Slim Track Record page to validation + how-to-trade
Strategy research now runs locally against DB snapshots (see README), so the deployed Track Record page no longer needs the strategy-tuning output. Keep only what answers "did my trades work / is the strategy working / what do I trade": - Reshape BacktestPanel into an "Is the strategy working?" block: portfolio monitor (unchanged), a deliberate metric set (CAGR, Sharpe, Max DD, Total Return vs SPY, per-year returns), plus the folded-in live-vs-backtest verdict and the backtest recommendation. - Fold the standalone portfolio-sim table's unique rows (per-year returns, avg hold, best/worst, avg P&L) into the monitor; drop the duplicate table. - Slim TrackRecordPanel to My Trades -> Is it working? -> maintenance disclosure (Evaluate/Reset demoted). - Cut the local-research tables: percentile sweep, gate ablation, time-exit sweep, strategy variants, signal-edge rank-IC, research candidates, by-action/by-confidence breakdowns, and the bucket comparison. Frontend-only; the weekly server backtest still computes the cut tables (they feed the local report). tsc -b && vite build pass. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
This commit is contained in:
Claude Opus 4.8
@@ -1,19 +1,22 @@
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import { useMemo, useState } from 'react';
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import { useMutation, useQueryClient } from '@tanstack/react-query';
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import { useBacktestReport } from '../../hooks/useMarketRegime';
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import { usePerformance } from '../../hooks/usePerformance';
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import { triggerJob } from '../../api/admin';
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import { Button } from '../ui/Button';
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import { Callout } from '../ui/Callout';
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import { Disclosure } from '../ui/Disclosure';
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import { Section } from '../ui/Section';
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import { useToast } from '../ui/Toast';
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import type {
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BacktestBucket,
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BacktestCurvePoint,
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BacktestPortfolioMonitorRun,
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BacktestPortfolioPolicy,
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BacktestStrategyVariant,
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} from '../../lib/types';
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import type { BacktestCurvePoint, BacktestPortfolioMonitorRun } from '../../lib/types';
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// Need at least this many matured setups before a live-vs-backtest verdict means
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// anything; below it the live sample is too noisy to compare.
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const MIN_MATURED = 20;
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// Live expectancy this far (in R) below the backtest counts as drift, not noise.
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const DRIFT_TOLERANCE_R = 0.2;
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type TrackingStatus = 'building' | 'tracking' | 'drift' | 'no-backtest';
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function fmtR(v: number | null | undefined): string {
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if (v === null || v === undefined) return '—';
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@@ -36,10 +39,6 @@ function fmtDrawdown(v: number | null | undefined): string {
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function fmtDays(v: number | null | undefined): string {
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return v === null || v === undefined ? '—' : `${v.toFixed(1)}d`;
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}
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function fmtRPerDay(v: number | null | undefined): string {
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if (v === null || v === undefined) return '—';
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return `${v > 0 ? '+' : ''}${v.toFixed(3)}R`;
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}
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function rColor(v: number | null): string {
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if (v === null) return 'text-gray-400';
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if (v > 0) return 'text-emerald-400';
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@@ -47,49 +46,6 @@ function rColor(v: number | null): string {
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return 'text-gray-300';
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}
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const SIGNAL_LABELS: Record<string, string> = {
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mom_12_1: '12–1 month momentum',
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mom_12_1_resid: '12–1 residual momentum',
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mom_6_1: '6–1 month momentum',
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mom_3_1: '3–1 month momentum',
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reversal_1m: '1-month reversal',
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trend_200: 'Price vs 200-day SMA',
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high_52w: 'Proximity to 52-week high',
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vol_6m: '6-month realized volatility',
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};
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const ABLATION_LABELS: Record<string, string> = {
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all_floors: 'All floors (current gate)',
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no_confidence_floor: 'Without confidence floor',
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no_rr_floor: 'Without R:R floor',
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no_neutral_exclusion: 'Without NEUTRAL exclusion',
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momentum_only: 'Momentum only (no floors)',
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};
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const POLICY_LABELS: Record<string, string> = {
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target: 'S/R target exit',
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hold: 'Hold to horizon',
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};
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// Prefer the net-of-costs number when the report carries it; older cached
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// reports (pre-cost model) fall back to gross.
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function netOrGross(r: { avg_r: number | null; net_avg_r?: number | null }): number | null {
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return r.net_avg_r ?? r.avg_r;
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}
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// An |IC| this large, with a consistent sign, is a real (if small) edge worth
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// building on; below it, ranking on the signal sorts essentially nothing.
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const IC_EDGE_THRESHOLD = 0.03;
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function icColor(v: number): string {
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if (Math.abs(v) < 0.02) return 'text-gray-400';
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return v > 0 ? 'text-emerald-400' : 'text-red-400';
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}
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function fmtSpread(v: number | null): string {
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if (v === null) return '—';
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return `${v > 0 ? '+' : ''}${(v * 100).toFixed(2)}%`;
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}
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function timeAgo(iso: string): string {
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const mins = Math.floor((Date.now() - new Date(iso).getTime()) / 60_000);
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if (mins < 1) return 'just now';
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@@ -111,23 +67,15 @@ function Stat({ label, value, valueClass = 'text-gray-100', sub }: {
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);
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}
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function BucketRow({ label, b }: { label: string; b: BacktestBucket }) {
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return (
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<tr className="border-b border-white/[0.04]">
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<td className="px-4 py-2.5 font-medium text-gray-200">{label}</td>
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<td className="num px-4 py-2.5 text-right text-gray-300">{b.total}</td>
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<td className="num px-4 py-2.5 text-right text-emerald-400">{b.wins}</td>
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<td className="num px-4 py-2.5 text-right text-red-400">{b.losses}</td>
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<td className="num px-4 py-2.5 text-right text-gray-400">{b.expired}</td>
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<td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(b.hit_rate)}</td>
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<td className={`num px-4 py-2.5 text-right ${rColor(b.avg_r)}`}>{fmtR(b.avg_r)}</td>
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<td className={`num px-4 py-2.5 text-right ${rColor(b.net_avg_r ?? null)}`}>{fmtR(b.net_avg_r ?? null)}</td>
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<td className="num px-4 py-2.5 text-right text-emerald-400">{fmtR(b.best_r)}</td>
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<td className="num px-4 py-2.5 text-right text-red-400">{fmtR(b.worst_r)}</td>
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<td className="num px-4 py-2.5 text-right text-gray-400">{fmtDays(b.avg_hold_days)}</td>
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<td className={`num px-4 py-2.5 text-right ${rColor(b.net_r_per_day ?? null)}`}>{fmtRPerDay(b.net_r_per_day)}</td>
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</tr>
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);
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function VerdictChip({ status }: { status: TrackingStatus }) {
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const styles: Record<TrackingStatus, { cls: string; label: string }> = {
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tracking: { cls: 'border-emerald-500/30 bg-emerald-500/15 text-emerald-300', label: '✓ tracking' },
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drift: { cls: 'border-amber-500/30 bg-amber-500/15 text-amber-300', label: '⚠ drift' },
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building: { cls: 'border-white/10 bg-white/[0.05] text-gray-400', label: 'building' },
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'no-backtest': { cls: 'border-white/10 bg-white/[0.05] text-gray-400', label: 'no backtest' },
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};
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const s = styles[status];
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return <span className={`shrink-0 rounded-full border px-2.5 py-1 text-xs font-medium ${s.cls}`}>{s.label}</span>;
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}
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function curvePath(
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@@ -210,16 +158,12 @@ function EquityCurveChart({ run }: { run: BacktestPortfolioMonitorRun }) {
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export function BacktestPanel() {
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const { data: report, isLoading } = useBacktestReport();
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const { data: perf } = usePerformance({ qualified_only: true });
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const queryClient = useQueryClient();
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const toast = useToast();
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const [selectedStrategy, setSelectedStrategy] = useState('');
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const [selectedLookback, setSelectedLookback] = useState('');
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const bestTimeAvgR =
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report?.time_exit_sweep && report.time_exit_sweep.length > 0
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? Math.max(...report.time_exit_sweep.map((r) => netOrGross(r) ?? -Infinity))
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: null;
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const sim = report?.portfolio_sim ?? null;
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const monitor = report?.portfolio_monitor ?? null;
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const activeStrategy =
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selectedStrategy || monitor?.production_strategy || monitor?.strategies[0]?.strategy || '';
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@@ -234,6 +178,22 @@ export function BacktestPanel() {
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[monitor, activeStrategy, activeLookback],
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);
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// Live matured qualified cohort vs the backtest's qualified expectancy — the
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// out-of-sample check that the running system faithfully implements the backtest.
