allowed_exchanges: list[str] | None = None
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class SignalConfig(BaseModel):
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score_threshold: float = 0.5
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max_candidates_per_day: int = 5
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execution_timing: str = "next_open"
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decision_timing: str = "reaction_close"
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ranking_fields: list[str] = Field(default_factory=list)
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ranking_model_path: str | None = None
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scoring_model: str = "default" # "default" or "pead"
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pead_reaction_threshold: float = 0.05
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pead_volume_threshold: float = 1.5
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a_tier_score_threshold: float | None = None
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prior_drift_min: float | None = None
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pre_event_momentum_20d_max: float | None = None # reject if 20d pre-event return > this
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# ---------------------------------------------------------------------------
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# Named cash-parking presets — referenced by RiskConfig.apply_parking_preset()
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# ---------------------------------------------------------------------------
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PARKING_PRESETS: dict[str, dict] = {
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# ── Volatility Only (aggressive) ────────────────────────────────────────
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"vol_20_24": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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},
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"vol_20_25": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.25,
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},
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"vol_30_24": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 30,
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"cash_parking_gate_vol_threshold": 0.24,
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},
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# ── Vol + Momentum (recommended) ────────────────────────────────────────
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"vm_24_m20": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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"cash_parking_require_trend": True,
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"cash_parking_trend_mode": "momentum",
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"cash_parking_trend_sma_period": 20,
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"cash_parking_trend_reentry_pct": 0.02,
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},
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"vm_25_m20": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.25,
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"cash_parking_require_trend": True,
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"cash_parking_trend_mode": "momentum",
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"cash_parking_trend_sma_period": 20,
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"cash_parking_trend_reentry_pct": 0.02,
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},
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"vm_24_m20_r1": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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"cash_parking_require_trend": True,
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"cash_parking_trend_mode": "momentum",
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"cash_parking_trend_sma_period": 20,
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"cash_parking_trend_reentry_pct": 0.01,
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},
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"vm_24_m10": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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"cash_parking_require_trend": True,
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"cash_parking_trend_mode": "momentum",
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"cash_parking_trend_sma_period": 10,
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"cash_parking_trend_reentry_pct": 0.02,
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},
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# ── Entropy (lowest DD) ─────────────────────────────────────────────────
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"ve_10_10": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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"cash_parking_entropy_lookback": 10,
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"cash_parking_entropy_threshold": 1.0,
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},
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"ve_10_12": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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"cash_parking_entropy_lookback": 10,
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"cash_parking_entropy_threshold": 1.2,
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},
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"vme_24_e14": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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"cash_parking_require_trend": True,
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"cash_parking_trend_mode": "momentum",
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"cash_parking_trend_sma_period": 20,
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"cash_parking_trend_reentry_pct": 0.02,
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"cash_parking_entropy_lookback": 20,
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"cash_parking_entropy_threshold": 1.4,
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},
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# ── VRP — Volatility Risk Premium ────────────────────────────────────────
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"vv_24_vrp8": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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"cash_parking_vrp_threshold": 8.0,
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},
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"vmv_24_m20_vrp8": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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"cash_parking_require_trend": True,
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"cash_parking_trend_mode": "momentum",
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"cash_parking_trend_sma_period": 20,
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"cash_parking_trend_reentry_pct": 0.02,
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"cash_parking_vrp_threshold": 8.0,
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},
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# ── Temperature — Vol Acceleration ──────────────────────────────────────
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"vt_24_t13": {
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"cash_parking_enabled": True,
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"cash_parking_symbol": "qqq",
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"cash_parking_gate_mode": "volatility",
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"cash_parking_gate_vol_lookback": 20,
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"cash_parking_gate_vol_threshold": 0.24,
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|
"cash_parking_temperature_threshold": 1.3,
|
|
},
|
|
"vte_24_t12_e12_m20": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.24,
|
|
"cash_parking_temperature_threshold": 1.2,
|
|
"cash_parking_entropy_lookback": 10,
|
|
"cash_parking_entropy_threshold": 1.2,
|
|
"cash_parking_require_trend": True,
|
|
"cash_parking_trend_mode": "momentum",
|
|
"cash_parking_trend_sma_period": 20,
|
|
"cash_parking_trend_reentry_pct": 0.02,
|
|
},
|
|
# ── Hurst Exponent ───────────────────────────────────────────────────────
|
|
"vh_24_h50": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.24,
|
|
"cash_parking_hurst_threshold": 0.50,
|
|
},
|
|
"vmh_24_m20_h50": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.24,
|
|
"cash_parking_require_trend": True,
|
|
"cash_parking_trend_mode": "momentum",
|
|
"cash_parking_trend_sma_period": 20,
|
|
"cash_parking_trend_reentry_pct": 0.02,
|
|
"cash_parking_hurst_threshold": 0.50,
|
|
},
|
|
# ── Multi-Signal ─────────────────────────────────────────────────────────
|
|
"vmeh_24_e14_h50": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.24,
|
|
"cash_parking_require_trend": True,
|
|
"cash_parking_trend_mode": "momentum",
|
|
"cash_parking_trend_sma_period": 20,
|
|
"cash_parking_trend_reentry_pct": 0.02,
|
|
"cash_parking_entropy_lookback": 20,
|
|
"cash_parking_entropy_threshold": 1.4,
|
|
"cash_parking_hurst_threshold": 0.50,
|
|
},
|
|
"composite_v1": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "composite",
|
|
"cash_parking_composite_exit_score": 40,
|
|
"cash_parking_composite_enter_score": 20,
|
|
},
|
|
"composite_v2": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "composite",
|
|
"cash_parking_composite_exit_score": 35,
|
|
"cash_parking_composite_enter_score": 18,
|
|
},
|
|
# ── Drawdown / Combo ─────────────────────────────────────────────────────
|
|
"dd100_8": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "drawdown",
|
|
"cash_parking_gate_drawdown_lookback": 100,
|
|
"cash_parking_gate_drawdown_pct": 0.08,
|
|
},
|
|
"dd100_10": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "drawdown",
|
|
"cash_parking_gate_drawdown_lookback": 100,
|
|
"cash_parking_gate_drawdown_pct": 0.10,
|
|
},
|
|
"vd_24_dd10": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "vol_dd",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.24,
|
|
"cash_parking_gate_drawdown_lookback": 100,
|
|
"cash_parking_gate_drawdown_pct": 0.10,
|
|
},
|
|
# ── Simple / Baseline ────────────────────────────────────────────────────
|
|
"sgov": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "sgov",
|
|
},
|
|
"qqq_no_gate": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.99, # effectively never gates to SGOV
|
|
},
|
|
"qqqm_low_dd": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqqm",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.275,
|
|
"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,
|
|
},
|
|
"qqqm_low_dd_risk25": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqqm",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.275,
|
|
"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_topup_risk_score_max": 25.0,
|
|
"cash_parking_reserve_pct": 0.0,
|
|
},
|
|
"qqqm_low_dd_gld": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqqm",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.275,
|
|
"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_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,
|
|
},
|
|
"qqqm_low_dd_tqqq_calm": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqqm",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.275,
|
|
"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": 0.17,
|
|
"cash_parking_low_vol_overlay_temperature_max": 0.92,
|
|
"cash_parking_low_vol_overlay_entropy_max": 1.15,
|
|
},
|
|
"qqqm_low_dd_tqqq_calm_v2": {
|
|
"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": 0.22,
|
|
"cash_parking_low_vol_overlay_temperature_max": 1.0,
|
|
"cash_parking_low_vol_overlay_entropy_max": 1.45,
|
|
},
|
|
"qqqm_low_dd_tqqq_calm_v2_gld": {
|
|
"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": 0.22,
|
|
"cash_parking_low_vol_overlay_temperature_max": 1.0,
|
|
"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,
|
|
},
|
|
"qqqm_low_dd_tqqq_active": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqqm",
|
|
"cash_parking_gate_mode": "volatility",
|
|
"cash_parking_gate_vol_lookback": 20,
|
|
"cash_parking_gate_vol_threshold": 0.275,
|
|
"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": 0.22,
|
|
"cash_parking_low_vol_overlay_temperature_max": 1.05,
|
|
"cash_parking_low_vol_overlay_entropy_max": 1.30,
|
|
},
|
|
"qqqm_low_dd_tqqq_active_v2": {
|
|
"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": 0.22,
|
|
"cash_parking_low_vol_overlay_temperature_max": 1.05,
|
|
"cash_parking_low_vol_overlay_entropy_max": 1.45,
|
|
},
|
|
"qqqm_low_dd_tqqq_active_v2_gld": {
|
|
"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": 0.22,
|
|
"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,
|
|
},
|
|
"qqqm_low_dd_tqqq_active_v2_gld_brake_v2": {
|
|
"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": 0.22,
|
|
"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,
|
|
# Shock brake: Signal 4 (near-SMA buffer) ONLY — Signals 1-3 disabled
|
|
# Signals 1-3 (rv_ratio, dd5_pct, sma_cross) over-trigger 2023-2024, compounding equity loss
|
|
# Signal 4 correctly fires Dec 11 (SmaGap=0.37%, vol5/vol20=0.284>0.25) without false alarms
|
|
"cash_parking_overlay_shock_brake_enabled": True,
|
|
"cash_parking_overlay_shock_brake_rv_ratio": 99.0, # Signal 1: effectively disabled
|
|
"cash_parking_overlay_shock_brake_dd5_pct": 1.0, # Signal 3: effectively disabled
|
|
"cash_parking_overlay_shock_brake_sma_cross": False, # Signal 2: disabled
|
|
"cash_parking_overlay_shock_brake_cooldown_days": 2,
|
|
# Signal 4: exit TQQQ when QQQ within 0.5% above SMA10 + vol5/vol20 ∈ (0.25, 0.45)
|
|
# Upper bound 0.45 filters out high-vol days (regular gate handles those) and false alarms.
|
|
# Targets "barely elevated" pre-crash vol signature; fires Dec 11 (0.284) not May 21 (0.529).
|
|
# Same-day re-buy is skipped after brake fires; next day gate decides (SGOV on crash days)
|
|
"cash_parking_overlay_shock_brake_sma_buffer": 0.005,
|
|
"cash_parking_overlay_shock_brake_rv_ratio_upper": 0.45,
|
|
# Dwell cap: disabled (max_hold=4 caused Sep-26 bottom-exit; default 0 = unlimited)
|
|
},
|
|
# ── Bearish Parking (SH inverse ETF) ────────────────────────────────────
|
|
# Two-stage: normal→QQQ, mild stress→SGOV, deep stress→SH
|
|
# Uses composite risk score: < exit_score=QQQ, exit_score→SGOV, > bearish_threshold→SH
|
|
"composite_sh_60": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "composite",
|
|
"cash_parking_composite_exit_score": 40,
|
|
"cash_parking_composite_enter_score": 20,
|
|
"cash_parking_bearish_symbol": "sh",
|
|
"cash_parking_bearish_threshold": 60,
|
|
},
|
|
"composite_sh_65": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "composite",
|
|
"cash_parking_composite_exit_score": 40,
|
|
"cash_parking_composite_enter_score": 20,
|
|
"cash_parking_bearish_symbol": "sh",
|
|
"cash_parking_bearish_threshold": 65,
|
|
},
|
|
"composite_sh_70": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "composite",
|
|
"cash_parking_composite_exit_score": 40,
|
|
"cash_parking_composite_enter_score": 20,
|
|
"cash_parking_bearish_symbol": "sh",
|
|
"cash_parking_bearish_threshold": 70,
|
|
},
|
|
# Option A: strict QQQ re-entry (enter_score=10) — prevents premature QQQ re-entry during bear market rallies
|
|
"composite_sh_60_strict": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqq",
|
|
"cash_parking_gate_mode": "composite",
|
|
"cash_parking_composite_exit_score": 40,
|
|
"cash_parking_composite_enter_score": 10, # much harder to re-enter QQQ
|
|
"cash_parking_bearish_symbol": "sh",
|
|
"cash_parking_bearish_threshold": 60,
|
|
},
|
|
# Option B: SGOV+SH only — no QQQ parking; SGOV when safe, SH when deep stress
|
|
"sgov_sh_60": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "sgov", # base is always SGOV, never QQQ
