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feat: replace regime monitor with v2 methodology

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dennisthiessen
2026-07-15 09:02:56 +02:00
parent fd21067a40
commit 1d5b1489be
17 changed files with 1599 additions and 1535 deletions
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@@ -124,7 +124,7 @@ Once a day (default 07:00). Steps run **in dependency order**, each consuming th
3. **R:R Scan** — persist clean Structural S/R for charts/alerts, recompute the 5-dimension scores, and build long/short setups from a transient Gate Target Ladder (ATR stops and nominal gate targets) for every ticker. Attach each ticker's residual 12‑1 momentum activation percentile plus the promoted 80/20 production rank.
4. **Outcome Eval** — resolve setups that hit target/stop or expired (default 30 trading days) and auto-close paper trades per the exit policy (default: 3x ATR trail with a 30-trading-day max hold).
5. **Market Regime** — recompute the regime index (breadth/trend).
6. **Regime Monitor** — observational early-warning snapshot (VIX, credit spreads via FRED); feeds nothing else.
6. **Regime Monitor** — separate v2 State/Warning risk thermometer with fixed-basket breadth, VIX, credit, and point-in-time fundamentals; feeds no trades.
A failing step is logged; the pipeline continues with the next.
@@ -279,7 +279,7 @@ Corollaries: never let an unvalidated score gate setups; the outcome evaluator m
- Activation gate — qualifies setups on a residual-momentum percentile floor (the actual selection), a headline gate-target R:R floor (prod: 2.0) and a 20% primary-target reach-probability floor (validated long-only edge)
- Recommendation layer — directional confidence, conflict detection, per-target reach-probability
- Paper trading — take a setup, mark-to-market vs. latest close, auto-close per the exit policy (default: 3x ATR trail with a 30-trading-day max hold; time / percent-trailing / target-stop selectable), realized track record + outcome evaluation
- Market-regime index + FRED early-warning monitor (VIX, credit spreads); weekly backtest + manual event study
- Market-regime guard + observational State/Warning monitor (fixed-basket breadth, VIX, credit, PIT fundamentals) with a manual chronological correction study
- Telegram alerts (e.g. regime-quadrant changes)
- User-curated watchlist (cap: 20), enriched with composite score, R:R and S/R summary
- JWT auth with admin role, configurable registration, user access control