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const liveAvgR = perf?.overall.avg_r ?? null;
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const liveN = perf?.overall.total ?? 0;
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const btAvgR = report?.overall_qualified.avg_r ?? null;
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let status: TrackingStatus = 'building';
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if (liveAvgR != null && liveN >= MIN_MATURED) {
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status = btAvgR == null ? 'no-backtest' : liveAvgR >= btAvgR - DRIFT_TOLERANCE_R ? 'tracking' : 'drift';
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}
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const verdictNote: Record<TrackingStatus, string> = {
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building: `Fewer than ~${MIN_MATURED} matured setups so far — until then the backtest is the edge estimate. This turns into a live check as setups age past their ~30-day window.`,
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'no-backtest': 'Run the backtest to get a baseline to compare the live record against.',
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tracking: 'Live setups are resolving in line with the backtest — the running system is faithfully implementing it.',
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drift: 'Live expectancy is running materially below the backtest — small-sample noise, a regime shift, or a live/backtest gap. Worth a look.',
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};
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const run = useMutation({
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mutationFn: () => triggerJob('backtest'),
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onSuccess: (res) => {
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@@ -248,17 +208,17 @@ export function BacktestPanel() {
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});
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return (
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<Section title="Backtest" hint="historical replay of the current config">
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<Section title="Is the strategy working?" hint="portfolio simulation vs S&P 500, validated against the live record">
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<div className="space-y-4">
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<div className="flex flex-wrap items-start justify-between gap-3">
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<Disclosure summary="How the backtest works">
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<p className="text-xs text-gray-400">
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At each weekly point in history, the setup is rebuilt using only data up to that day
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(no lookahead), then the actual following ~30 trading days decide its outcome. This
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shows how the <em>current</em> settings would have performed. Sentiment and
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fundamentals are held neutral (no point-in-time history), so this calibrates the
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price / support-resistance / probability machinery. ~6 months of data is roughly one
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market regime — read it as directional, not a guarantee.
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<Disclosure summary="How this is measured">
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<p className="max-w-2xl text-xs text-gray-400">
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The backtest replays the current config weekly through history — at each point the setup is
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rebuilt using only data up to that day (no lookahead) and the following ~30 trading days decide
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its outcome — then simulates one capital-constrained book against the S&P 500. Sentiment and
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fundamentals are held neutral (no point-in-time history). ~6 months is roughly one market regime,
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so read it as directional. The <em>tracking</em> check compares the backtest's qualified
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expectancy with what live qualified setups have actually realized once matured.
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</p>
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</Disclosure>
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<Button onClick={() => run.mutate()} loading={run.isPending} className="shrink-0">
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@@ -270,8 +230,8 @@ export function BacktestPanel() {
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{!isLoading && !report && (
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<Callout variant="empty">
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No backtest yet. Click “Run backtest” (or trigger it in Admin → Jobs) — it replays every
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ticker over history and takes a minute or two.
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No backtest yet. Click “Run backtest” (or trigger it in Admin → Jobs) — it replays every ticker
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over history and takes a minute or two.
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</Callout>
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)}
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@@ -281,17 +241,17 @@ export function BacktestPanel() {
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Ran {timeAgo(report.generated_at)} · {report.tickers} tickers · {report.candidates} setups
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({report.qualified} qualified) · weekly cadence, {report.params.horizon_days}-day horizon
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{report.params.cost_per_side_pct != null && (
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<> · net assumes {report.params.cost_per_side_pct}%/side costs</>
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<> · net of {report.params.cost_per_side_pct}%/side costs</>
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)}
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</p>
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{monitor && monitorRun && (
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{monitor && monitorRun ? (
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<div className="space-y-3">
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<div className="flex flex-wrap items-end justify-between gap-3">
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<div>
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<p className="section-index">Portfolio monitor</p>
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<p className="mt-1 text-xs text-gray-500">
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Cached portfolio simulation for supported strategies, compared with S&P 500.
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Simulated book for the selected strategy and lookback, compared with the S&P 500.
