feat: add residual momentum to signal-edge backtest

Adds a research-only 12-1 residual momentum signal to the cross-sectional signal-evaluation harness. The signal estimates benchmark beta over the 12-1 formation window and ranks cumulative stock return minus beta-adjusted benchmark return; it only appears when benchmark closes are available. No production qualification behavior changes. The Backtest signal table labels the new row as 12-1 residual momentum. Tests cover benchmark-gated emission and beta removal while keeping stock-specific drift. Verification: 453 backend tests pass, ruff check app/ clean, frontend npm run build clean. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
2026-07-02 15:46:54 +02:00
parent 1e82dfad7f
commit 13374087db
4 changed files with 122 additions and 10 deletions
@@ -39,6 +39,7 @@ function rColor(v: number | null): string {

 const SIGNAL_LABELS: Record<string, string> = {
  mom_12_1: '12–1 month momentum',
+  mom_12_1_resid: '12–1 residual momentum',
  mom_6_1: '6–1 month momentum',
  mom_3_1: '3–1 month momentum',
  reversal_1m: '1-month reversal',