|
|
"cash_parking_gate_mode": "composite",
|
|
"cash_parking_composite_exit_score": 40,
|
|
"cash_parking_composite_enter_score": 20,
|
|
"cash_parking_bearish_symbol": "sh",
|
|
"cash_parking_bearish_threshold": 60,
|
|
},
|
|
# ── Multi-tier Regime Parking ────────────────────────────────────────────
|
|
# VIX-driven 3-tier rotation: Risk-On→JEPQ, Neutral→QQQM, Risk-Off→SGOV
|
|
# Requires JEPQ price data in Oracle. JEPQ dividend income not modeled in backtest.
|
|
"regime_tiered_jepq": {
|
|
"cash_parking_enabled": True,
|
|
"cash_parking_symbol": "qqqm", # default fallback symbol
|
|
"cash_parking_gate_mode": "regime_tiered",
|
|
"cash_parking_regime_risk_on_symbol": "jepq",
|
|
"cash_parking_regime_neutral_symbol": "qqqm",
|
|
"cash_parking_regime_vix_low_threshold": 20.0,
|
|
"cash_parking_regime_vix_high_threshold": 25.0,
|
|
"cash_parking_regime_hysteresis_buffer": 1.0,
|
|
"cash_parking_reserve_pct": 0.02,
|
|
"cash_parking_stop_pct": 0.045,
|
|
"cash_parking_stop_recovery_days": 5,
|
|
"cash_parking_stop_recovery_pct": 0.02,
|
|
},
|
|
}
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Named idle-alpha sleeve presets — referenced by BacktestConfig
|
|
# ---------------------------------------------------------------------------
|
|
_MICRO_EVENT_ALPHA_ENGINES: list[dict[str, Any]] = [
|
|
{
|
|
"engine_id": "next_open_long_material_contract_mixed_micro_postmarket",
|
|
"selection_priority": -1,
|
|
"event_types": ["material_contract"],
|
|
"event_directions": ["mixed"],
|
|
"guidance_statuses": ["not_provided"],
|
|
"filing_time_buckets": ["post_market"],
|
|
"timing_class": "after_close",
|
|
"direction": "long_only",
|
|
"entry_timing_policy": "next_open",
|
|
"max_holding_days": 12,
|
|
"engine_risk_budget_pct": 0.165,
|
|
"reaction_day_return_min": -0.01,
|
|
"reaction_day_return_max": 0.04,
|
|
"close_location_min": 0.6,
|
|
"close_location_max": 1.0,
|
|
"gap_size_min": -0.02,
|
|
"gap_size_max": 0.02,
|
|
"volume_ratio_min": 0.5,
|
|
"volume_ratio_max": 1.9,
|
|
"max_market_cap_proxy": 15000000000.0,
|
|
"document_quality_score_min": 0.5,
|
|
"parse_confidence_overall_min": 0.45,
|
|
"score_threshold_override": 0.0,
|
|
"residual_reserve_selected": True,
|
|
"post_allocation_idle_only": True,
|
|
"next_open_gap_cap_pct": 0.02,
|
|
"early_failure_close_below_entry_and_reaction_close_override": False,
|
|
"early_failure_no_progress_days_override": 12,
|
|
"early_failure_no_progress_r_override": 0.0,
|
|
"early_failure_no_progress_fraction_override": 1.0,
|
|
"target_1_r_override": 3.0,
|
|
"target_1_fraction_override": 0.1,
|
|
"trailing_warmup_days_override": 12,
|
|
"enabled": True,
|
|
"veto_parse_confidence_min_override": 0.45,
|
|
"per_trade_risk_pct_override": 0.12375,
|
|
"stop_atr_multiplier_override": 3.0,
|
|
"use_reaction_day_low_stop_override": False,
|
|
"pre_event_entropy_60d_max": 2.05,
|
|
"pre_event_market_temperature_max": 1.85,
|
|
"macro_vix_max": 30.0,
|
|
},
|
|
{
|
|
"engine_id": "next_open_long_guidance_mixed_micro_postmarket",
|
|
"selection_priority": -1,
|
|
"event_types": ["guidance_update"],
|
|
"event_directions": ["mixed"],
|
|
"guidance_statuses": ["not_provided"],
|
|
"filing_time_buckets": ["post_market"],
|
|
"timing_class": "after_close",
|
|
"direction": "long_only",
|
|
"entry_timing_policy": "next_open",
|
|
"max_holding_days": 12,
|
|
"engine_risk_budget_pct": 0.12375,
|
|
"per_trade_risk_pct_override": 0.1155,
|
|
"reaction_day_return_min": -0.02,
|
|
"reaction_day_return_max": 0.05,
|
|
"close_location_min": 0.55,
|
|
"close_location_max": 1.0,
|
|
"gap_size_min": -0.02,
|
|
"gap_size_max": 0.025,
|
|
"volume_ratio_min": 0.5,
|
|
"volume_ratio_max": 2.3,
|
|
"max_market_cap_proxy": 15000000000.0,
|
|
"document_quality_score_min": 0.5,
|
|
"parse_confidence_overall_min": 0.45,
|
|
"score_threshold_override": 0.0,
|
|
"residual_reserve_selected": True,
|
|
"post_allocation_idle_only": True,
|
|
"next_open_gap_cap_pct": 0.025,
|
|
"early_failure_close_below_entry_and_reaction_close_override": False,
|
|
"early_failure_no_progress_days_override": 12,
|
|
"early_failure_no_progress_r_override": 0.0,
|
|
"early_failure_no_progress_fraction_override": 1.0,
|
|
"target_1_r_override": 5.0,
|
|
"target_1_fraction_override": 0.1,
|
|
"trailing_warmup_days_override": 12,
|
|
"enabled": True,
|
|
"veto_parse_confidence_min_override": 0.45,
|
|
"stop_atr_multiplier_override": 3.0,
|
|
"use_reaction_day_low_stop_override": False,
|
|
"pre_event_entropy_60d_max": 1.7,
|
|
"pre_event_market_temperature_max": 0.8,
|
|
"pre_event_gravitational_pull_min": 1.0,
|
|
"macro_vix_max": 30.0,
|
|
},
|
|
{
|
|
"engine_id": "next_open_long_earnings_unknown_inline_postmarket_strict",
|
|
"selection_priority": -1,
|
|
"event_types": ["earnings_release"],
|
|
"event_directions": ["unknown"],
|
|
"guidance_statuses": ["inline_or_maintained"],
|
|
"filing_time_buckets": ["post_market"],
|
|
"timing_class": "after_close",
|
|
"direction": "long_only",
|
|
"entry_timing_policy": "next_open",
|
|
"max_holding_days": 12,
|
|
"engine_risk_budget_pct": 0.12375,
|
|
"per_trade_risk_pct_override": 0.066,
|
|
"reaction_day_return_min": -0.02,
|
|
"reaction_day_return_max": 0.04,
|
|
"close_location_min": 0.1,
|
|
"close_location_max": 1.0,
|
|
"gap_size_min": -0.05,
|
|
"gap_size_max": 0.05,
|
|
"volume_ratio_min": 1.2,
|
|
"volume_ratio_max": 3.0,
|
|
"min_market_cap_proxy": 4000000000.0,
|
|
"max_market_cap_proxy": 15000000000.0,
|
|
"document_quality_score_min": 0.5,
|
|
"parse_confidence_overall_min": 0.45,
|
|
"score_threshold_override": 0.0,
|
|
"residual_reserve_selected": True,
|
|
"post_allocation_idle_only": True,
|
|
"veto_parse_confidence_min_override": 0.45,
|
|
"next_open_gap_cap_pct": 0.05,
|
|
"early_failure_close_below_entry_and_reaction_close_override": False,
|
|
"early_failure_no_progress_days_override": 10,
|
|
"early_failure_no_progress_r_override": 0.0,
|
|
"early_failure_no_progress_fraction_override": 1.0,
|
|
"target_1_r_override": 5.0,
|
|
"target_1_fraction_override": 0.1,
|
|
"trailing_warmup_days_override": 10,
|
|
"enabled": True,
|
|
"stop_atr_multiplier_override": 3.0,
|
|
"use_reaction_day_low_stop_override": False,
|
|
"pre_event_entropy_60d_max": 1.9,
|
|
"pre_event_market_temperature_max": 1.1,
|
|
"macro_vix_max": 30.0,
|
|
},
|
|
{
|
|
"engine_id": "next_open_long_bullish_raised_strong",
|
|
"selection_priority": -1,
|
|
"event_types": ["earnings_release"],
|
|
"event_directions": ["bullish"],
|
|
"guidance_statuses": ["raised"],
|
|
"filing_time_buckets": ["post_market"],
|
|
"timing_class": "after_close",
|
|
"direction": "long_only",
|
|
"entry_timing_policy": "next_open",
|
|
"max_holding_days": 20,
|
|
"engine_risk_budget_pct": 0.165,
|
|
"reaction_day_return_min": 0.03,
|
|
"reaction_day_return_max": 0.2,
|
|
"close_location_min": 0.96,
|
|
"volume_ratio_min": 1.2,
|
|
"volume_ratio_max": 6.0,
|
|
"min_market_cap_proxy": 5000000000.0,
|
|
"document_quality_score_min": 0.6,
|
|
"parse_confidence_overall_min": 0.6,
|
|
"score_threshold_override": 0.0,
|
|
"residual_reserve_selected": True,
|
|
"post_allocation_idle_only": True,
|
|
"next_open_gap_cap_pct": 0.1,
|
|
"early_failure_close_below_entry_and_reaction_close_override": False,
|
|
"early_failure_no_progress_days_override": 12,
|
|
"early_failure_no_progress_r_override": 0.0,
|
|
"early_failure_no_progress_fraction_override": 1.0,
|
|
"target_1_r_override": 5.0,
|
|
"target_1_fraction_override": 0.1,
|
|
"trailing_warmup_days_override": 10,
|
|
"enabled": True,
|
|
"per_trade_risk_pct_override": 0.12375,
|
|
"stop_atr_multiplier_override": 3.9,
|
|
"use_reaction_day_low_stop_override": False,
|
|
"pre_event_entropy_60d_min": 1.97,
|
|
},
|
|
]
|
|
|
|
_MICRO_EVENT_ALPHA_BREADTH_ENGINE: dict[str, Any] = {
|
|
"engine_id": "idle_macro_breadth_smh_postalloc",
|
|
"selection_priority": -2,
|
|
"timing_class": "after_close",
|
|
"direction": "long_only",
|
|
"entry_timing_policy": "next_open",
|
|
"max_holding_days": 2,
|
|
"engine_risk_budget_pct": 0.022,
|
|
"per_trade_risk_pct_override": 0.0033,
|
|
"stop_atr_multiplier_override": 1.9,
|
|
"target_1_r_override": 99.0,
|
|
"target_1_fraction_override": 0.0,
|
|
"trailing_warmup_days_override": 1,
|
|
"early_failure_close_below_entry_and_reaction_close_override": False,
|
|
"next_open_gap_cap_pct": 0.018,
|
|
"macro_long_symbol": "SMH",
|
|
"macro_long_trade_symbol_mode": "fixed",
|
|
"macro_long_reaction_day_return_min": 0.018,
|
|
"macro_long_volume_ratio_min": 1.1,
|
|
"macro_long_gap_size_min": 0.0,
|
|
"macro_long_close_location_min": 0.64,
|
|
"macro_long_breadth_symbols": ["QQQ", "XLK", "SMH"],
|
|
"macro_long_min_breadth_count": 2,
|
|
"macro_long_breadth_reaction_day_return_min": 0.01,
|
|
"macro_long_breadth_close_location_min": 0.6,
|
|
"macro_long_leadership_vs_spy_min": 0.004,
|
|
"macro_vix_max": 27.0,
|
|
"enabled": True,
|
|
"synthetic_only": True,
|
|
"post_allocation_idle_only": True,
|
|
}
|
|
|
|
IDLE_ALPHA_SLEEVE_PRESETS: dict[str, dict[str, Any]] = {
|
|
"micro_event_alpha": {
|
|
"strategy_engines": [
|
|
*(_MICRO_EVENT_ALPHA_ENGINES),
|
|
],
|
|
},
|
|
"micro_event_alpha_plus_event_plus": {
|
|
"strategy_engines": [
|
|
*(_MICRO_EVENT_ALPHA_ENGINES),
|
|
{**_MICRO_EVENT_ALPHA_BREADTH_ENGINE},
|
|
],
|
|
"idle_alpha": {
|
|
"dynamic_allocator_enabled": True,
|
|
"dynamic_allocator_cash_ratio_low": 0.04,
|
|
"dynamic_allocator_cash_ratio_high": 0.16,
|
|
"dynamic_allocator_cash_scale_low": 0.8,
|
|
"dynamic_allocator_cash_scale_high": 1.025,
|
|
"dynamic_allocator_crowded_primary_candidate_count": 6,
|
|
"dynamic_allocator_crowded_primary_unique_sector_count": 4,
|
|
"dynamic_allocator_crowded_scale": 0.79,
|
|
"dynamic_allocator_synthetic_scale_multiplier": 1.03,
|
|
"dynamic_allocator_snapshot_scale_multiplier": 1.02,
|
|
"dynamic_allocator_synthetic_reentry_cooldown_days": 2,
|
|
"dynamic_allocator_min_scale": 0.6,
|
|
"dynamic_allocator_max_scale": 1.045,
|
|
},
|
|
},
|
|
}
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Named dividend-capture sleeve presets — referenced by BacktestConfig
|
|
# ---------------------------------------------------------------------------
|
|
DIVIDEND_CAPTURE_SLEEVE_PRESETS: dict[str, dict[str, Any]] = {}
|
|
|
|
|
|
FORM4_CAPTURE_SLEEVE_PRESETS: dict[str, dict[str, Any]] = {
|
|
"reserve_form4_cluster": {
|
|
"enabled": True,
|
|
"pit_events_path": "data/reference/form4_daily_events_pit.parquet",
|
|
"reserve_pct": 0.04,
|
|
"min_owner_count": 2,
|
|
"min_total_value": 5_000_000.0,
|
|
"min_purchase_pct": 0.0,
|
|
"max_lag_days": None,
|
|
"hold_days": 20,
|
|
"max_positions": 6,
|
|
"max_new_per_day": 2,
|
|
},
|
|
"reserve_form4_cluster_plus": {
|
|
"enabled": True,
|
|
"pit_events_path": "data/reference/form4_daily_events_pit.parquet",
|
|
"reserve_pct": 0.06,
|
|
"min_owner_count": 2,
|
|
"min_total_value": 5_000_000.0,
|
|
"min_purchase_pct": 0.0,
|
|
"max_lag_days": None,
|
|
"hold_days": 20,
|
|
"max_positions": 6,
|
|
"max_new_per_day": 2,
|
|
},
|
|
"reserve_form4_cluster_plus_fresh": {
|
|
"enabled": True,
|
|