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</p>
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</div>
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<div className="flex flex-wrap gap-2">
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@@ -328,13 +288,63 @@ export function BacktestPanel() {
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<Stat label="CAGR" value={fmtSignedPct(monitorRun.cagr_pct)} valueClass={rColor(monitorRun.cagr_pct)} />
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<Stat label="Sharpe" value={monitorRun.sharpe == null ? '—' : monitorRun.sharpe.toFixed(2)} />
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<Stat label="Max Drawdown" value={fmtDrawdown(monitorRun.max_drawdown_pct)} valueClass="text-amber-400" />
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<Stat label="Total Return" value={fmtSignedPct(monitorRun.total_return_pct)} valueClass={rColor(monitorRun.total_return_pct)} />
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<Stat
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label="Total Return"
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value={fmtSignedPct(monitorRun.total_return_pct)}
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valueClass={rColor(monitorRun.total_return_pct)}
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sub={`vs S&P 500 ${fmtSignedPct(monitorRun.spy_return_pct)}`}
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/>
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<Stat label="Trades" value={String(monitorRun.trades)} sub={`${fmtPct(monitorRun.win_rate)} win rate`} />
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</div>
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<EquityCurveChart run={monitorRun} />
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<p className="text-[11px] text-gray-500">
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Avg hold {fmtDays(monitorRun.avg_hold_days)} · Best {fmtR(monitorRun.best_trade_r)} / Worst{' '}
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{fmtR(monitorRun.worst_trade_r)} · Avg P&L per trade {fmtMoney(monitorRun.avg_trade_pnl)}
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</p>
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{monitorRun.yearly_returns && monitorRun.yearly_returns.length > 0 && (
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<div className="glass overflow-x-auto p-4">
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<p className="section-index mb-2">Per-year returns</p>
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<div className="flex flex-wrap gap-2">
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{monitorRun.yearly_returns.map((y) => (
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<div key={y.year} className="rounded border border-white/10 px-3 py-1.5">
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<span className="num text-xs text-gray-500">{y.year}</span>{' '}
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<span className={`num text-sm font-semibold ${rColor(y.return_pct)}`}>
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{fmtSignedPct(y.return_pct)}
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</span>
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</div>
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))}
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</div>
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</div>
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)}
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{/* Live-vs-backtest validation: does the running system realize what the backtest promised? */}
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<div className="glass-sm space-y-2 p-4">
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<div className="flex flex-wrap items-center justify-between gap-x-6 gap-y-2">
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<div className="flex flex-wrap items-baseline gap-x-5 gap-y-1">
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<span className="text-sm text-gray-400">
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Live <span className={`num font-semibold ${rColor(liveAvgR)}`}>{fmtR(liveAvgR)}</span>
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</span>
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<span className="text-sm text-gray-400">
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Backtest <span className={`num font-semibold ${rColor(btAvgR)}`}>{fmtR(btAvgR)}</span>
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</span>
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<span className="text-xs text-gray-500">
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{liveN} matured{perf ? ` · ${perf.maturing} maturing` : ''} · qualified expectancy
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</span>
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</div>
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<VerdictChip status={status} />
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</div>
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<p className="text-[11px] leading-relaxed text-gray-500">{verdictNote[status]}</p>
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</div>
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{monitor.note && <p className="text-[11px] text-gray-600">{monitor.note}</p>}
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</div>
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) : (
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<Callout variant="empty">
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This report predates the portfolio monitor — re-run the backtest to populate it.
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</Callout>
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)}
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{report.recommendation && report.recommendation.items.length > 0 && (
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@@ -361,453 +371,11 @@ export function BacktestPanel() {
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</div>
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)}
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{report.research_recommendation && report.research_recommendation.items.length > 0 && (
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<div className="glass border border-emerald-400/15 p-4">
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<p className="section-index">Research candidates</p>
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<ul className="mt-2 space-y-1">
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{report.research_recommendation.items.map((item) => (
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<li
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key={item.topic + item.text}
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className={`text-xs ${item.candidate ? 'text-emerald-400' : 'text-gray-400'}`}
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>
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{item.text}
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</li>
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||||
))}
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||||
</ul>
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{report.research_recommendation.note && (
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<p className="mt-2 text-[11px] text-gray-600">{report.research_recommendation.note}</p>
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||||
)}
|
||||
</div>
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||||
)}
|
||||
|
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<div className="grid gap-3 sm:grid-cols-2 lg:grid-cols-4">
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<Stat
|
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label="Qualified Hit Rate"
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value={fmtPct(report.overall_qualified.hit_rate)}
|
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sub={`${report.overall_qualified.wins}W / ${report.overall_qualified.losses}L`}
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||||
/>
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<Stat
|
||||
label="Qualified Expectancy"
|
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value={fmtR(report.overall_qualified.avg_r)}
|
||||
valueClass={rColor(report.overall_qualified.avg_r)}
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sub="avg R per qualified setup"
|
||||
/>
|
||||
<Stat
|
||||
label="All Setups Expectancy"
|
||||
value={fmtR(report.overall_all.avg_r)}
|
||||
valueClass={rColor(report.overall_all.avg_r)}
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||||
sub={`${report.overall_all.total} setups · baseline`}
|
||||
/>
|
||||
<Stat
|
||||
label="Qualified Total R"
|
||||
value={fmtR(report.overall_qualified.total_r)}
|
||||
valueClass={rColor(report.overall_qualified.total_r)}
|
||||
sub="cumulative, risk-adjusted"
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||||
/>
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||||
{report.overall_qualified.median_net_r != null && (
|
||||
<Stat
|
||||
label="Median Net R"
|
||||
value={fmtR(report.overall_qualified.median_net_r)}
|
||||
valueClass={rColor(report.overall_qualified.median_net_r)}
|
||||
sub="qualified · the typical trade"
|
||||
/>
|
||||
)}
|
||||
{report.overall_qualified.profit_factor != null && (
|
||||
<Stat
|
||||
label="Profit Factor"
|
||||
value={report.overall_qualified.profit_factor.toFixed(2)}
|
||||
valueClass={report.overall_qualified.profit_factor > 1 ? 'text-emerald-400' : 'text-red-400'}
|
||||
sub="qualified · net wins / net losses"
|
||||
/>
|
||||
)}
|
||||
{report.overall_qualified.net_avg_r_ex_top5 != null && (
|
||||
<Stat
|
||||
label="Ex-Top-5% Net R"
|
||||
value={fmtR(report.overall_qualified.net_avg_r_ex_top5)}
|
||||
valueClass={rColor(report.overall_qualified.net_avg_r_ex_top5)}
|
||||
sub="expectancy without the biggest winners"
|
||||
/>
|
||||
)}
|
||||
</div>
|
||||
|
||||
<div className="glass overflow-x-auto">
|
||||
<table className="w-full text-sm">
|
||||
<thead>
|
||||
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
|
||||
<th className="px-4 py-2.5">Set</th>
|
||||
<th className="px-4 py-2.5 text-right">Setups</th>
|
||||
<th className="px-4 py-2.5 text-right">Wins</th>
|
||||
<th className="px-4 py-2.5 text-right">Losses</th>
|
||||
<th className="px-4 py-2.5 text-right">Expired</th>
|
||||
<th className="px-4 py-2.5 text-right">Hit Rate</th>
|
||||
<th className="px-4 py-2.5 text-right">Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Net Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Best R</th>
|
||||
<th className="px-4 py-2.5 text-right">Worst R</th>
|
||||
<th className="px-4 py-2.5 text-right">Avg Hold</th>
|
||||
<th className="px-4 py-2.5 text-right">Net R/d</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
<BucketRow label="Qualified" b={report.overall_qualified} />
|
||||
<BucketRow label="All" b={report.overall_all} />
|
||||
{report.by_direction.long && <BucketRow label="Long (qual.)" b={report.by_direction.long} />}
|
||||
{report.by_direction.short && <BucketRow label="Short (qual.)" b={report.by_direction.short} />}
|
||||
</tbody>
|
||||
</table>
|
||||
</div>
|
||||
|
||||
{/* Guard on the new field so a stale cached report (pre-momentum,
|
||||
with min_expected_value rows) hides the sweep instead of crashing
|
||||
the whole page. Re-running the backtest repopulates it. */}
|
||||
{report.sweep && report.sweep.length > 0 && report.sweep[0].min_momentum_percentile != null && (
|
||||
<div>
|
||||
<p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
|
||||
Residual-momentum percentile sweep
|
||||
<p className="text-[11px] text-gray-600">
|
||||
Strategy research — gate tuning, exit sweeps, factor rank-IC — now runs locally against a
|
||||
database snapshot (see README). This page keeps only what says whether the promoted strategy
|
||||
is worth trading and being delivered live.
