research: add focused portfolio capacity matrix

scripts/run_research_matrix.py

@@ -68,6 +68,11 @@ ROOT = Path(__file__).resolve().parents[1]
 if str(ROOT) not in sys.path:
     sys.path.insert(0, str(ROOT))
 
+from scripts.research_rankings import (  # noqa: E402
+    _live_universe_rank_map,
+    _period_percentiles,
+)
+
 CACHE_VERSION = "research-matrix-v1-daily-prod"
 
 # Pre-registered arm catalogue (order is report order). Control is a0.
@@ -210,66 +215,6 @@ def _sqlite_url(path: Path) -> str:
     return f"sqlite+aiosqlite:///{path.resolve().as_posix()}"
 
 
-def _period_percentiles(
-    observations: list[dict], value_key: str
-) -> dict[tuple[str, str], float]:
-    by_period: dict[tuple, list[dict]] = {}
-    for row in observations:
-        if row.get(value_key) is None:
-            continue
-        period = tuple(row["ranking_period"])
-        by_period.setdefault(period, []).append(row)
-    result: dict[tuple[str, str], float] = {}
-    for group in by_period.values():
-        ordered = sorted(
-            group, key=lambda row: (float(row[value_key]), str(row["symbol"]))
-        )
-        denominator = len(ordered) - 1
-        for rank, row in enumerate(ordered):
-            result[(str(row["symbol"]), str(row["date"]))] = round(
-                rank / denominator * 100.0 if denominator > 0 else 100.0,
-                2,
-            )
-    return result
-
-
-def _live_universe_rank_map(
-    observations: list[dict],
-    benchmark_closes: dict[date, float],
-    momentum_weight: float,
-) -> dict[tuple[str, str], dict[str, float | None]]:
-    raw_pct = _period_percentiles(observations, "momentum")
-    residual_pct = _period_percentiles(observations, "residual_momentum")
-    vol_pct = _period_percentiles(observations, "vol_6m")
-    benchmark_ords = sorted(value.toordinal() for value in benchmark_closes)
-    residual_start_ord = benchmark_ords[251] if len(benchmark_ords) >= 252 else None
-    ranks: dict[tuple[str, str], dict[str, float | None]] = {}
-    for row in observations:
-        identity = (str(row["symbol"]), str(row["date"]))
-        asof_ord = date.fromisoformat(identity[1]).toordinal()
-        momentum_pct = (
-            residual_pct.get(identity)
-            if residual_start_ord is not None and asof_ord >= residual_start_ord
-            else raw_pct.get(identity)
-        )
-        volatility_pct = vol_pct.get(identity)
-        strategy_rank = (
-            round(
-                momentum_pct * momentum_weight
-                + volatility_pct * (1.0 - momentum_weight),
-                2,
-            )
-            if momentum_pct is not None and volatility_pct is not None
-            else momentum_pct
-        )
-        ranks[identity] = {
-            "momentum_percentile": momentum_pct,
-            "volatility_percentile": volatility_pct,
-            "strategy_rank": strategy_rank,
-        }
-    return ranks
-
-
 def _parse_args() -> argparse.Namespace:
     parser = argparse.ArgumentParser(
         description=__doc__,