"pit_events_path": "data/reference/form4_daily_events_pit.parquet",
|
|
"reserve_pct": 0.06,
|
|
"min_owner_count": 2,
|
|
"min_total_value": 5_000_000.0,
|
|
"min_purchase_pct": 0.0,
|
|
"min_transaction_count": 2,
|
|
"max_lag_days": 2,
|
|
"max_min_lag_days": 1,
|
|
"hold_days": 20,
|
|
"max_positions": 6,
|
|
"max_new_per_day": 2,
|
|
},
|
|
"reserve_form4_cluster_plus_fresh_same_day": {
|
|
"enabled": True,
|
|
"pit_events_path": "data/reference/form4_daily_events_pit.parquet",
|
|
"reserve_pct": 0.06,
|
|
"min_owner_count": 2,
|
|
"min_total_value": 5_000_000.0,
|
|
"min_purchase_pct": 0.0,
|
|
"min_transaction_count": 2,
|
|
"max_lag_days": 2,
|
|
"max_min_lag_days": 1,
|
|
"max_transaction_span_days": 0,
|
|
"hold_days": 20,
|
|
"max_positions": 6,
|
|
"max_new_per_day": 2,
|
|
},
|
|
}
|
|
|
|
|
|
OWNERSHIP_CAPTURE_SLEEVE_PRESETS: dict[str, dict[str, Any]] = {
|
|
"ownership_13d_raise_reserve_plus_strict": {
|
|
"enabled": True,
|
|
"pit_events_path": "data/reference/ownership_13d13g_events_pit.parquet",
|
|
"reserve_pct": 0.15,
|
|
"form_groups": ["13D"],
|
|
"min_percent_owned": 5.0,
|
|
"min_percent_delta_points": 2.0,
|
|
"require_amendment": True,
|
|
"require_initial": False,
|
|
"require_activist": False,
|
|
"require_13g_to_13d_transition": False,
|
|
"hold_days": 30,
|
|
"min_avg_dollar_volume": 10_000_000.0,
|
|
"max_positions": 6,
|
|
"max_new_per_day": 2,
|
|
"min_cash_ratio_for_overlay": 0.25,
|
|
"max_idle_deploy_pct": 0.0,
|
|
},
|
|
"ownership_13d_raise_reserve_ultra_balanced_purpose_plus_cooldown90_r95": {
|
|
"enabled": True,
|
|
"pit_events_path": "data/reference/ownership_13d13g_events_pit.parquet",
|
|
"reserve_pct": 0.95,
|
|
"form_groups": ["13D"],
|
|
"min_percent_owned": 5.0,
|
|
"min_percent_delta_points": 2.0,
|
|
"exclude_housekeeping_purpose": True,
|
|
"exclude_structural_exchange_purpose": True,
|
|
"require_amendment": True,
|
|
"require_initial": False,
|
|
"require_activist": False,
|
|
"require_13g_to_13d_transition": False,
|
|
"symbol_cooldown_days_after_loss": 90,
|
|
"hold_days": 30,
|
|
"min_avg_dollar_volume": 10_000_000.0,
|
|
"max_positions": 6,
|
|
"max_new_per_day": 2,
|
|
"min_cash_ratio_for_overlay": 0.25,
|
|
"max_idle_deploy_pct": 0.0,
|
|
},
|
|
}
|
|
|
|
RISK_OFF_ALPHA_SLEEVE_PRESETS: dict[str, dict[str, Any]] = {
|
|
"risk_off_alpha_gld_crisis65_balanced_refined": {
|
|
"enabled": True,
|
|
"reserve_pct": 0.37,
|
|
"symbols": ["gld"],
|
|
"momentum_lookback_days": 20,
|
|
"min_symbol_momentum": 0.05,
|
|
"min_consecutive_sgov_days": 3,
|
|
"min_parking_risk_score": 65.0,
|
|
"rotation_momentum_gap": 0.02,
|
|
"max_holding_days": 0,
|
|
"min_cash_ratio_for_overlay": 0.0,
|
|
"max_idle_deploy_pct": 0.0,
|
|
},
|
|
"risk_off_alpha_gld_crisis60": {
|
|
"enabled": True,
|
|
"reserve_pct": 0.60,
|
|
"symbols": ["gld"],
|
|
"momentum_lookback_days": 20,
|
|
"min_symbol_momentum": 0.05,
|
|
"min_consecutive_sgov_days": 3,
|
|
"min_parking_risk_score": 60.0,
|
|
"rotation_momentum_gap": 0.02,
|
|
"max_holding_days": 0,
|
|
"min_cash_ratio_for_overlay": 0.0,
|
|
"max_idle_deploy_pct": 0.0,
|
|
},
|
|
"risk_off_alpha_gld_crisis65_heavy": {
|
|
"enabled": True,
|
|
"reserve_pct": 0.70,
|
|
"symbols": ["gld"],
|
|
"momentum_lookback_days": 20,
|
|
"min_symbol_momentum": 0.05,
|
|
"min_consecutive_sgov_days": 3,
|
|
"min_parking_risk_score": 65.0,
|
|
"rotation_momentum_gap": 0.02,
|
|
"max_holding_days": 0,
|
|
"min_cash_ratio_for_overlay": 0.0,
|
|
"max_idle_deploy_pct": 0.0,
|
|
},
|
|
}
|
|
|
|
|
|
class RiskConfig(BaseModel):
|
|
per_trade_risk_pct: float = 0.01 # 1% of equity per trade
|
|
per_trade_risk_pct_a_tier: float | None = None
|
|
max_daily_new_risk_pct: float = 0.03 # 3% of equity per day
|
|
allow_budget_downsizing: bool = False # when True, clip order size to remaining daily/engine risk budget
|
|
allow_oneoff_downsizing: bool = False # when True, clip risk for high one-off candidates instead of hard veto
|
|
oneoff_downsize_floor: float = 0.25 # minimum risk scaler when oneoff_downsizing is enabled
|
|
max_positions: int = 10
|
|
max_positions_per_sector: int = 3
|
|
buying_power_multiplier: float = 1.0 # max gross notional / equity for new long exposure
|
|
max_position_value_pct: float | None = None # max fraction of equity in one position
|
|
max_adv_fraction: float | None = None # max fraction of avg daily volume
|
|
cooldown_after_loss_streak: int = 0 # consecutive losses to trigger cooldown
|
|
cooldown_days: int = 0 # days to sit out after streak
|
|
macro_regime_enabled: bool = False # block entries when SPY < SMA
|
|
macro_regime_size_scaler: float = 1.0 # size scaler when SPY < SMA (< 1.0 = scale down instead of block)
|
|
macro_regime_mode: str = "legacy_spy" # "legacy_spy" or "spy_qqq_scaler"
|
|
macro_regime_neutral_size_scaler: float | None = None
|
|
macro_regime_risk_off_size_scaler: float | None = None
|
|
macro_regime_risk_off_a_tier_only: bool = False
|
|
macro_sma_period: int = 20 # SMA lookback for macro regime
|
|
stop_atr_multiplier: float = 1.5 # ATR multiplier for stop distance
|
|
dynamic_stop_enabled: bool = False # scale ATR multiplier by reaction size & entropy
|
|
dynamic_stop_reaction_low: float = 0.03 # reaction_day_return below this -> tighter stop
|
|
dynamic_stop_reaction_high: float = 0.12 # reaction_day_return above this -> wider stop
|
|
dynamic_stop_reaction_scaler_low: float = 0.8 # ATR scaler for calm reactions
|
|
dynamic_stop_reaction_scaler_high: float = 1.3 # ATR scaler for extreme reactions
|
|
dynamic_stop_entropy_low: float = 1.4 # pre_event_entropy_60d below this -> tighter stop
|
|
dynamic_stop_entropy_high: float = 2.0 # pre_event_entropy_60d above this -> wider stop
|
|
dynamic_stop_entropy_scaler_low: float = 0.85 # ATR scaler for low-entropy stocks
|
|
dynamic_stop_entropy_scaler_high: float = 1.25 # ATR scaler for high-entropy stocks
|
|
dynamic_stop_combined_floor: float = 0.7 # minimum combined scaler
|
|
dynamic_stop_combined_ceiling: float = 1.5 # maximum combined scaler
|
|
backtest_mode: str = "research" # "research" or "live"
|
|
kill_switch_cooldown_days: int = 20 # trading days before reset (research only)
|
|
kill_switch_log_only: bool = False # log-only mode (don't trigger, just observe)
|
|
veto_oneoff_penalty: float = 0.5 # block if oneoff_penalty >= this
|
|
veto_parse_confidence_min: float = 0.4 # block if parse_confidence < this
|
|
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
|
|
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
|
|
momentum_size_scaler_feature: str = "pre_event_momentum_20d" # or "price_vs_sma20"
|
|
contrarian_boost_threshold: float | None = None # pre-event mom_20d below which size scales UP (e.g. -0.03)
|
|
contrarian_boost_max: float = 1.5 # max scaler for low-momentum entries
|
|
high_momentum_max_holding_days: int | None = None # override max_holding_days when mom > threshold
|
|
high_momentum_holding_threshold: float | None = None # momentum threshold for holding day reduction
|
|
vix_size_scaler_low: float = 15.0 # VIX level below which sizing is 1.0 (full)
|
|
vix_size_scaler_high: float = 30.0 # VIX level above which sizing is at minimum
|
|
vix_size_scaler_min: float = 0.35 # minimum size scaler at high VIX
|
|
volatility_size_scaler_enabled: bool = False # inverse-vol position sizing
|
|
volatility_size_scaler_low: float = 0.01 # daily vol below this = full size (1.0)
|
|
volatility_size_scaler_high: float = 0.04 # daily vol above this = min size
|
|
volatility_size_scaler_min: float = 0.5 # floor scaler at high vol
|
|
breadth_throttle_enabled: bool = False # scale down when the daily selected slate is crowded
|
|
breadth_throttle_candidate_count_threshold: int = 8
|
|
breadth_throttle_min: float = 0.7
|
|
sector_crowding_penalty_enabled: bool = False # scale down when too many same-sector candidates compete
|
|
sector_crowding_candidate_count_threshold: int = 3
|
|
sector_crowding_penalty_min: float = 0.65
|
|
tail_risk_adjuster_enabled: bool = False # combined left-tail penalty using reaction/oneoff/orderliness features
|
|
tail_risk_penalty_threshold: float = 0.62
|
|
tail_risk_penalty_min: float = 0.65
|
|
tail_risk_min_signals: int = 2
|
|
tail_exit_adjuster_enabled: bool = False # shorten holds / tighten no-progress exits for high tail candidates
|
|
tail_exit_threshold: float = 0.62
|
|
tail_exit_min_signals: int = 2
|
|
tail_exit_max_holding_days: int | None = None
|
|
tail_exit_no_progress_days: int | None = None
|
|
tail_exit_no_progress_r: float | None = None
|
|
tail_exit_no_progress_fraction: float | None = None
|
|
technical_conviction_boost_enabled: bool = False # boost sizing for favorable technicals
|
|
technical_conviction_boost_max: float = 1.3 # max size multiplier for conviction trades
|
|
seasonal_reset_enabled: bool = False # close all positions before peak event season
|
|
seasonal_reset_month: int = 1 # month to trigger reset (1=Jan → free capital for Feb earnings)
|
|
seasonal_reset_day: int = 20 # day of month to trigger reset
|
|
cash_parking_enabled: bool = False # park idle cash in index when no event positions
|
|
cash_parking_preset: str | None = None # named preset (overrides all other parking params)
|
|
cash_parking_account_type: str = "cash" # "cash" (no PDT, GFV only) or "margin" (PDT day trade rules)
|
|
cash_parking_symbol: str = "spy" # "spy", "spym", "qual", "qqq", "qqqm", "dynamic", "sgov"
|
|
cash_parking_defensive_symbol: str = "spy" # fallback defensive ETF for pair/regime parking ("spy", "spym", "qual")
|
|
cash_parking_defensive_alt_symbol: str | None = None # optional alternate defensive ETF; pick the stronger valid candidate when set
|
|
cash_parking_defensive_relay_enabled: bool = False # when primary gate says SGOV, allow defensive ETF instead if it is still healthy
|
|
cash_parking_defensive_relay_trigger_mode: str = "always" # "always", "turn_of_month", "recovery", "turn_or_recovery"
|
|
cash_parking_defensive_relay_turn_strength_min: float = 0.0 # minimum month-turn strength to allow relay
|
|
cash_parking_defensive_relay_recovery_momentum_days: int = 5 # lookback for rebound confirmation
|
|
cash_parking_defensive_relay_recovery_momentum_min: float = 0.0 # minimum rebound return to allow relay
|
|
cash_parking_defensive_relay_drawdown_accel_max: float = 999.0 # require drawdown damage to be stabilizing/improving
|
|
cash_parking_defensive_relay_risk_score_max: float = 100.0 # hard cap for relay even if exit threshold is wider
|
|
cash_parking_defensive_momentum_min: float = -0.01 # require defensive ETF momentum above this to replace SGOV
|
|
cash_parking_defensive_vol_max: float = 0.0 # optional tighter vol cap for defensive ETF (0 = use parking vol threshold)
|
|
cash_parking_defensive_alloc_pct: float = 1.0 # if <1, allocate this fraction to defensive_symbol and keep the rest in SGOV
|
|
cash_parking_reserve_pct: float = 0.02 # keep this % of equity as cash reserve
|
|
cash_parking_trend_gate: bool = False # only park when price > SMA (skip downtrends)
|
|
cash_parking_gate_sma_period: int = 20 # SMA period for trend gate (10, 20, 50, etc.)