|
||||
</p>
|
||||
<p className="mb-2 text-[11px] text-gray-500">
|
||||
How many setups qualify — and how they perform — at each production-rank cutoff (floors
|
||||
held fixed). 80 = only the top 20% of the universe by residual 12-1 momentum each week; 0 =
|
||||
floors only. Lower = more trades, watch that expectancy holds. Your current setting is
|
||||
highlighted; set it in Admin → Settings → Activation.
|
||||
</p>
|
||||
<div className="glass overflow-x-auto">
|
||||
<table className="w-full text-sm">
|
||||
<thead>
|
||||
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
|
||||
<th className="px-4 py-2.5">Min residual %ile</th>
|
||||
<th className="px-4 py-2.5 text-right">Qualified</th>
|
||||
<th className="px-4 py-2.5 text-right">Wins</th>
|
||||
<th className="px-4 py-2.5 text-right">Losses</th>
|
||||
<th className="px-4 py-2.5 text-right">Hit Rate</th>
|
||||
<th className="px-4 py-2.5 text-right">Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Net Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Total R</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
{report.sweep.map((row) => {
|
||||
const current = Math.abs(row.min_momentum_percentile - report.min_momentum_percentile) < 0.001;
|
||||
return (
|
||||
<tr key={row.min_momentum_percentile} className={`border-b border-white/[0.04] ${current ? 'bg-blue-400/10' : ''}`}>
|
||||
<td className="num px-4 py-2.5 text-gray-200">
|
||||
{current && <span className="mr-1 text-blue-300">★</span>}
|
||||
{row.min_momentum_percentile.toFixed(0)}
|
||||
</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-200">{row.total}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-emerald-400">{row.wins}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-red-400">{row.losses}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(row.hit_rate)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.net_avg_r ?? null)}`}>{fmtR(row.net_avg_r ?? null)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.total_r)}`}>{fmtR(row.total_r)}</td>
|
||||
</tr>
|
||||
);
|
||||
})}
|
||||
</tbody>
|
||||
</table>
|
||||
</div>
|
||||
</div>
|
||||
)}
|
||||
|
||||
{report.gate_ablation && report.gate_ablation.length > 0 && (
|
||||
<div>
|
||||
<p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
|
||||
Gate ablation — which floors earn their keep
|
||||
</p>
|
||||
<p className="mb-2 text-[11px] text-gray-500">
|
||||
{report.gate_ablation_note ??
|
||||
'Each row re-qualifies the same candidates at the current momentum cutoff with one floor removed (long-only throughout).'}
|
||||
</p>
|
||||
<div className="glass overflow-x-auto">
|
||||
<table className="w-full text-sm">
|
||||
<thead>
|
||||
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
|
||||
<th className="px-4 py-2.5">Variant</th>
|
||||
<th className="px-4 py-2.5 text-right">Setups</th>
|
||||
<th className="px-4 py-2.5 text-right">Hit Rate</th>
|
||||
<th className="px-4 py-2.5 text-right">Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Net Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Total R</th>
|
||||
<th className="px-4 py-2.5 text-right">Hold Net Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Hold Total R</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
{report.gate_ablation.map((row) => (
|
||||
<tr
|
||||
key={row.variant}
|
||||
className={`border-b border-white/[0.04] ${row.variant === 'all_floors' ? 'bg-blue-400/10' : ''}`}
|
||||
>
|
||||
<td className="px-4 py-2.5 font-medium text-gray-200">
|
||||
{ABLATION_LABELS[row.variant] ?? row.variant}
|
||||
</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-200">{row.total}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(row.hit_rate)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.net_avg_r ?? null)}`}>
|
||||
{fmtR(row.net_avg_r ?? null)}
|
||||
</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.total_r)}`}>{fmtR(row.total_r)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.hold_net_avg_r ?? null)}`}>
|
||||
{fmtR(row.hold_net_avg_r ?? null)}
|
||||
</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.hold_total_r ?? null)}`}>
|
||||
{fmtR(row.hold_total_r ?? null)}
|
||||
</td>
|
||||
</tr>
|
||||
))}
|
||||
</tbody>
|
||||
</table>
|
||||
</div>
|
||||
</div>
|
||||
)}
|
||||
|
||||
{report.time_exit_sweep && report.time_exit_sweep.length > 0 && (
|
||||
<div>
|
||||
<p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
|
||||
Time-based exit
|
||||
</p>
|
||||
<p className="mb-2 text-[11px] text-gray-500">
|
||||
Buy at detection, keep the initial ATR stop, and exit at the{' '}
|
||||
<span className="text-gray-300">day-N close</span> — no target, no trailing. This is the
|
||||
classic cross-sectional momentum implementation (hold ~a month, re-rank).{' '}
|
||||
<span className="text-gray-300">Win Rate = share closed in profit.</span> ★ = best net avg R.
|
||||
</p>
|
||||
<div className="glass overflow-x-auto">
|
||||
<table className="w-full text-sm">
|
||||
<thead>
|
||||
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
|
||||
<th className="px-4 py-2.5">Hold</th>
|
||||
<th className="px-4 py-2.5 text-right">Setups</th>
|
||||
<th className="px-4 py-2.5 text-right">Profitable</th>
|
||||
<th className="px-4 py-2.5 text-right">Win Rate</th>
|
||||
<th className="px-4 py-2.5 text-right">Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Net Avg R</th>
|
||||
<th className="px-4 py-2.5 text-right">Total R</th>
|
||||
<th className="px-4 py-2.5 text-right">Best R</th>
|
||||
<th className="px-4 py-2.5 text-right">Worst R</th>
|
||||
<th className="px-4 py-2.5 text-right">Avg Hold</th>
|
||||
<th className="px-4 py-2.5 text-right">Net R/d</th>
|
||||
<th className="px-4 py-2.5 text-right">Median Net R</th>
|
||||
<th className="px-4 py-2.5 text-right">Ex-Top-5%</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
{report.time_exit_sweep.map((row) => {
|
||||
const best = netOrGross(row) != null && netOrGross(row) === bestTimeAvgR;
|
||||
return (
|
||||
<tr key={row.hold_days} className={`border-b border-white/[0.04] ${best ? 'bg-emerald-400/[0.06]' : ''}`}>
|
||||
<td className="num px-4 py-2.5 text-gray-200">
|
||||
{best && <span className="mr-1 text-emerald-300">★</span>}
|
||||
{row.hold_days}d
|
||||
</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-200">{row.total}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-emerald-400">{row.wins}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-200">{fmtPct(row.win_rate)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.avg_r)}`}>{fmtR(row.avg_r)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right font-semibold ${rColor(row.net_avg_r ?? null)}`}>{fmtR(row.net_avg_r ?? null)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.total_r)}`}>{fmtR(row.total_r)}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-emerald-400">{fmtR(row.best_r)}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-red-400">{fmtR(row.worst_r)}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-400">{fmtDays(row.avg_hold_days)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.net_r_per_day ?? null)}`}>{fmtRPerDay(row.net_r_per_day)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.median_net_r ?? null)}`}>{fmtR(row.median_net_r)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.net_avg_r_ex_top5 ?? null)}`}>{fmtR(row.net_avg_r_ex_top5)}</td>
|
||||
</tr>
|
||||
);
|
||||
})}
|
||||
</tbody>
|
||||
</table>
|
||||
</div>
|
||||
</div>
|
||||
)}
|
||||
|
||||
{sim && sim.policies.length > 0 && (
|
||||
<div>
|
||||
<p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
|
||||
Portfolio simulation
|
||||
</p>
|
||||
<p className="mb-2 text-[11px] text-gray-500">
|
||||
{sim.note ?? 'One capital-constrained book over the qualified setups.'}{' '}
|
||||
<span className="text-gray-300">
|
||||
Start {fmtMoney(sim.params.starting_capital)} · max {sim.params.max_positions} positions ·{' '}
|
||||
{sim.params.risk_per_trade_pct}% risk/trade · {sim.params.notional_cap_pct}% notional cap ·{' '}
|
||||
{sim.params.cost_per_side_pct}%/side costs · {sim.policies[0].start_date} → {sim.policies[0].end_date}
|
||||
</span>
|
||||
</p>
|
||||
<div className="glass overflow-x-auto">
|
||||
<table className="w-full text-sm">
|
||||
<thead>
|
||||
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
|
||||
<th className="px-4 py-2.5">Metric</th>
|
||||
{sim.policies.map((p) => (
|
||||
<th key={p.policy ?? 'policy'} className="px-4 py-2.5 text-right">
|
||||
{POLICY_LABELS[p.policy ?? ''] ?? p.policy ?? 'Policy'}
|
||||
</th>
|
||||
))}
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
{(
|
||||
[
|
||||
['Final equity', (p) => fmtMoney(p.final_equity), (p) => rColor(p.final_equity - p.starting_capital)],
|
||||
['Total return', (p) => fmtSignedPct(p.total_return_pct), (p) => rColor(p.total_return_pct)],
|
||||
['SPY return (same window)', (p) => fmtSignedPct(p.spy_return_pct), () => 'text-gray-300'],
|
||||
['CAGR', (p) => fmtSignedPct(p.cagr_pct), (p) => rColor(p.cagr_pct)],
|
||||
['Max drawdown', (p) => `−${p.max_drawdown_pct.toFixed(1)}%`, () => 'text-amber-400'],
|
||||
['Sharpe (daily, annualized)', (p) => (p.sharpe === null ? '—' : p.sharpe.toFixed(2)), () => 'text-gray-200'],
|
||||
['Trades', (p) => String(p.trades), () => 'text-gray-300'],
|
||||
['Win rate', (p) => fmtPct(p.win_rate), () => 'text-gray-200'],
|
||||
['Avg P&L / trade', (p) => fmtMoney(p.avg_trade_pnl), (p) => rColor(p.avg_trade_pnl)],
|
||||
['Best / worst trade', (p) => `${fmtR(p.best_trade_r)} / ${fmtR(p.worst_trade_r)}`, () => 'text-gray-300'],
|
||||
['Avg holding time', (p) => fmtDays(p.avg_hold_days), () => 'text-gray-300'],
|
||||
[
|
||||
'Per-year returns',
|
||||
(p) =>
|
||||
p.yearly_returns && p.yearly_returns.length > 0
|
||||
? p.yearly_returns
|
||||
.map((y) => `${y.year} ${fmtSignedPct(y.return_pct)}`)
|
||||
.join(' · ')
|
||||
: '—',
|
||||
() => 'text-gray-300',
|
||||
],
|
||||
['Entries skipped (book full)', (p) => String(p.skipped_book_full), () => 'text-gray-500'],
|
||||
] as [string, (p: BacktestPortfolioPolicy) => string, (p: BacktestPortfolioPolicy) => string][]
|
||||
).map(([label, fmt, color]) => (
|
||||
<tr key={label} className="border-b border-white/[0.04]">
|
||||
<td className="px-4 py-2.5 font-medium text-gray-200">{label}</td>
|
||||
{sim.policies.map((p) => (
|
||||
<td key={p.policy ?? label} className={`num px-4 py-2.5 text-right ${color(p)}`}>
|
||||
{fmt(p)}
|
||||
</td>
|
||||
))}
|
||||
</tr>
|
||||
))}
|
||||
</tbody>
|
||||
</table>
|
||||
</div>
|
||||
</div>
|
||||
)}
|
||||
|
||||
{report.strategy_variants && report.strategy_variants.variants.length > 0 && (
|
||||
<div>
|
||||
<p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
|
||||
Strategy variants
|
||||
</p>
|
||||
<p className="mb-2 text-[11px] text-gray-500">
|
||||
{report.strategy_variants.note ?? 'Research-only portfolio variants.'}
|
||||
</p>
|
||||
<div className="glass overflow-x-auto">
|
||||
<table className="w-full text-sm">
|
||||
<thead>
|
||||
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
|
||||
<th className="px-4 py-2.5">Variant</th>
|
||||
<th className="px-4 py-2.5 text-right">Rank</th>
|
||||
<th className="px-4 py-2.5 text-right">Cutoff</th>
|
||||
<th className="px-4 py-2.5 text-right">Max Pos</th>
|
||||
<th className="px-4 py-2.5 text-right">Risk</th>
|
||||
<th className="px-4 py-2.5 text-right">CAGR</th>
|
||||
<th className="px-4 py-2.5 text-right">Max DD</th>
|
||||
<th className="px-4 py-2.5 text-right">Sharpe</th>
|
||||
<th className="px-4 py-2.5 text-right">Total Ret</th>
|
||||
<th className="px-4 py-2.5 text-right">Trades</th>
|
||||
<th className="px-4 py-2.5 text-right">Skipped</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
{report.strategy_variants.variants.map((row: BacktestStrategyVariant) => (
|
||||
<tr key={row.variant} className="border-b border-white/[0.04]">
|
||||
<td className="px-4 py-2.5 font-medium text-gray-200">{row.label}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-300">{row.ranking}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-300">{row.cutoff.toFixed(0)}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-300">{row.max_positions}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-300">
|
||||
{`${row.risk_per_trade_pct.toFixed(1)}%`}
|
||||
</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.cagr_pct)}`}>{fmtSignedPct(row.cagr_pct)}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-amber-400">−{row.max_drawdown_pct.toFixed(1)}%</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-200">
|
||||
{row.sharpe === null ? '—' : row.sharpe.toFixed(2)}
|
||||
</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.total_return_pct)}`}>{fmtSignedPct(row.total_return_pct)}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-300">{row.trades}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-500">{row.skipped_book_full}</td>
|
||||
</tr>
|
||||
))}
|
||||
</tbody>
|
||||
</table>
|
||||
</div>
|
||||
</div>
|
||||
)}
|
||||
|
||||
{report.signal_eval && report.signal_eval.length > 0 && (
|
||||
<div>
|
||||
<p className="mb-2 text-xs font-medium uppercase tracking-widest text-gray-500">
|
||||
Signal edge (cross-sectional)
|
||||
</p>
|
||||
<p className="mb-2 text-[11px] text-gray-500">
|
||||
Does ranking the universe by a signal predict the forward {report.params.horizon_days}-day
|
||||
return? Mean IC is the rank correlation between signal and return, averaged over
|
||||
non-overlapping windows. <span className="text-emerald-400">|IC| ≳ {IC_EDGE_THRESHOLD}</span> with a
|
||||
consistent sign (high IC>0 %) is a real, if small, edge; near 0 means it sorts nothing.