|
|
cash_parking_gate_mode: str = "price_above" # "price_above", "dual_sma", "drawdown", "momentum", "pct_threshold", "combo", "hysteresis", "slope", "breakout", "volatility", "recovery", "vol_trend", "vol_dd", "vol_regime", "guarded_regime", "composite", "science_regime", "science_blend", "relative_strength", "vt_blend", "vt_pair_blend", "regime_tiered"
|
|
cash_parking_composite_exit_score: int = 40 # risk score >= this → SGOV
|
|
cash_parking_composite_enter_score: int = 20 # risk score <= this → QQQ (hysteresis)
|
|
cash_parking_composite_spy_score: int = 28 # science_regime: mid-risk parking goes to defensive ETF below this score
|
|
cash_parking_gate_sma_long: int = 50 # long SMA period for dual_sma mode
|
|
cash_parking_gate_drawdown_lookback: int = 50 # rolling high lookback days for drawdown gate
|
|
cash_parking_gate_drawdown_pct: float = 0.07 # max drawdown from rolling high before SGOV
|
|
cash_parking_gate_momentum_days: int = 20 # N-day return for momentum gate
|
|
cash_parking_gate_pct_threshold: float = 0.02 # must be X% above SMA for pct_threshold gate
|
|
cash_parking_gate_combo_require: int = 2 # how many sub-gates must agree for combo
|
|
# Hysteresis: different entry/exit thresholds
|
|
cash_parking_gate_hyst_enter_pct: float = 0.05 # enter QQQ when dd < this from high
|
|
cash_parking_gate_hyst_exit_pct: float = 0.12 # exit to SGOV when dd > this from high
|
|
# Slope: SMA slope direction
|
|
cash_parking_gate_slope_period: int = 5 # days to measure SMA slope
|
|
# Breakout: new N-day high
|
|
cash_parking_gate_breakout_lookback: int = 50 # new high within N days → QQQ
|
|
# Volatility: realized vol threshold
|
|
cash_parking_gate_vol_lookback: int = 20 # days for vol calculation
|
|
cash_parking_gate_vol_threshold: float = 0.25 # annualized vol threshold (above → SGOV)
|
|
# Recovery: after SGOV, require N-day return > X% to re-enter QQQ
|
|
cash_parking_gate_recovery_days: int = 10 # confirm recovery over N days
|
|
cash_parking_gate_recovery_pct: float = 0.05 # require X% gain to re-enter
|
|
# Proportional vol parking: scale QQQ allocation by vol level
|
|
cash_parking_gate_vol_full_pct: float = 0.15 # vol below this → 100% QQQ
|
|
cash_parking_gate_vol_zero_pct: float = 0.24 # vol above this → 0% QQQ (100% SGOV)
|
|
# Vol TQQQ: ultra-low vol → TQQQ, normal → QQQ, high → SGOV
|
|
cash_parking_gate_vol_tqqq_pct: float = 0.15 # vol below this → TQQQ instead of QQQ
|
|
cash_parking_gate_vol_spy_threshold: float = 0.28 # guarded_regime: vol below this → defensive ETF fallback
|
|
cash_parking_sgov_annual_rate: float = 0.05 # SGOV annualized yield (for "sgov" mode)
|
|
cash_parking_stop_pct: float = 0.0 # parking trailing stop: exit if down X% from peak since entry (0=disabled)
|
|
cash_parking_stop_recovery_days: int = 5 # after stop, require N-day positive return to re-enter
|
|
cash_parking_stop_recovery_pct: float = 0.02 # require X% gain over recovery_days to confirm bounce
|
|
cash_parking_require_trend: bool = False # also require trend confirmation to stay in QQQ
|
|
cash_parking_trend_sma_period: int = 50 # SMA period for trend (sma mode) or lookback days (momentum mode)
|
|
cash_parking_trend_mode: str = "sma" # "sma" (close > SMA) or "momentum" (N-day return > 0)
|
|
cash_parking_trend_reentry_pct: float = 0.0 # momentum must exceed this to re-enter QQQ (0 = same as exit)
|
|
cash_parking_exit_confirm_days: int = 1 # require N consecutive days before risk asset -> SGOV switch
|
|
cash_parking_entry_confirm_days: int = 1 # require N consecutive days before SGOV -> risk asset switch
|
|
cash_parking_stress_reentry_vol_mult: float = 1.0 # after a gate-driven SGOV exit, require vol < threshold * this
|
|
cash_parking_stress_reentry_temperature_mult: float = 1.0 # stricter temperature threshold on re-entry (<1 = tighter)
|
|
cash_parking_stress_reentry_entropy_mult: float = 1.0 # stricter entropy threshold on re-entry (<1 = tighter)
|
|
cash_parking_stress_reentry_autocorr_buffer: float = 0.0 # require autocorr >= base threshold + buffer after gate exit
|
|
cash_parking_topup_min_gain_pct: float = -999.0 # only add new idle cash to an existing risk parking sleeve when current price is above avg by this pct
|
|
cash_parking_topup_min_days_held: int = 0 # require an existing risk parking sleeve to age N days before adding more cash
|
|
cash_parking_topup_risk_score_max: float = 0.0 # maximum composite parking risk score allowed for pullback top-up (0 = disabled)
|
|
cash_parking_topup_max_peak_drawdown_pct: float = 0.02 # block adding new cash when current price is more than this pct below the sleeve's post-entry peak
|
|
cash_parking_vix_reentry_max: float = 0.0 # VIX must be below this to re-enter QQQ (0 = disabled)
|
|
cash_parking_entropy_lookback: int = 20 # days for entropy calculation
|
|
cash_parking_entropy_threshold: float = 0.0 # entropy above this → SGOV (0 = disabled)
|
|
# Novel signals (physics/information theory/financial economics)
|
|
cash_parking_vrp_threshold: float = 0.0 # VRP (VIX - realized_vol*100) above this → SGOV (0=disabled, academic: 8)
|
|
cash_parking_temperature_threshold: float = 0.0 # vol_15/vol_50 ratio above this → SGOV (0=disabled, academic: 1.3)
|
|
cash_parking_hurst_threshold: float = 0.0 # Hurst exponent below this → SGOV (0=disabled, academic: 0.45)
|
|
cash_parking_efficiency_threshold: float = 0.0 # efficiency below this → SGOV (0=disabled)
|
|
cash_parking_downside_vol_threshold: float = 0.0 # downside semivol above this → SGOV (0=disabled)
|
|
cash_parking_ulcer_threshold: float = 0.0 # ulcer index above this → SGOV (0=disabled)
|
|
cash_parking_drawdown_accel_threshold: float = 0.0 # drawdown acceleration above this → SGOV (0=disabled)
|
|
cash_parking_kurtosis_threshold: float = 0.0 # excess kurtosis above this → SGOV (0=disabled, academic: 3.0)
|
|
cash_parking_autocorr_threshold: float = -99.0 # autocorrelation below this → SGOV (-99=disabled, academic: -0.1)
|
|
cash_parking_corr_threshold: float = 0.0 # SPY-QQQ corr below this → SGOV (0=disabled, academic: 0.80)
|
|
cash_parking_low_vol_overlay_symbol: str | None = None # optional overlay symbol (e.g. TQQQ) when regime is ultra-calm
|
|
cash_parking_low_vol_overlay_vol_threshold: float = 0.0 # require QQQ realized vol below this to use overlay
|
|
cash_parking_low_vol_overlay_temperature_max: float = 0.0 # require vol_15/vol_50 <= this to use overlay
|
|
cash_parking_low_vol_overlay_entropy_max: float = 0.0 # require entropy <= this to use overlay
|
|
cash_parking_low_vol_overlay_hurst_min: float = 0.0 # require Hurst >= this to use overlay
|
|
# TQQQ overlay shock brake: demote overlay → base symbol on acceleration signals
|
|
cash_parking_overlay_shock_brake_enabled: bool = False
|
|
cash_parking_overlay_shock_brake_rv_ratio: float = 1.35 # rv5/rv20 > this → brake
|
|
cash_parking_overlay_shock_brake_dd5_pct: float = 0.0225 # QQQ 5-day drawdown > this → brake
|
|
cash_parking_overlay_shock_brake_sma_cross: bool = True # QQQ < SMA10 AND smh_mom_5 < 0 → brake
|
|
cash_parking_overlay_shock_brake_cooldown_days: int = 2 # days before TQQQ re-entry
|
|
cash_parking_overlay_shock_brake_sma_buffer: float = 0.0 # 0=disabled; 0.005=exit when QQQ within 0.5% ABOVE SMA10 (pre-emptive)
|
|
cash_parking_overlay_shock_brake_rv_ratio_upper: float = 0.0 # Signal 4 upper vol bound; 0=disabled; 0.45=only fire when vol5/vol20 in (0.25,0.45)
|
|
# TQQQ overlay dwell cap: limit consecutive hold days and periodic revalidation
|
|
cash_parking_overlay_max_hold_days: int = 0 # max overlay days (0=unlimited)
|
|
cash_parking_overlay_revalidation_days: int = 0 # re-check every N days (0=disabled)
|
|
# TQQQ overlay continuous leverage blend: QQQM+TQQQ dual-position
|
|
cash_parking_overlay_blend_enabled: bool = False # QQQM+TQQQ continuous blend
|
|
cash_parking_overlay_blend_target_vol: float = 0.30 # target parking vol
|
|
cash_parking_overlay_blend_max_leverage: float = 2.3 # max effective leverage
|
|
cash_parking_rotation_fast_momentum_days: int = 10 # fast leadership lookback for relative-strength parking
|
|
cash_parking_rotation_slow_momentum_days: int = 20 # slow leadership lookback for relative-strength parking
|
|
cash_parking_rotation_lead_threshold: float = 0.03 # minimum QQQ score edge vs SPY to prefer QQQM/QQQ
|
|
cash_parking_rotation_strong_threshold: float = 0.08 # strong QQQ score edge threshold
|
|
cash_parking_turn_of_month_lead_days: int = 2 # include the last N trading days of the month
|
|
cash_parking_turn_of_month_lag_days: int = 3 # include the first N trading days of the month
|
|
cash_parking_turn_of_month_boost: float = 0.08 # extra QQQ score boost during turn-of-month
|
|
# Bearish parking override: when gate would return SGOV and composite risk is very high,
|
|
# use this inverse ETF instead (e.g. "sh") for active bear-market alpha.
|
|
# None = disabled (default, existing behavior unchanged).
|
|
cash_parking_bearish_symbol: str | None = None # "sh", "sds", etc. — inverse ETF for deep stress
|
|
cash_parking_bearish_threshold: int = 60 # composite risk score >= this → use bearish_symbol
|
|
cash_parking_bearish_alloc_pct: float = 1.0 # if <1, allocate this fraction to bearish_symbol and keep the rest in SGOV
|
|
cash_parking_crisis_symbol: str | None = None # optional crisis safe-haven ETF for deep stress (e.g. "ief", "iei")
|
|
cash_parking_crisis_threshold: int = 75 # composite risk score >= this enables crisis_symbol evaluation
|
|
cash_parking_crisis_momentum_days: int = 20 # lookback for crisis symbol momentum confirmation
|
|
cash_parking_crisis_momentum_min: float = 0.0 # require crisis symbol momentum above this to replace SGOV
|
|
cash_parking_crisis_vol_max: float = 0.0 # optional max realized vol allowed for crisis symbol (0 = disabled)
|
|
# Multi-tier regime parking: VIX-driven 3-symbol rotation (used with gate_mode="regime_tiered")
|
|
cash_parking_regime_risk_on_symbol: str = "jepq" # symbol when VIX < vix_low_threshold
|
|
cash_parking_regime_neutral_symbol: str = "qqqm" # symbol when VIX between thresholds
|
|
cash_parking_regime_vix_low_threshold: float = 20.0 # VIX below this → risk-on symbol
|
|
cash_parking_regime_vix_high_threshold: float = 25.0 # VIX above this → SGOV
|
|
cash_parking_regime_hysteresis_buffer: float = 1.0 # extra VIX margin to prevent whipsaw on tier transitions
|
|
|
|
# HY Credit spread size scaler (uses macro_hy_spread from candidate features)
|
|
credit_spread_size_scaler_enabled: bool = False
|
|
credit_spread_tight_threshold: float = 4.0 # spread below this = full size
|
|
credit_spread_wide_threshold: float = 5.5 # spread above this = stress scaler
|
|
credit_spread_wide_scaler: float = 0.75 # scaler for spread in [tight, wide) range
|
|
credit_spread_stress_scaler: float = 0.50 # scaler for spread >= wide_threshold
|
|
# Yield curve size scaler (uses macro_t10y2y from candidate features)
|
|
yield_curve_size_scaler_enabled: bool = False
|
|
yield_curve_normal_threshold: float = 0.5 # T10Y2Y above this = normal (full size)
|
|
yield_curve_flat_scaler: float = 0.75 # scaler when T10Y2Y in [0, normal_threshold)
|
|
yield_curve_inverted_scaler: float = 0.50 # scaler when T10Y2Y < 0 (inverted)
|
|
|
|
def apply_parking_preset(self) -> None:
|
|
"""Apply named parking preset, overriding individual params."""
|
|
if not self.cash_parking_preset:
|
|
return
|
|
preset = PARKING_PRESETS.get(self.cash_parking_preset)
|
|
if preset is None:
|
|
raise ValueError(f"Unknown parking preset: {self.cash_parking_preset}. Available: {list(PARKING_PRESETS.keys())}")
|
|
for k, v in preset.items():
|
|
setattr(self, k, v)
|
|
|
|
|
|
class ExecutionConfig(BaseModel):
|
|
entry_fill_model: str = "next_open"
|
|
exit_fill_model: str = "daily_bar_approximation"
|
|
slippage_bps_base: float = 10.0
|
|
commission_per_share: float = 0.005
|
|
same_bar_priority: str = "stop_first_conservative"
|
|
stop_model: str | None = None
|
|
target_model: str = "fixed_r" # "fixed_r" or "atr_multiple"
|
|
target_1_r: float | None = None # R-multiple for first target (fixed_r model)
|
|
target_atr_multiplier: float = 1.5 # ATR multiplier for target (atr_multiple model)
|
|
target_1_fraction: float | None = None # fraction to exit at target_1 (partial exit)
|
|
use_tiered_targets: bool = False
|
|
a_tier_target_1_r: float | None = None
|
|
a_tier_target_1_fraction: float | None = None
|
|
non_a_tier_target_1_r: float | None = None
|
|
non_a_tier_target_1_fraction: float | None = None
|
|
trailing_model: str | None = None
|
|
trailing_warmup_days: int = 0 # days after entry before trailing activates
|
|
max_holding_days: int = 10
|
|
lookback_entry_enabled: bool = False # enter positions for pre-start events still within holding window
|
|
no_follow_through_exit: bool = False # exit at D+1 close if close < entry price
|
|
early_failure_close_below_entry_and_reaction_close: bool = False
|
|
early_failure_no_progress_days: int | None = None
|
|
early_failure_no_progress_r: float | None = None
|
|
early_failure_no_progress_fraction: float | None = None
|
|
early_pop_giveback_days_min: int | None = None
|
|
early_pop_giveback_days_max: int | None = None
|
|
early_pop_giveback_trigger_r: float | None = None
|
|
early_pop_giveback_min_r: float | None = None
|
|
early_pop_giveback_from_peak_pct: float | None = None
|
|
early_pop_giveback_fraction: float | None = None
|
|
expected_decay_exit_enabled: bool = False
|
|
expected_decay_lambda: float | None = None
|
|
expected_decay_score_floor: float | None = None
|
|
expected_decay_min_days_held: int = 1
|
|
dynamic_hold_enabled: bool = False # adaptive mhd: extend for winners, cut losers early
|
|
dynamic_hold_checkpoints: list[tuple[int, float]] | None = None # [(day, min_r), ...] cut if R below threshold
|
|
dynamic_hold_extend_day: int = 8 # check day for extending mhd
|
|
dynamic_hold_extend_r: float = 0.3 # min R to qualify for extension
|
|
dynamic_hold_extend_to: int = 20 # extended mhd for qualifying positions
|
|
adaptive_exit_enabled: bool = False
|
|
adaptive_exit_exhaustion_close_min: float = 0.90
|
|
adaptive_exit_exhaustion_max_hold: int = 7
|
|
adaptive_exit_exhaustion_trailing_warmup: int = 1
|
|
adaptive_exit_orderly_close_min: float = 0.70
|
|
adaptive_exit_orderly_close_max: float = 0.88
|
|
adaptive_exit_orderly_max_hold: int = 25
|
|
adaptive_exit_orderly_trailing_warmup: int = 12
|
|
|
|
|
|
class StrategyEngineConfig(BaseModel):
|
|
"""Specialist engine routing and execution policy."""
|
|
|
|
engine_id: str
|
|
inherits_from_engine_id: str | None = None
|
|
exclude_if_matches_engine_id: str | None = None
|
|
selection_priority: int = 0
|
|
ranking_fields_override: list[str] | None = None
|
|
event_types: list[str] = Field(default_factory=list)
|
|
entry_conventions: list[str] | None = None
|
|
allowed_macro_regimes: list[str] | None = None
|
|
event_directions: list[str] | None = None
|
|
guidance_statuses: list[str] | None = None
|
|
filing_time_buckets: list[str] | None = None
|
|
allowed_exchanges: list[str] | None = None
|
|
allowed_sectors: list[str] | None = None
|
|
excluded_symbols: list[str] | None = None
|
|
timing_class: str = "any" # "same_day", "after_close", "any"
|
|
direction: str = "any" # "long_only", "short_only", "any"
|
|
forced_trade_direction_override: str | None = None # "long" or "short"
|
|
trade_symbol_mode: str = "event" # "event", "sector_etf", "peer_proxy"
|
|
entry_timing_policy: str = "next_open" # "next_open", "reaction_close"
|
|
max_holding_days: int | None = None
|
|
max_positions_per_sector_override: int | None = None
|
|
max_position_value_pct_override: float | None = None
|
|
max_adv_fraction_override: float | None = None
|
|
engine_risk_budget_pct: float = 1.0
|
|
capital_bucket_id: str | None = None
|
|
capital_bucket_allocation_pct: float | None = None
|
|
per_trade_risk_pct_override: float | None = None
|
|
macro_vix_size_scaler_low: float | None = None
|
|
macro_vix_size_scaler_high: float | None = None
|
|
macro_vix_size_scaler_min: float | None = None
|
|
macro_hy_spread_size_scaler_low: float | None = None
|
|
macro_hy_spread_size_scaler_high: float | None = None
|
|
macro_hy_spread_size_scaler_min: float | None = None
|
|
score_size_scaler_low: float | None = None
|
|
score_size_scaler_high: float | None = None
|
|
score_size_scaler_min: float | None = None
|
|
entropy_size_scaler_low: float | None = None
|
|
entropy_size_scaler_high: float | None = None
|
|
entropy_size_scaler_min: float | None = None
|
|
stop_atr_multiplier_override: float | None = None
|
|
target_atr_multiplier_override: float | None = None
|
|
target_1_r_override: float | None = None
|
|
target_1_fraction_override: float | None = None
|
|
recycle_on_cash_block: bool = False
|
|
recycle_min_days_held: int | None = None
|
|
recycle_min_score_delta: float | None = None
|
|
recycle_allowed_victim_engine_ids: list[str] | None = None
|
|
recycle_allow_any_victim_engine: bool = False
|
|
recycle_allow_cross_timing: bool = False
|
|
recycle_positive_pnl_only: bool = True
|
|
recycle_max_victim_fitness: float | None = None
|
|
recycle_max_victim_unrealized_r: float | None = None
|
|
rotation_enabled: bool = False
|
|
rotation_min_days_held: int = 5
|
|
rotation_fitness_threshold: float = 0.20
|
|
rotation_min_candidate_score: float = 0.40
|
|
rotation_max_unrealized_r: float | None = None
|
|
trailing_model_override: str | None = None
|
|
trailing_warmup_days_override: int | None = None
|
|
use_reaction_day_low_stop_override: bool | None = None
|
|
early_failure_close_below_entry_and_reaction_close_override: bool | None = None
|
|
early_failure_no_progress_days_override: int | None = None
|
|
early_failure_no_progress_r_override: float | None = None
|
|
early_failure_no_progress_fraction_override: float | None = None
|
|
dynamic_hold_checkpoints_override: list[list[float]] | None = None # [[day, min_r], ...]
|
|
dynamic_hold_extend_day_override: int | None = None
|
|
dynamic_hold_extend_r_override: float | None = None
|
|
dynamic_hold_extend_to_override: int | None = None
|
|
veto_oneoff_penalty_override: float | None = None
|
|
allow_oneoff_downsizing_override: bool | None = None
|
|
oneoff_downsize_floor_override: float | None = None
|
|
veto_parse_confidence_min_override: float | None = None
|
|
score_threshold_override: float | None = None
|
|
residual_reserve_selected: bool = False
|
|
pead_reaction_threshold_override: float | None = None
|
|
pead_volume_threshold_override: float | None = None
|
|
reaction_day_return_min: float | None = None
|
|
reaction_day_return_max: float | None = None
|
|
close_location_min: float | None = None
|
|
close_location_max: float | None = None
|
|
volume_ratio_min: float | None = None
|
|
volume_ratio_max: float | None = None
|
|
min_entry_price_override: float | None = None
|
|
max_entry_price_override: float | None = None
|
|
avg_dollar_volume_min: float | None = None
|
|
avg_dollar_volume_max: float | None = None
|
|
gap_size_min: float | None = None
|
|
gap_size_max: float | None = None
|
|
proxy_reaction_day_return_min: float | None = None
|
|
proxy_reaction_day_return_max: float | None = None
|
|
proxy_close_location_min: float | None = None
|
|
proxy_close_location_max: float | None = None
|
|
proxy_volume_ratio_min: float | None = None
|
|
proxy_volume_ratio_max: float | None = None
|
|
proxy_gap_size_min: float | None = None
|
|
proxy_gap_size_max: float | None = None
|
|
proxy_avg_dollar_volume_min: float | None = None
|
|
proxy_avg_dollar_volume_max: float | None = None
|
|
reaction_day_range_pct_min: float | None = None
|
|
reaction_day_range_pct_max: float | None = None
|
|
upper_wick_pct_min: float | None = None
|
|
upper_wick_pct_max: float | None = None
|
|
min_market_cap_proxy: float | None = None
|
|
max_market_cap_proxy: float | None = None
|
|
document_quality_score_min: float | None = None
|
|
document_quality_score_max: float | None = None
|
|
signal_strength_score_min: float | None = None
|
|
signal_strength_score_max: float | None = None
|
|
oneoff_penalty_min: float | None = None
|
|
oneoff_penalty_max: float | None = None
|
|
parse_confidence_overall_min: float | None = None
|
|
parse_confidence_overall_max: float | None = None
|
|
prior_event_fwd5d_min: float | None = None
|
|
prior_event_fwd5d_max: float | None = None
|
|
lm_net_sentiment_min: float | None = None
|
|
lm_net_sentiment_max: float | None = None
|
|
earnings_surprise_pct_min: float | None = None
|
|
earnings_surprise_pct_max: float | None = None
|
|
peer_sector_event_count_365d_min: float | None = None
|
|
peer_sector_event_count_365d_max: float | None = None
|
|
sector_recent_event_count_3d_min: float | None = None
|
|
sector_recent_event_count_3d_max: float | None = None
|
|
sector_recent_leader_count_3d_min: float | None = None
|
|
sector_recent_leader_count_3d_max: float | None = None
|
|
sector_recent_leader_reaction_max_3d_min: float | None = None
|
|
sector_recent_leader_reaction_max_3d_max: float | None = None
|
|
peer_relative_surprise_pct_365d_min: float | None = None
|
|
peer_relative_surprise_pct_365d_max: float | None = None
|
|
peer_relative_sue_hist_mean_4q_365d_min: float | None = None
|
|
peer_relative_sue_hist_mean_4q_365d_max: float | None = None
|
|
prior_catalyst_count_20d_min: float | None = None
|
|
prior_catalyst_count_20d_max: float | None = None
|
|
prior_catalyst_count_60d_min: float | None = None
|
|
prior_catalyst_count_60d_max: float | None = None
|
|
prior_catalyst_type_diversity_20d_min: float | None = None
|
|
prior_catalyst_type_diversity_20d_max: float | None = None
|
|
prior_catalyst_type_diversity_60d_min: float | None = None
|
|
prior_catalyst_type_diversity_60d_max: float | None = None
|
|
sentiment_surprise_min: float | None = None
|
|
sentiment_surprise_max: float | None = None
|
|
price_text_dislocation_min: float | None = None
|
|
price_text_dislocation_max: float | None = None
|
|
positive_price_text_dislocation_min: float | None = None
|
|
positive_price_text_dislocation_max: float | None = None
|
|
positive_price_text_dislocation_rank_min: float | None = None
|
|