|
||||
Momentum skips the last month; <em>reversal_1m is expected negative</em> if the universe
|
||||
mean-reverts. Q5−Q1 is the top-minus-bottom-quintile forward return. <span className="text-gray-600">Greyed
|
||||
rows have too few independent windows to trust — deepen history via the Data Backfill job.</span>
|
||||
</p>
|
||||
<div className="glass overflow-x-auto">
|
||||
<table className="w-full text-sm">
|
||||
<thead>
|
||||
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
|
||||
<th className="px-4 py-2.5">Signal</th>
|
||||
<th className="px-4 py-2.5 text-right">Weeks</th>
|
||||
<th className="px-4 py-2.5 text-right">Avg N</th>
|
||||
<th className="px-4 py-2.5 text-right">Mean IC</th>
|
||||
<th className="px-4 py-2.5 text-right">t-stat</th>
|
||||
<th className="px-4 py-2.5 text-right">IC>0 %</th>
|
||||
<th className="px-4 py-2.5 text-right">Q5−Q1 fwd</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
{report.signal_eval.map((row) => {
|
||||
// Only trust the edge highlight when the IC rests on enough
|
||||
// independent windows; thin signals are dimmed, not starred.
|
||||
const edge = row.reliable && Math.abs(row.mean_ic) >= IC_EDGE_THRESHOLD;
|
||||
return (
|
||||
<tr
|
||||
key={row.signal}
|
||||
className={`border-b border-white/[0.04] ${edge ? 'bg-emerald-400/[0.06]' : ''} ${row.reliable ? '' : 'opacity-40'}`}
|
||||
title={row.reliable ? undefined : `Only ${row.weeks} independent window(s) — not enough to trust`}
|
||||
>
|
||||
<td className="px-4 py-2.5 font-medium text-gray-200">
|
||||
{edge && <span className="mr-1 text-emerald-300">★</span>}
|
||||
{SIGNAL_LABELS[row.signal] ?? row.signal}
|
||||
</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-400">{row.weeks}</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-400">{row.avg_cross_section ?? '—'}</td>
|
||||
<td className={`num px-4 py-2.5 text-right font-semibold ${icColor(row.mean_ic)}`}>
|
||||
{row.mean_ic.toFixed(3)}
|
||||
</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-300">
|
||||
{row.ic_t_stat === null ? '—' : row.ic_t_stat.toFixed(2)}
|
||||
</td>
|
||||
<td className="num px-4 py-2.5 text-right text-gray-300">{fmtPct(row.ic_positive_pct)}</td>
|
||||
<td className={`num px-4 py-2.5 text-right ${rColor(row.mean_quintile_spread)}`}>
|
||||
{fmtSpread(row.mean_quintile_spread)}
|
||||
</td>
|
||||
</tr>
|
||||
);
|
||||
})}
|
||||
</tbody>
|
||||
</table>
|
||||
</div>
|
||||
{report.signal_eval_note && (
|
||||
<p className="mt-2 text-[11px] text-gray-600">{report.signal_eval_note}</p>
|
||||
)}
|
||||
</div>
|
||||
)}
|
||||
|
||||
<p className="text-[11px] text-gray-600">{report.note}</p>
|
||||
</>
|
||||
)}
|
||||
</div>
|
||||
|
||||
@@ -1,126 +1,12 @@
|
||||
import { useState } from 'react';
|
||||
import { useMutation, useQueryClient } from '@tanstack/react-query';
|
||||
import { useActivation } from '../../hooks/useActivation';
|
||||
import { activationSummary } from '../../lib/qualification';
|
||||
import { usePerformance } from '../../hooks/usePerformance';
|
||||
import { useBacktestReport } from '../../hooks/useMarketRegime';
|
||||
import { triggerJob, resetTrackRecord } from '../../api/admin';
|
||||
import { Button } from '../ui/Button';
|
||||
import { Callout } from '../ui/Callout';
|
||||
import { Disclosure } from '../ui/Disclosure';
|
||||
import { Section } from '../ui/Section';
|
||||
import { SkeletonCard } from '../ui/Skeleton';
|
||||
import { useToast } from '../ui/Toast';
|
||||
import { RECOMMENDATION_ACTION_LABELS } from '../../lib/recommendation';
|
||||
import { BacktestPanel } from './BacktestPanel';
|
||||
import { MyTradesPanel } from './MyTradesPanel';
|
||||
import type { OutcomeBucketStats } from '../../lib/types';
|
||||
|
||||
// Need at least this many matured setups before a live-vs-backtest verdict means
|
||||
// anything; below it the live sample is too noisy to compare.
|
||||
const MIN_MATURED = 20;
|
||||
// Live expectancy this far (in R) below the backtest counts as drift, not noise.