positive_price_text_dislocation_rank_max: float | None = None
|
|
macro_vix_min: float | None = None
|
|
macro_vix_max: float | None = None
|
|
volatility_crush_only: bool = False
|
|
volatility_crush_vix_drop_pct_min: float | None = None
|
|
volatility_crush_spy_return_min: float | None = None
|
|
volatility_crush_score_threshold_override: float | None = None
|
|
volatility_crush_per_trade_risk_pct_override: float | None = None
|
|
volatility_crush_engine_risk_budget_pct_override: float | None = None
|
|
volatility_crush_macro_vix_max_override: float | None = None
|
|
macro_hy_spread_min: float | None = None
|
|
macro_hy_spread_max: float | None = None
|
|
pre_event_hurst_60d_min: float | None = None
|
|
pre_event_hurst_60d_max: float | None = None
|
|
pre_event_entropy_60d_min: float | None = None
|
|
pre_event_entropy_60d_max: float | None = None
|
|
pre_event_short_ratio_min: float | None = None
|
|
pre_event_short_ratio_max: float | None = None
|
|
pre_event_sector_momentum_20d_min: float | None = None
|
|
pre_event_sector_momentum_20d_max: float | None = None
|
|
pre_event_bb_position_min: float | None = None
|
|
pre_event_bb_position_max: float | None = None
|
|
pre_event_gravitational_pull_min: float | None = None
|
|
pre_event_gravitational_pull_max: float | None = None
|
|
pre_event_market_temperature_min: float | None = None
|
|
pre_event_market_temperature_max: float | None = None
|
|
weak_reaction_threshold: float | None = None
|
|
weak_reaction_gap_max: float | None = None
|
|
unknown_direction_reaction_min: float | None = None
|
|
unknown_direction_close_location_min: float | None = None
|
|
unknown_direction_close_location_max: float | None = None
|
|
unknown_direction_gap_size_min: float | None = None
|
|
unknown_inline_exit_close_location_min: float | None = None
|
|
unknown_inline_exit_gap_size_max: float | None = None
|
|
unknown_inline_early_failure_close_below_entry_and_reaction_close_override: bool | None = None
|
|
unknown_inline_early_failure_no_progress_days_override: int | None = None
|
|
unknown_inline_early_failure_no_progress_r_override: float | None = None
|
|
unknown_inline_early_failure_no_progress_fraction_override: float | None = None
|
|
mixed_inline_close_location_min: float | None = None
|
|
mixed_inline_close_location_max: float | None = None
|
|
mixed_inline_gap_size_max: float | None = None
|
|
mixed_inline_early_failure_close_below_entry_and_reaction_close_override: bool | None = None
|
|
mixed_inline_early_failure_no_progress_days_override: int | None = None
|
|
mixed_inline_early_failure_no_progress_r_override: float | None = None
|
|
mixed_inline_early_failure_no_progress_fraction_override: float | None = None
|
|
next_open_gap_cap_pct: float | None = None
|
|
add_on_min_parent_days_held: int | None = None
|
|
add_on_max_parent_days_held: int | None = None
|
|
add_on_schedule_days: list[int] | None = None
|
|
add_on_close_location_min: float | None = None
|
|
add_on_progress_r_min: float | None = None
|
|
add_on_progress_r_levels: list[float] | None = None
|
|
add_on_parent_score_min: float | None = None
|
|
add_on_parent_engine_ids: list[str] | None = None
|
|
add_on_max_count: int = 1
|
|
add_on_size_fraction: float = 0.5
|
|
add_on_require_above_reaction_high: bool = False
|
|
delayed_entry_lookback_days: int | None = None # e.g. 3 = look at events from 3 trading days ago
|
|
delayed_entry_source_engine_ids: list[str] | None = None # which engines' candidates to consider
|
|
delayed_entry_min_drift_pct: float | None = None # min price change since reaction close
|
|
delayed_entry_close_location_min: float | None = None # today's close location requirement
|
|
leader_follower_lookahead_days: int | None = None # trading-day window to upcoming follower earnings
|
|
leader_follower_min_days_to_event: int | None = None # minimum trading days until follower event
|
|
leader_follower_hold_buffer_days: int = 1 # exit before follower event by this many trading days
|
|
leader_follower_calendar_mode: str = "future_row" # "future_row", "pit_calendar", "pit_then_fallback"
|
|
leader_follower_extra_peer_symbols_by_leader: dict[str, list[str]] | None = None
|
|
leader_follower_extra_peer_symbols_by_sector: dict[str, list[str]] | None = None
|
|
leader_follower_allowed_peer_symbols: list[str] | None = None
|
|
attention_min_wiki_spike_10d: float | None = None
|
|
attention_min_wiki_zscore_20d: float | None = None
|
|
attention_max_wiki_spike_10d: float | None = None
|
|
attention_max_wiki_zscore_20d: float | None = None
|
|
attention_min_article_count_3d: int | None = None
|
|
attention_min_us_article_count_3d: int | None = None
|
|
attention_min_resolver_confidence: float | None = None
|
|
shadow_only: bool = False
|
|
synthetic_only: bool = False
|
|
post_allocation_idle_only: bool = False
|
|
enabled: bool = True
|
|
# Macro short engine: generate SH candidate when composite risk score >= threshold
|
|
macro_short_risk_threshold: int | None = None
|
|
# Macro long engine: generate ETF long candidate when leadership/breadth trigger fires
|
|
macro_long_symbol: str | None = None
|
|
macro_long_reaction_day_return_min: float | None = None
|
|
macro_long_reaction_day_return_max: float | None = None
|
|
macro_long_volume_ratio_min: float | None = None
|
|
macro_long_volume_ratio_max: float | None = None
|
|
macro_long_gap_size_min: float | None = None
|
|
macro_long_gap_size_max: float | None = None
|
|
macro_long_close_location_min: float | None = None
|
|
macro_long_close_location_max: float | None = None
|
|
macro_long_trade_symbol_mode: str | None = None
|
|
macro_long_breadth_symbols: list[str] | None = None
|
|
macro_long_min_breadth_count: int | None = None
|
|
macro_long_breadth_reaction_day_return_min: float | None = None
|
|
macro_long_breadth_reaction_day_return_max: float | None = None
|
|
macro_long_breadth_volume_ratio_min: float | None = None
|
|
macro_long_breadth_volume_ratio_max: float | None = None
|
|
macro_long_breadth_gap_size_min: float | None = None
|
|
macro_long_breadth_gap_size_max: float | None = None
|
|
macro_long_breadth_close_location_min: float | None = None
|
|
macro_long_breadth_close_location_max: float | None = None
|
|
macro_long_leadership_vs_spy_min: float | None = None
|
|
macro_long_min_daily_candidate_count: int | None = None
|
|
macro_long_min_unique_sector_count: int | None = None
|
|
|
|
|
|
class EventTypeProfile(BaseModel):
|
|
"""Per-event-type overrides for scoring, risk, and exit parameters."""
|
|
enabled: bool = True
|
|
score_threshold_override: float | None = None
|
|
max_holding_days_override: int | None = None
|
|
stop_atr_multiplier_override: float | None = None
|
|
target_atr_multiplier_override: float | None = None
|
|
direction_filter: str = "any" # "bullish_only", "bearish_only", "any"
|
|
|
|
|
|
class ReportingConfig(BaseModel):
|
|
write_trade_blotter: bool = True
|
|
write_equity_curve: bool = True
|
|
write_metrics_summary: bool = True
|
|
generate_plots: bool = False
|
|
attribution_buckets: list[str] = Field(default_factory=list)
|
|
|
|
|
|
class DividendCaptureConfig(BaseModel):
|
|
enabled: bool = False
|
|
pit_calendar_path: str | None = None
|
|
reserve_pct: float = 0.0
|
|
min_dividend_yield_pct: float = 0.0025
|
|
max_dividend_yield_pct: float | None = 0.02
|
|
min_avg_dollar_volume: float = 20_000_000.0
|
|
max_positions: int = 5
|
|
|
|
|
|
class Form4CaptureConfig(BaseModel):
|
|
enabled: bool = False
|
|
pit_events_path: str | None = None
|
|
reserve_pct: float = 0.0
|
|
min_owner_count: int = 2
|
|
min_transaction_count: int = 1
|
|
min_c_suite_count: int = 0
|
|
min_cfo_count: int = 0
|
|
min_role_weight_score: float = 0.0
|
|
min_total_value: float = 5_000_000.0
|
|
min_purchase_pct: float = 0.0
|
|
min_event_day_count: int = 1
|
|
max_lag_days: int | None = None
|
|
max_min_lag_days: int | None = None
|
|
max_transaction_span_days: int | None = None
|
|
require_officer_or_director: bool = False
|
|
disable_day1_early_failure: bool = False
|
|
no_progress_days_override: int | None = None
|
|
no_progress_r_override: float | None = None
|
|
no_progress_fraction_override: float | None = None
|
|
hold_days: int = 20
|
|
max_positions: int = 6
|
|
max_new_per_day: int = 2
|
|
|
|
|
|
class OwnershipCaptureConfig(BaseModel):
|
|
enabled: bool = False
|
|
pit_events_path: str | None = None
|
|
reserve_pct: float = 0.0
|
|
form_groups: list[str] = Field(default_factory=lambda: ["13D"])
|
|
min_percent_owned: float = 5.0
|
|
min_percent_delta_points: float = 0.0
|
|
exclude_housekeeping_purpose: bool = False
|
|
exclude_structural_exchange_purpose: bool = False
|
|
min_strength_score: int | None = None
|
|
require_amendment: bool = False
|
|
require_initial: bool = False
|
|
require_activist: bool = False
|
|
require_13g_to_13d_transition: bool = False
|
|
symbol_cooldown_days_after_loss: int = 0
|
|
symbol_max_entries_in_lookback: int | None = None
|
|
symbol_entry_lookback_days: int = 365
|
|
extra_idle_deploy_pct_above_reserve: float = 0.0
|
|
disable_day1_early_failure: bool = False
|
|
no_progress_days_override: int | None = None
|
|
no_progress_r_override: float | None = None
|
|
no_progress_fraction_override: float | None = None
|
|
hold_days: int = 30
|
|
min_avg_dollar_volume: float = 10_000_000.0
|
|
max_positions: int = 6
|
|
max_new_per_day: int = 2
|
|
min_cash_ratio_for_overlay: float = 0.25
|
|
max_idle_deploy_pct: float = 1.0
|
|
|
|
|
|
class RiskOffAlphaConfig(BaseModel):
|
|
enabled: bool = False
|
|
reserve_pct: float = 0.0
|
|
symbols: list[str] = Field(default_factory=lambda: ["gld", "dbc"])
|
|
momentum_lookback_days: int = 20
|
|
min_symbol_momentum: float = 0.05
|
|
min_consecutive_sgov_days: int = 3
|
|
min_parking_risk_score: float = 0.0
|
|
rotation_momentum_gap: float = 0.02
|
|
max_holding_days: int = 0
|
|
min_cash_ratio_for_overlay: float = 0.0
|
|
max_idle_deploy_pct: float = 0.0
|
|
adaptive_reserve_enabled: bool = False
|
|
adaptive_reserve_score_mid: float = 0.0
|
|
adaptive_reserve_score_high: float = 0.0
|
|
adaptive_reserve_pct_low: float = 0.0
|
|
adaptive_reserve_pct_mid: float = 0.0
|
|
adaptive_reserve_pct_high: float = 0.0
|
|
|
|
|
|
class IdleAlphaConfig(BaseModel):
|
|
dynamic_allocator_enabled: bool = False
|
|
dynamic_allocator_cash_ratio_low: float = 0.04
|
|
dynamic_allocator_cash_ratio_high: float = 0.16
|
|
dynamic_allocator_cash_scale_low: float = 0.7
|
|
dynamic_allocator_cash_scale_high: float = 1.1
|
|
dynamic_allocator_crowded_primary_candidate_count: int | None = None
|
|
dynamic_allocator_crowded_primary_unique_sector_count: int | None = None
|
|
dynamic_allocator_crowded_scale: float = 0.85
|
|
dynamic_allocator_synthetic_scale_multiplier: float = 1.0
|
|
dynamic_allocator_snapshot_scale_multiplier: float = 1.0
|
|