|
||||
const DRIFT_TOLERANCE_R = 0.2;
|
||||
|
||||
type TrackingStatus = 'building' | 'tracking' | 'drift' | 'no-backtest';
|
||||
|
||||
function fmtR(value: number | null): string {
|
||||
if (value === null) return '—';
|
||||
return `${value > 0 ? '+' : ''}${value.toFixed(2)}R`;
|
||||
}
|
||||
|
||||
function fmtPct(value: number | null): string {
|
||||
return value === null ? '—' : `${value.toFixed(1)}%`;
|
||||
}
|
||||
|
||||
function rColor(value: number | null): string {
|
||||
if (value === null) return 'text-gray-400';
|
||||
if (value > 0) return 'text-emerald-400';
|
||||
if (value < 0) return 'text-red-400';
|
||||
return 'text-gray-300';
|
||||
}
|
||||
|
||||
function VerdictChip({ status }: { status: TrackingStatus }) {
|
||||
const styles: Record<TrackingStatus, { cls: string; label: string }> = {
|
||||
tracking: { cls: 'border-emerald-500/30 bg-emerald-500/15 text-emerald-300', label: '✓ tracking' },
|
||||
drift: { cls: 'border-amber-500/30 bg-amber-500/15 text-amber-300', label: '⚠ drift' },
|
||||
building: { cls: 'border-white/10 bg-white/[0.05] text-gray-400', label: 'building' },
|
||||
'no-backtest': { cls: 'border-white/10 bg-white/[0.05] text-gray-400', label: 'no backtest' },
|
||||
};
|
||||
const s = styles[status];
|
||||
return <span className={`shrink-0 rounded-full border px-2.5 py-1 text-xs font-medium ${s.cls}`}>{s.label}</span>;
|
||||
}
|
||||
|
||||
function StatCard({ label, value, valueClass = 'text-gray-100', sub }: {
|
||||
label: string;
|
||||
value: string;
|
||||
valueClass?: string;
|
||||
sub?: string;
|
||||
}) {
|
||||
return (
|
||||
<div className="glass p-5">
|
||||
<p className="section-index">{label}</p>
|
||||
<p className={`num mt-2 text-2xl font-semibold ${valueClass}`}>{value}</p>
|
||||
{sub && <p className="mt-1 text-xs text-gray-500">{sub}</p>}
|
||||
</div>
|
||||
);
|
||||
}
|
||||
|
||||
function actionLabel(key: string): string {
|
||||
return RECOMMENDATION_ACTION_LABELS[key as keyof typeof RECOMMENDATION_ACTION_LABELS] ?? key;
|
||||
}
|
||||
|
||||
function BreakdownTable({ rows, labelHeader, mapLabel }: {
|
||||
rows: Record<string, OutcomeBucketStats>;
|
||||
labelHeader: string;
|
||||
mapLabel?: (key: string) => string;
|
||||
}) {
|
||||
const entries = Object.entries(rows);
|
||||
if (entries.length === 0) {
|
||||
return <Callout variant="empty">No matured setups in this breakdown yet.</Callout>;
|
||||
}
|
||||
return (
|
||||
<div className="glass overflow-x-auto">
|
||||
<table className="w-full text-sm">
|
||||
<thead>
|
||||
<tr className="border-b border-white/[0.06] text-left text-xs uppercase tracking-wider text-gray-500">
|
||||
<th className="px-4 py-3">{labelHeader}</th>
|
||||
<th className="px-4 py-3 text-right">Setups</th>
|
||||
<th className="px-4 py-3 text-right">Wins</th>
|
||||
<th className="px-4 py-3 text-right">Losses</th>
|
||||
<th className="px-4 py-3 text-right">Expired</th>
|
||||
<th className="px-4 py-3 text-right">Hit Rate</th>
|
||||
<th className="px-4 py-3 text-right">Avg R</th>
|
||||
<th className="px-4 py-3 text-right">Total R</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
{entries.map(([key, stats]) => (
|
||||
<tr key={key} className="border-b border-white/[0.04] transition-colors duration-150 hover:bg-white/[0.03]">
|
||||
<td className="px-4 py-3 font-medium text-gray-200">{mapLabel ? mapLabel(key) : key}</td>
|
||||
<td className="num px-4 py-3 text-right text-gray-300">{stats.total}</td>
|
||||
<td className="num px-4 py-3 text-right text-emerald-400">{stats.wins}</td>
|
||||
<td className="num px-4 py-3 text-right text-red-400">{stats.losses}</td>
|
||||
<td className="num px-4 py-3 text-right text-gray-400">{stats.expired}</td>
|
||||
<td className="num px-4 py-3 text-right text-gray-200">{fmtPct(stats.hit_rate)}</td>
|
||||
<td className={`num px-4 py-3 text-right ${rColor(stats.avg_r)}`}>{fmtR(stats.avg_r)}</td>
|
||||
<td className={`num px-4 py-3 text-right ${rColor(stats.total_r)}`}>{fmtR(stats.total_r)}</td>
|
||||
</tr>
|
||||
))}
|
||||
</tbody>
|
||||
</table>
|
||||
</div>
|
||||
);
|
||||
}
|
||||
|
||||
export function TrackRecordPanel() {
|
||||
const [qualifiedOnly, setQualifiedOnly] = useState(true);
|
||||
const activation = useActivation();
|
||||
|
||||
const { data, isLoading, isError, error } = usePerformance(
|
||||
qualifiedOnly ? { qualified_only: true } : undefined,
|
||||
);
|
||||
const backtest = useBacktestReport();
|
||||
const queryClient = useQueryClient();
|
||||
const toast = useToast();
|
||||
|
||||
@@ -158,135 +44,25 @@ export function TrackRecordPanel() {
|
||||
}
|
||||
};
|
||||
|
||||
// Live (matured cohort) vs the backtest, like-for-like with the qualified toggle.
|
||||
const live = data?.overall ?? null;
|
||||
const btBucket = qualifiedOnly ? backtest.data?.overall_qualified : backtest.data?.overall_all;
|
||||
const liveAvgR = live?.avg_r ?? null;
|
||||
const liveN = live?.total ?? 0;
|
||||
const btAvgR = btBucket?.avg_r ?? null;
|
||||
|
||||
let status: TrackingStatus = 'building';
|
||||
if (liveAvgR != null && liveN >= MIN_MATURED) {
|
||||
status = btAvgR == null ? 'no-backtest' : liveAvgR >= btAvgR - DRIFT_TOLERANCE_R ? 'tracking' : 'drift';
|
||||
}
|
||||
|
||||
const verdictNote: Record<TrackingStatus, string> = {
|
||||
building: `Not enough matured setups yet (need ~${MIN_MATURED}). Only setups whose full ~30-day window has elapsed are counted — the rest are still maturing. Until then, the backtest is your edge estimate; this becomes a live check as setups age past ~6 weeks.`,
|
||||
'no-backtest': 'Run the backtest below to get a baseline to compare the live record against.',
|
||||
tracking: 'Live setups are resolving in line with the backtest — the running system is faithfully implementing it (no look-ahead, config or data drift).',
|
||||
drift: 'Live expectancy is running materially below the backtest. Could be small-sample noise, a regime shift, or a config/data/look-ahead gap between live and the backtest — worth a look.',
|
||||
};
|
||||
|
||||
return (
|
||||
<div className="space-y-6">
|
||||
{/* Your real, realized results come first; the live-vs-backtest check follows. */}
|
||||
{/* Your real, realized results come first; the strategy validation follows. */}
|
||||
<MyTradesPanel />
|
||||
<div className="border-t border-white/[0.06]" />
|
||||
<BacktestPanel />
|
||||
|
||||
<Section title="Live vs Backtest" hint="is the live system tracking the backtest?">
|
||||
{isError ? (
|
||||
<Callout variant="error">
|
||||
{error instanceof Error ? error.message : 'Failed to load performance stats'}
|
||||
</Callout>
|
||||
) : (
|
||||
<div className="glass-sm space-y-2.5 p-4">
|
||||
<div className="flex flex-wrap items-center justify-between gap-x-6 gap-y-2">
|
||||
<div className="flex flex-wrap items-baseline gap-x-5 gap-y-1">
|
||||
<span className="text-sm text-gray-400">
|
||||
Live <span className={`num font-semibold ${rColor(liveAvgR)}`}>{fmtR(liveAvgR)}</span>
|
||||
</span>
|
||||
<span className="text-sm text-gray-400">
|
||||
Backtest <span className={`num font-semibold ${rColor(btAvgR)}`}>{fmtR(btAvgR)}</span>
|
||||
</span>
|
||||
<span className="text-xs text-gray-500">
|
||||
{liveN} matured{data ? ` · ${data.maturing} maturing` : ''} · {qualifiedOnly ? 'qualified' : 'all setups'}
|
||||
</span>
|
||||
</div>
|
||||
<VerdictChip status={status} />
|
||||
</div>
|
||||
<p className="text-[11px] leading-relaxed text-gray-500">{verdictNote[status]}</p>
|
||||
</div>
|
||||
)}
|
||||
</Section>
|
||||
|
||||
<Disclosure summary="Outcome details (matured cohort)">
|
||||
<div className="space-y-4 pt-1">
|
||||
<label className="flex w-fit cursor-pointer items-center gap-2.5 text-sm text-gray-300">
|
||||
<input
|
||||
type="checkbox"
|
||||
checked={qualifiedOnly}
|
||||
onChange={(e) => setQualifiedOnly(e.target.checked)}
|
||||
className="h-4 w-4 cursor-pointer accent-blue-400"
|
||||
/>
|
||||
<span>
|
||||
Qualified signals only
|
||||
{activation.data && (
|
||||
<span className="num ml-2 text-xs text-gray-500">{activationSummary(activation.data)}</span>
|
||||
)}
|
||||
</span>
|
||||
</label>
|
||||
|
||||
{isLoading && (
|
||||
<div className="grid gap-4 sm:grid-cols-2 lg:grid-cols-4">
|
||||
<SkeletonCard /><SkeletonCard /><SkeletonCard /><SkeletonCard />
|
||||
</div>
|
||||
)}
|
||||
|
||||
{data && data.overall.total === 0 && (
|
||||
<Callout variant="empty">
|
||||
{data.maturing > 0
|
||||
? `No setups have completed their ~30-day window yet — ${data.maturing} still maturing. ` +
|
||||
'Counting them earlier would skew toward quick stop-outs.'
|
||||
: 'No matured setups yet. Outcomes appear once setups complete their evaluation window — the evaluator runs nightly, or click Evaluate Now.'}
|
||||
</Callout>
|
||||
)}
|
||||
|
||||
{data && data.overall.total > 0 && (
|
||||
<>
|
||||
<div className="grid gap-4 sm:grid-cols-2 lg:grid-cols-4">
|
||||
<StatCard
|
||||
label="Hit Rate"
|
||||
value={fmtPct(data.overall.hit_rate)}
|
||||
sub={`${data.overall.wins} wins / ${data.overall.losses} losses`}
|
||||
/>
|
||||
<StatCard
|
||||
label="Expectancy"
|
||||
value={fmtR(data.overall.avg_r)}
|
||||
valueClass={rColor(data.overall.avg_r)}
|
||||
sub="average R per trade"
|
||||
/>
|
||||
<StatCard
|
||||
label="Total R"
|
||||
value={fmtR(data.overall.total_r)}
|
||||
valueClass={rColor(data.overall.total_r)}
|
||||
sub="cumulative risk-adjusted result"
|
||||
/>
|
||||
<StatCard
|
||||
label="Matured"
|
||||
value={String(data.overall.total)}
|
||||
sub={`${data.maturing} maturing · ${data.overall.expired} expired`}
|
||||
/>
|
||||
</div>
|
||||
|
||||
<Section title="By Recommended Action">
|
||||
<BreakdownTable rows={data.by_action} labelHeader="Action" mapLabel={actionLabel} />
|
||||
</Section>
|
||||
|
||||
<Section title="By Confidence" hint="at detection time · all setups">
|
||||
<BreakdownTable rows={data.by_confidence} labelHeader="Confidence" />
|
||||
</Section>
|
||||
</>
|
||||
)}
|
||||
|
||||
<div className="flex flex-wrap items-center justify-between gap-3 border-t border-white/[0.06] pt-3">
|
||||
<Disclosure summary="Track-record maintenance">
|
||||
<div className="space-y-3 pt-1">
|
||||
<p className="max-w-2xl text-xs text-gray-500">
|
||||
Each setup is replayed against the daily bars after detection: target before stop = win,
|
||||
stop first = loss (both in one bar counts conservatively as a loss), neither within 30
|
||||
trading days = expired at 0R. Only setups whose full window has elapsed are counted; younger
|
||||
ones are still <span className="text-gray-300">maturing</span> (near stops resolve fast, far
|
||||
targets need time, so early numbers would skew negative). The evaluator runs nightly.
|
||||
The live check replays every setup against the daily bars after detection: target before stop =
|
||||
win, stop first = loss (both in one bar counts conservatively as a loss), neither within 30
|
||||
trading days = expired at 0R. Only setups whose full window has elapsed count; younger ones are
|
||||
still maturing (near stops resolve fast, far targets need time, so early numbers skew negative).
|
||||
The evaluator scores <span className="text-gray-300">all</span> setups — qualified or not, so
|
||||
unqualified ones stay a control group — and runs nightly. Reset permanently clears all setups and
|
||||
their outcomes; live setups regenerate on the next scan.
|
||||
</p>
|
||||
<div className="flex shrink-0 items-center gap-2">
|
||||
<div className="flex flex-wrap items-center gap-2">
|
||||
<Button onClick={() => evaluateMutation.mutate()} loading={evaluateMutation.isPending}>
|
||||
{evaluateMutation.isPending ? 'Evaluating…' : 'Evaluate Now'}
|
||||
</Button>
|
||||
@@ -295,11 +71,7 @@ export function TrackRecordPanel() {
|
||||
</Button>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
</Disclosure>
|
||||
|
||||
<div className="border-t border-white/[0.06] pt-2" />
|
||||
<BacktestPanel />
|
||||
</div>
|
||||
);
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user