dynamic_allocator_synthetic_reentry_cooldown_days: int = 0
|
|
dynamic_allocator_min_scale: float = 0.55
|
|
dynamic_allocator_max_scale: float = 1.2
|
|
|
|
|
|
class NonCoreAllocatorWeightsConfig(BaseModel):
|
|
native_strength: float = 1.00
|
|
hold_penalty: float = 0.20
|
|
liquidity_penalty: float = 0.25
|
|
overlap_penalty: float = 0.20
|
|
parking_opportunity_penalty: float = 0.35
|
|
|
|
|
|
class NonCoreAllocatorConfig(BaseModel):
|
|
enabled: bool = False
|
|
mode: str = "shadow" # "shadow" or "live"
|
|
scope: str = "non_core"
|
|
benchmark_mode: str = "current_effective_parking"
|
|
weights: NonCoreAllocatorWeightsConfig = Field(default_factory=NonCoreAllocatorWeightsConfig)
|
|
|
|
|
|
class BacktestConfig(BaseModel):
|
|
strategy_name: str
|
|
dataset_snapshot_id: str
|
|
requested_snapshot_id: str | None = None
|
|
canonical_snapshot_id: str | None = None
|
|
earnings_calendar_pit_path: str | None = None
|
|
dividend_capture_sleeve_preset: str | None = None
|
|
form4_capture_sleeve_preset: str | None = None
|
|
ownership_capture_sleeve_preset: str | None = None
|
|
risk_off_alpha_sleeve_preset: str | None = None
|
|
universe: UniverseConfig = Field(default_factory=UniverseConfig)
|
|
signal: SignalConfig = Field(default_factory=SignalConfig)
|
|
risk: RiskConfig = Field(default_factory=RiskConfig)
|
|
execution: ExecutionConfig = Field(default_factory=ExecutionConfig)
|
|
reporting: ReportingConfig = Field(default_factory=ReportingConfig)
|
|
dividend_capture: DividendCaptureConfig = Field(default_factory=DividendCaptureConfig)
|
|
form4_capture: Form4CaptureConfig = Field(default_factory=Form4CaptureConfig)
|
|
ownership_capture: OwnershipCaptureConfig = Field(default_factory=OwnershipCaptureConfig)
|
|
risk_off_alpha: RiskOffAlphaConfig = Field(default_factory=RiskOffAlphaConfig)
|
|
idle_alpha: IdleAlphaConfig = Field(default_factory=IdleAlphaConfig)
|
|
non_core_allocator_v2: NonCoreAllocatorConfig = Field(default_factory=NonCoreAllocatorConfig)
|
|
event_type_profiles: dict[str, EventTypeProfile] = Field(default_factory=dict)
|
|
idle_alpha_sleeve_preset: str | None = None
|
|
idle_alpha_dedup_mode: str = "skip" # "skip" (default, backward-compat) or "rename" (suffix __ia_sleeve on conflict)
|
|
strategy_engines: list[StrategyEngineConfig] = Field(default_factory=list)
|
|
strategy_engine_selection_mode: str = "interleave" # "interleave", "interleave_head_score", "global_score", "interleave_cap_efficiency_soft", "interleave_cap_efficiency_strict", or "interleave_cash_tiebreak"
|
|
|
|
def model_post_init(self, __context: Any) -> None:
|
|
self.risk.apply_parking_preset()
|
|
self.apply_dividend_capture_sleeve_preset()
|
|
self.apply_form4_capture_sleeve_preset()
|
|
self.apply_ownership_capture_sleeve_preset()
|
|
self.apply_risk_off_alpha_sleeve_preset()
|
|
self.apply_idle_alpha_sleeve_preset()
|
|
|
|
def apply_dividend_capture_sleeve_preset(self) -> None:
|
|
if not self.dividend_capture_sleeve_preset:
|
|
return
|
|
preset = DIVIDEND_CAPTURE_SLEEVE_PRESETS.get(self.dividend_capture_sleeve_preset)
|
|
if preset is None:
|
|
raise ValueError(
|
|
"Unknown dividend capture sleeve preset: "
|
|
f"{self.dividend_capture_sleeve_preset}. Available: {list(DIVIDEND_CAPTURE_SLEEVE_PRESETS.keys())}"
|
|
)
|
|
current = self.dividend_capture.model_dump()
|
|
current.update(preset)
|
|
self.dividend_capture = DividendCaptureConfig.model_validate(current)
|
|
|
|
def apply_form4_capture_sleeve_preset(self) -> None:
|
|
if not self.form4_capture_sleeve_preset:
|
|
return
|
|
preset = FORM4_CAPTURE_SLEEVE_PRESETS.get(self.form4_capture_sleeve_preset)
|
|
if preset is None:
|
|
raise ValueError(
|
|
"Unknown Form 4 capture sleeve preset: "
|
|
f"{self.form4_capture_sleeve_preset}. Available: {list(FORM4_CAPTURE_SLEEVE_PRESETS.keys())}"
|
|
)
|
|
current = self.form4_capture.model_dump()
|
|
current.update(preset)
|
|
self.form4_capture = Form4CaptureConfig.model_validate(current)
|
|
|
|
def apply_ownership_capture_sleeve_preset(self) -> None:
|
|
if not self.ownership_capture_sleeve_preset:
|
|
return
|
|
preset = OWNERSHIP_CAPTURE_SLEEVE_PRESETS.get(self.ownership_capture_sleeve_preset)
|
|
if preset is None:
|
|
raise ValueError(
|
|
"Unknown ownership capture sleeve preset: "
|
|
f"{self.ownership_capture_sleeve_preset}. Available: {list(OWNERSHIP_CAPTURE_SLEEVE_PRESETS.keys())}"
|
|
)
|
|
current = self.ownership_capture.model_dump()
|
|
current.update(preset)
|
|
self.ownership_capture = OwnershipCaptureConfig.model_validate(current)
|
|
|
|
def apply_risk_off_alpha_sleeve_preset(self) -> None:
|
|
if not self.risk_off_alpha_sleeve_preset:
|
|
return
|
|
preset = RISK_OFF_ALPHA_SLEEVE_PRESETS.get(self.risk_off_alpha_sleeve_preset)
|
|
if preset is None:
|
|
raise ValueError(
|
|
"Unknown risk-off alpha sleeve preset: "
|
|
f"{self.risk_off_alpha_sleeve_preset}. Available: {list(RISK_OFF_ALPHA_SLEEVE_PRESETS.keys())}"
|
|
)
|
|
current = self.risk_off_alpha.model_dump()
|
|
current.update(preset)
|
|
self.risk_off_alpha = RiskOffAlphaConfig.model_validate(current)
|
|
|
|
def apply_idle_alpha_sleeve_preset(self) -> None:
|
|
"""Append named idle-alpha sleeve engines without touching risk config."""
|
|
if not self.idle_alpha_sleeve_preset:
|
|
return
|
|
preset = IDLE_ALPHA_SLEEVE_PRESETS.get(self.idle_alpha_sleeve_preset)
|
|
if preset is None:
|
|
raise ValueError(
|
|
"Unknown idle alpha sleeve preset: "
|
|
f"{self.idle_alpha_sleeve_preset}. Available: {list(IDLE_ALPHA_SLEEVE_PRESETS.keys())}"
|
|
)
|
|
existing_engine_ids = {engine.engine_id for engine in self.strategy_engines}
|
|
appended_engines: list[StrategyEngineConfig] = []
|
|
for engine_payload in preset["strategy_engines"]:
|
|
engine = StrategyEngineConfig.model_validate(engine_payload)
|
|
if engine.engine_id in existing_engine_ids:
|
|
if self.idle_alpha_dedup_mode == "rename":
|
|
engine = engine.model_copy(update={"engine_id": f"{engine.engine_id}__ia_sleeve"})
|
|
else:
|
|
continue
|
|
appended_engines.append(engine)
|
|
existing_engine_ids.add(engine.engine_id)
|
|
if appended_engines:
|
|
self.strategy_engines.extend(appended_engines)
|
|
idle_alpha_payload = preset.get("idle_alpha")
|
|
if idle_alpha_payload:
|
|
current_idle_alpha = self.idle_alpha.model_dump()
|
|
current_idle_alpha.update(idle_alpha_payload)
|
|
self.idle_alpha = IdleAlphaConfig.model_validate(current_idle_alpha)
|
|
|
|
def get_event_profile(self, event_type: str) -> EventTypeProfile | None:
|
|
"""Look up event-type-specific profile. Returns None if no override."""
|
|
return self.event_type_profiles.get(event_type)
|
|
|
|
def _build_strategy_engine_lookup(self) -> dict[str, StrategyEngineConfig]:
|
|
return {engine.engine_id: engine for engine in self.strategy_engines}
|
|
|
|
def resolve_strategy_engine(
|
|
self,
|
|
engine: StrategyEngineConfig,
|
|
*,
|
|
_seen: set[str] | None = None,
|
|
) -> StrategyEngineConfig:
|
|
parent_id = engine.inherits_from_engine_id
|
|
if not parent_id:
|
|
return engine
|
|
|
|
parent = self._build_strategy_engine_lookup().get(parent_id)
|
|
if parent is None:
|
|
return engine
|
|
|
|
seen = set(_seen or set())
|
|
if engine.engine_id in seen or parent_id in seen:
|
|
raise ValueError(f"Cyclic strategy engine inheritance detected for {engine.engine_id}")
|
|
seen.add(engine.engine_id)
|
|
|
|
resolved_parent = self.resolve_strategy_engine(parent, _seen=seen)
|
|
merged = resolved_parent.model_dump()
|
|
for field_name in engine.model_fields_set:
|
|
merged[field_name] = getattr(engine, field_name)
|
|
return StrategyEngineConfig.model_validate(merged)
|
|
|
|
def get_strategy_engines(self) -> list[StrategyEngineConfig]:
|
|
"""Enabled strategy engines ordered by priority, then manifest order."""
|
|
resolved_engines: list[tuple[int, StrategyEngineConfig]] = []
|
|
for index, engine in enumerate(self.strategy_engines):
|
|
resolved = self.resolve_strategy_engine(engine)
|
|
if resolved.enabled:
|
|
resolved_engines.append((index, resolved))
|
|
resolved_engines.sort(
|
|
key=lambda item: (-int(item[1].selection_priority), item[0]),
|
|
)
|
|
return [engine for _, engine in resolved_engines]
|
|
|
|
def get_active_strategy_engines(self) -> list[StrategyEngineConfig]:
|
|
"""Enabled engines that participate in the live portfolio."""
|
|
return [engine for engine in self.get_strategy_engines() if not engine.shadow_only]
|
|
|
|
def get_shadow_strategy_engines(self) -> list[StrategyEngineConfig]:
|
|
"""Enabled engines that run in paper/shadow mode only."""
|
|
return [engine for engine in self.get_strategy_engines() if engine.shadow_only]
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Experiment models
|
|
# ---------------------------------------------------------------------------
|
|
|
|
class SplitSpec(BaseModel):
|
|
kind: str
|
|
params: dict[str, Any] = Field(default_factory=dict)
|
|
|
|
|
|
class ExperimentManifest(BaseModel):
|
|
experiment_name: str
|
|
dataset_snapshot_id: str
|
|
description: str | None = None
|
|
base_config: str # path to base config JSON file
|
|
overrides: dict[str, Any] = Field(default_factory=dict)
|
|
strategy_engines: list[StrategyEngineConfig] = Field(default_factory=list)
|
|
splits: list[SplitSpec] = Field(default_factory=list)
|
|
tags: list[str] = Field(default_factory=list)
|
|
notes: str | None = None
|
|
# --- metadata ---
|
|
id: int | None = None # unique sequential experiment ID
|
|
aliases: list[str] = Field(default_factory=list)
|
|
parent: str | None = None
|
|
created_at: str | None = None
|
|
created_by: str | None = None
|
|
status: str = "active" # draft | active | promoted | retired
|
|
generation: int | None = None
|
|
version_family: str | None = None
|
|
changelog: str | None = None
|
|
performance_summary: dict[str, Any] | None = None
|
|
|
|
|
|
class ExperimentResult(BaseModel):
|
|
model_config = ConfigDict(frozen=True)
|
|
|
|
run_id: str
|
|
manifest: ExperimentManifest
|
|
resolved_config: BacktestConfig
|
|
metrics: MetricsBundle
|
|
artifact_paths: dict[str, str] = Field(default_factory=dict)
|
|
started_at: dt.datetime
|
|
finished_at: dt.datetime
|
|
total_trading_days: int
|
|
total_candidates_seen: int
|
|
total_orders_rejected: int
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Improvement Tracking models
|
|
# ---------------------------------------------------------------------------
|
|
|
|
|
|
class SQSWeights(BaseModel):
|
|
"""Weights for Strategy Quality Score computation."""
|
|
|
|
profitability: float = 0.40
|
|
risk: float = 0.25
|
|
consistency: float = 0.20
|
|
robustness: float = 0.15
|
|
low_trade_penalty_threshold: int = 20
|
|
low_trade_penalty_factor: float = 0.5
|
|
|
|
|
|
class SQSv2Weights(BaseModel):
|
|
"""Weights for Strategy Quality Score v2 with capital efficiency."""
|
|
|
|
profitability: float = 0.35
|
|
risk: float = 0.25
|
|
consistency: float = 0.20
|
|
robustness: float = 0.10
|
|
capital_efficiency: float = 0.10
|
|
low_trade_penalty_threshold: int = 20
|
|
low_trade_penalty_factor: float = 0.5
|
|
|
|
|
|
class PromotionScoreWeights(BaseModel):
|
|
"""Weights for promotion scoring across valid/test splits."""
|
|
|
|
valid_quality: float = 0.55
|
|
test_quality: float = 0.15
|
|
floor_quality: float = 0.30
|
|
|
|
|
|
class UnifiedScoreWeights(BaseModel):
|
|
"""Weights for a stricter single ranking score across valid/test splits."""
|
|
|
|
split_profitability: float = 0.25
|
|
split_risk: float = 0.20
|
|
split_consistency: float = 0.15
|
|
split_robustness: float = 0.20
|
|
split_capital_efficiency: float = 0.20
|
|
valid_quality: float = 0.45
|
|
test_quality: float = 0.20
|
|
floor_quality: float = 0.20
|
|
gap_quality: float = 0.15
|
|
|
|
|
|
class ReturnScoreWeights(BaseModel):
|
|
"""Weights for return-max ranking across train/valid/test splits."""
|
|
|
|
split_total_return: float = 0.28
|
|
split_annualized_return: float = 0.12
|
|
split_profitability: float = 0.12
|
|
split_sharpe: float = 0.08
|
|
split_drawdown: float = 0.12
|
|
split_return_on_gross: float = 0.18
|
|
split_gross_exposure: float = 0.05
|
|
split_days_in_market: float = 0.05
|
|
train_quality: float = 0.35
|
|
valid_quality: float = 0.30
|
|
test_quality: float = 0.35
|
|
floor_quality: float = 0.15
|
|
gap_quality: float = 0.10
|
|
missing_train_penalty: float = 0.85
|
|
low_trade_penalty_threshold: int = 10
|
|
low_trade_penalty_factor: float = 0.85
|
|
|
|
|
|
class WalkForwardScoreWeights(BaseModel):
|
|
"""Weights for walk-forward robustness scoring."""
|
|
|
|
median_return: float = 0.25
|
|
mean_return: float = 0.15
|
|
worst_return: float = 0.15
|
|
positive_fold_rate: float = 0.15
|
|
profit_factor: float = 0.10
|
|
drawdown: float = 0.10
|
|
train_test_gap: float = 0.05
|
|
fold_count: float = 0.05
|
|
low_fold_penalty_threshold: int = 6
|
|
low_fold_penalty_factor: float = 0.85
|
|
|
|
|
|
class WFQSv2Weights(BaseModel):
|
|
"""Weights for walk-forward quality score v2 with multiplicative penalties."""
|
|
|
|
median_return: float = 0.25
|
|
mean_return: float = 0.15
|
|
worst_return: float = 0.20
|
|
positive_fold_rate: float = 0.15
|
|
profit_factor: float = 0.10
|
|
drawdown: float = 0.10
|
|
fold_count: float = 0.05
|
|
low_fold_penalty_threshold: int = 6
|
|
low_fold_penalty_factor: float = 0.85
|
|
recent_fold_quality: float = 0.20
|
|
recent_lookback_days: int = 365
|
|
recent_min_folds: int = 2
|
|
|
|
|
|
class DeploymentScoreWeights(BaseModel):
|
|
"""Weights for deployment-oriented scoring."""
|
|
|
|
rqs_quality: float = 0.45
|
|
wfqs_quality: float = 0.55
|
|
|
|
|
|
class SplitResult(BaseModel):
|
|
"""Metrics for a single backtest split (train/valid/test)."""
|
|
|
|
run_id: str
|
|
trade_count: int = 0
|
|
profit_factor: float | None = None
|
|
total_return_pct: float | None = None
|
|
annualized_return_pct: float | None = None
|
|
win_rate: float | None = None
|
|
max_drawdown_pct: float | None = None
|
|
sharpe_ratio: float | None = None
|
|
monthly_win_rate: float | None = None
|
|
equity_curve_r_squared: float | None = None
|
|
avg_gross_exposure_pct: float | None = None
|
|
avg_net_exposure_pct: float | None = None
|
|
days_in_market_pct: float | None = None
|
|
|
|
|
|
class WalkForwardFoldResult(BaseModel):
|
|
"""Metrics and run metadata for one walk-forward fold."""
|
|
|
|
fold_index: int
|
|
train_start: dt.date
|
|
train_end: dt.date
|
|
test_start: dt.date
|
|
test_end: dt.date
|
|
train_run_id: str
|
|
test_run_id: str
|
|
train_metrics: SplitResult
|
|
test_metrics: SplitResult
|
|
|
|
|
|
class WalkForwardAggregate(BaseModel):
|
|
"""Aggregate statistics over walk-forward folds."""
|
|
|
|
mean_return_pct: float | None = None
|
|
median_return_pct: float | None = None
|
|
worst_return_pct: float | None = None
|
|
positive_fold_rate_pct: float | None = None
|
|
mean_profit_factor: float | None = None
|
|
mean_max_drawdown_pct: float | None = None
|
|
mean_trade_count: float | None = None
|
|
mean_win_rate: float | None = None
|
|
|
|
|
|
class WalkForwardGapStats(BaseModel):
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"""Train vs test drift statistics over walk-forward folds."""
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mean_train_test_return_gap_pct: float | None = None
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worst_train_test_return_gap_pct: float | None = None
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fold_return_cv: float | None = None
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class WalkForwardSummary(BaseModel):
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"""Full walk-forward validation summary."""
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window_mode: str = "rolling_fixed"
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train_days: int
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test_days: int
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step_days: int
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fold_count: int
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folds: list[WalkForwardFoldResult] = Field(default_factory=list)
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train_aggregate: WalkForwardAggregate = Field(default_factory=WalkForwardAggregate)
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test_aggregate: WalkForwardAggregate = Field(default_factory=WalkForwardAggregate)
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gap_stats: WalkForwardGapStats = Field(default_factory=WalkForwardGapStats)
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engine_reliability_ratio: float | None = None
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class RobustnessHorizonSummary(BaseModel):
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"""Aggregate statistics for one rolling horizon in the robustness matrix."""
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horizon_days: int
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window_count: int
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mean_return_pct: float | None = None
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median_return_pct: float | None = None
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worst_return_pct: float | None = None
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positive_window_rate_pct: float | None = None
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mean_max_drawdown_pct: float | None = None
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class RobustnessMatrixSummary(BaseModel):
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"""Compact summary of horizon/start-date robustness validation."""
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window_mode: str = "rolling_horizon"
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horizons_days: list[int] = Field(default_factory=list)
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step_days: int
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overall_window_count: int = 0
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overall_positive_window_rate_pct: float | None = None
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overall_worst_return_pct: float | None = None
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horizon_summaries: list[RobustnessHorizonSummary] = Field(default_factory=list)
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class CommonWindowSummary(BaseModel):
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"""Continuous full-cycle run summary used for capital-growth comparisons."""
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window_name: str = "common_window"
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snapshot_id: str = ""
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start_date: dt.date
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end_date: dt.date
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initial_equity: float = 10_000.0
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run_id: str | None = None
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metrics: MetricsBundle
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class MultiCapitalCommonWindowSummary(BaseModel):
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"""Comparable common-window summaries across several initial capital levels."""
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capital_summaries: list[CommonWindowSummary] = Field(default_factory=list)
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class ResetCommonWindowSummary(BaseModel):
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"""Path-neutral common-window summary built from reset-capital segments."""
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window_name: str = "reset_common_window"
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snapshot_id: str = ""
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start_date: dt.date
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end_date: dt.date
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reset_initial_equity: float = 10_000.0
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segment_days: int | None = None
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segment_summaries: list[CommonWindowSummary] = Field(default_factory=list)
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class ConfigDelta(BaseModel):
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"""Records what changed from a baseline experiment."""
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base_experiment: str
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changes: dict[str, str] = Field(default_factory=dict)
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class JournalEntry(BaseModel):
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"""One improvement cycle entry in the journal."""
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entry_id: str
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timestamp: str
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experiment_name: str
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hypothesis: str
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config_delta: ConfigDelta | None = None
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results: dict[str, SplitResult] = Field(default_factory=dict) # split_name → SplitResult
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walk_forward_summary: WalkForwardSummary | None = None
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robustness_matrix_summary: RobustnessMatrixSummary | None = None
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out_of_time_robustness_summary: RobustnessMatrixSummary | None = None
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common_window_summary: CommonWindowSummary | None = None
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reset_common_window_summary: ResetCommonWindowSummary | None = None
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multi_capital_common_window_summary: MultiCapitalCommonWindowSummary | None = None
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sqs_score: float | None = None
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sqs_breakdown: dict[str, float] = Field(default_factory=dict)
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sqs_v3_score: float | None = None
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sqs_v3_breakdown: dict[str, float] = Field(default_factory=dict)
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stress_sqs_score: float | None = None
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stress_sqs_breakdown: dict[str, float] = Field(default_factory=dict)
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sqs_v2_score: float | None = None
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sqs_v2_breakdown: dict[str, float] = Field(default_factory=dict)
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promotion_score: float | None = None
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promotion_breakdown: dict[str, float] = Field(default_factory=dict)
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unified_score: float | None = None
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unified_breakdown: dict[str, float] = Field(default_factory=dict)
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rqs_score: float | None = None
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rqs_breakdown: dict[str, float] = Field(default_factory=dict)
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wfqs_score: float | None = None
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wfqs_breakdown: dict[str, float] = Field(default_factory=dict)
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wfqs_v2_score: float | None = None
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wfqs_v2_breakdown: dict[str, float] = Field(default_factory=dict)
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deployment_score: float | None = None
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deployment_breakdown: dict[str, float] = Field(default_factory=dict)
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common_window_score: float | None = None
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common_window_breakdown: dict[str, float] = Field(default_factory=dict)
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reset_common_window_score: float | None = None
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reset_common_window_breakdown: dict[str, float] = Field(default_factory=dict)
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multi_capital_common_window_score: float | None = None
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multi_capital_common_window_breakdown: dict[str, float] = Field(default_factory=dict)
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scenario_robustness_score: float | None = None
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scenario_robustness_breakdown: dict[str, float] = Field(default_factory=dict)
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overfit_check_score: float | None = None
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overfit_check_breakdown: dict[str, float] = Field(default_factory=dict)
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verdict: str = "unknown" # better / worse / neutral / unknown
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verdict_reasoning: str = ""
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next_direction: str = ""
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tags: list[str] = Field(default_factory=list)
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class RegistryEntry(BaseModel):
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"""A leaderboard row derived from a JournalEntry."""
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entry_id: str
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experiment_name: str
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strategy_family: str = "other"
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is_retired: bool = False
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sqs_score: float | None = None
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sqs_v3_score: float | None = None
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stress_sqs_score: float | None = None
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sqs_v2_score: float | None = None
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promotion_score: float | None = None
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unified_score: float | None = None
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rqs_score: float | None = None
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wfqs_score: float | None = None
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wfqs_v2_score: float | None = None
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deployment_score: float | None = None
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common_window_score: float | None = None
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common_window_summary: CommonWindowSummary | None = None
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reset_common_window_score: float | None = None
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reset_common_window_summary: ResetCommonWindowSummary | None = None
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multi_capital_common_window_score: float | None = None
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multi_capital_common_window_summary: MultiCapitalCommonWindowSummary | None = None
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walk_forward_summary: WalkForwardSummary | None = None
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|
robustness_matrix_summary: RobustnessMatrixSummary | None = None
|
|
out_of_time_robustness_summary: RobustnessMatrixSummary | None = None
|
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scenario_robustness_score: float | None = None
|
|
overfit_check_score: float | None = None
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# train split metrics
|
|
train_total_return_pct: float | None = None
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|
train_annualized_return_pct: float | None = None
|
|
# test split metrics
|
|
profit_factor: float | None = None
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total_return_pct: float | None = None
|
|
annualized_return_pct: float | None = None
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|
win_rate: float | None = None
|
|
sharpe_ratio: float | None = None
|
|
max_drawdown_pct: float | None = None
|
|
trade_count: int = 0
|
|
avg_gross_exposure_pct: float | None = None
|
|
avg_net_exposure_pct: float | None = None
|
|
days_in_market_pct: float | None = None
|
|
# valid split metrics
|
|
valid_profit_factor: float | None = None
|
|
valid_total_return_pct: float | None = None
|
|
valid_annualized_return_pct: float | None = None
|
|
valid_win_rate: float | None = None
|
|
valid_sharpe_ratio: float | None = None
|
|
valid_max_drawdown_pct: float | None = None
|
|
valid_trade_count: int = 0
|
|
valid_avg_gross_exposure_pct: float | None = None
|
|
valid_avg_net_exposure_pct: float | None = None
|
|
valid_days_in_market_pct: float | None = None
|
|
timestamp: str = ""
|
|
|
|
|
|
class ExperimentRegistry(BaseModel):
|
|
"""Full leaderboard data (regenerated from journal)."""
|
|
|
|
entries: list[RegistryEntry] = Field(default_factory=list)
|
|
updated_at: str = ""
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